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VIETNAM INTERNATIONAL
CONFERENCE IN FINANCE
VICIF 2014 NEW PERSPECTIVES IN CORPORATE FINANCIAL MANAGEMENT
HANOI
VIETNAM
5-6 JUNE
2014
FOREIGN TRADE
UNIVERSITY
VIETNAM FINANCE
ASSOCIATION INTERNATIONAL
TABLE OF CONTENTS
Welcome Notes ................................................................................................................................... 1
Conference Scope ............................................................................................................................... 2
Keynote Speakers ............................................................................................................................... 3
Workshop Speaker ............................................................................................................................ 4
Conference Co-chairs ........................................................................................................................ 4
Scientific Committee ......................................................................................................................... 5
Publication Opportunities .............................................................................................................. 6
Conference Venue and Practical Information ........................................................................ 6
The Program at a Glance ................................................................................................................. 7
The Program in Detail ................................................................................................................... 11
Abstracts of Conference Papers ................................................................................................ 28
List of Participants .......................................................................................................................... 67
Conference Gala Dinner ................................................................................................................ 69
Instructions for Publication Opportunities .......................................................................... 70
1
Welcome Notes
We are very pleased to welcome you to the first Vietnam International Conference in Finance (VICIF-
2014), which is jointly organized by the Foreign Trade University and the Vietnam Finance Association
International (VFAI) in the beautiful capital of Vietnam and one of the oldest cities in South-east Asia.
This conference is also proud to have support from the Association of Chartered Certified Accountants
(ACCA), the Association of Vietnamese Scientists and Experts in France (AVSE), the IPAG Business
School (Paris, France), An Loi Co. Ltd (Raiza Express), and the Vietnam Bond Market Association
(VBMA).
While research papers from all areas of finance are welcome, the organizing committee has decided to
give a special focus on “New Perspectives in Corporate Financial Management”, which is central to the
ongoing corporate governance reforms in various Asian countries. During the conference, participants
will have opportunity to share interests, present new research results, and discuss current and
challenging issues in finance and related topics.
It is our great privilege to have two guest keynote speakers – Prof. David Ding (Massey University, New
Zealand) and Prof. Bang Dang Nguyen (University of Cambridge, United Kingdom) – two of the world’s
leading finance experts. We are grateful to them their presence and kind support.
We also thank all the submitted authors, scientific committee members, attendees, and particularly
conference participants who serve as presenters, session chairs, and discussants. Our special thanks
go to Prof. G. Geoffrey Booth (Editor-in-Chief of Journal of International Financial Markets, Institutions,
and Money), Prof. Cheng-Few Lee (Editor-in-Chief of Review of Quantitative Finance and Accounting),
and Prof. Thomas Lagoarde Segot (Editor-in-Chief of Research in International Business and Finance),
who have agreed to publish a selection of high quality papers in their journals.
Finally, we would like to thank the members of our organizing committee and supporters for their
great contributions to the preparations of this scientific event: Giang Dao, Tien Dao, Huong Pham, Nam
Vu, Xuan Vu, Dzung Bui, Thanh Thuy Nguyen, Lan Nguyen, Anh Tran, Phong Le, Kien Cao, Uyen Tran,
Hoa Nguyen, Hanh Nguyen, Hung Nguyen, Duy Tran, Duong Hoang, Anh Dao, Thao Tran, Hien Bui,
Dzung Le, Huy Nguyen, Mai Trinh, Ngoc Nguyen, Hang Nguyen, Trang Nguyen. Also, our special thanks
go to Prof. Dr. Van Chau Hoang, President of Foreign Trade University, for his outstanding support to
make this event a great success.
We wish you all an intellectually stimulating and productive conference.
On behalf of the Organizing and Scientific Committees The Conference Co-Chairs Duc Khuong Nguyen and Thu Thuy Nguyen
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Conference Scope
This 1st Vietnam International Conference in Finance (VICIF-2014), hosted by the Faculty of Business
Administration at Foreign Trade University, take place on 5-6 June 2014 in Hanoi, the impressive and
friendly capital of Vietnam and one of the oldest cities in South-East Asia. VICIF-2014 will be an
excellent opportunity for academics, doctoral students, and practitioners to share interests, present
new research results, and discuss current and challenging issues in finance and related topics. This
year’s conference gives a special focus on “New Perspectives in Corporate Financial Management”.
The conference topics include, but not limited to:
Banking regulation and financial services
Corporate finance and governance
Corporate debt issues
Emerging markets finance
Financial crises and contagion
Financial engineering and derivatives
Foreign exchange markets
Financial markets and institutions
Financial and econometric modeling
Global imbalances & sustainability
International finance
IPOs, SEOs, M&A
Market behavior and efficiency
Market integration and asset pricing
Multinational financial management
Portfolio management and optimization
Risk management
Volatility modeling
Along with the regular academic sessions, there is a Special Workshop on "Advanced Practices for
Banking Regulation and Risk Management" which is designed for practitioners.
Summary of the workshop: Our methodology is based on the observation of the real world. After an
analysis of the demands of the regulators concerning the risk measurement (guidelines of Basel and
Solvency Committees), we propose and discuss the two main steps in the process of operating risk
management inside financial institutions (Banks, Insurance companies, Brokers, Fund Managers, etc.).
The first one concerns the risk measurement (VaR, Expected Shortfall, Spectral Measure, and
Distortion Measure). The second one concerns the stress scenarios.
For each of these steps, we will highlight specific points which require special attention from
controller and risk manager. We recall the classical techniques and discuss advanced practices:
concrete examples will illustrate the presentation. The objectives are twofold: (i) to develop internal
models in order to take into account and control the risks inherent in the financial industry, and (ii) to
propose strategies to answer to the demand of the regulators.
This presentation could be a platform to discuss problems encountered by practitioners in order to
develop - in the future - specific answers and strategies.
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Keynote Speakers
Prof. David Ding, Massey University, New Zealand
Dr. David Ding is Professor of Finance and Associate Head of the School of Economics and Finance at
Massey University, Albany, New Zealand. Immediately before this appointment, he was an Associate
Professor of Finance Practice at the Singapore Management University where he was also the Director
of the Master of Applied Finance (China) program. Prior to SMU, he was the Foundation Professor of
Finance at the University of New South Wales’ Asian campus. David’s other academic experience
includes appointments as Director of the Center for Research in Financial Services and Head of the
Division of Banking and Finance at the Nanyang Technological University, Singapore. Professor Ding
has taught Business Finance, Financial Management, Corporate Finance, Investment Analysis &
Portfolio Management, and International Financial Management at both the undergraduate and
graduate levels.
Professor Ding’s areas of research are in the microstructure of financial markets, corporate
governance, international corporate finance, and investments. He has published more than 50 articles
in leading journals. In 2005, he was ranked 17th out of 778 researchers from among 170 universities
in the Asia-Pacific region by the Pacific Basin Finance Journal.
Prof. Bang Dang Nguyen, University of Cambridge, United Kingdom
Bang Dang Nguyen is a University Lecturer in Finance at University of Cambridge Judge Business
School. He graduated from HEC Paris in July 2006 with a PhD degree in finance. From January 2003 to
April 2004, he was a visiting scholar in the Finance Department at Stern School of Business, New York
University. His research interests include corporate finance, empirical finance, and corporate
governance. Bang’s research has been awarded French National Foundation for Education in
Management (FNEGE) & French Finance Association (AFFI) Best Ph.D. Dissertation Award in France in
2006, Barclays Global Investor Best Doctoral Paper Award at the European Finance Association
Meeting in 2006, Xia Yihong Best Paper Award at the China International Conference in Finance (CICF)
in 2009, and Best Corporate Finance Paper Award at the Society of Financial Studies Finance
Cavalcade (Florida, USA) in 2013. Bang’s research articles have appeared in Journal of Financial
Economics, Management Science, and Finance.
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Workshop Speaker
Prof. Dominique Guégan, University Paris 1 Panthéon–Sorbonne & IPAG Business School, France
Dominique Guégan is currently Professor of Applied Mathematics at the University Paris1 Panthéon –
Sorbonne. Her domains of expertise are non-linear econometrics modelling - Extreme value theory -
risk measures in finance – risk management - pricing theory in incomplete markets- Deterministic
dynamical systems- Non-parametric statistical tools - Contagion - Business cycle - Forecasting. She
belongs to the LaBex “Financial Regulation” (ReFi : a French laboratory supported by French Research
Ministry) , to the Finance team inside the Centre d’Economie de la Sorbonne (CES) in the University
Paris 1, to the Financial Engineering Department inside NYU (New York, USA). She is Affiliated
Professor at IPAG Business School (Paris and Nice, France).
She provides consulting on Advanced Practices for Risk Measurement and Risk Management by
executive training inside banks and insurance companies and also through different international
networks like OpRisk Europe, MarcusEvans Training Division or PRMIA.
She has already supervised 32 PhD in statistics, finance and risk management. She currently
supervised 5 theses. She has published 10 books in statistics theory, time series, finance in incomplete
markets, regulation and risk management, 110 academic papers and 30 chapters inside books. She is
regularly invited in universities around the world to give seminars or lectures for long stays in United
States of America (NY), in Japan (Tokyo), in Australia (Sydney, Brisbane, Melbourne), in Great Britain
(London, Warwick), etc.
She also participates to several international projects supported by French government, European
Commission, or International institutions. The heart of these projects concerns the evolution of the
financial system. They focus mainly on (i) the risk measurement and risk management, (ii) the
guidelines of Basel and Solvency committees, (iii) the development of long term risks and the way to
take them into account both for bankers, insurance companies and individuals, (iv) the importance of
systemic risks with the actual financial crisis and the globalization of the markets, (v) the stress testing
and scenario analysis for financial institutions. These projects link the research developed by several
academic teams inside French, European and North American Universities and business schools, and
also with financial enterprises (French or American Banks, French insurance companies and firms
concerned by the Energy).
Conference Co-chairs o Dr. Duc Khuong Nguyen, Professor of Finance and Deputy Dean for Research at IPAG Business
School, France& President of Vietnam Finance Association International (VFAI)
o Dr. Nguyen Thu Thuy, Associate Professor of Economics and Finance, and Dean of Faculty of
Business Administration at Foreign Trade University, Vietnam
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Scientific Committee o G. Geoffrey Booth, Michigan State University, USA
o Sabri Boubaker, Champagne School of Management, France
o Chau Hoang Van, Foreign Trade University, Vietnam
o Viet Anh Dang, Manchester Business School, United Kingdom
o Giang Thi Thu Dao, Foreign Trade University, Vietnam
o Abe de Jong, Erasmus University Rotterdam, the Netherlands
o Patrice Fontaine, French National Center for Scientific Research, France
o Rez Kabir, University of Twente, the Netherlands
o Van Son Lai, Laval University, Canada
o Cheng-Few Lee, Rutgers University, USA
o Thomas Lagoarde Segot, Kedge Business School, France
o Brian Lucey, Trinity College Dublin, Ireland
o Jeff Madura, Florida Atlantic University, USA
o Duong Nguyen, University of Massachusetts Dartmouth, USA
o Bang Dang Nguyen, University of Cambridge, United Kingdom
o Nhut H. Nguyen, Massey University, New Zealand
o Anh Tu Nguyen, Central Institute for Economic Management, Vietnam
o Pascal Nguyen, University of Technology Sydney, Australia
o Jean-Louis Paré, French-Vietnamese Center for Management Education (CFVG), Vietnam
o Huong Thu Pham, Foreign Trade University, Vietnam
o Huyen Pham, University of Paris 7 Diderot, France
o Hieu Van Phan, Michigan State University, USA
o Kuntara Pukthuanthong, University of Missouri, USA
o Benoît Sévi, Aix-Marseille School of Economics, France
o Anh Tran, Cass Business School, United Kingdom
o Thuy Anh Tu, Foreign Trade University, Vietnam
o Mathijs A. van Dijk, Erasmus University Rotterdam, the Netherlands
o Hoang Nam Vu, Foreign Trade University, Vietnam
o Michael C.S. Wong, City University of Hong Kong, Hong Kong
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Publication Opportunities High-quality research papers presented at the conference are eligible to be considered for publications
in Journal of International Financial Markets, Institutions and Money, Review of Quantitative Finance
and Accounting or Research in International Business and Finance. Please see more details at the end of
the document.
Conference Venue and Practical Information Foreign Trade University
91 Chua Lang Str., Dong Da Dist.,
Hanoi, Vietnam
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The Program at a Glance
Thursday, June 5, 2014
13:00 - 14:00 Registration & Coffee
14:00 - 14:30 Welcome and Opening Remarks
Welcome Notes Hall D201
Prof. Dr. Van Chau Hoang, President of Foreign Trade University
Prof. Dr. Duc Khuong Nguyen, Deputy Dean for Research, IPAG Business School & President of VFAI, Conference Co-Chair
Assoc. Prof. Dr. Thu Thuy Nguyen, Dean of Faculty of Business Administration, Foreign Trade University, Conference Co-Chair
14:30 - 15:30 Keynote Address
Developing the Vietnamese Financial Markets: Lessons from International Experience and Potential Challenges
Hall D201
Prof. David Ding, Massey University, New Zealand
15:30 - 16:00 Tea Break
16:00 - 17:30 Parallel Sessions A
A1. Corporate Governance I Room A1001 Chair: Kasper Meisner Nielsen, Hong Kong University of Science and Technology
A2. Corporate Finance I Room A1003 Chair: Thu Thuy Nguyen, Foreign Trade University, Vietnam
A3. IPOs and Merges &Acquisitions Room A1004 Chair: Jeff Ng, The Chinese University of Hong Kong, Hong Kong
A4. Financial Derivatives and Modeling 3rd Floor, VJCC Chair: Hooi Hooi Lean, Universiti Sains Malaysia, Malaysia
A5. Dynamics of Foreign Exchange Markets 3rd Floor, VJCC Chair: Salima Paul, University of Plymouth, United Kingdom
18:30 - 21:00 Gala Dinner
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Friday, June 6, 2014
08:30 - 09:00 Registration & Coffee
09:00 - 10:30 Keynote Address
Why My Directors Are A Lot Like Me? Independent Directors, Corporate Governance, and Firm Value
Hall D201
Prof. Bang Dang Nguyen, Cambridge University, United Kingdom
10:30 - 11:00 Tea Break
11:00 - 12:30 Parallel Sessions B
B1. Corporate Governance II Room A1001 Chair: Ambrus Kecskes, York University, Canada
B2. Banking Regulation and Financial Services Room A1003 Chair: Thao Nguyen, Nottingham Trent University, United Kingdom
B3. Corporate Finance II Room A1004 Chair: Ngoc Anh Tran, Indiana University Bloomington, USA
B4. International Finance 3rd Floor, VJCC Chair: Anil Mishra, University of Western Sydney, Australia
B5. Portfolio Management and Optimization 3rd Floor, VJCC Chair: C. S. Pyun, University of Memphis, USA
12:30 - 14:00 Lunch Break (Hall D201)
14:00 - 15:30 Parallel Sessions C
C1. Corporate Governance III Room A1003 Chair: Sabri Boubaker, Champagne School of Management, France
C2. Corporate Finance III Room A1004 Chair: Walid Saffar, Hong Kong Polytechnic University, Hong Kong
C3. Market Integration and Asset Pricing 3rd Floor, VJCC Chair: Gonzalo Cortazar, Pontificia Universidad Católica de Chile, Chile
C4. Financial and Econometric Modeling 3rd Floor, VJCC Chair: Yoshihiro Kitamura, Waseda University, Japan
C5. Financial Accounting and Auditing 3rd Floor, VJCC Chair: Cédric Lesage, HEC Paris, France
15:30 - 16:00 Tea Break
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16:00 - 17:30 Parallel Sessions D
D1. Corporate Governance IV Room A1003 Chair: Christophe Volonté, University of Basel, Switzerland
D2. Issues on Asian finance Room A1004 Chair: Viet Anh Dang, University of Manchester, United Kingdom
D3. Financial Markets and Institutions 3rd Floor, VJCC Chair: David Ding, Massey University, New Zealand
D4. Financial Crises and Risk Management 3rd Floor, VJCC Chair: Khaled Guesmi, IPAG Business School, France
14:00 - 17:30 Special Workshop
Advanced Practices for Banking Regulation and Risk Management
Room A1001
Prof. Dominique Guégan, University Paris 1 Panthéon–Sorbonne, France & IPAG Business School, France
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The Program in Detail
Thursday, June 5, 2014
13:00 - 14:00
Registration & Coffee
14:00 - 14:30 Welcome and Opening Remarks
Welcome notes Hall D201
Prof. Dr. Van Chau Hoang, President of Foreign Trade University
Prof. Dr. Duc Khuong Nguyen, Deputy Dean for Research, IPAG Business School, Conference
Co-Chair
Assoc. Prof. Dr. Thu Thuy Nguyen, Dean of Faculty of Business Administration, Foreign
Trade University, Conference Co-Chair
14:30 - 15:30
Keynote Address
Developing the Vietnamese Financial Markets: Lessons from International
Experience and Potential Challenges
Hall D201
Prof. David Ding, Massey University, New Zealand Summary: While Vietnam’s GDP growth is forecasted to be steadily increasing over the next few years, due partly to several bank restructuring reforms that have already been instituted by the government, it is still nowhere near that of some of its East Asian neighbors’. What can Vietnam do to hasten the process of narrowing the gap? Are there lessons from its somewhat more successful neighbors such as those of Singapore or Hong Kong? The talk shares some lessons from these economies and recommends sustainable practices that can help ensure Vietnam’s success in banking and financial reform.
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15:30 - 16:00 Coffee Break
16:00 - 17:30 Parallel Sessions (A) A1. Corporate Governance I Room A1001 Chair: Kasper Meisner Nielsen, Hong Kong University of Science and Technology
Ownership Structure, Control Contestability and Corporate Debt Maturity
Authors: Sabri Boubaker (Champagne School of Management, France), Hamdi Ben-Nasr
(King Saud University, Saudi Arabia), Wael Rouatbi (IPAG Business School, France)
Discussant: Kasper Meisner Nielsen, Hong Kong University of Science and Technology, Hong
Kong
Geographic Location, Foreign Ownership and Cost of Equity Capital: Evidence from
Privatization
Authors: Walid Saffar (The Hong Kong Polytechnic University, Hong Kong), Omrane
Guedhami (University of South Carolina, USA), Narjess Boubakri (American University of
Sharjah, United Arab Emirates)
Discussant: Sabri Boubaker, Champagne School of Management, France
When Blockholders Leave Feet First: Do Ownership and Control Affect Firm Value?
Authors: Kasper Meisner Nielsen (Hong Kong University of Science and Technology, Hong
Kong), Bang Dang Nguyen (University of Cambridge, United Kingdom)
Discussant: Walid Saffar, The Hong Kong Polytechnic University, Hong Kong
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A2. Corporate Finance I Room A1003 Chair: Thu Thuy Nguyen, Foreign Trade University, Vietnam
Corporate Diversification, Liquidity and Financial Management
Authors: Thang Nguyen (University of Leeds, United Kingdom), Charlie X. Cai (University of
Bradford, United Kingdom), Patrick McColgan (University of Strathclyde, United Kingdom)
Discussant: Dorra Najar, IPAG Business School, France
Does Board Gender Diversity Make a Difference? New Evidence from Quantile
Regression Analysis
Authors: Rey Dang (La Rochelle Business School & University of Orléans, France), Duc
Khuong Nguyen (IPAG Business School, France)
Discussant: Thang Nguyen, University of Leeds, United Kingdom
Fund Managers Fees: Estimation and Sensitivity Analysis Using Monte Carlo
Simulation
Authors: Dorra Najar (IPAG Business School, France)
Discussant: Rey Dang (La Rochelle Business School & University of Orléans, France)
A3. IPOs and Mergers &Acquisitions Room A1004 Chair: Jeff Ng, The Chinese University of Hong Kong, Hong Kong
The Chinese IPO Examination Mechanism Affected by Administrative Factors: New
Evidence from the Rejected IPO Firms
Authors: Hai Long (School of Business, Edith Cowan University, Australia)
Discussant: Viet Anh Dang, University of Manchester, United Kingdom
Mandatory IFRS Adoption, Accounting Proximity, and International Cross-Listings
Authors: Jeff Ng (The Chinese University of Hong Kong, Hong Kong), Albert Tsang (The
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Chinese University of Hong Kong, Hong Kong), Long Chen (George Mason University, USA)
Discussant: Hai Long, School of Business, Edith Cowan University, Australia
Debt Maturity and IPOs
Authors: Viet Anh Dang(University of Manchester, United Kingdom), Yomna
Abdulla(University of Manchester, United Kingdom), Arif Khurshed (University of
Manchester, United Kingdom)
Discussant: Jeff Ng, The Chinese University of Hong Kong, Hong Kong
A4. Financial Derivatives and Modeling 3rd Floor, VJCC Chair: Hooi Hooi Lean, Universiti Sains Malaysia, Malaysia
On the Intraday Relation between the VIX and its Futures
Authors: Robert Webb (University of Virginia, USA), Bart Frijns (Auckland University of
Technology, New Zealand), AlirezaTourani-Rad (Auckland University of Technology, New
Zealand)
Discussant: Hooi Hooi Lean, Universiti Sains Malaysia, Malaysia
Speculative Bubbles in Emerging Stock Markets and Macroeconomic Factors: A New
Empirical Evidence for Asia and Latin America
Authors: Thi Bich Ngoc Tran (Hue College of Economics, Vietnam)
Discussant : Gazi Salah Uddin, Linköping University, Sweden
On the Value of Commodity Futures
Authors: Hooi Hooi Lean (University Sains Malaysia, Malaysia), Duc Khuong Nguyen (IPAG
Business School, France), Gazi Salah Uddin (Linköping University, Sweden)
Discussant: Thi Bich Ngoc Tran, Hue College of Economics, Vietnam
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A5. Dynamics of Foreign Exchange Markets 3rd Floor, VJCC Chair: Salima Paul, University of Plymouth, United Kingdom
What does the Free-floating Exchange-rate Regime do to the Exchange-rate
Exposure of Developed and Developing Financial Institutions?
Authors: Apinya Klinpratoom (University of Plymouth, United Kingdom), Salima Paul
(University of Plymouth, United Kingdom)
Discussant: Yoshihiro Kitamura, Waseda University, Japan
Transition from Informal to Formal Foreign Exchange Transactions in Myanmar:
Evidence from a Survey of Export Firms
Authors: Koji Kubo (Institute of Developing Economies, Japan External Trade Organization,
Japan)
Discussant: Duc Khuong Nguyen, IPAG Business School, France
Intraday Liquidity in Foreign Exchange Markets: An Application of the Markov-
switching Model
Authors: Yoshihiro Kitamura (Waseda University, Japan)
Discussant: Koji Kubo, Institute of Developing Economies, Japan External Trade
Organization, Japan
18:30 - 21:30 Gala Dinner « Ho Tay Voyage » Potomac Cruise
Pick-up at Foreign Trade University (FTU) at 18:00;
Picking-up cars return to FTU at 20:30.
Gala Dinner with Vietnamese traditional music band is organized on the Potomac Cruise (on the West Lake),
No 2 & 4 Thuy Khue Street, Hanoi.
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Friday, June 6, 2014
08:30 - 09:00
Registration & Coffee
09:00 - 10:30 Keynote Address
Why My Directors Are A Lot Like Me? Independent Directors, Corporate Governance, and Firm Value
Hall D201
Prof. Bang Dang Nguyen, Cambridge University, United Kingdom
Summary: This paper investigates the impact of social ties on the effectiveness of boards of directors. When the chief
executive officer (CEO) and a number of directors belong to the same social networks, the CEO is less likely to be dismissed
for poor performance. The results are robust to different measures of performance and networks and consistent after
controlling for CEO ability and connected boards’ superior information. Although being ousted is costly for all CEOs—who
must then devote time to finding new employment and only succeed in 62% of cases—socially connected CEOs are more
likely to find new and better employment after a forced departure. Evidence from this paper suggests that close social ties
between board members and CEOs impact the workings of the board of directors.
10:30 - 11:00 Coffee Break
11:00 - 12:30 Parallel Sessions (B) B1. Corporate Governance II Room A1001 Chair: Ambrus Kecskes, York University, Canada
Excess Control Rights, Corporate Governance and Cash Flow Sensitivity of Cash
Authors: Sabri Boubaker (Champagne School of Management, France), Imen Derouiche
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(Champagne School of Management, France), Walid Saffar (The Hong Kong Polytechnic
University, Hong Kong)
Discussant: Phuong-Anh Nguyen, Virginia Polytechnic Institute and State University, USA
What Political Connections: Evidence from Thailand
Authors: Sunti Tirapat (Chulalongkorn University, Thailand), Subhadanai Subhapholsiri
(Chulalongkorn University, Thailand)
Discussant: Sabri Boubaker, Champagne School of Management, France
Can Firms Do Well for Shareholders by Doing Good for Stakeholders? The Importance of
Long-Term Investors
Authors: Ambrus Kecskes (York University, Canada), Sattar Mansi (Virginia Polytechnic
Institute and State University, USA), Phuong-Anh Nguyen (Virginia Polytechnic Institute and
State University, USA)
Discussant: Sunti Tirapat, Chulalongkorn University, Thailand
B2. Banking Regulation and Financial Services Room A1003 Chair: Thao Nguyen, Nottingham Trent University, United Kingdom
Transmission of Bank Liquidity Shocks in Emerging Markets
Authors: Jean-Michel Sahut (IPAG Business School, France), Mehdi Milia (University of Sfax,
Tunisia)
Discussant: Thao Nguyen, Nottingham Trent University, United Kingdom
Islamic Financing, Profit Rate of Return and Bank Characteristics: Panel Data Evidence for
Malaysia
Authors: Muhamed Zulkhibri (Islamic Development Bank, Saudi Arabia)
Discussant: Jean-Michel Sahut, IPAG Business School, France
Performance of the Banking Sector of a Developing Country: A Non-structural Model
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(Disequilibrium Approach)
Authors: Thao Nguyen (Nottingham Trent University, United Kingdom), Roman Matousek
(Sussex University, United Kingdom), Chris Stewart (Kingston University, United Kingdom)
Discussant: Muhamed Zulkhibri, Islamic Development Bank, Saudi Arabia
B3. Corporate Finance II Room A1004 Chair: Ngoc Anh Tran, Indiana University Bloomington, USA
Do Analysts' Preferences Affect Corporate Policies?
Authors: Ambrus Kecskes (Virginia Polytechnic Institute and State University, USA), François
Degeorge (University of Lugano – Swiss Finance Institute, Switzerland), François Derrien (HEC
Paris, France), Sébastien Michenaud (Rice University, USA)
Discussant: Ngoc Anh Tran, Indiana University Bloomington, USA
Offer Premiums, Target Shareholder Wealth Effects, and the Likelihood of Management
Involvement: Evidence from the 2002-2007 LBO Wave
Authors: Kien Cao (Foreign Trade University, Vietnam), Jeffrey Coy (University of Central
Florida, USA), Thu Thuy Nguyen (Foreign Trade University, Vietnam)
Discussant: Phuong-Anh Nguyen, Virginia Polytechnic Institute and State University, USA
Insider Trading and Stock Splits
Authors: Ngoc Anh Tran (Indiana University Bloomington, USA), Vinh Nguyen (Indiana
University Bloomington, USA), Richard Zeckhauser (Harvard University, USA)
Discussant: Kien Cao, Foreign Trade University, Vietnam
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B4. International Finance 3rd Floor, VJCC Chair: Anil Mishra, University of Western Sydney, Australia
Foreign Banks, Foreign Currency Loan, and International Shock Transmission: Ownership
Matters No More
Authors: Ying Xu (Australian National University, Australia), Hai Anh La (Vietnam Academy of
Social Sciences, Vietnam)
Discussant: Anil Mishra, University of Western Sydney, Australia
Management Forecasts and the Cost of Equity Capital: International Evidence
Authors: Albert Tsang (The Chinese University of Hong Kong, Hong Kong), Ying Cao(The
Chinese University of Hong Kong, Hong Kong), Yong George Yang (The Chinese University of
Hong Kong, Hong Kong), Linda A. Myers (University of Arkansas, USA)
Discussant: Hai Anh La, Vietnam Academy of Social Sciences, Vietnam
Measures of Equity Home Bias Puzzle
Authors: Anil Mishra (University of Western Sydney, Australia)
Discussant: Albert Tsang, The Chinese University of Hong Kong, Hong Kong
B5. Portfolio Management and Optimization 3rd Floor, VJCC Chair: C. S. Pyun, University of Memphis, USA
On the Time Scale Behavior of Equity-Commodity Links and Implications for Portfolio
Management
Authors: Gazi Salah Uddin (Linköping University, Sweden), Stelios Bekiros (Athens University
of Economics and Business, Greece & European University Institute, Italy), Duc Khuong
Nguyen (IPAG Business School, France), Bo Sjö (Linköping University, Sweden)
Discussant: C. S. Pyun, University of Memphis, USA
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Wine: To Drink or to Invest? A Study of Wine as a Financial Asset in a French Portfolio
Context
Authors: Thi Hong Van Hoang (Groupe Sup de Co Montpellier Business School, France),
Beysül Aytac (Groupe Sup de Co Montpellier Business School, France), Cyrille Mandou
(Groupe Sup de Co Montpellier Business School, France)
Discussant: Gazi Salah Uddin, Linköping University, Sweden
Investor Disagreement on Corporate Spin-Off Divesture: An Application of Network
Clustering
Authors: C. S. Pyun (University of Memphis, USA), Frank J. San Pietro (University of Memphis,
USA), Daewon Kim (Keimyung University, South Korea), Marko Puljic (Tulane University, USA)
Discussant: Thi Hong Van Hoang, Groupe Sup de Co Montpellier Business School, France
12:30 - 14:00 Lunch Break
Hall D201
14:00 - 15:30 Parallel Sessions (C)
C1. Corporate Governance III Room A1003 Chair: Sabri Boubaker, Champagne School of Management, France
Gender Diversity in the Boardroom and Propensity for Private-Equity Placements: Evidence
from Chinese Listed Firms
Authors: M. M. Fonseka (Xi’an Jiaotong University, China) and Gao-Liang Tian (Xi’an Jiaotong
University, China)
Discussant: Jean-Michel Sahut, IPAG Business School, France)
Corporate Governance and Firm Performance: Evidence from an Emerging Market
Authors: Rey Dang (La Rochelle Business School & University of Orléans, France), Nhu Tuyen
Le (Grenoble École de Management, France), Duc Khuong Nguyen (IPAG Business School,
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France), Manh Chien Vu (Vietnam University of Commerce, Vietnam)
Discussant: M. M. Fonseka, Xi’an Jiaotong University, China
ESG Impact on Market Performance of Firms
Authors: Jean-Michel Sahut (IPAG Business School, France), Hélène Pasquini-Descomps (HEC
Geneva, Switzerland)
Discussant: Rey Dang, La Rochelle Business School & University of Orléans, France
C2. Corporate Finance III Room A1004 Chair: Walid Saffar, Hong Kong Polytechnic University, Hong Kong
The Determinants of Dim Sum Bond Liquidity
Authors: Lei Meng (East China University of Science and Technology, China), Thanos Verousis
(University of Bath, United Kingdom)
Discussant: Kien Cao, Foreign Trade University, Vietnam
Cross-sectional PEG Ratios, Market Equity Premium, and Macroeconomic Activity
Authors: Xiaoquan Jiang (Florida International University, USA), Qiang Kang (Florida
International University, USA)
Discussant: Lei Meng, East China University of Science and Technology, China
Optimisation of Accounts Receivable: an Empirical Analysis of UK Companies
Authors: Salima Paul (Plymouth University, United Kingdom), C. Guermat (University of the
West of England, United Kingdom), R. Boden (Roehampton University, United Kingdom)
Discussant: Xiaoquan Jiang, Florida International University, USA
22
C3. Market Integration and Asset Pricing 3rd Floor, VJCC Chair: Gonzalo Cortazar, Pontificia Universidad Católica de Chile, Chile
Nonlinearities and Divergences in the European Financial Integration
Authors: Monica Raileanu-Szeles (Transilvania University of Brasov, Romania and Institute
for Economic Forecasting, Romanian Academy), Lucian Albu (Institute for Economic
Forecasting, Romanian Academy)
Discussant: Gonzalo Cortazar, Pontificia Universidad Católica de Chile, Chile
Fama–French model in Asian Markets – a Comparison with the US and European Results
Authors: Hong Tram Dang (Université de Rennes 1, France)
Discussant: Phong Le, Foreign Trade University, Vietnam
Expected Commodity Returns and Pricing Models
Authors: Gonzalo Cortazar (Pontificia Universidad Católica de Chile, Chile), Ivo Kovacevic
(Pontificia Universidad Católica de Chile, Chile), Eduardo S. Scwartz (University of California at
Los Angeles, USA)
Discussant: Monica Raileanu-Szeles, Transilvania University of Brasov, Romania and Institute
for Economic Forecasting, Romanian Academy
C4. Financial and Econometric Modeling 3rd Floor, VJCC Chair: Yoshihiro Kitamura, Waseda University, Japan
Optimal Consumption Strategy in the Form of Life Annuities
Authors: Tomas Cipra (Charles University in Prague, Czech Republic)
Discussant: Terence Fung, Beijing Normal University, China & Hong Kong Baptist University,
Hong Kong
Long-Run Determinant of the Sovereign CDS Spread in Emerging Countries
Authors: Sy-Hoa Ho (University of Paris-Nord, France)
23
Discussant: Tomas Cipra, Charles University in Prague, Czech Republic
Reexamining Sports Sentiment Hypothesis: Microeconomic Evidence from Borsa Istanbul
Authors: Terence Fung (Beijing Normal University, China & Hong Kong Baptist University,
Hong Kong), Kwok Ho Chan (Beijing Normal University, China & Hong Kong Baptist
University, Hong Kong), Ender Demir (Istanbul Medeniyet University, Turkey), Chi Keung
Marco Lau (Northumbria University, United Kingdom)
Discussant: Sy-Hoa Ho, University of Paris-Nord, France
C5. Financial Accounting and Auditing 3rd Floor, VJCC Chair: Cédric Lesage, HEC Paris, France
Disarray of Discount Rates – Evidence on Flawed Application of Goodwill Impairment
Testing
Authors: Manh Dung Tran (National Economics University, Vietnam), Cuong Duc Pham
(National Economics University, Vietnam), Kien Trung Phan (National Economics University,
Vietnam)
Discussant: Chiraz Ben Ali, IPAG Business School, France
Do Accountants Make Better Chief Financial Officers?
Authors: Udi Hoitash (Northeastern University, USA), Ahmet Kurt (Northeastern University,
USA), Rani Hoitash (Bentley University, USA)
Discussant: Manh Dung Tran, National Economics University, Vietnam
Auditor Choice, Audit Fees and Principal-principal Conflict
Authors: Chiraz Ben Ali (IPAG Business School, France), Cédric Lesage (HEC Paris, France)
Discussant: Udi Hoitash, Northeastern University, USA
15:30 - 16:00 Coffee Break
24
16:00 - 17:30 Parallel Sessions (D)
D1. Corporate Governance IV Room A1003 Chair: Christophe Volonté, University of Basel, Switzerland
Family Ownership, Dividend, and Earnings Management
Authors: Harminder Singh (Deakin University, Australia), Evy Mulyani (Ministry of Finance of
the Republic of Indonesia)
Discussant: Kan Honorine Awounou-N'dri, ISG International Business School, France
Group Affiliation and Earnings Management of Asian IPO Issuers
Authors: Roy Kouwenberg (Mahidol University, Thailand & Erasmus University Rotterdam,
The Netherlands), Pipat Thontirawong (Mahidol University, Thailand)
Discussant: Christophe Volonté, University of Basel, Switzerland
Why Do European Venture Capital Companies Syndicate? Some New Insights
Authors: Kan Honorine Awounou-N'dri (ISG International Business School, France), Philippe
Desbrieres (University of Burgundy, France)
Discussant: Harminder Singh, Deakin University, Australia
Corporate Governance of Privately-controlled Public Firms and Firm Performance
Authors: Christophe Volonté (University of Basel, Switzerland)
Discussant: Roy Kouwenberg, Mahidol University, Thailand & Erasmus University Rotterdam,
The Netherlands
D2. Issues on Asian finance Room A1004 Chair: Viet Anh Dang, University of Manchester, United Kingdom
External Financing Choice: the Case of Vietnamese Listed Companies
Authors: Hiep Nguyen (Foreign Trade University HCM City Campus, Vietnam), Nguyen Thu
25
Hang (Foreign Trade University HCM City Campus, Vietnam)
Discussant: Ho Hai, Foreign Trade University, Vietnam
Leverage and Investment: A View of Prominent Role of State Ownership
Authors: Duc Nam Phung (University of Economics HCM City, Vietnam), Thi Phuong Thao
Hoang (University of Economics HCM City, Vietnam), Thi Phuong Vy (University of Economics
HCM City, Vietnam)
Discussant: Hiep Nguyen, Foreign Trade University HCM City Campus, Vietnam
The New Evidence on Wealth Effects of Cross-border Acquisitions in Emerging Markets
Authors: Hai Ho (Foreign Trade University, Vietnam),Phong Le (Foreign Trade University,
Vietnam)
Discussant: Duc Nam Phung, University of Economics HCM City, Vietnam
D3. Financial Markets and Institutions 3rd Floor, VJCC Chair: David Ding, Massey University, New Zealand
The Transmission Mechanism of Monetary Policy in Vietnam
Authors: Trung Tai Truong (University of Economics HCM City, Vietnam), Khac Quoc Bao
Nguyen (University of Economics HCM City, Vietnam),
Discussant: Abdoul Karim Cisse, ISG International Business School and EUROFIDAI, France
Can Foreigners Improve the Efficiency of Emerging Market Banks? Evidence from the
Vietnamese Strategic Partner Program
Authors: Giang Phung (ESCP Europe, France), Michael Tröge (ESCP Europe, France)
Discussant: Thi Phuong Thao Hoang, University of Economics HCM City, Vietnam
Why Do Companies Transfer The Trading Compartment of Their Common Stocks Authors: Abdoul Karim Cisse (ISG International Business School and EUROFIDAI, France), Patrice Fontaine (EUROFIDAI, CNRS and CERAG, Grenoble University) Discussant: Khac Quoc Bao Nguyen, University of Economics HCM City, Vietnam
26
The Impact of State Regulations on Vietnam Gold Market: A Pragmatic Review
Authors: Thi Phuong Thao Hoang (University of Economics HCM City, Vietnam), Dat Chi Le
(University of Economics HCM City, Vietnam), Ngoc Tho Tran (University of Economics HCM
City, Vietnam)
Discussant: Giang Phung, ESCP Europe, France
D4. Financial Crises and Risk Management 3rd Floor, VJCC Chair: Khaled Guesmi, IPAG Business School, France
Commonality in Liquidity-Evidence from Taiwan Stock Market in during Euro Debt Crisis
Authors: Van Hai Hoang (University of Danang, Campus in Kon Tum, Vietnam), Pham Thi Mai
Quyen (University of Danang, Campus in Kon Tum, Vietnam), Nguyen Truong Son (University
of Danang, Vietnam)
Discussant: Khaled Guesmi, IPAG Business School, France
Is Gold a Hedge or an Indicator of Inflation? New Evidence from a Nonlinear ARDL
Approach
Authors: Thi Hong Van Hoang (Montpellier Business School, France), Amine Lahiani
(University of Orléans and ESC Rennes Business School, France), Duc Khuong Nguyen (IPAG
Business School, France)
Discussant: Van Hai Hoang, University of Danang, Campus in Kon Tum, Vietnam
Financial Crises and Contagion Effects between the US and OECD Equity Markets
Authors: Ilyes Abid (University of Paris Ouest La Défense, France), Khaled Guesmi (IPAG
Business School, France), Olfa Kaabia (University of Paris Ouest La Défense, France), Duc
Khuong Nguyen (IPAG Business School, France)
Discussant: Thi Hong Van Hoang, Groupe Sup de Co Montpellier Business School and
Montpellier Research in Management, France
27
14:00 - 17:30 Special Workshop
Advanced Practices for Banking Regulation and Risk Management Room A1001 Prof. Dominique Guégan, University Paris 1 Panthéon–Sorbonne, France & IPAG Business
School, France
14:00 - 15:30 General Framework for Regulatory Approach
15:30 - 16:00 Coffee Break
16:00 - 17:30 Methodology for Risk Management and Stress Test
28
29
Abstracts of Conference Papers
AA A1. Corporate Governance I
OWNERSHIP STRUCTURE, CONTROL CONTESTABILITY AND CORPORATE DEBT
MATURITY
Hamdi Ben-Nasr College of Business Administration, King Saud University, KSA
Sabri Boubaker Champagne School of Management, Troyes, France; IRG, Université de Paris Est, Créteil,
France Wael Rouatbi
IPAG Lab, IPAG Business School, France; IRG, Université Paris Est, Créteil, France Abstract In this paper, we examine the effect of multiple large shareholders (MLS) on corporate
debt maturity. Using a sample of 5,090 firm–year observations covering 585 French
listed firms from 1998 to 2010, we find strong evidence suggesting that firms with MLS
tend to have shorter debt maturity. The results are robust to a number of checks,
including addressing endogeneity concerns and using alternative sample compositions
and alternative regression frameworks. We also report evidence suggesting that MLS
strengthen the impact of board size and board structure strengthen the impact of MLS
on debt maturity. Furthermore, we find evidence suggesting that board independence
and MLS act as substitutes in determining debt maturity.
GEOGRAPHIC LOCATION, FOREIGN OWNERSHIP AND COST OF EQUITY CAPITAL:
EVIDENCE FROM PRIVATIZATION
Narjess Boubakri American University of Sharjah, UAE
Omrane Guedhami Moore School of Business, University of South Carolina, USA
Walid Saffar School of Accounting and Finance, The Hong Kong Polytechnic University
Abstract
Motivated by recent research on the link between geographic proximity and
information risk, we examine the impact of geographic location on ownership structure
and cost of equity capital using a large sample of newly privatized firms from 47
countries. We find that that the greater the distance of the firm from financial centers,
the lower the foreign investors' participation and ownership. This relation does not
hold when we examine other types of domestic owners, suggesting that foreign
investors have information disadvantage relative to local investors. We also find that
strong country-level institutions governing investor protection mitigate the
information disadvantage of foreign investors. In additional analyses, we find that
30
investors require higher cost of equity capital for distant privatized firms, especially in
countries with weak country governance institutions. We conclude that geographic
location is an important determinant of post-privatization ownership structure and
cost of equity capital.
WHEN BLOCKHOLDERS LEAVE FEET FIRST: DO OWNERSHIP AND CONTROL
AFFECT FIRM VALUE?
Bang Dang Nguyen University of Cambridge, [email protected]
Kasper Meisner Nielsen Hong Kong University of Science and Technology, [email protected]
Abstract We identify the effect of ownership and control on firm value using exogenous stock
price reactions to the sudden death of individual blockholders, while controlling for
confounding effects on firm value due to the value of the deceased executive, increased
liquidity, and anticipated takeover events. Stock price reactions range from -5% to 4%
for inside blockholders and from 0% to -2% for outside blockholders as ownership
increases. Ownership is positively (negatively) and significantly related to stock price
reactions for managerial (outside) block ownership, respectively. The beneficial effect
of inside blockholders disappears while the beneficial effect of outside blockholders
increases when ownership increases.
31
A2. Corporate Finance I
CORPORATE DIVERSIFICATION, LIQUIDITY AND FINANCIAL MANAGEMENT
Thang Nguyen PhD student in Finance, Casif, Leeds University Business School, Leeds, UK
Lecturer in finance, School of Banking and Finance, National Economics University, Hanoi, Vietnam
Charlie X. Cai Prof. in Accounting and Finance, Casif, Leeds University Business School, Leeds, UK
Patrick McColgan Senior lecturer in Accounting and Finance, Strathclyde Business School, University of
Strathclyde, UK
Abstract
We extend recently documented evidence that diversified firms hold significantly less
cash than specialized firms to consider how firms adjust their cash flows to achieve
their cash balance. We find that diversified firms have higher free cash flows, as a result
of equal operating cash flows and lower investment, and lower financing cash flows in
comparison to specialized firms. Diversified firms save less cash by placing less reliance
on external financing, particularly by issuing less debt and equity, and distributing
higher dividends. The results from our research importantly show that lower
investment expenditure, in addition to greater coordination of cash flows and
investments, is a factor that contributes to reduced demand for saving cash in
diversified firms.
DOES BOARD GENDER DIVERSITY MAKE A DIFFERENCE? NEW EVIDENCE FROM
QUANTILE REGRESSION ANALYSIS
Rey Dang La Rochelle Business School, France
University of Orléans – LEO (Laboratoire d’Économie d’Orléans), France Duc Khuong Nguyen
IPAG Business School, France Abstract The under-representation of female directors in the boardroom where corporate
strategic decisions are made has recently become not only an ethical business case but
also a public pressure to improve this gender imbalance. While there is some practical
evidence to suggest that gender-diverse corporate boards have a positive impact on
performance, the results from elaborate academic research are not always conclusive
and vary across samples and countries. This article examines the relationship between
board gender diversity and firm performance from a dynamic perspective through
using quantile regression. This method allows us to capture the potential impact of
female representation at different points of the distributions of the performance
measure. Using a panel of French listed companies (SBF 120) over the period 2009-
2011, we uncover that the impact of board gender diversity on firm performance is not
alike over different points of the conditional distribution, and that this impact depends
on the measure of performance under consideration. Typically, board gender diversity
32
affects negatively the Tobin’s Q and positively the return on asset when these variables
are high and low, respectively. Finally, we show that using traditional OLS and fixed -
random-effect estimations may mask the true effect of board gender diversity.
FUND MANAGERS FEES: ESTIMATION AND SENSITIVITY ANALYSIS USING MONTE
CARLO SIMULATION
Dorra Najar IPAG Business School, France
Abstract Fund managers compensation is a particular problem area in terms of its tax treatment
in the United States and some European countries. This problem originates in the
difficulty of defining these particular forms of incentive and therefore their estimated
fair value. Based on the literature, carried interest, which is one of the most common
profit-sharing arrangements observed in practice, may be considered as an option
characterized by several constraints. The use of classical option-pricing models is
inappropriate to take into account all these constraints. In this paper, we build a model
to estimate the expected revenue to managers as a function of their investor contracts
and we test how this estimated revenue varies across the characteristics of funds. We
used the Monte Carlo simulation model and we introduced the non-marketability
discount of the carried interest in order to calculate its fair value. A sensitivity analysis
is performed in order to show the change in the fair value of carried interest after the
change of each criterion. We find sharp differences between venture capital (VC) and
buyout (BO) funds and between “deal by deal funds” and “whole funds”.
33
A3. IPOs and Mergers & Acquisitions
THE CHINESE IPO EXAMINATION MECHANISM AFFECTED BY ADMINISTRATIVE FACTORS: NEW EVIDENCE FROM THE REJECTED IPO FIRMS
Hai Long School of Business, Edith Cowan University, 100 Joondalup Drive, Joondalup WA 6027
Australia Abstract
Administrative factors permeate the Chinese financial market. Using up-to-date data
from 520 listed firms and 140 rejected IPO applicants in the Chinese stock market over
2006 and 2012, this study based on prior analytical framework (Bhattacharya et al.,
2010; Hearn, 2013) includes some IPO-related administrative factors into its
multivariate regression model. It aims to examine, to some degree, these determinants
affect the Chinese IPO examination mechanism. It suggests that the IPO probability is
determined by the selected administrative factors that are ultimately decided by the
authority, once the IPO applicants satisfy the minimum financial requirements. Those
applicants with strong government background are more likely to pass the IPO
examination.
MANDATORY IFRS ADOPTION, ACCOUNTING PROXIMITY, AND INTERNATIONAL
CROSS-LISTINGS
Long Chen School of Management, George Mason University
Jeff Ng School of Accountancy, The Chinese University of Hong Kong,
Albert Tsang School of Accountancy, The Chinese University of Hong Kong
Abstract Using data of 2,728 firms from 40 home countries with cross-listings in 47 countries,
we examine whether mandatory International Financial Reporting Standards (IFRS)
adoption facilitates international cross-listings. Our results show that following IFRS
adoption, firms from IFRS-mandating countries have higher cross-listing propensity
and intensity relative to firms from non-IFRS-mandating countries. In addition, firms
from IFRS-mandating countries are also more likely to cross-list in countries with a
higher level of disclosure requirements, better investor protection, or more developed
capital markets following IFRS-mandate. Results also show that our findings are more
pronounced for firms domiciled in IFRS-mandating countries characterized by larger
IFRS and GAAP difference, or countries with a relatively less developed capital market.
Finally, we find that changes in cross-listing activities post-IFRS-mandate are
associated with higher changes in institutional ownership. Taken together, our findings
are consistent with the notion that mandatory IFRS adoption facilitates firms' cross-
listing activities.
34
DEBT MATURITY AND IPOS
Yomna Abdulla Manchester Business School, University of Manchester, United Kingdom
Viet Anh Dang Manchester Business School, University of Manchester, United Kingdom
Arif Khurshed Manchester Business School, University of Manchester, United Kingdom
Abstract
We investigate the effect of an initial public offering (IPO) on the evolution of debt
maturity by tracking a sample of US firms that did an IPO over the period 1998−2011.
Our findings reveal a significant and permanent drop in short-term debt maturity post-
IPO. In the first three years after the IPO, firms reduce their short-term debt ratio by
nearly 11%, which represents a 30% decrease compared to the pre-IPO level. However,
the decline in short-term debt maturity is only relevant for small and high-growth
firms, suggesting that firms use less short-term debt post-IPO because of reduced
asymmetric information. Finally, the decrease in the ratio of short-term debt post-IPO
is most pronounced during the recent financial crisis.
35
A4. Financial Derivatives and Modeling
ON THE ENTRADAY RELATION BETWEEN THE VIX AND ITS FUTUTRES
Bart Frijns Auckland University of Technology (AUT), New Zealand
Alireza Tourani-Rad Auckland University of Technology (AUT), New Zealand
Robert Webb
University of Virginia, McIntire School of Commerce, United States Abstract
We study the intraday dynamics of the VIX and VXF for the period January 2, 2008 to
December 31, 2012. Applying a Vector Auto regression (VAR) model on daily data, we
observe some evidence of causality from the VXF to the VIX. However, estimating a VAR
using our ultra-high frequency data, we find strong evidence for bi-directional Granger
causality between the VIX and the VXF. Overall, this effect appears to be stronger from
the VXF to the VIX than the other way around. Impulse response functions and variance
decompositions analysis further confirm the dominance of the VXF. Lastly, we show
that the causality from the VXF to the VIX has been increasing over our sample period,
whereas the reverse causality has been decreasing. This finding suggests that the VIX
futures have become increasingly more important in the pricing of volatility. We
further document that the VIX futures dominate the VIX more on days with negative
returns, and on days with high values of the VIX, suggesting that on those days
investors use VIX futures to hedge their positions rather than trading in the S&P 500
index options.
SPECTACULATIVE BUBBLES IN EMERGING STOCK MARKETS AND
MACROECONOMIC FACTORS: A NEW EMPIRICAL EVIDENCE FOR ASIA AND LATIN
AMERICA
Tran Thi Bich Ngoc Hue College of Economics, Vietnam
Abstract
The purpose of this study is firstly to test for the existence of periodically collapsing
stock price bubbles in Asian and Latin American emerging stock markets for the period
1990-2009. We use the new non-cointegration test developed by Taylor & Peel (1998)
with the Residuals-Augmented Least Squares (RALS) method of Im (1996) and Im &
Schmidt (2008) for monthly data of price indexes and dividends. The results show that
the hypothesis of formation of bubbles cannot be rejected for all of the studied
emerging stock markets. This evidence implies that the co-integration relation between
the prices and the dividends is not always supported, indicating that the stock prices do
not reflect their fundamental values in the stock emerging markets. We then link
speculative bubbles with macroeconomic and financial factors, which is an interesting
contribution of this study. The degree of equity market openness is found to be the key
factor, positively related to the formation of speculative bubbles in these markets.
36
ON THE VALUE OF COMMODITY FUTURES
Hooi Hooi Lean School of Social Sciences at Universiti Sains Malaysia, Malaysia
Duc Khuong Nguyen IPAG Lab, IPAG Business School, France
Gazi Salah Uddin Economics Division, IEI, Linköping University, Sweden
Abstract
The successive financial crises over the last three decades have incited investors to
seek diversification benefits from new asset classes that are made tradable through the
growing financialization. Energy, metal and food commodities are among the most
attractive assets in terms of diversifying potential as they offer higher returns with low
correlation with stocks. This article attempts to provide insights about the role of
commodity futures in portfolio optimization and risk management. To do so, we first
use a DCC-EGARCH model to examine the conditional mean and volatility dynamics of
equity and commodity futures markets through the implementation of a bivariate DCC-
EGARCH model that allows not only for time-varying comovements but also
asymmetric volatility reactions to news. We then build different equity-commodity
futures portfolios by varying the weights of commodity futures and investigate whether
the diversified portfolios perform better than the 100% stock portfolios. Our results
from a robust stochastic dominance analysis indicate that the inclusion of commodity
futures does not always improve the risk-return performance of the diversified
portfolios, except for gold under several specific portfolio designs.
37
A5. Dynamics of Foreign Exchange Markets
WHAT DOES THE FREE-FLOATING EXCHANGE-RATE REGIME DO TO THE EXCHANGE-RATE EXPOSURE OF DEVELOPED AND DEVELOPING FINANCIAL
INSTITUTIONS?
Apinya Klinpratooma Plymouth Business School, University of Plymouth, United Kingdom
Salima Paulb Plymouth Business School, University of Plymouth, United Kingdom
Abstract
This study examines the exchange-rate exposure of financial institutions in the UK and
Thailand as representative of developed and developing countries respectively, for the
period under the free-floating regime that followed the 1997 Asian financial crisis.
Using daily and monthly frequencies, the results show that Thai firms experienced
significant positive exposure effects, the opposite to the experience of UK firms. The
time-lag of the exposure is also presented. The level of Thai firms’ exposure is
significantly related to the dividend payout ratio and to the return on assets whereas it
is the price to book ratio and the long term debt to total debt ratio that both have
significant effects on UK firms’ exposure.
TRANSITION FROM INFORMAL TO FORMAL FOREIGN EXCHANGE TRANSACTIONS
IN MYANMAR: EVIDENCE FROM A SURVEY OF EXPORT FIRMS
Koji Kubo Institute of Developing Economies, Japan External Trade Organization, Japan
Abstract
As a legacy of the restrictive foreign exchange and trade regulations, Myanmar has a
prevalent informal foreign exchange market and informal international funds transfer
system. A questionnaire survey of private export firms indicates that those taking loans
from banks are more likely to use both the formal and informal channels, while others
use only the informal channels. Good relationships with banks and preferential
treatment would encourage firms to sell export earnings in the formal channel of the
banks. For transition from informal to formal transactions, policy options for the
government include providing firms with pecuniary incentives for such transition by
increasing the costs of informal transactions through taxation.
38
INTRADAY LIQUIDITY IN FOREIGN EXCHANGE MARKETS: AN APPLICATION OF THE MARKOV-SWITCHING MODEL
Yoshihiro Kitamura
Faculty of Social Sciences, Waseda University, Japan Abstract
By adopting the Markov-switching model to 5-minute interval data, I estimate the
intraday liquidity measures in foreign exchange markets: price impact, return reversal,
and two-state variance. By comparing my results with the relative long-term liquidity
measures of previous studies, I estimate the intraday regime-dependent liquidity
measures. I expect these intraday measures to contribute to microstructure research in
foreign exchange markets. I also examine the relationship between market inefficiency
and the estimated liquidity measures and find positive correlations. This result
indicates that a liquid market enhances the speed of price discovery and therefore the
level of market efficiency.
39
B1. Corporate Governance II
EXCESS CONTROL RIGHTS, CORPORATE GOVERNANCE AND CASH FLOW SENSITIVITY OF CASH
Sabri Boubaker
Champagne School of Management (ESC Troyes), France Imen Derouiche
Champagne School of Management (ESC Troyes), France Walid Saffar
School of Accounting and Finance, Hong Kong Polytechnic University, Hong Kong Abstract
This study investigates the effects of excess control rights of the ultimate controlling
shareholder on the management of corporate cash holdings. The results show that
firms are more inclined to build up large cash reserves when the control rights of the
ultimate controlling shareholder exceed its cash-flow ownership. Additional analysis
suggests that cash flow sensitivity of cash −when corporate insiders have larger excess
control rights− originates from severe agency problems that occur in these firms rather
than from the financial constraints they face or from a precautionary savings behavior.
These findings provide empirical support to the argument that firms experiencing
excess control rights accumulate cash to foster the entrenchment of their controlling
shareholders and to facilitate their extraction of private benefits using the cash at their
free disposal.
WHAT POLITICAL CONNECTIONS: EVIDENCE FROM THAILAND
Subhadanai Subhapholsiri Chulalongkorn Business School, Chulalongkorn University, Thailand
Sunti Tirapat Chulalongkorn Business School, Chulalongkorn University, Thailand
Abstract
This study investigates the effects of political connections on the performances of the
listed firms on the Stock Exchange of Thailand during 1999-2008, the period that
includes recent political instability. Using various definitions of political connections
based on how the connection is established (ownership or board of director), to which
political status (cabinet or representative), and how strong is the tie (by blood, by
marriage, or by friendship and business associates), we examine whether such
connections add value to a firm. The results suggest that there are positive associations
between political connections with the cabinet members and market performance after
controlling for the corporate governance and opacity. The evidence is less conclusive
with operating performance. It is also shown that the benefits from the connections are
not solely from the connections by direct tie with family (by blood) but also from the
connections with their spouses (by marriage), including their friends and
conglomerates. Such effects of connections are more pronounced during the PM
Thaksin’s regime. In addition we investigate market reactions on the politically
connected firms from the recent political power changes in Thailand. During the 2006
40
coup, market reacts negatively for firms connected with incumbent cabinet (the
overthrown government) but positively for firms connected to opposition parties.
Subsequently, during the 2007 national election market reacts positively for firms
connected to the incoming cabinet (more or less the same political group that has fallen
from power) but negatively for firms that connected to the incoming opposition parties.
Overall our results confirm that political connections are valuable to a corporation in
countries with a weak legal system and investor protection.
CAN FIRMS DO WELL FOR SHAREHOLDERS BY DOING GOOD FOR STAKEHOLDERS? THE IMPORTANCE OF LONG-TERM INVESTORS
Aambrus Kecskés
Schulich School of Business, York University, Canada Sattar Mansi
Virginia Polytechnic Institute and State University, United States Phuong-Anh Nguyen
Virginia Polytechnic Institute and State University, United States Abstract
The effect of corporate investment in stakeholder capital on shareholder value is a
matter of great debate. We argue that long-term investors are natural monitors that can
ensure that managers choose stakeholder capital investment to maximize shareholder
value. We find that firms with longer investor horizons invest more in stakeholder
capital, and such firms have higher stock valuations, which are not a result of higher
cash flow but rather of lower cash flow risk. Several recent papers show empirically
that indexing by investors has a causal effect on many corporate outcomes:
profitability; investment, financing, and payout policies; and even innovation. We use
the same identification strategy to establish causality of our results. Our findings
suggest that firms can do well for shareholders by doing good for other stakeholders as
long as managers are properly monitored by long-term investors.
41
B2. Banking Regulation and Financial Services
TRANSMISSION OF BANK LIQUIDITY SHOCKS IN EMERGING MARKETS
Mehdi Milia MODESFI - University of Sfax, Tunisia
Jean-Michel Sahut
IPAG Business School, France Abstract
This paper focuses on the transmission of bank liquidity shocks in loan and deposit in
emerging markets. First, we attempt to identify the factors that affect the credit
strategy of foreign banks in emerging countries. Second, we test whether depositors do
exert market discipline on foreign subsidiaries. Combining between financial variables
of subsidiaries, their parent banks, and macroeconomic variables of host and home
countries, we investigate the factors that are likely to impact the depositors’ behaviour.
Our empirical approach is based on a Partial Least Squares-Path model, through which
we can identify the causal relationships between the various groups of variables. Our
results show that foreign bank lending is determined by the specific financial variables
of the parent bank as well as macroeconomic variables of the country of origin. This
means that the foreign subsidiary’s strategy credit is centrally managed at the parent
bank and that subsidiaries’ credit supply depends primarily on the financial situation of
its parent bank. Finally, we evidence market discipline as applied to foreign
subsidiaries in emerging countries. We demonstrate that market discipline is strongly
affected by the specific characteristics of the subsidiary.
ISLAMIC FINANCING, PROFIT RATE OF RETURN AND BANK CHARACTERISTICS:
PANEL DATA EVIDENCE FOR MALAYSIA
Muhamed Zulkhibri Economic Research and Policy Dept., Islamic Development Bank, Saudi Arabia
Abstract
In Islamic banking system, banks are suppliers of capital and not lenders as is
stipulated in a traditional banking system. To date, Islamic banks have becoming the
major source of capital in Malaysia and the lending behaviour is an important policy
variable. In this context, the paper examines the relationship between bank financing,
bank financing rate and bank-specific characteristics in a dual banking system. The
evidence suggests that the bank-specific characteristics are important for Islamic
banking financing behaviour. The Islamic banks financing behaviour is consistent with
behaviour of conventional banks that the bank lending operates via banks depending
on the level of size, liquidity and capital. The findings also suggest that there is no
significant difference between Islamic bank financing and conventional bank lending
behaviour with respect to interest rates.
42
PERFORMANCE OF THE BANKING SECTOR OF A DEVELOPING COUNTRY: A NON-STRUCTURAL MODEL (DISEQUILIBRIUM APPROACH)
Roman Matousek
Sussex University, United Kingdom Thao Ngoc Nguyen
Nottingham Trent University, United Kingdom Chris Stewart
Kingston University, United Kingdom
Abstract
This paper examines the performance of the Vietnamese banking system from 1999 to
2009 using the non-structural model (Panzar-Rosse) model – disequilibrium approach.
We consider a more comprehensive range of specifications, in terms of a greater
number of environmental covariates and different dependent variables, than in
previous applications of this model. Further, this is the first study that uses lagged input
prices (to avoid endogeneity) and excludes assets (to avoid specification bias) in such a
study of the Vietnamese banking system. Our favoured non-structural model
(disequilibrium approach with lagged input prices and without assets) shows that the
Vietnamese banking system operates in monopoly.
43
B3. Corporate Finance II
DO ANALYSTS’ PREFERENCES AFFECT CORPORATE POLICIES?
François Degeorge University of Lugano – Swiss Finance Institute, Switzerland
François Derrien HEC Paris, France
Aambrus Kecskés Virginia Polytechnic Institute and State University, United States
Sébastien Michenaud
Rice University, United States Abstract
Equity research analysts tend to cover firms about which they have favorable views.
We exploit this tendency to infer analysts’ preferences for corporate policies from their
coverage decisions. We then use exogenous analyst disappearances to examine the
effect of these preferences on corporate policies. After an analyst disappears, firms
change their policies in the direction opposite to the analyst’s preferences. The
influence of analyst preferences on policies is stronger for firms for which analyst
coverage is likely to matter more: young firms, and firms with higher market
valuations. Our results suggest that firms choose their corporate policies, in part, to be
consistent with the preferences of their analysts.
OFFER PREMIUMS, TARGET SHAREHOLDER WEALTH EFFECTS, AND THE LIKELIHOOD OF MANAGEMENT INVOLVEMENT: EVIDENCE FROM THE 2002-2007
LBO WAVE
Jeffrey Coy University of Central Florida, United States
Kien Cao Foreign Trade University, Vietnam
Thuy Thu Nguyen
Foreign Trade University, Vietnam
Abstract
This study analyzes the determinants of the offer premium, the market's reaction to the
target, and the likelihood of management's involvement in LBO transactions in the most
recent merger wave. There is strong evidence to suggest that market volatility plays an
important role in determining all three due to its effect on the market value of the firm.
In addition, management's involvement has a strong positive effect on offer premiums.
The agency cost hypothesis is also supported in all three analyses and there is evidence
of an increased financial distress cost motive with respect to the offer premium and the
market reaction to the announcement.
44
INSIDER TRADING AND STOCK SPLITS
Vinh Nguyen
Indiana University Bloomington, United States
Anh Tran
Indiana University Bloomington, United States
Richard Zeckhauser
Harvard University, United States
Abstract
Stock splits have long presented a financial puzzle as to why they are undertaken and
why they are associated with abnormal returns. Existing explanations point to efforts
to increase the liquidity of a firm's stocks and to signal its prospects. However,
abnormal returns, particularly before a split's announcement date, should raise strong
suspicions of insider trading. We examined the 718 split events in the emerging stock
market of Vietnam from 2007 through 2011. We found evidence consistent with illegal
insider trading, particularly in firms that are vulnerable to insider manipulation and,
therefore, more likely to split their stocks. When those firms' stocks did split, they
provided significantly higher short-term returns than did other stocks. Tellingly, the
abnormal returns on those stocks prior to the split announcements were extremely
high, higher than their abnormal post-announcement returns. This is precisely the
pattern we would expect if insiders were trading on their knowledge. Illegal insider
trading in contexts where it is possible to escape penalty, can provide a new
explanation for stock splits and their abnormal returns.
45
B4. International Finance
FOREIGN BANKS, FOREIGN CURRENCY LOAN, AND INTERNATIONAL SHOCK TRANSMISSION: OWNERSHIP MATTERS NO MORE
Ying Xu
Australian National University, Australia Hai Anh La
Vietnam Academy of Social Sciences, Vietnam Abstract
Cross-border bank lending spread financial shocks across national borders. Three
channels are identified in the literature as possible shock transmission mechanisms.
This paper studies the recent 2007-2009 Global Financial Crisis and its transmission to
emerging Asia economies. It highlights two channels of shock transmission: bank
ownership and liquidity. We find that the bank ownership does not play a substantial
role in the transmitting process. It is the liquidity channel measured by lending in
foreign currency that is mainly responsible for the GFC transmission to the loan market
in Asia, albeit the effect on the credit market is likely to be small. Additionally, our
results suggest that the contraction of foreign currency liquidity is partially substituted
by domestic currency lending. However, the substitution occurs only within banks and
not between banks owing to high switching costs. We employ a unique dataset on new
loan issuance to Asian borrowers and apply a recently developed method (Khwaja and
Mian 2008) to address the identification problem in examining bank lending and shock
transmission. Our results are robust according to a number of sensitivity analyses.
MANAGEMENT FORECASTS AND THE COST OF EQUITY CAPITAL: INTERNATIONAL
EVIDENCE
Ying Cao School of Accountancy, Chinese University of Hong Kong, Hong Kong
Linda A. Myers University of Arkansas, United States
Albert Tsang Chinese University of Hong Kong, Hong Kong
Yong George Yang Chinese University of Hong Kong, Hong Kong
Abstract
In this study, we use a hand collected database of management forecasts for firms from
31 countries from 2004 through 2009 to examine the effect of management forecasts,
which proxy for voluntary disclosure, on the cost of equity capital. We find that, on
average, firms from around the world enjoy a lower cost of equity capital when they
make management forecasts. We also find that the effect of management forecasts on
the cost of equity capital is greater for firms from countries with stronger investor
protection and better information dissemination, but is weaker for those from
countries with higher mandatory disclosure requirements. Further analysis reveals
that our findings are more pronounced when management forecasts are more frequent,
more precise, and more disaggregated. Overall, our findings suggest that the ability of
46
management forecasts to reduce the cost of equity capital across countries derives
from factors that constrain managers’ incentives to issue opportunistic forecasts and
from factors that enhance the usefulness of their forecasts.
MEASURES OF EQUITY HOME BIAS PUZZLE
Anil V. Mishra University of Western Sydney, School of Business, Australia
Abstract
The paper develops measures of home bias for 48 countries over the period 2001 to
2011 by employing various models: International Capital Asset Pricing Model (ICAPM),
Mean-Variance, Minimum-Variance, Bayes-Stein, Bayesian and Multi-Prior. ICAPM
country portfolio weights are computed relative to world market capitalization.
Bayesian model allows for various degrees of mis-trust in the ICAPM and Multi-Prior
model’s investors’ ambiguity aversion. Mean-Variance computes optimal weights by
sample estimates of mean and covariance matrix of sample return and Bayes-Stein
improves precision associated with estimating the expected return of each asset. Paper
finds that foreign listing, idiosyncratic risk, beta, inflation, natural resources rents, size,
global financial crisis and institutional quality have significant impact on home bias.
There are policy implications associated with home bias.
47
B5. Portfolio Management and Optimization
ON THE TIME SCALE BEHAVIOR OF EQUITY-COMMODITY LINKS: IMPLICATIONS
FOR PORTFOLIO MANAGEMENT
Gazi Salah Uddin
Linköping University, Sweden
Stelios Bekiros
Athens University of Economics and Business, Greece & European University Institute,
Italy & IPAG Business School, France
Duc Khuong Nguyen
IPAG Business School, France
Bo Sjö
Linköping University, Sweden
Abstract
We investigate the time-scale relationships between US equity and commodity markets.
The empirical evidence from the risk-return profitability analysis based on the wavelet
coherence measure shows that equity and commodity markets exhibit time-varying co-
movement patterns and behave differently across investment horizons. Moreover, we
find evidence of time-frequency causality between the two investigated markets. Our
results can have important implications for optimal asset allocation and portfolio
diversification.
WINE: TO DRINK OR TO INVEST? A STUDY OF WINE AS A FINANCIAL ASSET IN A FRENCH PORTFOLIO CONTEXT
Beysül Aytac
Groupe Sup de Co Montpellier Business School & Montpellier Research in Management, France
Thi Hong Van Hoang Groupe Sup de Co Montpellier Business School
& Montpellier Research in Management, France Cyrille Mandou
Groupe Sup de Co Montpellier Business School & Montpellier Research in Management, France
Abstract
This paper aims to assess the role of wine, compared to gold, as a financial asset in the
diversification of French investors’ portfolios. Our 2007-2013 monthly database is
composed of not only Liv-ex indexes but also WineDex ones, proposed by iDealwine, an
online platform for wine investments in France. We also include stocks, bonds and the
risk-free asset to constitute different portfolios basing on the investor risk aversion
degree proposed by Canner et al. (2007). Using the Mean-Variance (Markowitz 1952)
and Mean-Value-at-Risk (Favre and Galeano 2002) portfolio optimization, we found
that portfolios with wine (or gold) are more efficient than portfolios without them.
Moreover, using Sharpe (1964) and modified Sharpe (Gregoriou and Gueyie 2003)
performance ratios, we found that the higher is the proportion of wine (or gold), from
5% to 50%, the higher is the performance of portfolios. We also found that French wine
48
indexes, mostly the WineDex Bordeaux one, are more profitable than gold and Liv-ex
indexes. This supposes that French investors should better invest in wine through
iDealwine than through Liv-ex.
INVESTOR DISAGREEMENT ON CORPORATE SPIN-OFF DIVESTURE: AN
APPLICATION OF NETWORK CLUSTERING
Daewon Kim College of Business Administration, Keimyung University, South Korea
Chong Soo Pyun University of Memphis, United States
Frank J. SanPietro University of Memphis, United States
Marko Puljic Center for Computational Science, Tulane University, United States
Abstract
This study investigates the effects of investor differential opinion (DO) of spinoff
announcements for 221 corporate spinoffs in the U.S by combining Miller’s (1977)
static and Banerjee and Kremer’s (2010) dynamic models with an information cluster
network analysis. Given that investor DO for spinoff is not a directly observable
variable, we use trading volume as the basis for two instrumental statistics (the ex-ante
level of DO and the event level of DO), and use these as our principal analytical
variables. We use these variables to examine the validity of three hypotheses related to
corporate spinoffs: information asymmetry, focus vs. non-focus and the wealth transfer
hypotheses. Our results validate the analytical properties of the extended DO models
that identify the key determinants that are adducible from trading volume statistics
which informed traders can use to capture abnormal returns.
49
C1. Corporate Governance III
GENDER DIVERSITY IN THE BOARDROOM AND PROPENSITY FOR PRIVATE EQUITY PLACEMENTS: EVIDENCE FROM CHINESE LISTED FIRMS
M. M. Fonseka
School of Management, Xi’an Jiaotong University, China Gao-Liang Tian
School of Management, Xi’an Jiaotong University, China
Abstract
The effects of board diversity on corporate financing decisions are not well
documented, but it is assumed that any effects could impact on the major determinants
of private equity issuance decisions, information asymmetry and monitoring
capabilities. This study examines whether gender diversity increases or reduces
information asymmetry and improves or negatively impacts the monitoring effects on
corporate decisions; in this instance private equity financing. We also examine the
effect of board gender diversity on information cost and gaining access to the Private
Equity (PE) market. We find that greater diversity at the corporate board level reduces
the discount on PE offers and increases private equity market access. Moreover, our
research outlines the consequences of having greater diversity at the corporate board
level in terms of lowering information asymmetry and improving the monitoring
effects of PE financing of Chinese listed firms.
CORPORATE GOVERNANCE AND FIRM PERFORMANCE: EVIDENCE FROM AN EMERGING MARKET
Rey Dang
La Rochelle Business School, France & University of Orléans, Laboratoire d’Economie d’Orléans (LEO), France
Nhu Tuyen Le Grenoble École d Management (GEM), France
Duc Khuong Nguyen IPAG Business School, France
Manh Chien Vu Vietnam University of Commerce, Vietnam
Abstract
Good corporate governance is viewed as a key driver of firm performance. In emerging
markets economies, past studies have shown that the lack of appropriate institutional
structures put the brakes on the development of efficient corporate governance
mechanisms, and thus the improvement of firm performance. With a series of
structural economic and financial reforms since the early 1990, there is hope that
better corporate governance rules and practices led to higher corporate performance.
This article investigates this issue in the context of the Vietnamese emerging market.
Using data for companies listed in Ho Chi Minh and Hanoi Stock Exchanges over the
period 2009-2012, we find that board size, CEO duality, and board independence have
no significant impact on firm performance. There is however evidence to suggest that
50
foreign ownership plays a crucial role in driving corporate performance as it has a
positive and significant impact on firm performance. Two control variables, firm size
and age, are found to significantly affect corporate performance. Our findings suggest
several implications for policymakers and regulators in Vietnam as they call for sound
regulations and the implementation of the best practices to improve corporate
governance mechanisms.
ESG IMPACT ON MARKET PERFORMANCE OF FIRMS: INTERNATIONAL EVIDENCE
Hélène Pasquini-Descomps
HEC Geneva, Switzerland Jean-Michel Sahut
IPAG Business School, Paris, France Abstract
This study investigates how news-based scores in Environmental, Social and Corporate
governance (ESG) will influence the monthly market return in the Swiss, US and UK
stock markets. We are using a four-factor based linear model following during the
2007-2011 period, as well as a non-parametric model for Switzerland only. For market
returns, we find that the variation of the Global ESG score is a significant but slightly
negative factor of a stock’s monthly performance in the UK, but not significant in the US
and Switzerland. The changes in sub-categories ratings (for instance, Governance,
Environment, Labor…) exhibit a small but significant influence over the stock’s
performance only during limited periods or on limited sectors, which varies among the
countries. The non-parametric kernel regression shows that the function linking a
stock’s performance to its ESG news–based scores’ changes is probably not linear.
51
C2. Corporate Finance III
THE DETERMINANTS OF DIM SUM BOND LIQUIDITY
Lei Meng School of Business, East China University of Science and Technology, Shanghai 200237,
China Thanos Verousis
School of Management, University of Bath, Bath, BA2 7AY, UK
Abstract
In this paper, we provide the first comprehensive picture of the structure of the Dim
Sum bond market. We show that Dim Sum bonds usually have short maturity and the
market is dominated by issuers from banking sector. In the analysis of the
determinants of Dim Sum bond bid-ask spread, we find that both bond-specific
determinants such as issuance amount, maturity and collateral, and macroeconomic
variables that are particular to Dim Sum bond market influence its liquidity. Narrower
yuan interest rate gap between mainland China and Hong Kong, appreciation of the
Chinese yuan as well as fall in Dim Sum Bond Market Yield Index lead to improved
liquidity in the market.
CROSS-SECTIONAL PEG RATIOS, MARKET EQUITY PREMIUM, AND
MACROECONOMIC ACTIVITY
Xiaoquan Jiang Florida International University, United States
Qiang Kang
Florida International University, United States Abstract
By combining the loglinear present value framework and the Capital Asset Pricing
Model (CAPM) logic, we establish a theoretic link between PEG ratios and expected
returns of tocks. For empirical tests, we construct several PEG ratios by separately
using analysts’ forecasts and model-based earnings forecasts. We extract information
contained in the cross-sectional PEG ratios to form estimates of the market's
expectations for aggregate returns and economic fundamentals. The equity premium
proxy outperforms alternative predictors and has considerable power in forecasting
future market returns in-sample and out-of-sample. Both the equity premium proxy
and the fundamentals proxy have strong power in forecasting macroeconomic growth
and unemployment rates. The results are robust to various econometric methods for
standard-error adjustments.
52
OPTIMISATION OF ACCOUNTS RECEIVABLE: AN EMPIRICAL
ANALYSIS OF UK COMPANIES
Salima Paul
Plymoutn Business School
Plymouth University
C Guermat
Faculty of Business and Law
University of the West of England
R Boden
Roehampton Business School
Roehampton University
Abstract
This paper explores the contribution that trade credit can and does make as a
competitive device that can add value to companies when used strategically.
By reference to the literature, we argue that trade credit is not merely a short-
term collection issue, and that, used proactively, it can be a source of
competitive advantage. We then develop an empirical model to test the
relationship between trade credit and sales/profitability to determine whether,
and the extent to which, trade credit constitutes a strategic tool. We find, inter
alia, evidence that, when used strategically to enhance competitive advantage,
firms have a discernible optimal level of trade credit. Despite data limitations,
we conclude that our model demonstrates a viable methodology that could be
applied usefully to an extended data set.
53
C3. Market Integration and Asset Pricing
NONLINEARITIES AND DIVERGENCES IN THE EUROPEAN FINANCIAL INTEGRATION
Monica Răileanu-Szeles
Transilvania University of Brasov, Romania and Institute for Economic Forecasting, Romanian Academy
Lucian Albu Institute for Economic Forecasting, Romanian Academy
Abstract
This paper aims to analyze the process of financial integration in the EU-27 area from
2000 to 2013, using nonparametric methods. Besides a set of other nonparametric
measures (e.g. Hartigen test, Kernel density estimation), the stochastic kernel indicates
the presence of two or more convergence clubs into the bond yields density
distribution, in the short term, middle term and long term as well. The financial crisis
has intensified the divergences emerging within the EU-27, leading to the bi- and
multimodality of bond yields density distribution, and also to the decline of the
financial integration process in the long term. In comparison with traditional
parametric approaches used in the convergence literature, the nonparametric
measures are found to provide new and more reliable insights to the literature of
financial integration.
FAMA – FRENCH MODEL IN ASIAN MARKETS – A COMPARISON WITH THE US AND EUROPEAN RESULTS
Hong Tram Dang University of Rennes 1, France
Abstract
We aim to provide more international empirical results on the validity of Fama –
French (FF) three–factor model. On the one hand, we revisit the model performance in
the US, and in two developed European countries. On the other hand, we test the FF
model in four Asian developing countries, where the model has little been studied. The
traditional method of FF (1993) is applied. We confirm that the model works well in the
US. However, we find the results which are less favorable in France, in India, in South
Korea, and in Thailand, and even worse in Germany and in China. Moreover, we
document that Asia, the region of new, fast growth and development, is thus the region
where investors are able to gain higher risk premia than in the US and in Europe.
54
EXPECTED COMMODITY RETURNS AND PRICING MODELS
Gonzalo Cortazar Pontificia Universidad Católica de Chile, Chile
Ivo Kovacevic FINlabUC Laboratorio de Investigación Avanzada en Finanzas
Pontificia Universidad Católica de Chile, Chile Eduardo S.Schwartz
UCLA Anderson School, University of California at Los Angeles, United States Abstract
Stochastic models of commodity prices have evolved considerably in terms of their
structure and the number and interpretation of the state variables that model the
underlying risk. Using multiple factors, different specifications and modern estimation
techniques, these models have gained wide acceptance because of their success in
accurately fitting the observed commodity futures’ term structures and their dynamics.
It is not well emphasized however that these models, in addition to providing the risk
neutral distribution of future spot prices, also provide their true distribution. While the
parameters of the risk neutral distribution are estimated more precisely and are
usually statistically significant, some of the parameters of the true distribution are
typically measured with large errors and are statistically insignificant. In this paper we
argue that to increase the reliability of commodity pricing models, and therefore their
use by practitioners, some of their parameters –in particular the risk premiums
parameters- should be obtained from other sources and we show that this can be done
without losing any precision in the pricing of futures contracts. We show how the risk
premium parameters can be obtained from estimations of expected futures returns and
provide alternative procedures for estimating these expected futures returns.
55
C4. Financial and Econometric Modeling
OPTIMAL CONSUMPTION STRATEGY IN THE FORM OF LIFE ANNUITIES
Tomas Cipra Faculty of Mathematics and Physics, Charles University in Prague, Republic Czech
Abstract
The contribution deals with the economic theory of pension utility and looks for
optimal consumption strategies of individuals in pension ages. The main message of the
paper is to show that the annuitization (i.e. the consumption strategy in the form of life
annuities or pensions) is a powerful instrument how to ensure economically seniors,
and this text delivers numerous quantitative arguments for such a conclusion. Financial
models optimizing utility are used for this purpose.
LONG-RUN DETERMINANT OF THE SOVEREIGN CDS SPREAD IN EMERGING
COUNTRIES
Sy–Hoa Ho University of Paris-Nord CEPN, France
Abstract
In this paper, we study the long-run determinant of Sovereign CDS spread for eight
emerging countries in the 2008.Q4-2013.Q2 periods. The determinant of sovereign CDS
spread is estimated from three macroeconomic factors: the current account, the
external debt and the international reserves. Using the Pooled Mean Group
cointegration approach, our findings can be summarized as follow: i, the existence of
cointegration between these variables indicated above; ii, the coefficients of the current
account, the external debt and international reserves are significant in the long-run for
all countries; iii, the short-run is significant just for the external debt and the
international reserves, not for the current account.
REEXAMINING SPORTS SENTIMENT HYPOTHESIS: MICROECONOMIC EVIDENCE FROM BORSA ISTANBUL
Ka Wai Terence Fung
Beijing Normal University and Hong Kong Baptist University, China Ender Demir
Istanbul Medeniyet University, Turkey
Chi Keung Marco Lau Newcastle Business School, Northumbria University, United Kingdom
Kwok Ho Chan Beijing Normal University and Hong Kong Baptist University, China
Abstract
This paper examines the impact of international soccer matches on the Turkish stock
market using firm level and sorted portfolio data. Applying the Edmans et al. (2007)
estimation method, we find a significant negative loss effect. However, once using panel
56
data analysis and modeling spatial and temporal effects explicitly, the sport sentiment
effect disappeared. The same conclusions are made when replacing win/loss dummies
with unexpected win (loss) variable and sorting portfolio returns by market
capitalization and past returns. Hence, there is very limited micro-evidence to support
the 'overreaction' hypothesis of individual investors using Borsa Istanbul data.
However, we found evidence that sporting events have larger impact on stock return
volatility for firms with smaller market capitalization and lower past returns.
57
C5. Financial Accounting and Auditing
DISARRAY OF DISCOUNT RATES – EVIDENCE ON FLAWED APPLICATION OF GOODWILL IMPAIRMENT TESTING
Dung Manh Tran National Economics University, Vietnam
Cuong Duc Pham National Economics University, Vietnam
Kien Trung Phan National Economics University, Vietnam
Abstract
In calculating recoverable amount of cash generating units under the application of
value in use method in the HKAS 36 “Impairment of Assets”, discount rate selection
represents a central point in deciding the magnitude of impairment expenses. The
selection of arbitrary discount rates in the discounted cash flow model could be
conducted opportunistically to materially distort present values that were discounted
from future cash flows, impairment expenses for the sake of financial statement
preparers, and affects “true and fair” view of, in all material aspects, items in the
financial statements. This research provides more evidence of opportunistic
behaviours pertaining to goodwill impairment testing by reporting firms. By comparing
independently generated risk adjusted discount rates and subjectively observed
discount rates disclosed by large Hong Kong listed firms in 2007, the third year
adoption of Hong Kong Financial Reporting Standards (HKFRS), the research
discovered that discount rates were disclosed in a systematic disarray, in which
discount rates were much overstated than understated compared to scientifically
estimated ones.
DO ACCOUNTANTS MAKE BETTER CHIEF FINANCIAL OFFICERS?
Rani Hoitash Bentley University, United States
Udi Hoitash Northeastern University, United States
Ahmet Kurt Northeastern University, United States
Abstract
We investigate whether and how the accounting background of chief financial officers
(CFOs) enhances their performance. Previous research predominantly focused on the
association between CFOs with accounting background and financial reporting quality,
finding that CFOs with accounting background outperform other CFOs. Yet, CFO
responsibilities are myriad and go beyond financial reporting. Hence, we extend prior
research through an investigation of CFOs’ other set of responsibilities, i.e. over
corporate finance. We find that CFOs with accounting background are less likely to
issue new equity, invest less in R&D and capital expenditures, return less cash to
investors through dividends and stock repurchases, and overall retain higher cash.
These results are consistent with a more conservative behavior of accountant CFOs and
58
are primarily driven by firms operating in high-growth industries, where investment
needs are greater. Consequently, we find that firms whose CFOs have accounting
background are associated with lower (higher) firm value in high (low) growth
industries. Thus, the board and the CEO should recognize that a one-size-fit-all strategy
is not suitable for selecting a CFO, and accounting background of the CFO is not always
value enhancing.
AUDITOR CHOICE, AUDIT FEES AND PRINCIPAL-PRINCIPAL CONFLICT
Chiraz Ben Ali IPAG Business School, France
Cédric Lesage HEC Paris, France
Abstract
This study examines the behavior of auditors, considered as a monitoring mechanism,
in the presence of a principal-principal agency conflict in a common-law country.
Following the surprising findings of Holderness (2009) about ownership concentration
of U.S firms, we examine ownership structure as a determinant of audit fees and
auditor choice by disentangling managerial and controlling shareholding on a sample of
U.S. listed firms. Our results show that audit fees and high-quality demand (big 4
auditors) (1) are negatively associated to managerial ownership and (2) positively
associated with blockholders ownership. We also show that the impact of blockholders
ownership is more complex then presumed and evidence a curvilinear relation
(concave) between blockholders ownership and audit fees.
59
D1. Corporate Governance IV
FAMILY OWNERSHIP, DIVIDEND, AND EARNINGS MANAGEMENT
Evy Mulyani Ministry of Finance of the Republic of Indonesia, Indonesia
Harminder Singh Deakin University, Australia
Abstract
This study examines the relation between family ownership and the probability of
earnings management practice with regard to dividends. Using a dataset of 4,296
observations during 1990–2011, dividend-paying firms have higher accruals that may
indicate higher preference of earnings management as compared to non-dividend-
paying firms. The findings show that earnings are managed robustly within dividend-
paying firms that experience earnings deficit. The analysis concludes that the abnormal
accruals as a proxy of earnings management are negatively related with the existence of
family ownership and positively associated with expected dividend level. Further,
family firms appear to possess less hesitation to decrease dividends as compared to
non‒family firms.
D1. IV
GROUP AFFILIATION AND EARNINGS MANAGEMENT OF ASIAN IPO ISSUERS
Roy Kouwenberg Mahidol University, Thailand & Erasmus University Rotterdam, The Netherlands
Pipat Thontirawong Mahidol University, Thailand
Abstract
We study how group affiliation, a firm being a member of a business group, affects
earnings management around initial public offerings (IPOs) in nine Asian countries.
Our empirical evidence shows that group-affiliated IPOs have lower discretionary
accruals than non-group IPOs, by about 3% of total assets. Our results suggest that
group-affiliated IPO issuers in Asia can raise funds more easily than non-group issuers,
and as a result they have a lower need to manipulate earnings.
WHY DO EUROPEAN VENTURE CAPITAL COMPANIES SYNDICATE? SOME NEW INSIGHTS
Honorine Awounou N’Dri ISG Paris-International Business School, France
Philippe Desbrières Université de Bourgogne, France
Abstract
Financial theory and resource-based theories are often used to explain syndication
practices among venture capital (VC) firms (Lockett & Wright, 2001; Manigart et al.,
2006). In this study, we enlarge this theoretical framework and highlight a number of
key findings. First, the evidence here regarding syndication in France supports earlier
60
work on syndication in Europe, with an original dataset. The propensity to syndicate is
essentially driven by finance considerations. As the lead investor is motivated by
financial rationales, the financial governance motives play a significant role only for the
non lead VCs. Those significantly represented at the board have a higher propensity to
syndicate their deals. The resource-based arguments appear to also be important. They
are considered in structuring syndication (the size and duration). The more there are
complementarities between the syndicate members in their skills and competencies,
the greater will be the number of VCs in the syndicate. The more the lead investor is
specialized, the longer the syndication is.
D1.
CORPORATE GOVERNANCE OF PRIVATELY-CONTROLLED PUBLIC FIRMS AND FIRM PERFORMANCE
Christophe Volonté
University of Basel, Switzerland Abstract
Corporate governance has traditionally been aimed to protect shareholders from
managers in large widely-owned public companies. However, many listed corporations
around the world are closely-held. This study compares corporate governance of
privately-controlled public firms with non-privately-controlled public firms and its
impact on firm performance. Our sample consists of 1,140 firm-year observations in
Switzerland whereof 44 percent are defined as privately-controlled. Empirical evidence
suggests that board and firm structures of the two sets of firms differ significantly.
Furthermore, fixed effects regression models suggest that privately-controlled firms
are correlated with higher firm performance. In contrast, board independence (defined
in a broad way) potentially harms firm performance in privately-controlled companies.
We suggest corporate governance reforms that strengthen shareholder democracy and
put into question “one size fits all”-approaches.
61
D1. Corporate
D2. Issues of Asian Finance
EXTERNAL FINANCING CHOICE: THE CASE OF VIETNAMESE LISTED COMPANIES
Manh Hiep Nguyen Foreign Trade University HCMc Campus, Vietnam
Thu Hang Nguyen Foreign Trade University HCMc Campus, Vietnam
Abstract
We examine the choice of outside financing in Vietnamese listed firms under the trade-
off theory, the pecking order theory and the market timing theory of capital structure
pre-crisis and post-crisis. The results show that market timing theory well explains
firm’s financing choice when the market is booming. Its explanatory power deteriorates
post-crisis, when the market slows down. The other two theories fail in pre-crisis
period but to a certain extent can describe the external financing choice in post-crisis
period. Additionally, we find that firms with higher level of state ownership tend to use
more debts.
Issues of
LEVERAGE AND INVESTMENT: A VIEW OF PROMINENT ROLE OF STATE OWNERSHIP
Thi Phuong Thao Hoang School of Finance, University of Economics Ho Chi Minh City, Vietnam
Duc Nam Phung School of Finance, University of Economics Ho Chi Minh City, Vietnam
Thi Phuong Vy Le School of Finance, University of Economics Ho Chi Minh City, Vietnam
Abstract
This paper analyses a sample of 624 Vietnamese listed firms from 2007 to 2012 to
investigate the relationship between leverage and investment. With careful treatments
to potential endogeneity problems, the empirical results show that leverage is
negatively correlated to corporate investment. We also document that this negative
relationship is different among firms with different growth opportunities in which the
negative relation is significantly larger for low growth companies than high growth
ones. Furthermore, when the role of state ownership in both bank and firm level is
taken into account, we find that state ownership tends to attenuate the negative
relationship between leverage and investment. This implies an easy and less-
constrained lending policy of banking system and over-and-inefficient investment
problem in state owned enterprises.
D2. Issues of Asian Finance
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THE NEW EVIDENCE ON WEALTH EFFECTS OF CROSS-BORDER ACQUISITIONS IN EMERGING MARKETS
Hai Ho Foreign Trade University, Vietnam
Phong Le
Foreign Trade University, Vietnam
Abstract
The literature has little to say about M&A activities in emerging markets, especially
when firms from these countries acquire targets in developed economies. Yet, this
trend has been growing rapidly in the global markets for corporate control over the last
two decades. Unsurprisingly, our understanding is rather limited on whether the
acquisition wave from emerging countries generally creates or destroys value. Using a
combination of propensity score matching and difference-in-differences method on a
large dataset, this study finds that cross-border acquisitions from emerging to
developed markets have negative wealth effects on the acquirer’s performance in the
course of three, four and five years. The negative effects remain significant after
controlling for traditional confounding factors such as industry relatedness, method of
payment and prior international experiences. The findings indicate that the expected
synergies appear overwhelmed by the strong nature of value destruction of cross-
border M&A.
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D3. Financial Markets and Institutions
THE TRANSMISSION MECHANISM OF MONETARY POLICY IN VIETNAM
Khac Quoc Bao Nguyen School of Finance, University of Economics HCMC, Vietnam
Trung Tai Truong School of Finance, University of Economics HCMC, Vietnam
Abstract
This research empirically examines the transmission mechanism of monetary policy in
Vietnam and the interaction between macro variables, in which US interest rate is used
as control variable for foreign effect. The vector error correction model (VECM) is
adopted with endogenous variables such as: industrial output, inflation, money supply,
interest rate, nominal exchange rates and stock prices representing the domestic
economy; plus exogenous variables: the world price of oil, the US base rate
representing the exogenous shocks. Research results show that the level of monetary
policy transmission through the interest rate channel does not have great impact on
industrial output, inflation and the stock market compared with the remaining
channels.
CAN FOREIGNERS IMPROVE THE EFFICIENCY OF EMERGING MARKET BANKS? EVIDENCE FROM THE VIETNAMESE STRATEGIC PARTNER PROGRAM
Giang Phung ESCP Europe, France
Michael Tröge ESCP Europe, France
Abstract
A range of papers have claimed that foreign ownership and foreign management
improve the efficiency of emerging market banks. The paper examines this relationship
for the Vietnamese strategic partner program, where a range of foreign banks have
been allowed to take minority participations in local banks. We show that neither
foreign ownership management nor the representation of foreign owners on the
supervisory or the management boards is associated with better performance. Only the
presence of foreign executives that are not related to the strategic partner is positively
related to performance.
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WHY DO COMPANIES TRANSFER THE TRADING COMPARTMENT OF THEIR COMMON STOCKS
Abdoul K. Cissé ISG International Business School and EUROFIDAI, France
Patrice Fontaine CNRS (EUROFIDAI) and Grenoble University, France
Abstract
This paper examines the motivations and determinants of stock exchange section
transfer where switching decision is voluntary. By strategically deciding trading-
section transfer when it is beneficial, managers expect to reduce their liquidity and
invisibility costs, and their cost of capital. Managers decide compartment transfer
based on various factors including firm's size, liquidity level, debt ratio, and expected
growth rate.
THE IMPACT OF STATE REGULATIONS ON VIETNAM GOLD MARKET: A
PRAGMATIC REVIEW
Ngoc Tho Tran School of Finance, University of Economics Ho Chi Minh City, Vietnam
Dat Chi Le School of Finance, University of Economics Ho Chi Minh City, Vietnam
Thi Phuong Thao Hoang School of Finance, University of Economics Ho Chi Minh City, Vietnam
Abstract
Vietnam is amongst the 24 countries with highest demand for gold according to the
World Gold Council. Over the last few years, the fact that the quantity of gold consumed
by the economy soared has placed a big question on the independence of monetary
policies of the State Bank of Vietnam (the SBV). Faced by the challenge, the SBV has
flexed its market regulatory policies which unavoidably distort real demand for gold
and gold price in Vietnam. Empirical research on the differences between domestic and
international gold price helps us gain invaluable insight into the impact of state
regulations on Vietnam gold market. The research also identifies the effect of variables
other than state regulation on the market. These include savings, inflation, exchange
rate movements and money supply. More importantly, the research scrutinizes into the
role of business benefits on Vietnam gold market via the use of a variable of the spread
between bid price and ask price. The outcomes from our research which uncover the
contribution of different factors on Vietnam gold market are aimed at providing the
Government and the market participants with a set of guidance for policy setting and
market behaviors.
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D4. Financial Crises and Risk Management
COMMONALITY IN LIQUIDITY-EVIDENCE FROM TAIWAN STOCK MARKET IN DURING EURO DEBT CRISIS
Truong Son Nguyen The University of Danang, Vietnam
Thi Mai Quyen Pham The University of Danang, Campus in Kontum, Vietnam
Van-Hai Hoang The University of Danang, Campus in Kontum, Vietnam
Abstract
Liquidity plays a central role in the stock market. In micro perspective, the behavior and
common determinant of liquidity receive more attention from practitioners. The aim of this
paper is to examine the change of liquidity across trading days of the week and five minutes
time interval within trading day. Another aim is to determine whether common factors,
market- and industry-wide, firm size and firm attributes cause the co-movement in individual
liquidity. Five minute data is employed in this paper, that including transaction price, trading
volume and the best bid (ask) price, best bid (ask) volume of 642 stocks from Taiwan stock
market for the period April 1 to December 30, 2011. By running time series regression
associated with dummy variable representing for each interval and each day, the results
show that intraday and interday pattern of liquidity exist, reserved J shaped pattern is
pronounced for quoted spread, proportional quotes spread, effective spread, proportional
effective spread, and inverted L shaped pattern with quoted depth and trading volume. The
results from time series regression for each stock also provide information to confirm that
the market-wide, firm size and firm attribute factor exist and have a clear influence on
liquidity in Taiwan stock market.
IS GOLD A HEDGE OR AN INDICATOR OF INFLATION? NEW EVIDENCE FROM A NONLINEAR ARDL APPROACH
Thi Hong Van Hoang
Groupe Sup de Co Montpellier Business School and Montpellier Research in Management, France
Amine Lahiani
LEO, University of Orléans and ESC Rennes Business School, France
Duc Khuong Nguyen
IPAG Lab, IPAG Business School, France
Abstract
Whether gold is a good hedge against inflation, or gold is a driver of inflation fluctuation is of
particular interest to both market participants and policymakers. This article tackles these
questions by making use of the nonlinear autoregressive distributed lags (NARDL) model.
The main advantage of this model relies on its ability to simultaneously capture the short-
and long-run nonlinearities through positive and negative partial sum decompositions of
changes in gold prices and the Consumer Price Index (CPI). It also allows us to evaluate the
responses of dependent variables to positive and negative shocks related to independent
variables. Using gold prices and CPI data for five important developed and emerging
countries (China, France, India, United Kingdom and United States of America), our results
66
indicate that gold is not only a good hedge against inflation risk, but also has a predictive
power on consumer prices, particularly in the long-run. We also uncover that the pass-
through of consumer prices to gold prices is greater than the way around. Finally, it is shown
that ignoring the potential of non-linearity in the inflation-gold price pass-through modeling
can produce biased estimates and lead to misleading conclusions.
Management
FINANCIAL CRISES AND CONTAGION EFFECTS BETWEEN THE US AND OECD EQUITY MARKETS
Ilyes Abid University of Paris Ouest La Défense, France
Khaled Guesmi IPAG Business School & University of Paris Ouest La Défense, France
Olfa Kaabia University of Paris Ouest La Défense, France
Duc Khuong Nguyen IPAG Business School, France
Abstract
In this paper we test for the existence of equity market contagion originating from the United
States to OECD markets over the period from 01/01/1990 to 01/11/2010 characterized by
several episodes of financial crises. Our empirical analysis relies on the use of an ICAPM
model which has three sources of systematic risks (global, regional and currency risk factors)
and allows for time-varying market integration. This model also offers the possibility to
disentangle simple correlation due to fundamentals and contagion which we define as the
excess correlation that is not explained by fundamental factors. Our results show provide
strong evidence of contagion effects originating in US equity markets to the OECD equity
markets from four regions: European Monetary Union (EMU), Asia-Pacific (AP), Non-
European Monetary Union (NEMU) and North America (NA).
67
List of Participants First Name Last Name Affiliation
KanHonorine Awounou ISG Paris-International Business School, France
Beysül Aytaç Montpellier Business School, France
Chiraz Ben Ali IPAG Business School, France
Sabri Boubaker Champagne School of Management
Khac Hoai Phuong Bui Quang Binh University, Vietnam
Kien Cao Foreign Trade University, Vietnam
Tomas Cipra Charles University in Prague, Czech Republic
Abdoul Karim Cisse ISG International Business School and EUROFIDAI, France
Gonzalo Cortazar Pontificia Universidad Católica de Chile, Chile
Hong Tram Dang Université de Rennes 1, France
Rey Dang La Rochelle Business School & University of Orléans,
France
Viet Anh Dang University of Manchester, United Kingdom
Bang Dang Nguyen Cambridge Judge Business School, United Kingdom
Tuan Anh Dao Brunel University
David Ding Massey University, Albany, New Zealand
M. M. Fonseka Xi’an Jiaotong University, China
Terence Fung Beijing Normal University, China & Hong Kong Baptist
University, Hong Kong
Dominique Guégan University Paris 1 Panthéon – Sorbonne, France
Khaled Guesmi IPAG Business School, France
Hai Ho Foreign Trade University, Vietnam
Sy Hoa Ho University of Paris-Nord, France
Thi Hong Van Hoang Groupe Sup de Co Montpellier Business School &
Montpellier Research in Management, France
Thi Phuong Thao Hoang University of Economics HCM City, Vietnam
Van Hai Hoang University of Danang, Campus in Kon Tum, Vietnam
Rani Hoitash Bentley University, USA
Udi Hoitash Northeastern University, USA
Xiaoquan Jiang Florida International University, USA
Ambrus Kecskes York University, Canada
Yoshihiro Kitamura Waseda University, Japan
Apinya Klinpratoom University of Plymouth, United Kingdom
Roy Kouwenberg Mahidol University, Thailand & Erasmus University
Rotterdam, The Netherlands
Koji Kubo Institute of Developing Economies, Japan External Trade
Organization, Japan
Hai Anh La Vietnam Academy of Social Sciences, Vietnam
68
Phong Le Foreign Trade University, Vietnam
Quoc Thanh Le University of Finance and Marketing, Vietnam
Hooi Hooi Lean University of Missouri, USA
Cédric Lesage HEC Paris, France
Hai Long School of Business, Edith Cowan University, Australia
Lei Meng East China University of Science and Technology
Anil Mishra University of Western Sydney, Australia
Dorra Najar IPAG Business School, France
Jeff Ng The Chinese University of Hong Kong, Hong Kong
Duc Khuong Nguyen IPAG Business School, France
Hiep Nguyen Foreign Trade University HCM City Campus, Vietnam
Khac Quoc Bao Nguyen University of Economics HCM City, Vietnam
Phuong-Anh Nguyen Virginia Polytechnic Institute and State University, USA
Thang Nguyen University of Leeds, United Kingdom
Thao Nguyen Nottingham Trent University, United Kingdom
Thu Thuy Nguyen Foreign Trade University, Vietnam
Truong Son Nguyen University of Danang, Vietnam
Kasper Meisner Nielsen Hong Kong University of Science and Technology
Salima Y. Paul Plymouth University, United Kingdom
Quoc Viet Pham University of Finance and Marketing, Vietnam
Nu Y Anh Phan Quang Binh University, Vietnam
Duc Nam Phung University of Economics HCM City, Vietnam
Giang Phung ESCP Europe, France
C. S. Pyun University of Memphis, USA
Monica Raileanu-Szeles Transilvania University of Brasov, Romania and Institute
for Economic Forecasting, Romanian Academy
Walid Saffar IPAG Business School, France & University of Tunis, Tunisia
Jean-Michel Sahut IPAG Business School, France
Harminder Singh Deakin University, Australia
Minh Hanh Thai Hanoi University of Technology
Sunti Tirapat Chulalongkorn University, Thailand
Manh Dung Tran National Economics University, Vietnam
Ngoc Anh Tran Indiana University Bloomington, USA
Thi Bich Ngoc Tran Hue College of Economics, Vietnam
Thi Lan Huong Tran National Economics University, Vietnam
Tai Truong Trung University of Economics HCM City, Vietnam
Albert Tsang The Chinese University of Hong Kong, Hong Kong
Gazi Salah Uddin Linköping University, Sweden
Christophe Volonte University of Basel, Switzerland
Robert Webb University of Virginia, USA
Muhamed Zulkhibri Islamic Development Bank, Saudi Arabia
69
Conference Gala Dinner
Where Ho Tay Voyage - Potomac Cruise
Time Thursday, June 5th, 2014
18:00
18:30
18:30-20:00
Departure from Foreign Trade University
Cruise Departure &Reception
Dinner& Vietnamese Traditional Music Band
Address No 2 & 4 Thuy Khue Street, Tay Ho District, Hanoi
70
Instructions for Publication Opportunities
High-quality research papers presented at the conference are eligible to be considered for publication
in the Journal of International Financial Markets, Institutions and Money. A submitted paper must
conform to the journal’s content scope and will be processed through the journal’s standard editorial
review procedures. Please check the journal’s Web site for additional submission instructions. Be sure
to indicate in the cover letter that the paper was presented at the conference. Regular submission fees
apply.
Interested authors should send an email containing the full paper to Prof. Duc Khuong Nguyen ([email protected]) for a suitability check before it can be submitted to the Journal.
Managing Editor: Prof. G. Geoffrey Booth (Michigan State University, USA)
Deadline: 30 June to 31 July 2014
Special issue of Review of Quantitative Finance and Accounting on “New perspectives in financial
management with special focus on Asia”
Guest-editors: Prof. Duc Khuong Nguyen (IPAG Business School, France) and Prof. Thu Thuy Nguyen (Foreign Trade University, Vietnam)
Author guidelines: see the Journal’s homepage
Deadline: 30 June to 31 July 2014
Expected publication date: March-April 2015
Special issue of Research in International Business and Finance on conference themes
Guest-editors: Prof. Sabri Boubaker (Champagne School of Management, France) and Prof. Duc Khuong Nguyen (IPAG Business School, France)
Author guidelines: see the Journal’s homepage
Deadline: 30 June to 31 July 2014
Expected publication date: March-April 2015
71
FOREIGN TRADE UNIVERSITY, VIETNAM
HANOI 91, Chua Lang Str., Hanoi Phone: (84-4) 32595158 Fax: (84-4) 38343605 Website: http://www.ftu.edu.vn
TP. HO CHI MINH 15, D5, 25 Dist., HCM City Phone: (84-8) 35127254 Fax: (84-8) 35127255 QUANG NINH Nam Khe, Uong Bi City, Quang Ninh Province Phone: (84-33) 3856481 Fax: (84-33) 3852557
VIETNAM FINANCE ASSOCIATION INTERNATIONAL
JOIN US AT http://www.vfa-international.org/
The Vietnam Finance Association International (VFAI) is a not-for-profit, non-governmental organization with the following missions:
1. To encourage and promote finance/ financial economics research and education among Vietnamese finance professors and researchers all over the world; 2. To facilitate cooperation and participation in research efforts among finance professors and researchers in the academic, government, and corporate sectors; 3. To maintain close relations with research, education, and professional organizations that share similar scholastic interests and concerns; 4. To sponsor programs, publications, and activities as appropriate for a non-profit organization.
President: Duc Khuong Nguyen (IPAG Business School) Executive Vice President: Thuy Simpson (Grand Valley State University) Vice President of Research Development: Duong Nguyen (University of Massachusetts Dartmouth) Vice President for the US: Hieu Phan (Michigan State University) Vice President for New Zealand and Asia: Nhut Nguyen (Massey University) Vice President for Europe: Viet Anh Dang (Manchester Business School) Vice President for Australia: Van Le (University of New Castle - Australia)
