Curriculum Vitae
謝佩芳
(Pei-Fang Hsieh)
Contract Tel:
(886-3) 516-2132 Fax:
(886-3) 562-1823 mobile:
(886-9) 37470208 Email:
pfhsieh@mx.nthu.edu.tw |
|
Education
BA in
International Trade, Tunghai University, 1996-2000
M.A.
(Finance), National Central University, 2000-2002
Ph.D.
(Finance), National Central University, 2004-2009
Experience
Associate
Professor, Department of Quantitative Finance, National Tsing Hua University
(2015.08-present)
Assistant
Professor, Department of Quantitative Finance, National Tsing Hua University
(2010.02-2015.07)
Post-Doctoral
Research, Department of Finance, National Central University (2009.08-2010.01).
Adjunct
Instructor, Department of Finance, Minghsin University of Science and
Technology (2004.09-2009.07)
Industrial
Analyst, Taiwan Industry Economics Services, Taiwan Institute of Economic Research
(2003.09-2004.08)
Researcher,
Derivative Department, Fuhua Security Company (2002.07-2003.09)
Research
Topics
Effective market topics and information content
in derivative market, empirical studies for derivative market, corporate
finance topics for derivative market.
Journal publications (Selected)
A.
Journal
publications
1.
Lin, Zih-Ying, Guan-Ying Huang, and
Pei-Fang Hsieh (2018), "Volatility Spreads and Patent Announcement Returns",
Journal of Financial Studies, 26(3), 1-26. (Lead article)
2.
Hsieh, Pei-Fang *, Chang,
Chuang-Chang, Hung Neng Lai and Wei-Sen Hsu (2017), " The Relative Trading
Activity in Options and Stock: Evidences from the Taiwan Stock Exchange ",
Futures and Options 10(1), 1-34. (Lead article,
2018 Futures and options best paper reward)
3.
Hsieh, Pei-Fang* and Pei-Wen Lin
(2016), " The Information Content of Stock Repurchase Announcements: A New
Perspective from Warrants Trades ", Review of Securities and Futures
Market, 28(1), 103-122.
4.
Chang, Chuang-Chang and Pei-Fang
Hsieh*(2016), "A Survey of Empirical Studies on Trading Activities in the
Taiwan Index Options Market", Taiwan Economic Review, 44(1), 57-75.
5.
Chang, Chuang-Chang, Pei-Fang
Hsieh*, and Yaw-Huei Wang (2015),“ Sophistication, Sentiment, and Misreaction”,
Journal of Financial and Quantitative Analysis, 50(4), 903-928.
6.
Chuang-Chang Chang, Pei-Fang Hsieh,
Chih-Wei Tang and Yaw-Huei Wang (2013),“The Intraday Behavior of Information
Misreaction Across Various Categories of Investors in the Taiwan Options
Market”, Journal of Financial Market, 16, 362-385.
7.
Chang, Chuang-Chang, Pei-Fang Hsieh,
and Hung Neng Lai (2013),“The Price Impact of Options and Futures Volume in
After-hours Stock Market Trading”, Pacific-Basin Finance Journal, 21, 984-1007.
8.
Chang, Chuang-Chang, Pei-Fang Hsieh,
and Yaw-Huei Wang (2010),“Information Content of Options Trading Volume for
Future Volatility: Evidence from the Taiwan Options Market”, Journal of Banking & Finance, 34,
174-183.
9.
Chang, Chuang-Chang, Pei-Fang Hsieh,
and Hung Neng Lai (2009),“Do Informed Option Investors Predict Stock Returns?
Evidence from the Taiwan Stock Exchange”, Journal of Banking and Finance, 33,
757-764.
B.
Book
1.
Essays on Information Content in
Options Markets, Ph.D. Dissertation, National Central University, May 2009.
2.
An Analysis of Bank Consolidation
Values: A Real Option Approach, (with C.C. Chang and H.N. Lai), Chapter 38 at
Handbook of Quantitative Finance and Risk Management, publisher by Springer,
2009.
C.
Conference
Presentation
1.
Does Informed Options Trading Prior
to Innovation Grants Announcements Reveal the Quality of Patents? 27th European
Financial Management Association (EFMA) conference, 2018, Milan, Italy.
2.
Asset Substitution Problem and the
Role of CEO's Risk-taking Incentives in Financially Distressed Firms, FeAT,
2018, Hsinchu, Taiwan.
3.
Order Revisions, Order
Aggressiveness, and Performance, FeAT, 2017, Jongli, Taiwan.
4.
Volatility Spreads and Innovation
Grants Announcement Returns, Asian Finance Association Annual Conference
(AFMA), 2016, Bangkok, Thailand.
5.
The Impact of Volatility and Net
Buying Pressure on the Trading Demand of Speculators and Hedgers, European
Financial Management Association (EFMA) conference, 2014, Rome, Italy.
6.
The Impact of Volatility and Net
Buying Pressure on the Trading Demand of Speculators and Hedgers, Taiwan
Finance Association Annual Meeting, 2014, HsinChu, Taiwan.
7.
A Comprehensive Investigation of
Investor Sentiment and Misreaction in the Taiwan Options Market, Finance
Management Association Asian Conference, 2013, Shanghai, China.
8.
The Price Impact of Options and
Futures Volume in After-hours Stock Market Trading, Finance Management
Association Annual Meeting, October, 2012, Atlanta, USA.
9.
The Price Impact of Options and
Futures Volume in After-hours Stock Market Trading, Asian Finance Association,
July, 2012, Taipei, Taiwan.
10. The
Intraday behavior of information misreaction across various categories of
investors in the Taiwan options market, Finance Management Association Annual
Meeting, October, 2011, Denver, USA.
11.
The Price Impact of Options and
Futures Volume in After-hours Stock Market Trading, The 18th
Conference on the Theories and Practices of Securities and Financial Markets,
December 2010, Kaohsiung, Taiwan.
12. Information
Content of Options Trading Volume for Future Volatility: Evidence from the
Taiwan Options Market, The 21st Australasian Finance and Banking
Conference, December 2008, Sydney, Australasia.
13. The
Information Content of Options Trading: Evidence from the Taiwan Stock
Exchange, The 2nd Emerging Markets Group Conference on Emerging
Markets Finance, May 2008, London, UK.
14. An
Analysis of Bank Consolidation Values: A Real Option Approach, The Conference
on Quantitative Finance and Risk Management, January 2008, HsinChu, Taiwan.
15. The
Information Content of Options Trading: Evidence from the Taiwan Stock
Exchange, The 15th Conference on the Theories and Practices of
Securities and Financial Markets, December 2007, Kaohsiung, Taiwan.
Academy Services
學術演講
1.
計量理論與應用研究中心, 2010.05
2.
靜宜大學財務金融系, 2011.12
3.
暨南大學財務金融系, 2012.06
4.
明新科技大學財務金融系, 2012.09
5.
淡江大學財務金融系, 2012.11
6.
中央大學財務金融系, 2013,08
7.
政治大學財務管理系, 2014,05
8.
東吳大學應用數學系, 2014,06
9.
台灣大學財務金融系,2014,06
10. 逢甲大學財務金融系, 2016,05
11. 中原大學財務金融系, 2016,06
12. 中興大學財務金融系,2016,12
13. 清華大學計量財務金融系,2017,12
14. 上海社科院,2018,04
學術服務
Referee
services for
Pacific-Basin
Finance Journal
Asia
Pacific Management Review;
Review
of Quantitative Finance and Accounting
Emerging
Markets Finance and Trade;
Review
of Securities and Futures Markets;
Journal
of Financial Study;
International
Review of Economics & Finance;
Journal
of Testing and Evaluation;
中山管理評論;
台大管理論叢;
企業管理學報;
期貨與選擇權;
東吳經濟商學學報;
經濟論文叢刊;
證券市場發展季刊;
管理學報;
學術榮譽:
100,103年 國科會優秀年輕學者研究計畫。
101年 證基會「第八屆證券暨期貨金椽獎」學術組甲等獎。
102-108年 清華大學科技管理學院 學術卓越獎勵。
105年崇越碩士論文獎,104年博碩士期貨與選擇權論文獎學金
108年期貨與選擇權期刊最佳論文獎