CAFM         Past Program         2010



Call for Paper
The Fifth Annual Conference on Asia-Pacific Financial Markets
(CAFM) of the Korean Securities Association (KSA)
Seoul, Korea, December 4, 2010

Korean Securities Association (KSA), the oldest and largest academic organization of finance scholars and practitioners in Korea, invites interested scholars, practitioners, and policy-makers to submit research papers for presentation at its fifth international conference. Both theoretical and empirical research papers in all areas of finance are welcome.


The keynote speaker for the fifth CAFM will be Professor E. Han Kim (University of Michigan). The programs of the previous conferences can be accessed at the following website:


Papers written in English must be submitted via e-mail to:
by August 31, 2010, using MS Word or Adobe pdf file format. The submitted papers will be reviewed for selection by the review committee in a double-blind referee process. The results will be notified via e-mail by September 30, 2010. All submitted manuscripts must be original work that is not under submission at another journal or under consideration for publication in another form, such as monograph or chapter of a book.


Competitive research awards of US$2,000 (or 2,000,000KRW) will be given to each of the eight best papers. The awarded paper must be presented by one of the authors in the CAFM and will be invited to publish in the Asia-Pacific Journal of Financial Studies (AJFS), which is a SSCI-listed finance journal.


All papers must be accompanied by an abstract of a maximum of 200 words. The cover page of the paper should contain the paper’s title, the author’s name, affiliation, address, phone number, and e-mail address. The second page should contain the paper’s title and abstract only.


For additional information, please contact one of us:
J.B. (Jong-Bom) Chay, Ph.D., President of the KSA (, Sungkyunkwan University
Jinwoo Park, Ph.D., Chair of the Program and Review Committee (, Hankuk University of Foreign Studies

Program of Conference

Saturday, December 4, 2010

Session 1 : Corporate Governance (09:30~11:30)
  • Chair: Beom-Sik Jang(Soongsil University)
Title Author Discussant
Block Premium and Shareholder Litigation Jaiho Chung(Korea University Business School)
Joon Ho Hwang(Korea University Business School)
Joon-Seok Kim(Korea Capital Market Institute)
Woochan Kim
(KDI School of Public Policy and Management)
Do Controlling Shareholders’ Expropriation Incentives Imply a Link between Corporate Governance and Firm Value? Theory and Evidence Kee-Hong Bae(York University)
Jae-Seung Baek(Hankuk University of Foreign Studies)
Jun-Koo Kang(Nanyang Technological University)
Wei-Lin Liu(Nanyang Technological University)
Betty Wu
(Yonsei University)
Corporate Governance Reforms and Firm-Level Allocation of International Capital Flows Yao Lu(Tsinghua University) Seoungpil Ahn
(Sogang University)
An Economic Theory of Constitutional Governance Sankarshan Acharya(University of Illinois, Chicago and Research Center for Financial and Governance (India)) Sooyoung Song
(Chung-Ang University)
Session 2 : Derivatives (09:30~11:30)
  • Chair: Robert Webb(KAIST Business School)
Title Author Discussant
Which one is better? A study on the pricing kernel-based option valuation approaches Jangkoo Kang(KAIST Business School)
Doojin Ryu(Hankuk University of Foreign Studies)
Shiyong Yoo
(Chung-Ang University)
Model-Free Volatility Expectations and Risk Perceptions During Financial Crises Kazuhiko Nishina(Meiji Gakuin University)
Nabil Maghrebi(Wakayama University)
Moo-Sung Kim(Pusan National University)
Hyo Seob Lee
(Korea Capital Market Institute)
Credit Derivatives and the Default Risk of Large Complex Financial Institutions Giovanni Calice(University of Southampton)
Christos Ioannidis(University of Bath)
Julian Williams(University of Aberdee)
Baeho Kim
(Korea University Business School)
Effects of Rollover Strategies and Information Stability on the Performance Measures in Option Market Youngsoo Choi(Hankuk University of Foreign Studies)
SoonChan Ok(Hankuk University of Foreign Studies)
Byung Jin Kang
(Seoul Women's University)
Session 3 : Market Microstructure (09:30~11:30)
  • Chair: S. Ghon Rhee(Sungkyunkwan University and University of Hawai'i)
Title Author Discussant
Effects of Short-sale Constraints on Stock Prices and Trading Activity: Evidence from Hong Kong and Mainland China Kalok Chan(Hong Kong University of Science & Technology)
Hung Wan Kot(Hong Kong Baptist University)
Zhishu Yang(Tsinghua University)
Jay M. Chung
(Soongsil University)
Order Submission Dynamics in Order-driven Markets Pei-Han Hsin(Cheng Shiu University)
Ming-Chang Wang(National Chung Cheng University)
Chin-Shun Wu(University of the WEST)
Alin Chen(National Sun Yat-Sen University)
Jin Yoo
(Hanyang University)
Why Do Stocks Move Together?: Evidence from Commonality in Order Imbalances Y. Peter Chung(University of California, Riverside)
Thomas Kim(University of California, Riverside)
Yunsung Eom
(Hansung University)
Short Selling by Individual Investors: Vice or Virtue? Chan-Shik Jung(Korea University Business School)
Woojin Kim(Korea University Business School)
Dong Wook Lee(Korea University Business School)
Hyoungjin Park
(Seoul Women's University)
Session 4 : Financial Intermediation (09:30~11:30)
  • Chair: Sun-Wung Hwang(Chung-Ang University)
Title Author Discussant
Bank Loans, Trade Credits, and Borrower Characteristics: Theory and Empirical Analysis Byung-Uk Chong(Ewha Womans University)
Ha-Chin Yi(Texas State University, San Marcos)
Yan Li
(Korea University Business School)
Monetary Liquidity, Market Liquidity, and Financial Intermediation Ujjal Chatterjee(University of Wisconsin, Milwaukee)
Yong-Cheol Kim(University of Wisconsin, Milwaukee)
Yun Woo Park
(Chung-Ang University)
Corporate Taxes and Securitization Joong Ho Han(KDI School of Public Policy and Management)
Kwangwoo Park(KAIST Business School)
George Pennacchi(University of Illinois, Urbana Champaign)
Hyoungsik Noh
(Korea Institute of Finance)
The Impact of Organizational and Incentive Structures on Soft Information: Evidence from Bank Lending Jun “QJ” Qian(Boston College)
Philip E. Strahan(Boston College and NBER)
Zhishu Yang(Tsinghua University)
Joong Ho Han
(KDI School of Public Policy and Management)
Session 5 : IPO and M&A (14:00~15:30)
  • Chair: Hyosuk Kang(Hankuk University of Foreign Studies)
Title Author Discussant
Bookbuilding, Price Revision and Initial Returns of IPOs Sung Wook Joh(Seoul National University)
Yoo-Hwan Kim(Seoul National University)
Wilson Wonho Choi
(KAIST Business School)
New Evidence on the Underperformance of Initial Public Offerings: Analyses of Earnings Announcements Returns Henk Berkman(University of Auckland)
Yapei Li(University of Auckland)
Jinho Byun
(Ewha Womans University)
Dividend Policy and the Method of Payment in Mergers and Acquisitions Jin Q Jeon(Dongguk University)
James A. Ligon(University of Alabama)
Charn Soranakom(Mahidol University)
Ha-Chin Yi
(Texas State University, San Marcos)
Session 6 : Funds (14:00~15:30)
  • Chair: Myung-Jig Kim(Hanyang University)
Title Author Discussant
Dynamic Prediction of Financial Distress in Hedge Funds and Funds-of-Hedge Funds Hee Soo Lee(University of Sydney) Giorgio Valente
(University of Essex)
The Performance of Currency Hedge Funds and Foreign Exchange Risk Premia Federico Nucera(Bocconi University)
Giorgio Valente(University of Essex)
Hee Soo Lee
(University of Sydney)
The Role of Organizational Structure: Between Hierarchy and Specialization Massimo Massa(INSEAD)
Lei Zhang(Nanyang Technological University)
Junesuh Yi
(Dongguk University)
Session 7 : Investments (14:00~15:30)
  • Chair: Chang-Soo Hur(University of Seoul)
Title Author Discussant
Investor Perceptions of Earnings Processes and Post-Announcement Drifts Bong-Soo Lee(Florida State University)
Oliver M. Rui(Chinese University of Hong Kong)
Jang Woo Lee
(Pusan Natonal University)
Local Equity Market Participation and Stock Liquidity Lei Zhang(Nanyang Technological University) Ahmed Marhfor
(University of Quebec, Montreal)
Stock price informativeness and analyst coverage Ahmed Marhfor(University of Quebec, Montreal)
Bouchra M’Zali(University of Quebec, Montreal)
Guy Charest(University of Quebec, Montreal)
Woojin Kim
(Korea University Buniness School)
Session 8 : International Finance (14:00~15:30)
  • Chair: Dongcheol Kim(Korea University Business School)
Title Author Discussant
Asymmetric Information or Asymmetric Reputation? : A Theory on Why Foreigners Earn So Much in a Small Open Emerging Market Jin Yoo(Hanyang University) Jeongsun Yun
(Kookmin University)
Financial Liberalization and Liquidity Commonality Chunmei Lin(National University of Singapore) Olfa Maalaoui
(KAIST Business School)
Country, Industry and Idiosyncratic Components in Valuation Ratios Jiyoun An(Korea Institute for International Economic Policy)
Sanjeev Bhojraj(Cornell University)
David T. Ng(Wharton School of Business and Cornell University)
Hyung-Suk Choi
(Hongik University)
Session 9 : Internal and External Financing (15:45~17:45)
  • Chair: Yong-Cheol Kim(University of Wisconsin, Milwaukee)
Title Author Discussant
When Does Foreign Portfolio Investment Increase Corporate Value in an Emerging Market Economy? Woochan Kim(KDI School of Public Policy and Management)
Taeyoon Sung(Yonsei University)
Shang-Jin Wei(Columbia University)
Jungwon Suh
(Ewha Womans University)
Managerial Incentives for Risk-Taking and Internal Capital Allocation Ja Young Suh(University of Technology, Sydney) Yao Lu
(Tsinghua University)
Debt Covenants and the Value of Cash Holdings Boochun Jung(University of Hawaii at Manoa)
Woo-Jong Lee(Hong Kong Polytechnic University)
Sunny Yang(University of Taxas at Austin)
Jong Il So
(Korea University)
The Sensitivities of Corporate Investments to Internal and External Sources of Funds J. B. Chay(Sungkyungkwan University)
Soojung Kim(Kyung Hee Cyber University)
Jungwon Suh(Ewha Womans University)
Jung-Wook Kim
(Seoul National University)
Session 10 : Risk Management (15:45~17:45)
  • Chair: Harald Scheule(University of Melbourne)
Title Author Discussant
Dynamic Hedging Turned Friendly Fire: Perils of Hedging Foreign Currency Risks Jin-Wan Cho(Korea University Business School)
Taeyong Kim(Morningstar Associates Korea)
Woojin Kim(Korea University Business School)
Wenchao Liao
(Shih Chien University)
Risk Taking of ‘Too Big To Fail’ Banks: Evidence from Surviving Banks after a Financial Crisis Hyungkwon Jeong(Bank of Korea)
Sung Wook Joh(Seoul National University)
Jung-Bum Wee
(Kyung Hee University)
Segment Disclosure Quality, Information Asymmetry, and Corporate Bond Yield Spreads Tsung-Kang Chen(Fu Jen Catholic University)
Yi-Ping Liao(Ming Chuan University)
Jungsoon Shin
(Ewha Womans University)
Speculators versus Hedgers: Evidence from Treasury Futures VAR Analysis of the Volume-Volatility Relations Wenchao Liao(Shih Chien University) Yongjae Kwon
(Kookmin University)
Session 11 : Asset Pricing(15:45~17:45)
  • Chair: Bong-Soo Lee(Florida State University)
Title Author Discussant
On the Ex-Ante Cross-Sectional Relation Between Risk and Return Using Option-Implied Information Ren-Raw Chen(Fordham University)
Dongcheol Kim(Korea University Business School)
Durga Panda(Rutgers University)
Changjun Lee
(Kwangwoon University)
Time-Varying Risk Premia for Size Effects on Equity REITs G. D. Chang(National Taiwan University of Science and Technology)
Y. T. Chang(National Taiwan University of Science and Technology)
Dong Wook Lee
(Korea University Business School)
When Does Idiosyncratic Risk Really Matter? Tony Ruan(Xiamen University)
Qian Sun(Fudan University)
Yexiao Xu(University of Texas, Dallas)
Daehwan Kim
(Konkuk University)
On the Relation between the Chen-Zhang Factors and the Macroeconomy Byoung-Kyu Min(Ohio State University)
Jangkoo Kang(KAIST Business School)
Changjun Lee(Kwangwoon University)
Jaehoon Hahn
(Yonsei Univerisity)
Session 12 : Credit Risk (15:45~17:45)
  • Chair: In Joon Kim(Yonsei University)
Title Author Discussant
Credit rating inflation or deflation? Tests of two competing views on credit rating standard changes Kee-Hong Bae(York University)
Jun-Koo Kang(Nanyang Technological University)
Jin Wang(Queen’s University)
Kuan-Hui Lee
(Korea University Business School)
Securitization rating performance and agency incentives Daniel Rosch(Leibniz University of Hannover)
Harald Scheule(University of Melbourne)
Don H. Kim
(Yonsei University)
Sovereign debt ratings changes and stock liquidity around the world Kuan-Hui Lee(Korea University Business School)
Horacio Sapriza(Rutgers Business School and FRB)
Yangru Wu(Rutgers Business School)
Junghoon Seon
(Konkuk University)
Effects of Macroeconomic News Announcements on the Risk-Neutral Distribution: Evidence From KOSPI200 Intraday Options Data Sol Kim(Hankuk University of Foreign Studies)
Geul Lee((Hankuk University of Foreign Studies)
Doojin Ryu
(Hankuk University of Foreign Studies)

2010 CAFM Program Committee

Jinwoo Park(Chair) Hankuk University of Foreign Studies
Hee-Joon Ahn Sungkyunkwan University
Joon Chae Seoul National University
Byung-Uk Chong Ewha Womans University
Jay M. Chung Soongsil University
Chung-Hun Hong Kookmin University
Joon Ho Hwang Korea University
Jaeuk Khil Hanyang University
Sol Kim Hankuk University of Foreign Studies
Woojin Kim Korea University
Kaun Young Lee Chung-Ang University
Kwangwoo Park KAIST
Junghoon Seon Konkuk University
Jungsoon Shin Ewha Womans University
Jung Bum Wee Kyung Hee University
Junesuh Yi Dongguk University
Jeongsun Yun Kookmin University

2010 CAFM Review Committee

Jinwoo Park(Chair) Hankuk University of Foreign Studies, Korea
Paul Brockman Lehigh University, U.S.A.
Suk Joon Byun KAIST
Charles Cao Pennsylvania State University, U.S.A.
Cheol S. Eun Georgia Institute of Technology, U.S.A.
Vidhan Goyal Hong Kong Univ. of Science and Technology, Hong Kong
Bong-Chan Kho Seoul National University, Korea
Myung-Jig Kim Hanyang University, Korea
Dong-Soon Kim Chung-Ang University, Korea
Bong-Soo Lee Florida State University, U.S.A.
Bing Liang Yale University, U.S.A.
Lilian K. Ng University of Wisconsin at Milwaukee, U.S.A.
Jeffrey Pontiff Boston College, U.S.A.
Cong Wang City University of Hong Kong, Hong Kong
Chunchi Wu State University of New York at Buffalo, U.S.A.
Takeshi Yamada National University of Singapore, Singapore

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Transportation from Incheon International Airport to
The Westion Chosun, Seoul

Travel Time

Typical: 1 hour 10 min. / Rush Hour: Over 2 hours

1. KAL Limousine Bus

  • - Bus Stop: No 4B / 11A (KAL Limousine stop) on the first floor of the Airport Building (outdoor bus arrival area)
  • - You can buy tickets at the airport limousine counters or directly from limousine drivers upon boarding.
  • - Fare 15,000
    1. 1) Incheon International Airport to The Westin Chosun
      First Bus 04:47/Last Bus 22:35(4B) 22:40 ( 11A )
    2. 2) The Westin Chosun th Incheon International Airport
      First Bus 05:35 / Last Bus 18:35 / Interval: 20 min.

2. Taxi(Fares are aooroximate)

  • - Regular: 50,000
  • - Deluxe: 85,000
  • - Toll Fee: 7,500

3. Hotel Limousine / Rent-a- Car

  • - Sending: 125,000 (including toll fee)
  • - Pick-Up: 135,000 (including toll fee)

4. Subway Train

  • - Fare : 4,300 from Incheon International Airport to City Hall Station
  • - Direction
    • • Take AREX at Incheon International Airport Station bound for Gimpo International Airport Station
    • • At Gimpo International Airport Station, transfer to Transit Line Number 5 toward Chung-Jung-No Station
    • • At Chung-Jung-No Station, transfer to Transit Line Number 2 toward City Hall Station
    • • Get off at City Hall Station
    • • Walking distance to the Westin Chosun Hotell
  • - Travel Time: 90 minutes

Online Hetel Reservation


· For additional information, Please contact one of us

J.B. (Jong-Bom) Chay, Ph.D.,
President of the KSA (,
Sungkyunkwan University

Jinwoo Park, Ph.D.,
Program Chair and Review Committee Chair (,
Hankuk University of Foreign Studies

· Korean Securities Association

Yoedodong 45-2, Yongdeoung po-Gu, Seoul, Korea
Fax : 82-2-783-6359
E-mail :