以下資訊臺灣經濟計量學會(TES)  2018  1  5  (週五下午將舉辦的研討會資訊,煩請貴 單位能將此訊息傳送給貴 單位的老師、研究員及碩博士生。謝謝您的協助。

各位學界的朋友,大家好:

國立臺灣大學計量理論與應用研究中心 (CRETA)、國立臺灣大學財務金融學系及臺灣經濟計量學會 (TES) 將於 2018  5 日共同舉辦WETA 研討會 @TES。相關資訊如下。

 5  WETA 研討會】

日期:2018 年  5  (週五下午2:00~5:00

地點:國立臺灣大學管理學院二號館三樓 304 教室

講者:馬笑蓉教授(國立臺灣大學財務金融學系)

演講主題:

(1)Stock Price Crashes and Equity Lending Market Conditions: Evidence from Lending Fees and Fee Risk

(2)Does Short-selling Threat Discipline Managers in Mergers and Acquisitions Decisions?

講題摘要:

(1)

  We find that stock price crash risk is positively related to lagged equity lending fee and fee risk. This relation is stronger for stocks with larger prior returns, consistent with bubble-like crashes due to poor lending market conditions. We also find stronger results for the stocks with lower absolute earnings surprises, lower short interests, and higher information uncertainty. Our findings are robust to alternative measures of crash risk and lending market conditions. Last, the results hold when adopting a difference-in-differences methodology based on the Reg-SHO Pilot Program and a fuzzy regression-discontinuity design based on Russell Index reconstitution, mitigating endogeneity concerns.

(2)

  We explore the disciplining effect of short-selling threat, proxied by the value of shares available for short sellers to borrow, on merger and acquisition (M&A) decisions. Our results indicate that acquiring firms with more stock lending supply have higher announcement returns. We also find a stronger disciplining effect when managers’ personal wealth is more linked to the stock price and when the firm is more likely to be the target of a hostile takeover. To rule out alternative explanations and mitigate endogeneity concerns, we adopt two instrumental variable approaches and find similar results. Consistent with our argument, the difference-in-difference analysis shows that the disciplining effect is stronger for firms with fewer short-sale constraints. In addition, the disciplinary effect exists only for non-financial-constrained firms and non-all-cash M&A deals, and we find that the short-selling threat improves firm value and profitability in general.

講者介紹:

馬笑蓉教授為香港大學財務金融博士,目前任職於國立臺灣大學財務金融學系。研究專長為Empirical asset pricingCorporate governance以及Informed trading,詳細資訊請見馬教授介紹網頁:http://www.management.ntu.edu.tw/faculty/teacher/sn/312 

會程安排:

下午 130 ~ 200報到

下午 200 ~ 320 First session

下午 320 ~ 340 Tea Break 

下午 340 ~ 500 Second session

為方便場地安排及人數預估,欲參加WETA的朋友們,煩請事先報名。

當天講義將優先提供給報名者

報名網址:http://creta.org.tw/?news_2=204  

報名費用:免費。

報名期限:2018/1/4 () 13:30

歡迎各位踴躍參加!!

為方便臺灣經濟計量學會 (TES) 會員繳納 106 年度會費,本次活動開放現場繳納會費,亦歡迎大家介紹非會員朋友加入TES。更多研討會資訊請見 TES 網站:http://www.tesociety.org.tw/main.php

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