VFN-L October 2006

vfn-l@fam.tuwien.ac.at

6 participants
13 discussions

[VFN] VGSF Research Seminar on Friday, Nov. 3rd, by Dirk Hackbarth
by Michael Halling 31 Oct '06

31 Oct '06

Prof. Dirk Hackbarth from Washington University in St. Louis is giving a VGSF research seminar on "Corporate Bond Credit Spreads and Forecast Dispersion" on FRIDAY, Nov. 3rd, from 15:30 to 17:00 at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below. Dirk asked me NOT to put his paper onto our webpage. If you want to get the paper, please contact me via email and I send it to you. Dirk is going to be available for meetings on Friday. If you are interested, please contact Michael Halling (michael.halling(a)univie.ac.at). Best, Michael Halling Abstract Recent research establishes a negative relation between stock returns and dispersion of analysts' earnings forecasts, arguing that, due to short-sale constraints in equity markets, asset prices more reflect the views of optimistic investors. In this article, we examine whether a similar effect prevails in corporate bond markets. After controlling for common bond-level, firm-level, and macroeconomic variables, we find evidence that bonds of firms with higher dispersion demand significantly higher credit spreads than otherwise similar bonds and that changes in dispersion reliably predict changes in credit spreads. We argue the dominating effect of dispersion is to proxy for future cash flow uncertainty due to the limited role of short-sale constraints in corporate bond markets.

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[VFN] VGSF Research Seminar by Prof. Will Goetzmann, TUESDAY Oct. 31st from 15:30 to 17:00
by Michael Halling 24 Oct '06

24 Oct '06

Prof. Will Goetzmann from Yale University is giving a VGSF research seminar on "Risk Aversion and Clientele Effects" on TUESDAY, October 31st, from 15:30 to 17:00 at the WU Wien (Room H.DE03, UZA 4, Base Floor, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below. Prof. Goetzmann is going to be in Vienna on Monday and Tuesday. If you like to meet him and to discuss your research with him, please contact Michael Halling (michael.halling(a)univie.ac.at). Best, Michael Halling Abstract We estimate preferences toward risk of investors in growth and value stock indices, which represent two widely followed investment styles. We find differences in risk preferences for the two clienteles. Value investors are more averse to risk, while growth investors are more willing to accept risk. Estimated preferences also exhibit different time series patterns. Risk preferences of value investors show stronger persistence in the time series during our time period. This is consistent with investors in value stocks being a more stable clientele. We find evidence that indicates the presence of switchers-investors who move funds between the two styles. Switchers react to returns on the styles, and also react to changes in risk of the styles. Further, we construct trading strategies in the value growth index options markets and find that the strategies generate positive returns. Overall, the evidence is consistent with the hypothesis that different clienteles, characterized by differences in risk preferences and trading habits, exist. Further, trading strategies can be formed to exploit the existence of clienteles.

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[VFN] Reminder: Oct. 30th Public Lecture with Will Goetzmann "Lessons from Hedge Fund Registration"
by Gutmann Center-D.Grimm 24 Oct '06

24 Oct '06

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: OCTOBER 30th, 2006 (Monday), 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. WILLIAM N. GOETZMANN, Yale School of Management - International Center for Finance; Harvard Business School http://viking.som.yale.edu/ Title: LESSONS FROM HEDGE FUND REGISTRATION Abstract: In February, 2006, hedge funds operating in the U.S. were required to register with the Securities and Exchange Commission. This paper addresses the question of the relevance of the information contained in these filings. We find that hedge funds filing with the SEC had better past performance and more assets than non-filers - supporting the assertion that filing is a potential signal of quality. We also find a strong positive association between potential conflicts and past legal and regulatory problems - supporting that SEC filings provides information relevant to detecting operational risk. Finally we find that while information contained in SEC filings may be redundant to some market participants such as creditors, it may be very useful to hedge fund investors. About William N. Goetzmann: Will Goetzmann is the Edwin J. Beinecke Professor of Finance and Management Studies and Director of the International Center for Finance at the Yale School of Management. He is an expert on a diverse range of investments, including stocks, hedge funds, mutual funds, real estate, and paintings. His research topics include global investing, forecasting stock markets, selecting mutual fund managers, housing as investment, and the risk and return of art. His work has been featured in the Wall Street Journal, the New York Times, Business Week, the Economist, Forbes, and Art and Auction. Professor Goetzmann has a background in arts and media management. As a documentary film-maker, he has written and co-produced programs for "Nova" and the "American Masters" series, including a profile of the artist Thomas Eakins. A former director of Denver's Museum of Western Art, Professor Goetzmann co-authored the award winning book, The West of the Imagination. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - 1210 Wien (Austria) phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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[VFN] Euro Prag
by Feichtinger, Gustav 20 Oct '06

20 Oct '06

Dear colleague: I would like to invite you to participate and give us a presentation in the Stream "Dynamics and Control of Economic Processes" at the 22nd European Conference on Operational Research, which will take place in Prague, capital of the Czech Republic, from July 8-11, 2007. Perhaps you are also interested in organizing a Session in this stream (containing 3-4 papers) related to a topic of your research fields in the area of Dynamical Systems. If you are interested, please send us the name of your possible session(s), and your data. You can find information about the related areas and contacts on the conference web page: http://euro2007.vse.cz/. In this week, the Invited Streams will be inserted into the Electronical Submission system of the conference; then, your possible Invited Session could become added there, before the abstract submission of will start. With friendly regards and best wishes, Gustav Feichtinger

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[VFN] Stellenausschreibung wiss. MA, Institut fuer OR, WU Wien
by Michaela Nettekoven 19 Oct '06

19 Oct '06

Im *Institut für Quantitative BWL und Operations Research *ist voraussichtlich ab 18. Februar 2007 bis 31. August 2009 die Stelle eines wissenschaftlichen Mitarbeiters/einer wissenschaftlichen Mitarbeiterin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt, zu besetzen. Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für wissenschaftliche Mitarbeiter/ wissenschaftliche Mitarbeiterinnen eine maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 4 Jahre fehlende Zeit eingestellt werden. Notwendige Kenntnisse und Qualifikationen: EU-Bürger/in, abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften und/oder Mathematik und/oder Wirtschaftsingenieurwesen bzw. gleichzuhaltende Qualifikation Erwünschte Kenntnisse und Qualifikationen: Eignung zur Mitarbeit in Lehre (insbesondere Finanzierung, gegebenenfalls Operations Research) und Forschung des Instituts; Mitbetreuung der Telematik-Plattform "learn@wu"; Mitarbeit im organisatorisch-administrativen Bereich (insbesondere Prüfungsadministration)* Kennzahl: 69748* Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 8. November 2006 Bitte die Kennzahl unbedingt anführen! Der Rektor: o. Univ.Prof. Dr. Christoph Badelt Link: http://www.wu-wien.ac.at/start/jobs/ausschrwisspers#w168 MfG M. Nettekoven -- ------------------------------------------------------------- Univ.-Ass. Dr. Michaela Nettekoven Wirtschaftsuniversitaet Wien Institut für Quantitative Betriebswirtschaftslehre und Operations Research UZA 4, 4. Stock, Bauteil D Nordbergstraße 15, A - 1090 Wien Tel.: +43-1-31336-4561, Fax: +43-1-31336-708 Email: michaela.nettekoven(a)wu-wien.ac.at Web: <http://www.wu-wien.ac.at/or/>

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[VFN] VGSF Research Seminar by Marcin Kacperczyk (UBC) on MONDAY, Oct. 16th
by Michael Halling 13 Oct '06

13 Oct '06

Prof. Marcin Kacperczyk from UBC is giving a VGSF research seminar on "Labor Unions, Operating Leverage, and Expected Stock Returns" on MONDAY, October 16th, from 16:30 to 18:00 at the WU Wien (UZA 4, Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below. Marcin is going to be in Vienna on Monday. If you like to meet him and to discuss your research with him, please contact Michael Halling (michael.halling(a)univie.ac.at). Best, Michael Halling Abstract We examine the effect of an important friction in the labor market, that generated by labor unions, on the cross-section of expected stock returns. We hypothesize that labor unions increase expected stock returns by increasing firms share of fixed labor costs in total labor costs and thus their operating leverage. Consistent with our hypothesis, we find that expected returns are higher for firms in more unionized industries and that the effect is stronger when unions face a more favorable bargaining environment. Furthermore, using instrumental-variables techniques we establish a causal link from unionization to expected returns. Finally, we provide evidence that unions increase expected returns through the operating leverage channel. Overall, our findings underline the importance of labor markets imperfections in understanding cross-sectional variation in expected returns.

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[VFN] VGSF Research Seminar in cooperation with AND AT the OeNB, Oct. 13th 2006, Prof. Xavier Freixas
by Michael Halling 10 Oct '06

10 Oct '06

Prof. Xavier Freixas from Universitat Pompeu Fabra, Barcelona, is giving a VGSF research seminar in cooperation with the "Oesterreichischen Nationalbank" (Austrian Central Bank) on "How Can Emerging Market Economies Benefit from a Corporate Bond Market?" on FRIDAY, October 13th, from 15:30 to 17:00 at the "Oesterreichische Nationalbank" (!!!), Otto-Wagner-Platz 3, 1090 Wien, Veranstaltungssaal, Erdgeschoss. Unfortunately, lastest versions of the paper or the abstract are not available. Note again the CHANGED LOCATION as this seminar takes place at the "Oesterreichische Nationalbank". Best, Michael Halling

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[VFN] Invitation October 30th Public Lecture with Will Goetzmann: "Lessons from Hedge Fund Registration"
by Gutmann Center-D.Grimm 10 Oct '06

10 Oct '06

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[VFN] EMNet2007, Erasmus University Rotterdam, CALL for Papers - REVISED version
by Windsperger Josef 08 Oct '06

08 Oct '06

Dear colleague, unfortunately, the link of the 'response form' of the call for paper 'EMNet2007' was incorrect. Below is the final revised form. CALL FOR PAPERS - EMNet 2007, Erasmus University Rotterdam The third international conference on ECONOMICS AND MANAGEMENT OF NETWORKS will be held at the Rotterdam School of Management, Erasmus University Rotterdam, from June 28 to June 30, 2007, in Rotterdam, The Netherlands. The purpose of the conference is to provide an international discussion forum for research in economics and management of networks. Theoretical, conceptual and empirical papers from all areas in economics and management of franchising, cooperatives, joint ventures, licensing, strategic alliances, venture capital relations, virtual networks and other hybrids, are invited. Procedures for Submitting Papers Authors who want to present a paper should submit an abstract (1 page) and return the response form (published under http://www.univie.ac.at/EMNET ) as soon as possible, but not later than February 28, 2007. Please e-mail the response form to: George W.J. Hendrikse (ghendrikse(a)rsm.nl) Rotterdam School of Management, Erasmus University Rotterdam PO Box 1738, Office T08-56 3000 DR Rotterdam, The Netherlands and Josef Windsperger (josef.windsperger(a)univie.ac.at) University of Vienna Center for Business Studies Brünner Str. 72 A-1210 Vienna, Austria Conference Fees: 190 EUR (including lunch, dinner and coffee breaks) Researchers from non-EU Eastern European countries, less developed countries and PhD students are requested to pay 120 EUR. Conference information can be found at the conference web page: http://www.univie.ac.at/EMNET/ Electronic conference proceedings and an edited book will be published. Important Deadlines: February 28, 2007 Abstract and response form MARCH 31, 2007 Confirmation of acceptance of the proposal MAY 15, 2007 Conference registration and payment of the conference fee MAY 31, 2007 One copy of the paper through e-mail to George Hendrikse and Josef Windsperger JUNE 15, 2007 Final program available ( http://www.univie.ac.at/EMNET ) Organizing Committee George Hendrikse (chairman), RSM, Erasmus University Rotterdam Josef Windsperger, University of Vienna Tao Jiang, RSM Li Feng, RSM Bart Dietz, RSM Decia Jansen, RSM Scientific Committee Ilan Alon, Rollins College, Crummer Graduate School of Business, Florida, USA Carlos Fdez. De Arroyabe, ESIC, Madrid, Spain Benito Arrunada, Universitat Pompeu Fabra, Barcelona, Spain Paolo F. Azevedo, National Distance University, Madrid, Spain Eric Brousseau, Université de Paris X, Nanterre, France Jenny Buchan, University of New South Wales, Sydney, Australia Gerard Cliquet, Université de Rennes 1, France Rajiv P. Dant, University of South Florida, Tampa, USA Thomas Ehrmann, Universität Münster, Germany Lorelle Frazer, Griffith University, Meadowbrook, Australia Pierre Garrouste, Centre ATOM, Université de Paris 1 and Université Lumiere-Lyon 2, France Anna Grandori, Bocconi Univeristy, Milan, Italy John Hagedoorrn, Universiteit Maastricht, Maastricht, NL George Hendrikse, Erasmus University Rotterdam, NL Liesbeth Kneppers, University of Groningen, NL Claude Menard, Centre ATOM, Université de Paris 1, France Tahir M. Nisar, University of Southhampton, Southhampton, UK Emmanuel Raynaud, INRA SADAPT & Centre ATOM, Université de Paris 1 (Sorbonne), France Aric Rindfleisch, University of Wisconsin-Madison, USA Vivian L.S. Silva, University of Sao Paolo, Brazil Brian Silverman, Rotman School of Management, University of Toronto, Toronto, USA Bernard L. Simonin, Tufts University, Medford, USA Andrew Terry, University of New South Wales, Australia Mika Tuunanen, University of Kuopio, Finland Windsperger Josef, University of Vienna, Austria) -- Josef Windsperger, PhD Associate Professor of Organization and Management (ao. Univ.-Prof.) University of Vienna, Center for Business Studies Bruenner Str. 72; A-1210 Vienna, Austria Phone: +431 4277 38180; Fax: +431 4277 38174 Email: josef.windsperger(a)univie.ac.at URL: http://www.univie.ac.at/im

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[VFN] EMNet2007,Erasmus University Rotterdam,CALL for Papers
by Windsperger Josef 08 Oct '06

08 Oct '06

CALL FOR PAPERS - EMNet 2007, Erasmus University Rotterdam The third international conference on ECONOMICS AND MANAGEMENT OF NETWORKS will be held at the Rotterdam School of Management, Erasmus University Rotterdam, from June 28 to June 30, 2007, in Rotterdam, The Netherlands. The purpose of the conference is to provide an international discussion forum for research in economics and management of networks. Theoretical, conceptual and empirical papers from all areas in economics and management of franchising, cooperatives, joint ventures, licensing, strategic alliances, venture capital relations, virtual networks and other hybrids, are invited. FRANCHISING COOPERATIVES JOINT VENTURES STRATEGIC ALLIANCES LICENCING VENTURE CAPITAL RELATIONS VIRTUAL NETWORKS OTHER NETWORK FORMS Relevant topics that are related to these network forms include those listed below: Theoretical Views on Networks Governance Organization Design and Decision Rights Economics & Law and Regulation Knowledge Management Issues Strategic Management Ownership and Incentives Organizational Behavior Industry Studies International Management IT and Networks Comparative Institutional Analysis Marketing and Distribution Channel International Market Entry Entrepreneurship and Innovation Competition between Network Forms Procedures for Submitting Papers Authors who want to present a paper should submit an abstract (1 page) and return the response form <http://www.univie.ac.at/EMNET/2005/registration_form.htm> as soon as possible, but not later than February 28, 2007. Please e-mail the response form <http://www.univie.ac.at/EMNET/2005/registration_form.htm> to: George W.J. Hendrikse (ghendrikse(a)rsm.nl) Rotterdam School of Management, Erasmus University Rotterdam PO Box 1738, Office T08-56 3000 DR Rotterdam, The Netherlands and Josef Windsperger (josef.windsperger(a)univie.ac.at) University of Vienna Center for Business Studies Brünner Str. 72 A-1210 Vienna, Austria Conference Fees: 190 EUR (including lunch, dinner and coffee breaks) Researchers from non-EU Eastern European countries, less developed countries and PhD students are requested to pay 120 EUR. Conference information can be found at the conference web page: www.univie.ac.at/EMNET/ <http://www.univie.ac.at/EMNET> Electronic conference proceedings and an edited book will be published. Important Deadlines: February 28, 2007 Abstract and response form MARCH 31, 2007 Confirmation of acceptance of the proposal MAY 15, 2007 Conference registration and payment of the conference fee MAY 31, 2007 One copy of the paper through e-mail to George Hendrikse and Josef Windsperger JUNE 15, 2007 Final program available (www.univie.ac.at/EMNET <http://www.univie.ac.at/EMNET>) Organizing Committee George Hendrikse (chairman), RSM, Erasmus University Rotterdam Josef Windsperger, University of Vienna Tao Jiang, RSM Li Feng, RSM Bart Dietz, RSM Decia Jansen, RSM Scientific Committee Ilan Alon, Rollins College, Crummer Graduate School of Business, Florida, USA Carlos Fdez. De Arroyabe, ESIC, Madrid, Spain Benito Arrunada, Universitat Pompeu Fabra, Barcelona, Spain Paolo F. Azevedo, National Distance University, Madrid, Spain Eric Brousseau, Université de Paris X, Nanterre, France Jenny Buchan, University of New South Wales, Sydney, Australia Gerard Cliquet, Université de Rennes 1, France Rajiv P. Dant, University of South Florida, Tampa, USA Thomas Ehrmann, Universität Münster, Germany Lorelle Frazer, Griffith University, Meadowbrook, Australia Pierre Garrouste, Centre ATOM, Université de Paris 1 and Université Lumiere-Lyon 2, France Anna Grandori, Bocconi Univeristy, Milan, Italy John Hagedoorrn, Universiteit Maastricht, Maastricht, NL George Hendrikse, Erasmus University Rotterdam, NL Liesbeth Kneppers, University of Groningen, NL Claude Menard, Centre ATOM, Université de Paris 1, France Tahir M. Nisar, University of Southhampton, Southhampton, UK Emmanuel Raynaud, INRA SADAPT & Centre ATOM, Université de Paris 1 (Sorbonne), France Aric Rindfleisch, University of Wisconsin-Madison, USA Vivian L.S. Silva, University of Sao Paolo, Brazil Brian Silverman, Rotman School of Management, University of Toronto, Toronto, USA Bernard L. Simonin, Tufts University, Medford, USA Andrew Terry, University of New South Wales, Australia Mika Tuunanen, University of Kuopio, Finland Windsperger Josef, University of Vienna, Austria) -- Josef Windsperger, PhD Associate Professor of Organization and Management (ao. Univ.-Prof.) University of Vienna, Center for Business Studies Bruenner Str. 72; A-1210 Vienna, Austria Phone: +431 4277 38180; Fax: +431 4277 38174 Email: josef.windsperger(a)univie.ac.at URL: http://www.univie.ac.at/im

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VFN-L October 2006