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Overview

The 32nd Australasian Finance and Banking Conference (AFBC) is organised by the Institute of Global Finance and the School of Banking and Finance, UNSW Business School. The Conference will be held on 16–18 December 2019 at the Shangri-La Hotel, Sydney, Australia. 

 The AFBC is the most significant and prestigious finance conference in the Asia-Pacific region. It brings together the world's foremost leaders of thought from the financial community, providing international academics and industry professionals with the opportunity to meet and share their research and interest in finance-related fields.  

ARX sponsors the Asia-Pacific Research Exchange Paper Award to be presented at the conference. Here are the papers submitted for the award:


The Pricing of Volatility and Jump Risks in Index Option Returns

Existing studies relate the puzzling low average returns on out-of-the-money index call and put options to non-standard preferences. We argue the low option returns are primarily due to the pricing of market volatility risk.

6 November 2019 | Guanglian Hu, Yuguo Liu
 
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Bank Liquidity Creation and Technological Innovation

This paper examines the association between bank liquidity creation and technological innovation. It shows that bank liquidity creation decreases technological innovation. Innovation increases among firms with above-median asset tangibility.
6 November 2019 Sara Yasar

Competition and Product Development Innovation: The Case of Newly Launched Trademarks

This paper examines the relationship between competition and product development innovation using the U.S. trademark database. We find that greater import competition spurs corporate product innovation measured by newly launched trademarks.

6 November 2019 Qianqian Huang, Bin Yang
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Early Life Experience of the Board Chairman and the Firm’s Innovation

Early life experience may influence an executive’s psychology and behavior. The study shows that “down to the countryside” experience of the chairmen of the boards of Chinese firms increases their risk aversion and reduces innovation investments.

6 November 2019 Donghua Zhou, Min Bai, Yafeng Qin, Xianqin Liang, Yujie Zhao

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Can Fast and Slow Liquidity Providers Co-exist in Modern Equity Markets?

A study of competition between slow and fast market makers in Australian equities shows that the increased competition from high-frequency market makers reduces, but does not completely eliminate, participation of slower liquidity providers.

6 November 2019 Sean Foley, Arseny Gorbenko, Thomas Ruf

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Improving Market Timing of Time Series Momentum in the Chinese Stock Market

A study examines the profitability of time-series momentum strategies on stocks in the Chinese stock market. It shows that such active technical strategies significantly outperform, on average, buy-and-hold strategies.

6 November 2019 | Yafeng Qin, Guoyao Pan, Min Bai

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Return Dispersion and Fund Performance: Australia – The Land of Opportunity?

A study of the relation between cross-sectional stock return dispersion and active fund performance in Australia shows that Australian active funds earn positive active returns when return dispersion is moderate-to-high, but not when it is low.

8 November 2019 Ying Cao, Anna von Reibnitz, Geoffrey J. Warren

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Intra-Industry Spill-Over Effect of Chinese Bond Defaults

An investigation of the intra-industry spill-over effect of bond defaults on the price of stocks, outstanding bonds and new bond issuances in China shows a strong contagion effect in the bond market and a more limited reaction in equities.

10 November 2019  Xiaolu Hu, Haoyi (Leslie) Luo, Zijin (Vivian) Xu, Jiang Li

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The Informational Role of Analysts' Qualitative Research Outputs

The tone of an analyst report can reveal fundamental information which the analyst has not yet incorporated in their forecast of the company’s performance.This report clarifies incremental information in the report tone by analyzing sell-side and media analysts’ reports for Japanese stocks.

11 November 2019  Kotaro Miwa

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Fintechs and the Speed of Financing for SMEs

Australian small and medium enterprises (SMEs) constitute a vast and rapidly evolving sector, the largest client for the banking industry. This paper addresses SMEs’ financing, from the perspective of the traditional banking and alternative lenders.

12 November 2019 Mariya Yesseleva-Pionka

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Integrated Reporting and Earnings Management

Japanese companies that have adopted integrated reporting are more likely to report conservative earnings. This supports the view that integrated reporting promotes internal decision making with a long-term focus.

19 November 2019 Yuji Shirabe, Makoto Nakano

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Golfing for Information: Social Interactions and Economic Consequences

Social interactions of company directors at golf courses allows them to acquire information that helps realize higher profits. Such interactions help developers buy new land and sell new units at lower prices, but there are spillover effects.

19 November 2019 Sumit Agarwal, Yu Qin, Tien Foo Sing, Xiaoyu Zhang

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Trend Factor in China: A 4-Factor Model for the Chinese Stock Market

The paper proposes a 4-factor model for the Chinese stock market by adding the trend factor to Liu, Stambaugh, and Yuan’s (2019) 3-factor model. This model strongly outperforms existing factor models in explaining anomalies and mutual fund returns.

19 November 2019 Yang Liu, Guofu Zhou, Yingzi Zhu 

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Does the U.S. Market Understand China’s Political Reform?

Political events and reforms in China have a substantial effect on stock returns of Chinese firms. However, Chinese stocks listed in China and those listed in the US react differently, as investors’ perceptions of the events differ.

19 November 2019 | Seungho Lee, Thomas Walker, Aoran Zhang, and Yunfei Zhao

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Costly Information Acquisition and Investment Decisions: Quasi-Experimental Evidence

This study analyzes how information costs affect the acquisition of private information and investment decisions. Using data on Chinese mutual fund managers’ visits to geographically dispersed firm headquarters, it exploits the introduction of high-speed rail lines as a source of quasi-experimental variation in the cost of acquiring information.

19 Nov 2019 | David Xiaoyu Xu 

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Does Diversification of Share Classes Increase Firm Value?

In 2011 Korea significantly relaxed regulation of shares, giving firms greater freedom to choose which share classes they issue. How are issuers using two newly emergent classes of preferred stocks and what effect does it have on the firms’ value?

19 November 2019 | Sojung Kim, Sunwoo Hwang, Woochan Kim

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Asset Class Switching Behaviour of Australian Superannuation Funds

A study of the switching behaviour of Australian superannuation funds across four broad asset classes shows that smaller funds tend to be active during stable periods while larger funds tend to switch during volatile periods.

19 November 2019 | Emawtee Bissoondoyal-Bheenick, Robert Brooks, Hung Xuan Do 

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Predictability of ICO Success and Returns

An empirical study of 432 initial coin offerings (ICOs) identifies factors - such as investor sentiment, time horizon and correlation with other assets - that can provide predictability of an ICO’s success and its returns.

19 November 2019 | Tobias Dean, D Dulani Jayasuriya, Alastair Marsden 

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Tunneling Through Group Trademarks

An analysis of Korean companies shows that group trademarks, comprising the business group’s name and logo, can be used for the benefit of controlling families at the expense of outside minority shareholders.

19 November 2019 | Sojung Kim, Woochan Kim

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Systemic Risk and Its Determinants: Fresh Evidence from the Australian Banking Sector

Despite the introduction of deposit insurance scheme and more stringent capital requirements, systemic risk of the Australian banking sector after the global financial crisis in 2008 is typically higher than in the pre-crisis period.

20 Nov 2019 | Md Lutfur Rahman, Victor Troster, Gazi Salah Uddin, Muhammad Yahya

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Do Commissions Cause Investment Adviser Misconduct?

A study of US-based financial advisers shows that as advisers gain the opportunity to earn commissions, the probability of them engaging in misconduct increases. However, industry competition reduces the incidence of misconduct.

20 November 2019 | Tarun Patel 

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Overinvestment and Uncertainty: Evidence from Renewable and Non-Renewable Resource Firms

A study of companies in the renewable and non-renewable resource sectors examines the role of the business cycle and uncertainties in the degree of overinvestment, and the effect of overinvestment on the companies’ performance.

20 November 2019 | Denny Irawan, Tatsuyoshi Okimoto

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The Impact of Ownership Concentration and Agency Problems on Firm Value

Using data from Korean firms, the study examines the impact of ownership concentration on M&A activity and outcomes, from the point of view of the agency theory. Do the outcomes change if the acquirer chooses a cash payment method?

20 November 2019 | Seonhyeon Kim, Jin-young Jung

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An Empirical Analysis of PIPE with Majority Control

This study examines private investment in public equity (PIPE) with a majority stake post-placement. Why are certain firms and acquiring funds attracted to PIPE rather than a tender offer? Do the economic consequences differ?

20 November 2019 | Tsung-ming Yeh

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About the Author(s)

ARX Editorial Team

Director: Scott Lee
Content manager, Editor: Piotr Zembrowski, CFA
Coordinator: Natalie Yiu

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