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Organized by
Saw Centre for Financial Studies and Department of Finance
NUS Business School
National University of Singapore
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17 July 2008
Registration 8:15am
Welcome Remarks 8:45 - 9.00am
Saw Swee-Hock
Patron, Saw Centre
Bernard Yeung
Dean, NUS Business School
Keynote Speech 9.00 - 10.00am
"CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence"
Ravi Jagannathan (Kellogg School of Management, Northwestern University)
The Sharpe-Lintner Capital Asset Pricing Model (CAPM) is the workhorse of finance for estimating the cost of capital for project selection. In spite of increasing criticisms in the empirical academic literature, CAPM continues to be the preferred model for classroom use in managerial finance courses in business schools, and managers continue to use it. In my talk, that is based on my work with Zhi Da and Re-Jin Guo, I will review the theoretical and empirical results in the literature in order to understand why that may be the case. I will argue that the CAPM may be a reasonable model for estimating the cost of equity capital for projects even though the popular Fama and French three factor model may be a better model for explaining the cross section of stock returns
Coffee 10:00 - 10:30am
Session I
Chair: Mitchell Warachka (Singapore Management University)
Paper 1: 10.30 - 11.15am
"How Informed are the Smart Guys? Evidence from Short-Term Institutional Trading Prior to Major Events"
Tao Shu* (Georgia University)
John M. Griffin (University of Texas)
Selim Topaloglu (Queen?s University)
Discussant
Bruce D. Grundy (University of Melbourne)
Paper 2: 11.15 - 12.00noon
"Horses for Courses: Fund Managers and Organizational Structures"
Yufeng Han (Tulane University)
Thomas H. Noe (Oxford University)
Michael J. Rebello* (University of Texas)
Discussant
Jie Gan (Hong Kong University of Science and Technology)
Lunch 12:00pm - 1:30pm
Session II
Paper 3: 1.30 - 2.15pm
"The Joint Determinants of Managerial Ownership, Board Independence, and Firm Performance"
Jeffrey L. Coles (Arizona State University)
Michael L. Lemmon* (University of Utah)
Yan Albert Wang (Chinese University of Hong Kong)
Discussant
Li Jin (Havard Business School)
Paper 4: 2.15pm - 3.00pm
"Does Corporate Culture Matter for Investment and Financial Policies"
Henrik Cronqvist (Ohio State University)
Angie Low* (Nanyang Technological University)
Mattias Nilsson (University of Colorado)
Discussant
Seoungpil Ahn (National University of Singapore)
Coffee 3.00 - 3.30pm
Session III
Chair: Nan Li (National University of Singapore)
Paper 5: 3.30pm - 4.15pm
"Dynamic Liquidity Preferences of Mutual Funds"
Jiekun Huang* (Boston College)
Discussant
Jiang Luo (Nanyang Technological University)
Paper 6: 4.15pm - 5.00pm
"Retail Clienteles and the Idiosyncratic Volatility Puzzle"
Bing Han* (University of Texas)
Alok Kumar (University of Texas)
Discussant
Joe Zhang (Singapore Management University)
18 July 2008
Registration 8:30am
Session IV
Paper 7: 9.00 - 9.45am
"Specification Analysis of Structural Credit Risk Models"
Jing-Zhi Jay Huang* (Pennsylvania State University)
Hao Zhou (Federal Reserve Board)
Discussant
Jan Ericsson (McGill University)
Paper 8: 9.45 - 10.30am
"Jump Risk, Stock Returns, and Slope of Implied Volatility Smile"
Shu Yan* (University of South Carolina)
Discussant
Anurag Gupta (Case Western Reserve University)
Coffee 10:30 - 11:00am
Session V
Chair: Anand Srinivasan (National University of Singapore)
Paper 9: 11.00 - 11.45am
"Stapled Finance"
Paul Povel (University of Minnesota)
Rajdeep Singh* (University of Minnesota)
Discussant
Thomas H. Noe (Oxford University )
Paper 10: 11.45am - 12.30pm
"Contagion in Bank Loan Spreads"
Michael G. Hertzel (Arizona State University)
Micah S. Officer* (University of Southern California)
Discussant
Joao Santos (Federal Reserve Bank of New York)
Lunch 12.30 - 2:00pm
Session VI
Chair: Takeshi Yamada (National University of Singapore)
Paper 11: 2.00 - 2.45pm
"Productivity, Asset Return, and International Index Momentum"
Hong Zhang * (INSEAD)
Discussant
John M. Griffin (University of Texas)
Paper 12: 2.45 - 3.30pm
"Equity Issuance and Expected Returns: Theory and New Evidence"
Masahiro Watanabe * (Rice University)
Matthew I. Spiegel (Yale School of Management)
Discussant
Sugato Bhattacharyya (National University of Singapore)
Paper 13: 3.30 - 4.15pm
"'Lending by Example': Direct and Indirect Effects of Foreign Bank Presence in Emerging Markets"
Mariassunta Giannetti * (Stockholm School of Economics)
Steven R.G. Ongena (Tilburg University)
Discussant
Anusha Chari (University of Michigan)
Farewell Coffee 4:15 - 4:30pm
* Paper Presenter