Thursday, 8th May 2014Jubilee Building, University of Sussex, BN1 9SL |
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| 09:00 | Registration, Jubilee Building (ground floor) | |||
| 09:15 | Welcome Address | |||
| Morning | Econometrics Room: Jubilee G35 |
Financial Economics Room: Jubilee G36 |
Banking Room: Jubilee 143 |
Corporate Finance Room: Jubilee 118 |
| Session Chairs | Mike Lipkin & Norman Seeger | Sjur Westgaard & Mike Osborne | Claudia Girardone & Emmanuel Mamatzakis | Brian Lucey & Taufiq Chaudhry |
| 09:30 - 10:00 | Chardin Wese Simen What Makes the S&P 500 Jump? |
Qiyu Zhang Financial integration and the information environment: evidence from emerging markets |
Mohammad Tajik Capital Infusions and Stability of Recipient Banks |
Indrajeet Mohite Acquiring the Acquirer - The Role of Target's Acquisition Experience in M&A |
| 10:00 - 10:30 | Hanyu Zhang Modelling Intraday volatility in European bond market |
Maurizio Montone Does the U.S. President Affect the Stock Market? |
Orkun Saka ECB Policy and Multiple-Equilibria in the Eurozone: Was De Grauwe Right? |
Chunling Xia Financially constrained firms offer themselves for sale |
| 10:30 - 11:00 | Tea/Coffee | |||
| Session Chairs | Mike Lipkin & Norman Seeger | Richard Tol & Mike Osborne | Claudia Girardone & Emmanuel Mamatzakis | Brian Lucey & Taufiq Chaudhry |
| 11:00 - 11:30 | Anandadeep Mandal What Drives Asymmetric Dependence Structure of Asset Return Comovements? |
Manthos Delis Income Elasticity of Loan Demand |
Emanuele Brancati The Real Side of the Financial Crisis: Bank Vulnerability, Flight to Quality, and Firm Investment Rate |
Betty Wu Founding Family CEO Pay Incentives and Investment Policy |
| 11:30- 12:00 | Ming-Tsung Lin Systematic and Idiosyncratic Risks of Changes in CDS Spreads |
Michael Ellington The Time-Varying Relationship between Financial Wealth, Divisia Money & UK Inflation |
Jingjing Sun Policy recommendations on the design of the methodologies of systemic risk detection and regulatory requirements on capital holdings |
Josephine YAU Do CEO Personal Traits, Skills and Experiences Trigger the Managerial Overconfidence Behaviour? |
| 12:00 - 12:30 | Ruolan Ouyang Salmon Futures and the Fish Pool Market: The relevance of the Schwartz 97 two-factor model for Fish Farming |
Sarosh Shabi Stock Market Volatility, Business Cycles and the Financial Crisis: Evidence from Linear and Non-Linear Causality Tests |
Linh Nguyen Systematic Extreme Downside Risk |
Vathunyoo Sila Women on Board: Does boardroom gender diversity really affect firm risk? |
| 12:30 - 14:00 | Lunch, Networking and Poster (Jubilee Foyer) | |||
| Afternoon | Econometrics Room: Jubilee G35 |
Investments & Decisions Room: Jubilee G36 |
Quant Finance Room: Jubilee 144 |
Corporate Finance Room: Jubilee 118 |
| Session Chairs | Sjur Westgaard & Mike Lipkin | Jacques Pezier & Ali Abbas | Ben Hambly & Carol Alexander | Ephraim Clark & Mike Osborne |
| 14:00 - 14:30 | Keren Dong Tracking VWAP with a bi-directional trading strategy |
Ruanmin Cao On Investment Pessimism |
Gechun Liang Funding Liquidity, Debt Tenor Structure, and Creditor's Belief: An Exogenous Dynamic Debt Run Model |
Raffaele UG-Corvino Market value of Leverage: quantitative estimation and economic applications |
| 14:30 - 15:00 | Houra Haghpanahan New Approach of Currency Crashes Definition in Early Warning System |
Narges Hajimoladarvish Alternatives for Reduction of Compound Lotteries |
Ilaria Piatti Heterogeneous Beliefs about Rare Event Risk in the Lucas Orchard |
Abdullah Al-Ghazali Dividend Policy Overconfidence and Moral Hazard |
| 15:00 - 15:30 | Habiba Al-Mughairi Re-examining the role of oil price shocks in the GCC stock markets: new evidence from asymmetric DCC-GARCH model |
Tomás Ó Briain Learning behaviour of individual investors: Evidence from a financial betting market |
Gareth Haslip A Novel Fourier Transform B-spline Method for Option Pricing |
Piotr Jan Danisewicz Does Assigning Priority to Deposits Affect Bank Conduct? Evidence from a Quasi-Experiment |
| 15:30 - 16:00 | Tea/Coffee | |||
| 16:00 - 17:00 | Round Table Discussions Topics: TBC |
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| 17:00 - 18:00 | Panel: Optimizing your Journal Publication Strategy Carol Alexander, Ben Hambly, Brian Lucey and Richard Tol |
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| 18:30 - 22:00 | Conference Dinner at Stanmer House | |||