Finance Down Under Building on the Best from the Cellars of Finance March 5-7, 2015 Department of Finance Finance Down Under
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Department of Finance Finance Down Under Building on the Best from the Cellars of Finance March 5-7, 2015 Department of Finance Finance Down Under Building on the Best from the Cellars of Finance March 5-7, 2015 Organised by Department of Finance Faculty of Business and Economics The University of Melbourne Welcome to Finance Down Under (FDU) 2015 The Department of Finance in the Faculty of Business and Economics at the University of Melbourne welcomes everyone to its annual Finance Down Under conference. Submissions again reached record levels in both quantity and quality this year, and we selected only 20 papers from among more than 250 submissions. These 20 papers from all areas in finance (Corporate Finance, Asset Pricing, Investments, and Market Microstructure) received high ratings from the 157-member program committee, and we have a nice group of academics who will provide discussions on the accepted papers. Our unique format includes a special symposium built around ‘vintage’ work in finance that has withstood the test of time and continued to inspire current research. This year, FDU will celebrate the 25 years of research influenced by the 1990 publication of three classic papers by Andy Lo and A. Craig MacKinlay: “When are contrarian profits due to stock market overreaction?”; “Data-snooping biases in tests of financial asset pricing models”; and “An econometric analysis of nonsynchronous trading”. We are honoured to have Professor A. Craig MacKinlay as a keynote speaker, as well as keynote presentations by Professors Maureen O’Hara, Lubos Pastor and Allan Timmermann. We have also selected two papers for Saturday’s special session in honour of Lo and MacKinlay’s classic papers. Finance Down Under 2015 Building on the Best from the Cellars of Finance 1 FINANCE DOWN UNDER 2015: Building on the Best from the Cellars of Finance PROGRAM SUMMARY Thursday, March 5, 2015 (Melbourne Zoo) 5:00 pm – 7:00 pm Wine Reception (Rainforest Room) Welcome Speech: John Handley, University of Melbourne Keynote Speech: Maureen O’Hara, Cornell University Friday, March 6, 2015 (Melbourne Cricket Ground) 9:30 am – 10:00 am Registration and Morning Coffee (Registration Desk) 10:00 am – 11:15 am Parallel Sessions I (Jack Ryder Rooms and Premiership Club Room) 11:15 am – 12:00 pm Keynote Speech: A. Craig MacKinlay, University of Pennsylvania 12:00 pm – 1:30 pm Lunch (Premiership Club Room) 1:30 pm – 2:45 pm Parallel Sessions II (Jack Ryder Rooms and Premiership Club Room) 2:45 pm – 3:15 pm Afternoon Tea 3:15 pm – 4:30 pm Parallel Sessions III (Jack Ryder Rooms and Premiership Club Room) 4:45 pm – 5:30 pm MCG Guided Tour 5:45 pm – 7:45 pm Wine Reception (Premiership Club Room) Keynote Speech: Allan Timmermann, University of California San Diego Saturday, March 7, 2015 (The Spot Building: Copland Theatre, Level B1) 9:00 am – 10:00 am Coffee and tea served 10:00 am – 11:15 am Special Session 11:15 am – 12:00 pm Keynote Speech: Lubos Pastor, University of Chicago 12:00 pm – 1:00 pm Lunch (Dean’s Boardroom, Level 12, The Spot Building) 1:00 pm – 10:00 pm Food and Wine Experience (Yarra Valley) Best Paper Award and Announcement 2 Finance Down Under 2015 Building on the Best from the Cellars of Finance Premiership Club Room Jack Ryder Room 1 Jack Ryder Room 2 Theoretical Asset Pricing in Overinvestment, Financial Decision Making: Parallel the Presence of Diverse, Underinvestment, Just Right Without Gambling, I Would Sessions I Disparate, Divergent Investment Not Exist – Hunter S. Decision Makers Thompson Value or Growth? Pricing of Does Short Selling Discipline Fooled By Randomness? Idiosyncratic Cash-Flow Risk Overinvestment? March 6, Financial Decision-Making with Heterogeneous Beliefs 10:00 am – Under Model Uncertainty The Impact of Covenant 11:15 am Retail Traders and the Violations on Corporate When Saving is Gambling Competitive Allocation of Investment in R&D Attention Empirical Asset Pricing with Theoretical Corporate Parallel K Factors: 1<K<3, K is an Finance: The Short and the Containing Contagion Sessions II Integer Long Run of It Growth Expectations, Counterparty Risk and the Establishment of the New Dividend Yields, and Future Is Market Timing Good for York Stock Exchange March 6, Stock Returns Shareholders? Clearinghouse 1:30 pm – 2:45 pm Corporate Policies with Tracing Out Capital Flows: Linking Cross-Sectional and Temporary and Permanent How Financially Integrated Aggregate Expected Returns Shocks Banks Respond to Natural Disasters Empirical Corporate Finance: Parallel Funds Finishing First The Long and the Short Run Market Microstructure Sessions III of It Mutual Fund Competition, Managerial Myopia and Debt Managerial Skill, and Alpha High Frequency Trading and Maturity March 6, Persistence the 2008 Short Sale Ban 3:15 pm – Do Long-Term Investors 4:30 pm The Freedom of Information Shades of Darkness: A Improve Corporate Decision Act and the Race Towards Pecking Order of Trading Making? Information Acquisition Venues Special Session: Overreacting to Nonsynchronous Data-snooping (The Spot, Basement Theatre) March 7, 10:00 am – Is Aggregate Idiosyncratic Risk Priced? Follow the Bid-Ask Bounce 11:15 am Asset Pricing with Index Investing Finance Down Under4 2015 Building on the Best from the Cellars of Finance 3 PROGRAM DETAILS FRIDAY, March 6, 2015, 10:00 am – 11:15 am Theoretical Asset Pricing in the Presence of Diverse, Disparate, Divergent Decision Makers – Premiership Club Room Session Chair: Andrea Lu, University of Melbourne Value or Growth? Pricing of Idiosyncratic Cash-Flow Risk with Heterogeneous Beliefs Michael F. Gallmeyer, University of Virginia Hogyu Jhang, Georgia Institute of Technology Hwagyun Kim, Texas A&M University Retail Traders and the Competitive Allocation of Attention Shaun W. Davies, University of Colorado, Boulder Discussants: Qi Zeng, University of Melbourne Filippo Massari, University of New South Wales Overinvestment, Underinvestment, Just Right Investment – Jack Ryder Room 1 Session Chair: Sturla Fjesme, University of Melbourne Does Short Selling Discipline Overinvestment? Eric C. Chang, University of Hong Kong Tse-Chun Lin, University of Hong Kong Xiaorong Ma, University of Hong Kong The Impact of Covenant Violations on Corporate Investment in R&D Sudheer Chava, Georgia Institute of Technology Vikram K. Nanda, Rutgers Business School Steven Chong Xiao, Rutgers Business School Discussants: Garry Twite, University of Melbourne Jordan Neyland, University of Melbourne Financial Decision Making: Without Gambling, I Would Not Exist – Hunter S. Thompson – Jack Ryder Room 2 Session Chair: André Gygax, University of Melbourne Fooled By Randomness? Financial Decision-Making Under Model Uncertainty Elise Payzan-LeNestour, University of New South Wales When Saving is Gambling J. Anthony Cookson, University of Colorado, Boulder Discussants: Joshua Shemesh, University of Melbourne Carsten Murawski, University of Melbourne 5 4 Finance Down Under 2015 Building on the Best from the Cellars of Finance FRIDAY, March 6, 2015, 1:30 pm – 2:45 pm Empirical Asset Pricing with K Factors: 1<K<3, K is an Integer – Premiership Club Room Session Chair: Joachim Inkmann, University of Melbourne Growth Expectations, Dividend Yields, and Future Stock Returns Zhi Da, University of Notre Dame Ravi Jagannathan, Northwestern University Jianfeng Shen, University of New South Wales Linking Cross-Sectional and Aggregate Expected Returns Serhiy Kozak, University of Michigan Shrihari Santosh, University of Maryland Discussants: Federico Nardari, University of Melbourne Antonio Gargano, University of Melbourne Theoretical Corporate Finance: The Short and the Long Run of It – Jack Ryder Room 1 Session Chair: Ali Akyol, University of Melbourne Is Market Timing Good for Shareholders? Ilona Babenko, Arizona State University Yuri Tserlukevich, Arizona State University Pengcheng Wan, Arizona State University Corporate Policies with Temporary and Permanent Shocks Jean-Paul Decamps, Toulouse School of Economics Sebastian Gryglewicz, Erasmus University Erwan Morellec, Swiss Finance Institute Stephane Villeneuve, Toulouse School of Economics Discussants: Neal Galpin, University of Melbourne Hae Won (Henny) Jung, University of Melbourne Containing Contagion – Jack Ryder Room 2 Session Chair: Vidhan Goyal, HKUST Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse Asaf Bernstein, Massachusetts Institute of Technology Eric N. Hughson, Claremont McKenna College Marc D. Weidenmier, Claremont McKenna College Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters Kristle R. Cortés, Federal Reserve Bank of Cleveland Philip E. Strahan, Boston College Discussants: Spencer Martin, University of Melbourne Lei Zhang, Nanyang Technological University 6 Finance Down Under 2015 Building on the Best from the Cellars of Finance 5 FRIDAY, March 6, 2015, 3:15 pm – 4:30 pm Funds Finishing First – Premiership Club Room Session Chair: Allaudeen Hameed, National University of Singapore Mutual Fund Competition, Managerial Skill, and Alpha Persistence Gerard Hoberg, University of Maryland Nitin Kumar, Indian School of Business Nagpurnanand R. Prabhala, University of Maryland The Freedom of Information Act and the Race Towards Information Acquisition Antonio Gargano, University of Melbourne Alberto G. Rossi, University of Maryland Russ R. Wermers, University of Maryland Discussants: Juan Sotes-Paladino, University of Melbourne Oliver Boguth, Arizona State University Empirical Corporate Finance: The Long and the