Griffith Alternative Investments

Conference

Program

3rd – 4th November 2016

Welcome

Welcome to the Griffith Inaugural Alternative Investments Conference. This grand event is

proudly hosting by Griffith Centre for Personal Finance and Superannuation at the jewel of

Australia, Gold Coast.

Alternatives are becoming increasingly important within the current investment environment

of low expected returns. This conference aims to bring the world’s best researchers and

industry professionals together to share the latest research and new ideas in this important

segment of the finance industry.

We hope you enjoy the conference. Thank you for contributing to the success of this event.

Associate Professor Robert Bianchi

Conference Director

Program – Day 1 Thursday 3rd November 2016

Registration 8:15am – 9:00am

Registration - Pre Function Area

Opening Speech 9:00am – 9:15am

Welcome address by Professor David Grant, Pro Vice Chancellor, Griffith University

Keynote Presentation

9:15am – 10:15am

Keynote Presentation Building Benchmarks for Infrastructure Investors

Dr Frederic Blanc-Brude, EDHEC Business School Asia-Pacific

Morning Tea 10:15am – 10:45am

Morning Tea - Pre Function Area

Session 1 10:45am – 12:45pm

Commodities 1 Infrastructure 1 Alternative

Strategies 1

Lunch 12:45pm – 1:45pm

Buffet Lunch - Salt Grill Restaurant

Session 2 1:45pm – 3:45pm

Commodities 2 Infrastructure 2 Alternative

Strategies 2

Afternoon Tea 3:45pm – 4:15pm

Afternoon Tea - Pre Function Area

Session 3 4:15pm – 5:15pm

Commodities 3 Real Estate 1

Break 5:15pm – 6:00pm

Break

Pre-Dinner Drinks 6:00pm – 7:00pm

Pre-Dinner Drinks – The deck bar by the pool

Dinner 7:00pm

Conference Dinner Keynote Presentation TOPIC: TBA

Presentation of Best Paper Prize Dinner - Ballroom I & II

Program – Day 2 Friday 4th November 2016

Keynote Presentation

9:00am – 10:00am

Keynote Presentation Harvesting Commodity Risk Premia: A Multi-Sort Approach

Professor Joelle Miffre, EDHEC Business School

Morning Tea 10:00am – 10:30am

Morning Tea - Pre Function Area

Session 4 10:30am – 12:30pm

Commodities 4 Carbon/Energy 1 Special Finance

Topics 2

Lunch 12:30pm – 1:30pm

Buffet Lunch - Salt Grill Restaurant

Panel Session 1:30pm – 2:30pm

Chair: A/Prof Robert Bianchi Panel: TBA TBA TBA

Session 5 2:30pm – 3:30pm

Alternative Strategies 3 Carbon/Energy 2

Afternoon Tea 3:30pm – 4:00pm

Afternoon Tea - Pre Function Area

Closing Speech 4:00pm – 4:15pm

Closing address by Professor Fabrizio Carmignani, Head of Department, Griffith University

Conference concludes 4:15pm

Hotel Maps

Level 1

Ballroom I & II

- Key Note Addresses

- Conference Dinner

- Breakout Sessions I and II

Pre Function Area

- Registration

- Morning Tea

- Afternoon Tea

Salt Grill Restaurant

- Lunch

Business Centre

- Luggage storage

Level 2

Pool Bar

- Pre-Dinner Drinks

Level 15

Executive Room

- Breakout Session III

Lift 16 and 17

- Hotel Service Lifts Connecting Level 1 Main Conference Venue

Keynote Speakers

Dr Frédéric Blanc-Brude

Director of EDHEC Business School Asia-Pacific Director of EDHEC Infrastructure Institute Singapore

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Dr Frédéric Blanc-Brude is an economist specialised in unlisted investments, from private

equity to infrastructure, real estate and other direct and long-term forms of investment. He

holds a PhD in Finance from the University of London and several degrees from the

universities of London, Paris and the Paris Institute of Political Studies.

Dr Blanc-Brude is the Director of EDHEC Infrastructure Institute Singapore and author of

numerous scientific publications on infrastructure economics and investment. His latest book

on infrastructure asset valuation was published in March 2015. He also teaches an

infrastructure investment and benchmarking course as part of the EDHEC-Risk Institute/Yale-

SOM executive program on alternative investments and represents EDHEC on the Advisory

Council of the World Bank’s Global Infrastructure Facility (GIF).

Prior to joining EDHEC, Dr Blanc-Brude has ten years of direct professional experience in the

field of infrastructure finance, including an active involvement in transactions representing a

cumulative value of more than US$6bn in Europe, Asia and the Middle East.

__________________________________________________________________________________

Topic: Building Benchmarks for Infrastructure Investors

Professor Joëlle Miffre

Professor of Finance EDHEC Business School (France)

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Dr Joëlle Miffre is Professor of Finance at EDHEC Business School (France). Her research

focuses on the pricing and management of commodities and equities. Her articles are

published in academic journals such as the Review of Finance or the Journal of Banking and

Finance. As testimonies of the relevance of her research to the industry, her work forms the

basis of strategies followed in the industry and was awarded grants from financial market

participants (CME Group, INQUIRE). Professor Miffre is associate editor of four academic

journals, one of which is the Journal of Banking and Finance.

Professor Miffre received her master and doctorate degrees in finance from Brunel University.

Before joining EDHEC Business School, Professor Miffre held academic positions at Cass

Business School, the University of Technology, Sydney and the ICMA Centre. Over the years,

she has been teaching courses in Asset Management, Commodities, Corporate Finance,

Derivatives, Econometrics and Fixed-Income at undergraduate, postgraduate and executive

levels.

__________________________________________________________________________________

Topic: Harvesting Commodity Risk Premia: A Multi-Sort Approach

Session 1A: Commodities 1 Ballroom I Thursday 3rd November 2016 10:45pm-12:45pm Common Principal Components And Their Use to Construct a Factor Model Benchmark For Commodity Investment Daniel Broby, University of Strathclyde Andrew McKenzie, University of Arkansas Olivier Bautheac, University of Strathclyde Discussion Panel: TBA Can Commodity Futures Portfolios Perform? Hossein Rad, University of Queensland Rand Kwong Yew Low, University of Queensland Joelle Miffre, EDHEC Business School, France Robert Faff, University of Queensland Discussion Panel: TBA Session Chair: John Fan, Griffith University Session 1B: Infrastructure 1 Ballroom II Thursday 3rd November 2016 10:45pm-12:45pm Revenue and Profitability in Privately-Held Infrastructure Investments Frederic Blanc-Brude, EDHEC Risk Institute-Asia Majid Hasan, EDHEC Risk Institute-Asia Qi Wang, EDHEC Risk Institute-Asia Tim Whittaker, EDHEC Risk Institute-Asia Discussion Panel: TBA Design Going Concern Option in the BOT Project to Prevent the Operator’s Self-Interest Bahavior Yanfang Sun, China University of Petroleum Xiaoxuan Zhang, China University of Petroleum Discussion Panel: TBA Session Chair: TBA Session 1C: Alternative Strategies 1 Executive Room Thursday 3rd November 2016 10:45pm-12:45pm Time Varying Price Discovery in VIX Exchange Traded Notes: A Tale of Retails vs. Institutional Trades Bart Frijns, Auckland University of Technology Ilnara Gafiatullina, Auckland University of Technology Alireza Tourani-Rad, Auckland University of Technology Adrian Fernandez-Perez, Auckland University of Technology Discussion Panel: TBA A Time Series Approach to Long-Term Reversal: International Evidence Sonja Kobinger, Griffith University Graham Bornholt, Griffith University Mirela Malin, Griffith University Discussion Panel: TBA Session Chair: TBA

Session 2A: Commodities 2 Ballroom I Thursday 3rd November 2016 1:45pm-3:45pm Financialization of Commodities: An Asset Pricing Perspective Devraj Basu, University of Strathclyde Olivier Bautheac, University of Strathclyde Discussion Panel: TBA Rolling Quantile Trading Strategies for Agricultural Futures Based on Extremal Serial Dependence Huayun Jiang, Griffith University Eduardo Roca, Griffith University Jen-Je Su, Griffith University Neda Todorova, Griffith University Discussion Panel: TBA Session Chair: John Fan, Griffith University Session 2B: Infrastructure 2 Ballroom II Thursday 3rd November 2016 1:45pm-3:45pm Investment Risk in Toll Roads: A Case Study of Four Projects Robert Bianchi, Griffith University Michael Drew, Griffith University Timothy Whittaker, EDHEC Risk Institute-Asia Discussion Panel: TBA Cash Flow Dynamics of Private Infrastructure Project Debt Frederic Blanc-Brude, EDHEC Infrastructure Institute-Asia Majid Hasan, EDHEC Infrastructure Institute-Asia Discussion Panel: TBA Session Chair: TBA Session 2C: Alternative Strategies 2 Executive Room Thursday 3rd November 2016 1:45pm-3:45pm How Australian Socially Responsible Funds Screen Investments Adam Carey, Deakin University Steve Ogden-Barnes, Deakin University Adrian Raftery, Deakin University Discussion Panel: TBA Do Investors Flip Less in Bookbuilding than in Auction IPOs? Suman Neupane, Griffith University Andrew Marshall, University of Strathclyde Krishna Paudyal, University of Strathclyde Chandra Thapa, University of Strathclyde Discussion Panel: TBA Session Chair: TBA

Session 3A: Commodities 3 Ballroom I Thursday 3rd November 2016 4:15pm-5:15pm Microscopic Momentum in Commodity Futures Robert Bianchi, Griffith University Michael Drew, Griffith University John Fan, Griffith University Discussion Panel: TBA Session Chair: TBA Session 3B: Real Estate 1 Ballroom II Thursday 3rd November 2016 4:15pm-5:15pm Bubbles and Crashes in the Australian Residential Property Market Dirk Baur, University of Western Australia Richard Heaney, University of Western Australia Discussion Panel: TBA Session Chair: TBA

Session 4A: Commodities 4 Ballroom I Friday 4th November 2016 10:30am-12:30pm The Costs of Financialization – Evidence from Exchange-Traded Funds on Gold Dirk Baur, University of Western Australia Discussion Panel: TBA Convenience Yield Risk Premiums Rangga Handika, Macquarie University Olaf Korn, Georg-August-Universität Göttingen Stefan Trueck, Macquarie University Discussion Panel: Session Chair: John Fan, Griffith University Session 4B: Carbon/Energy 1 Ballroom II Friday 4th November 2016 10:30am-12:30pm Quantile Serial Dependence in Crude Oil Markets: Evidence from Improved Quantilogram Analysis with Quantile Wild Bootstrapping Jen-Je Su, Griffith University Adrian Cheung, Curtin University Eduardo Roca, Griffith University Discussion Panel: TBA Recent Evidence on the Oil Price Shocks on GCC Stock Markets Victor Wong, Griffith University Suzanna Massah, Cairo University Discussion Panel: TBA Session Chair: TBA Session 4C: Special Finance Topics 2 Executive Room Friday 4th November 2016 10:30am-12:30pm Credit Risk Characteristics of U.S. Small Business Portfolios Dennis Bams, Maastricht University Magalena Pisa, Otto Beisheim School of Management Christian Wolff, University of Luxembourg Discussion Panel: TBA Debt-to-Equity Swaps in China: The Bank-Led Model and Deregulation Approach Wei Cai, RMIT University Discussion Panel: TBA Session Chair: Andrew Worthington, Griffith University

Session 5A: Alternative Strategies 3 Ballroom I Friday 4th November 2016 2:30pm-3:30pm Does It Pay to Invest in the Australian SRI? Sophia Bian, Griffith University John Fan, Griffith University Victor Wong, Griffith University Discussion Panel: TBA Session Chair: TBA Session 5B: Carbon/Energy 2 Ballroom II Friday 4th November 2016 2:30pm-3:30pm Carbon Prices and Macroeconomic Risks in China: Evidence from the Pilot Trading Phase John Fan, Griffith University Neda Todorova, Griffith University Discussion Panel: TBA Session Chair: TBA