TUESDAY 26th September 2006

PROGRAM - PLENARY SESSIONS

• When is $1 Trillion not enough? Why Australian funds managers are looking north?
  Jeremy Duffield, Managing Director, Vanguard Investments
• Trade in Financial Services
  Rhonda Piggott, Assistant Secretary, Services and Investment, DFAT
• Corporate Responsibility
  Senator Grant Chapman, Chairman, Parliamentary Joint Statutory Committee on Corporations and Financial Services
• Corporate Governance
  Professor Ben Hermalin, Haas School of Business, University of California, Berkeley

RESEARCH PAPER SESSIONS - Peer-Reviewed Research Papers
* Melbourne Centre Research Grant Papers

Stream 1 - Equity markets and Superannuation
1.30pm - 3.00pm (Equity markets)

Session Chair
Vikash Ramiah, RMIT University

Presentations:

The Daylight Saving Time Anomaly In Stock Returns: Fact Or Fiction?
Russell Gregory Allen, Massey University
Ben Jacobsen, Massey University
Wessel Marquering, Erasmus University

Bank Stock Price Reaction To Cash Rate Change Announcements Of The Reserve Bank Of Australia
John J. Vaz, Monash University
M. Ariff, Monash University
Robert D. Brooks, Monash University

Internet IPOs And Delistings On NASDAQ
Chandrasekhar Krishnamurti, Monash University
Michael Z. F. Li, Nanyang Business School, Nanyang Technological University

3.30pm - 5.00pm (Superannuation )

Session Chair
Terry Hallahan, RMIT University

Presentations:
What Drives Individuals’ Superannuation Investment Choices? - Preliminary Evidence On Return Chasing
Marilyn Clark-Murphy, Edith Cowan University
Paul Gerrans, Edith Cowan University
Craig Speelman, Edith Cowan University

Foundation Evidence Of The Relationship Between Entrepreneurs, Financial Issues And Financial Advisers
Kim Klyver, Australian Graduate School of Entrepreneurship, Swinburne University of Technology
Kevin Hindle, Australian Graduate School of Entrepreneurship, Swinburne University of Technology

An Analysis Of The Systematic Risk Of Australian Superannuation Funds: A Markov Regime Switching Approach
Eduardo Roca, Griffith University
Victor Wong, Griffith University

Stream 2 - Portfolio Management and New Markets
1.30pm - 3.00pm (Portfolio Management)

Session Chair
Richard Heaney, RMIT University

Presentations:

Are Actively Managed Funds Really That Bad? *
Terry Hallahan, RMIT University

The Value Of Time Diversification In The Markowitz Optimal Portfolio Decision With Australian And International Asset Classes
Lakshman Alles, Curtin University of Technology
Bhavesh Haria, Alinta Limited

Non-Synchronous Trading Bias Seems To Vary Across Countries And Over Time
Stephen Matteo Miller, Monash University

3.30pm - 5.00pm (New markets)

Session Chair
RMIT University

Presentations:

Seasonal Factors And Outlier Effects In Returns On Demand In Australia’s National Electricity Market *
Stuart Thomas, RMIT University
Vikash Ramiah, RMIT University
Heather Mitchell, RMIT University
Richard Heaney, RMIT University

Seasonal Factors And Outlier Effects In Returns On Electricity Spot Prices In Australia’s National Electricity Market *
Stuart Thomas, RMIT University
Vikash Ramiah, RMIT University
Heather Mitchell, RMIT University
Richard Heaney, RMIT University

Trading Asian Crisis Country Systematic Risk Like The Weather
Stephen Matteo Miller, Monash University

Stream 3 - Equity Market and Capital Management
1.30pm - 3.00pm (Equity Markets)

Session Chair
Amalia Di Iorio, RMIT University

Presentations:

Contrarian Investment Strategies Work Better For Dual Listed Companies: Hong Kong Evidence
Vikash Ramiah, RMIT University
Ka Yeung Cheng, RMIT University
Julien Orriols, RMIT University
Tony Naughton, RMIT University
Terrence Hallahan, RMIT University

Return And Trading Volume Transmission Mechanisms Between A Super-Large Stock And General Stocks In The Market: Evidence From New Zealand
Anirut Pisedtasalasai, University of Canterbury

Mean Reversion In U.S. Stock Prices
Graham Bornholt, Griffith University

3.30pm - 5.00pm (Corporate Finance and Capital Management)

Session Chair
Kevin Davis, Commonwealth Bank Group Chair of Finance, Director, Melbourne Centre for Financial Studies

Presentations:

Beyond The Debt-Equity Choice
Zheng Wu, The University of Melbourne

Shareholder Rights And Firm Operating Performance
Hong Feng (John) Zhang, The University of Melbourne

Dynamic Capital Structure Choice *
Xin(Simba) Chang, The University of Melbourne

Stream 4 – Empirical Finance
1.30pm - 3.00pm (Empirical Finance)

Session Chair
Hong Feng (John) Zhang, The University of Melbourne

Presentations:

Stock Synchronicity In South-Asia: An Analysis Of Monthly Changes Over The Periods
Sarod T. M. Khandaker, RMIT University
Richard Heaney, RMIT University

Risk Overhang, Risk Tolerance, And Profitability In Sectoral Lending Of Australian Thrift Institutions
Ian Sharpe, APRA, University of New South Wales
Neil Esho, APRA
Niruba Thavabalan, APRA

An Explanation Of Unbiased Expectations And Efficient Market Hypothesis Using Markov Switching Framework
Harminder Singh, Deakin University
Prasad S. Bhattacharya, Deakin University

3.30pm – 5.00pm (Empirical Finance)

Session Chair
Tony Naughton, RMIT University

Presentations:

Does The Diversification Penalty Crowd Out R&D Value? *
Sinclair Davidson, RMIT University

An Augmented Fama And French Three-Factor Model: New Evidence From An Emerging Stock Market
Sunil K Bundoo, University of Mauritius

Modelling Time-Varying Asymmetric Foreign Exchange Exposures *
Amalia Di Iorio, RMIT University
Robert Faff, Monash University