2012
2012
Call for Paper
The Seventh Annual Conference on Asia-Pacific Financial Markets
(CAFM) of the Korean Securities Association (KSA)
Seoul, Korea, December 8, 2012
The 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 seventh international conference. Both theoretical and empirical research papers in all areas of finance are welcome.
KEYNOTE SPEAKER
The keynote speaker for the seventh CAFM will be Professor S. Ghon Rhee (University of Hawaii). The programs of the previous conferences can be accessed at the following website:
http://www.apjfs.org/conference/2012/call.asp
ELECTIRONIC SUBMISSION
Papers written in English must be submitted via e-mail to:
Email: cafm2012@gmail.com
by August 31, 2012, using MS Word or Adobe pdf file format. The return receipt email will be sent to the corresponding author within a week upon receipt of the paper by the CAFM Committee. 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, 2012.
BEST PAPER AWARDS
Competitive research awards of US$2,000 (or KRW 2,000,000) will be given to each of up to eight best papers. The awarded paper must be presented by one of the authors at the CAFM and will be invited to be published in the Asia-Pacific Journal of Financial Studies (AJFS), which is a SSCI-listed finance journal.
BEST DISSERTATION AWARD
The KSA invites Ph.D. candidates of Korean universities to present their dissertations in a doctoral session of the CAFM2012. The KSA Best Dissertation Award of KRW 1,000,000 will be given to the best thesis.
PAPER STYLE
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.
CONTACT
For additional information, please contact:
Chang-Soo Kim, Professor and Chair of the Program and Review Committe (kimc@yonsei.ac.kr), Yonsei University, Wonju, 220-710 Korea
Program of Conference
Saturday, December 8, 2012
Session 1:Corporate Governance (09:30~11:30)
- Chair: Jun-Koo Kang (Nanyang Technological Univ.)
| Title | Author | Discussant |
|---|---|---|
| Are Institutional Investors with Multiple Blockholdings Effective Monitors? | Jun-Koo Kang (Nanyang Technological Univ.) Juan Luo (Nanyang Technological Univ.) Hyun Seung Na (City Univ. of Hong Kong) |
Omrane Guedhami (Univ. of South Carolina) |
| Congruence within the Top Management: How “Old Boy Network” Affects Executive Appointment and Performance | Daemin Ahn (Korea Univ.) Woojin Kim (Seoul National Univ.) Eun Jung Lee (Hanyang Univ.) Kyung Suh Park (Korea Univ.) |
Hyun Seung Na (City Univ. of Hong Kong) |
| Does Corporate Governance Affect Earnings Management? Evidence from an Exogenous Shock to Governance in Korea | Julia Nasev (Univ. of Cologne) Bernard Black (Northwestern Univ.) Woochan Kim (Korea Univ.) |
Martin Dierker (KAIST) |
| Does Competition Enhance Independent Director Productivity? | Shinwoo Kang (Univ. of Michigan) E. Han Kim (Univ. of Michigan) Yao Lu (Tsinghua Univ.) |
Woochan Kim (Korea Univ.) |
Session 2:Banking (09:30~11:30)
- Chair: Beom-Sik Jang (Soongsil Univ.)
| Title | Author | Discussant |
|---|---|---|
| Sovereign Credit Risk, Banks’ Government Support, and Bank Stock Returns around the World | Ricardo Correa (Federal Reserve Board) Kuan-Hui Lee (Seoul National Univ.) Horacio Sapriza (Federal Reserve Board) Gustavo Suarez (Federal Reserve Board) |
Olfa Maalaoui Chun (KAIST) |
| Testing for Competition in the South Korean and Chinese Commercial Banking Markets | Kang H. Park (Missouri State Univ.) |
Sunghwan Kim (Kyungpook National Univ.) |
| Too Many To Fail: The Effect of Regulatory Forbearance on Market Discipline | Wook Sohn (KDI School of Public Policy and Management) Hyosoon Choi (Korea Deposit Insurance Corporation) |
Sun Eae Chun (Chung-Ang Univ.) |
| Collectivism and Corruption in Bank Lending | Xiaolan Zheng (Univ. of South Carolina) Sadok El Ghoul (Univ. of Alberta) Omrane Guedhami (Univ. of South Carolina) Chuck C.Y. Kwok (Univ. of South Carolina) |
Wook Sohn (KDI School of Public Policy and Management) |
Session 3:Funds (09:30~11:30)
- Chair: Yong-Cheol Kim (Univ. of Wisconsin-Milwaukee)
| Title | Author | Discussant |
|---|---|---|
| Modelling and Forecasting Failure of Hedge Funds and Funds-of-Hedge Funds | Hee Soo Lee (Yonsei Univ.) Maxwell Stevenson (Univ. of Sydney) Juan Yao (Univ. of Sydney) |
Junesuh Yi (Dongguk Univ.) |
| The Costs of ETF Membership: Valuation Effect of ETFs on Underlying Firms | Kee-Hong Bae (York Univ.) Jun-Koo Kang (Nanyang Technological Univ.) Jin Wang (Wilfrid Laurier Univ.) |
Jae Hyun Lee (Soongsil Univ.) |
| Performance Persistence and Flow Restrictions in Hedge Funds | Kee-Hong Bae (York Univ.) Junesuh Yi (Dongguk Univ.) |
Jee Hyun Kim (Hallym Univ.) |
| Competition of Socially Responsible and Conventional Mutual Funds and Its Impact on Fund Performance | Martin Kim (Monash Univ.) Francis In (Monash Univ.) Sangbae Kim (Kyungpook National Univ.) Tong Suk Kim (KAIST) |
Jungsoon Shin (Ewha Womans Univ.) |
Session 4:Derivatives (09:30~11:30)
- Chair: Sang Bin Lee (Hanyang Univ.)
| Title | Author | Discussant |
|---|---|---|
| Can Derivatives Information Predict Stock Price Jumps? | Kwark, Noe-Keol (Hanyang Univ.) Sang-Gyung Jun (Hanyang Univ.) Hyoung-Goo Kang (Hanyang Univ.) |
Sol Kim (Hankuk Univ. of Foreign Studies) |
| A Unified Model: Arbitrage-free Term Structure Movements of Flow Risks | Thomas S. Y. Ho (Thomas Ho Co., Ltd.) Sang Bin Lee (Hanyang Univ.) |
Kwangil Bae (Chonnam National Univ.) |
| Asymmetric Sneers & Forecasting Implied Volatility within an Ad Hoc Black-Scholes Framework | Youngsoo Choi (Hankuk Univ. of Foreign Studies) Steven J. Jordan (Econometric Solutions) Wonchang Lee (Hi Investment & Securities Co., Ltd.) |
Hyoung-goo Kang (Hanyang Univ.) |
| Roll-Over Parameters and Option Pricing | Sol Kim (Hankuk Univ. of Foreign Studies) |
Youngsoo Choi (Hankuk Univ. of Foreign Studies) |
Session 5:Ph.D. Session (14:00~15:30)
- Chair: Sun-Wung Hwang (Chung-Ang Univ.)
| Title | Author | Discussant |
|---|---|---|
| Improving the Predictability of Stock Market Returns with the Growth of Options Open Interest | Suk Joon Byun (KAIST) Jun Sik Kim (KAIST) |
Hyo Seob Lee (Korea Capital Market Institute) |
| Does Competition Affect the Role of Banks as Liquidity Providers? | Sung Wook Joh (Seoul National Univ.) Jeongsim Kim (Seoul National Univ.) |
Yuenjung Park (KAIST) |
| Business Cycle and Credit Risk Modeling with Jump Risks | Bong-Gyu Jang (POSTECH) Yuna Rhee (POSTECH) Ji Hee Yoon (Univ. of Wisconsin-Madison) |
Gyoocheol Shim (Ajou Univ.) |
Session 6:Credit Ratings (14:00~15:30)
- Chair: In Joon Kim (Yonsei Univ.)
| Title | Author | Discussant |
|---|---|---|
| Systematic Risk and Credit Ratings | Daniel Rosch (Leibniz Univ. of Hannover) Harald Scheule (Univ. of Technology, Sydney) |
Tao Wang (National Univ. of Singapore) |
| Can Reputation Concerns always Discipline Credit Rating Agencies? Evidence from Corporate bond Issuance Ratings | Tao Wang (National Univ. of Singapore) |
Harald Scheule (Univ. of Technology, Sydney) |
| Credit Rating Changes and Earnings Management | Young S. Kim (Northern Kentucky Univ.) Yura Kim (Kookmin Univ.) Kyojik “Roy” Song (Sungkyunkwan Univ.) |
Soku Byoun (Baylor Univ.) |
Session 7:Investments (14:00~15:30)
- Chair: Dongcheol Kim (Korea Univ.)
| Title | Author | Discussant |
|---|---|---|
| Investor Sentiment from Internet Message Postings and Predictability of Stock Returns | Dongcheol Kim (Korea Univ.) Soon-Ho Kim (Korea Univ.) |
Jae Joon Han (Inha Univ.) |
| Momentum and Investor Sentiment: Evidence from Asian Stock Markets | Shangkari V. Anusakumar (Univ. Sains Malaysia) Ruhani Ali (Univ. Sains Malaysia) Hooy Chee Wooi (Univ. Sains Malaysia) |
Cheol-Won Yang (Dankook Univ.) |
| Time-Varying Expected Momentum Profits | Dongcheol Kim (Korea Univ.) Tai-Young Roh (KAIST) Byoung-Kyu Min (Univ. of Neuchatel) Suk-Joon Byun (KAIST) |
Hyoung-Jin Park (Seoul Women’s Univ.) |
Session 8:International Finance (14:00~15:30)
- Chair: Hyuk Choe (Seoul National Univ.)
| Title | Author | Discussant |
|---|---|---|
| The Efficiency of the Information Processing in the Australian Dollar Market: Price Discovery following Scheduled and Unscheduled News | Lawrence Daniel (Univ. of Sydney) Suk-Joong Kim (Univ. of Sydney) Michael D. McKenzie (Cambridge Univ.) |
Jin-Wan Cho (Korea Univ.) |
| Flight-to-Quality and Correlation between Currency and Stock Returns | Jin-Wan Cho (Korea Univ.) Joung Hwa Choi (Seoul National Univ.) Taeyong Kim (Morningstar Associates Korea) Woojin Kim (Seoul National Univ.) |
Vidhan K. Goyal (Hong Kong Univ. of Science and Technology) |
| Price Spillover and Dynamic Correlation in the Shanghai A- and B- share Stock Markets: Evidence from the B-share Opening to Chinese Citizens | Jung-Lieh Hsiao (National Taipei Univ.) Teng-Tsai Tu (National Taipei Univ.) |
Paul M.S. Choi (Ewha Womans Univ.) |
Session 9: Managerial Incentives (15:45~17:45)
- Chair: J. B. Chay (Sungkyunkwan Univ.)
| Title | Author | Discussant |
|---|---|---|
| Does Engagement in Corporate Social Responsibility Provide Insurance-like Effects? | Yung-Ming Shiu (National Chengchi Univ.) Shou-Lin Yang (National Cheng Kung Univ.) |
Jon Jungbien Moon (Korea Univ.) |
| Provision of Management Incentives in Bankrupt Firms | Vidhan K. Goyal (Hong Kong Univ. of Science and Technology) Wei Wang (Queen Univ.) |
Woojin Kim (Seoul National Univ.) |
| Founding-Family Firm and Top Executive Option Portfolio Sensitivities | Mieszko Mazur (IESEG School of Managemant) Betty (H.T.) Wu (Yonsei Univ.) |
Ji-Woong Chung (Korea Univ.) |
| Why Do Some Firms Go Debt-Free? | Soku Byoun (Baylor Univ.) William T. Moore (Univ. of South Carolina) Zhaoxia Xu (Polytechnic Institute of New York Univ.) |
James L. Park (Korea Univ.) |
Session 10:Asset Pricing (15:45~17:45)
- Chair: Bong Soo Lee (Florida State Univ.)
| Title | Author | Discussant |
|---|---|---|
| An Analysis of Stock Returns and Aggregate Earnings | Yunhao Chen (Florida International Univ.) Xiaoquan Jiang (Florida International Univ.) Bong Soo Lee (Florida State Univ.) |
Francis In (Monash Univ.) |
| Time Variations in Expected Illiquidity Premium | Jeewon Jang (KAIST) Jangkoo Kang (KAIST) Changjun Lee (Hankuk Univ. of Foreign Studies) |
Yunsung Eom (Hansung Univ.) |
| The Role of Structural Uncertainty in Asset Returns | Young Il Kim (KDI) | Woonwook Jang (Yonsei Univ.) |
| The Volatility of Firm’s Assets and the Leverage Effect | Jaewon Choi (Univ. of Illinois) Matthew Richardson (New York Univ. and NBER) |
Young Il Kim (KDI) |
Session 11:IPO, M&A (15:45~17:45)
- Chair: E. Han Kim (Univ. of Michigan)
| Title | Author | Discussant |
|---|---|---|
| Positive Feedback Trading, Short Sale Constraint, and IPO Underpricing: Theory and Empirical Evidence | Ming Guo (Shanghai Jiaotong Univ.) |
Joon Ho Hwang (Korea Univ.) |
| Weak Firms follow Strong Firms in Hot IPO Markets | Kiyoung Chang (Univ. of South Florida Sarasota-Manatee) Yong-Cheol Kim (Univ. of Wisconsin-Milwaukee) Hyeongsop Shim (Ulsan National Institute of Science and Technology) |
Jungwon Suh (Sungkyunkwan Univ.) |
| Liquidity and Returns to Target Shareholders in the Market for Corporate Control | Kaun Y. Lee (Chung-Ang Univ.) Kee H. Chung (State Univ. of New York at Buffalo) |
Kuan-Hui Lee (Seoul National Univ.) |
| Do Banks Monitor Corporate Decisions? Evidence from Bank Financing of Mergers and Acquisitions | Sheng Huang (Singapore Management Univ.) Ruichang Lu (National Univ. of Singapore) Anand Srinivasan (National Univ. of Singapore) |
Jaewon Choi (Univ. of Illinois) |
Session 12:Trading (15:45~17:45)
- Chair: Sang Lyong Joo (Hongik Univ.)
| Title | Author | Discussant |
|---|---|---|
| Public News Arrival and Cross-Asset Correlation Breakdown: Implications for Algorithmic Trading | Kin-Yip Ho (Australian National Univ.) Wai-Man (Raymond) Liu (Australian National Univ.) Jing Yu (The Univ. of Western Australia) |
Kyong Shik Eom (Univ. of Seoul) |
| Trading Responses to Analyst Reports by Investor Types: A Study of Korea Unique Data Set | Kyung Soon Kim (Hankuk Univ. of Foreign Studies) Yun Woo Park (Chung-Ang Univ.) Jin Woo Park (Hankuk Univ. of Foreign Studies) |
Kin-Yip Ho (Australian National Univ.) |
| The Effect of a Listing Switch from a New Market to a Main Board: Market Macrostructure Evidence | Jong-Ho Park (Sunchon National Univ.) Ki Beom Binh (Myungji Univ.) Kyong Shik Eom (Univ. of Seoul) |
Doojin Ryu (Chung-Ang Univ.) |
2012 CAFM Program Committee
| Chang-Soo Kim(Chair) | Yonsei University |
|---|---|
| Hee-Joon Ahn | Sungkyunkwan University |
| Joon Chae | Seoul National University |
| Yeong Suk Cho | Mokpo National University |
| Byung-Uk Chong | University of Seoul |
| Jay M. Chung | Soongsil University |
| Jaehoon Hahn | Yonsei University |
| Joon Ho Hwang | Korea University |
| Bong Chan Kho | Seoul National University |
| Sol Kim | Hankuk University of Foreign Studies |
| Woojin Kim | Seoul National University |
| Hangyong Lee | Hanyang University |
| Jang Woo Lee | Pusan National University |
| Kaun Y. Lee | Chung-Ang University |
| Kwangwoo Park | KAIST |
| Joonhee Rhee | Soongsil University |
| Junghoon Seon | Konkuk University |
| Jungsoon Shin | Ewha Womans University |
| Jung Bum Wee | Kyung Hee University |
| Junesuh Yi | Dongguk University |
| Jeongsun Yun | Kookmin University |
2012 CAFM Review Committee
| Chang-Soo Kim(Chair) | Yonsei University |
|---|---|
| Kee-Hong Bae | York University |
| Paul Brockman | Lehigh University |
| Jay M. Chung | Soongsil University |
| Kee H. Chung | State University of New York at Buffalo |
| Jaehoon Hahn | Yonsei University |
| Jun-Koo Kang | Nanyang Technological University |
| Sol Kim | Hankuk University of Foreign Studies |
| Woojin Kim | Seoul National University |
| Bong-Soo Lee | Florida State University |
| Kwangwoo Park | KAIST |
| K.C. John WEI | Hong Kong University of Science and Technology |
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
2. Taxi(Fares are aooroximate)
3. Hotel Limousine / Rent-a- Car
4. Subway Train
Contact
· For additional information, Please contact one of us
Myung-Jig Kim, Ph.D.,
President of the KSA (mjkim@hanyang.ac.kr),
Hanyang University
Chang-Soo Kim, Ph.D.,
Program Chair and Review Committee Chair (kime@yonsei.ac.kr),
Yonsei University
· Korean Securities Association
Yoedodong 45-2, Yongdeoung po-Gu, Seoul, Korea
Fax : 82-2-783-6359
E-mail : cafm2012@gmail.com
