VFN-L May 2006

vfn-l@fam.tuwien.ac.at

5 participants
10 discussions

[VFN] PostDoc position at Vienna Graduate School of Finance
by VGSF-D.Grimm 24 May '06

24 May '06

POSTDOCTORAL POSITION at VIENNA GRADUATE SCHOOL OF FINANCE (VGSF) The Vienna Graduate School of Finance (VGSF – www.vgsf.ac.at) offers the first PhD Program in Finance in Austria and aims to become an internationally leading PhD program and research center. The VGSF is a cooperation between three leading academic institutions in Austria: Institute for Advanced Studies Vienna (IHS – www.ihs.ac.at), University of Vienna (www.univie.ac.at), and Vienna University of Economics and Business Administration (WU – www.wu-wien.ac.at). The VGSF is funded by the Austrian Science Fund (FWF – www.fwf.ac.at). The VGSF offers a Postdoctoral Position (full time) Job Description: The main focus of this position will be on research. It furthermore involves coordinating a first/second year “Finance Paper Reading” course and some general administrative tasks. Job Qualification: Candidates must have a doctoral degree in finance, financial economics or equivalent. Solid training and experience in econometrics or statistical modelling. Experience with one or more of the following packages: R, GAUSS, EVIEWS, STATA. Evidence of research capability at a level that can lead to publications in international peer-reviewed journals. The language of the PhD program in Finance is English. Therefore excellent English skills are required, German language skills are desirable but not obligatory. Start Date: As soon as possible, but no later than September 2006 Term: up to 2 years with possible extension Salary: Euro 40.300 gross per annum Application Deadline: June 25th, 2006 Candidates should mail or preferably e-mail their curriculum vitae, letters of recommendation, a one page statement of purpose in which they explain their interest in the position as well as their area of research, and a copy of one research paper to: Vienna Graduate School of Finance (VGSF) o.Univ.-Prof. Mag. Dr. Stefan Bogner c/o Wirtschaftsuniversität Wien Institut für Finanzierung und Finanzmärkte Abteilung für Betriebliche Finanzierung UZA 4, 6. Stock Kern B Nordbergstraße 15 - 1090 Wien (Vienna), Austria Tel: ++43 1 31336 4242 Fax: ++43 1 31336 736 E-mail: stefan.bogner(a)wu-wien.ac.at Further details about the VGSF are available at: http://www.vgsf.ac.at.

1 0

[VFN] Reminder: May 31st - Gutmann Center Public Lecture with Theo VERMAELEN: "Beating the Market with Buybacks"
by Gutmann Center-D.Grimm 24 May '06

24 May '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: May 31st, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Austria) Speaker: Prof. Dr. THEO VERMAELEN http://www.insead.edu/facultyresearch/faculty/profiles/tvermaelen/ Title: "BEATING THE MARKET WITH BUYBACKS" When firms announce plans to repurchase shares in the market, they often state that their shares are undervalued. In spite of this claim stock prices only increase slightly around the announcement. We show that, on average, the market is wrong, and managers are right: stock prices significantly under-react to buyback announcements. Of course, not every buyback is driven by undervaluation. In order to distinguish companies that repurchase shares because they are cheap from those that repurchase shares for other reasons, we develop an undervaluation index. The index measures the probability that the repurchase is driven by undervaluation. A portfolio strategy that invests in high undervaluation index stocks beats the Fama-French 3 factor model benchmark by 45 %, after 3 years. The strategy is stable over time in the sense that a buyback portfolio that consists of the 50 companies with the highest undervaluation index during the previous year, always beats the benchmark over the next 3 and 4 years. About Theo Vermaelen: Theo Vermaelen is the Schroders Professor of International Finance and Asset Management at INSEAD. He received his Ph.D. and MBA at the University of Chicago. Professor Vermaelen has published more than 10 articles on share repurchases in leading academic journals such as the Journal of Finance and the Journal of Financial Economics and is also the author of “Share Repurchases” published by NOW publishers. In addition he has extensive practical experience implementing the strategies suggested by his research as a portfolio manager of the KBC equity buyback fund, until 2004. He is planning to launch a new fund in the fall of this year. 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

1 0

[VFN] Special VGSF Research Seminar by Damir Filipovic on Monday, May 29th
by Michael Halling 23 May '06

23 May '06

Prof. Damir Filipovic from the University of Munich (Mathematics Institute) is giving a special VGSF research seminar on "Optimal Capital and Risk Transfer for Group Diversification" on Monday, May 29th, 17.00, in Seminarraum A 619, Wirtschaftsuniversität Wien, UZA4, 6. Stock, Nordbergstraße 15, 1090 Wien. Best, Michael Halling

1 0

[VFN] VGSF Research Seminar by Wolfgang Bühler on Wednesday 24th, 2006
by Michael Halling 23 May '06

23 May '06

Prof. Wolfgang Bühler from the University of Mannheim is giving a VGSF research seminar on "Credit Risk, Liquidity Risk, and Optimal Capital Structure under Incomplete Accounting Information" on WEDNESDAY, May 24th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Best, Michael Halling Abstract In a structural model for credit risk we endogenize inability to pay as a second independent reason for default besides overindebtedness. Inability to pay is triggered by rational behavior of incompletely informed outsiders. The firm needs to raise additional cash via secondary equity offerings in order to service its coupon payments. Underpricing of secondary equity offerings is explained as necessary for these offerings to be successful. In addition to Duffie/Lando (2001) we find that the liquidity risk has a strong impact on the current firm value and the optimal leverage. Credit spreads of debt in the primary market depend on the degree of liquidity risk. They can be lower or higher than in case without liquidity risk. Our results have a number of additional, interesting consequences. Contrary to Duffie/Lando (2001) incomplete information of outside investors has an impact on the default probability of the firm and therefore on the optimal capital structure which is determined in the primary market. The debt-equity ratio is typically lower than in the Duffie/Lando (2001) model that operates under complete information in the primary market and can result in lower credit spreads.

1 0

[VFN] VGSF research seminar by Lorenzo Garlappi on Friday, May 19th
by Michael Halling 17 May '06

17 May '06

Prof. Lorenzo Garlappi from the University of Texas at Austin is giving a VGSF research seminar on "Default Risk, Shareholder Advantage, and Stock Returns" on FRIDAY, May 19th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Lorenzo is going to be available for discussions on Friday before and after the seminar, and on the following Monday (22.5.) and Tuesday (23.5.). If you would like to meet him, please let me know. Best, Michael Halling Abstract In this paper, we study the relationship between default probability and stock returns. Using the market-based measure of Expected Default Frequency (EDF) constructed by Moody's KMV, we first demonstrate that higher default probabilities are not necessarily associated with higher expected stock returns, a finding that complements the existing empirical evidence. We then show that the puzzling and complex relationship between stock returns and default probability is consistent with the implications of existing structural models that account for possible negotiated benefits for equity-holders upon default. Adapting the setting of the Fan and Sundaresan (2000) model that explicitly considers the bargaining game between equity-holders and debt-holders in financial distress, we are able to obtain a theoretical relationship between expected returns and default probability that resembles the empirically observed pattern. Our analysis indicates that, depending on the level of shareholder advantage, the relationship between default probability and equity return may be either upward sloping (low shareholder advantage) or humped and downward sloping (high shareholder advantage). Moreover, we show that distressed firms in which shareholders have a stronger advantage in renegotiation exhibit lower expected returns, and that their default probabilities do not adequately represent the risk of default born by equity. We test these implications using several proxies for shareholder advantage and find strong support in the data.

1 0

[VFN] Workshop on Financial Modeling with Jump Processes (fwd)
by Walter Schachermayer by way of Andreas Schamanek 16 May '06

16 May '06

---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Mon, 15 May 2006 22:14:00 +0200 (CEST) From: Rama CONT <Rama.Cont(a)polytechnique.fr> Subject: Workshop on Financial Modeling with Jump Processes Dear colleague, On behalf of the Scientific Committee and the Local Organizing Committee, we are pleased to announce the forthcoming Workshop on Financial Modeling with Jump Processes, Ecole Polytechnique (Palaiseau, France), September 6-8, 2006 http://www.fiquam.polytechnique.fr/AMAMEF/ We invite contributions dealing with models based on jump processes and their applications in finance dealing in particular, but not exclusively, with the following issues: Multidimensional models with jumps: dependence modeling, Lévy copulas, numerical methods for multidimensional models. Simulation and estimation: efficient simulation of multivariate models, econometrics of jump processes, realized volatility/ bi-power variation. Partial integro-differential equations (PIDEs) and computational methods Inverse problems: theory and algorithms for inverse problems related to option pricing models with jumps. New modeling approaches: Markov processes with jumps, models for electricity prices, interest rate models with jumps and their efficient analytical and numerical treatment * DEADLINE for submission of abstracts: JUNE 15, 2006 * DEADLINE for registration: AUGUST 1, 2006. For more information please visit the conference website: http://www.fiquam.polytechnique.fr/AMAMEF/ THIS WORKSHOP IS SUPPORTED BY: European Programme on "Advanced mathematical methods for finance" Centre de Mathematiques Appliquees, Ecole Polytechnique Chaire des Risques Financiers, Ecole Polytechnique Seminar on Applied Mathematics, ETH Zurich Europlace Institute of Finance

1 0

[VFN] VGSF research seminar by Andrei Simonov on Friday, May 12th
by Michael Halling 10 May '06

10 May '06

Prof. Andrei Simonov from the Stockholm School of Economics is giving a VGSF research seminar on "Shareholder Homogeneity and Firm Value: The Disciplining Role of Non-Controlling Shareholders" on FRIDAY, May 12th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Andrei is going to be available for discussions on Thursday and Friday. If you would like to meet him, please let me know. Best, Michael Halling Abstract We study how the shareholding structure of a firm affects its stock price and profitability. We argue that the degree of shareholder homogeneity affects firm value. Homogeneous shareholders act as a disciplining device on managers, inducing them to be more transparent and to engage less in value destroying activities. This leads to higher firm profitability, higher stock price and lower volatility. Shareholder homogeneity represents an alternative and indirect source of corporate governance based on the stock market. We test this hypothesis by using a dataset containing information on all the shareholders for each firm in Sweden from 1995 to 2001. We construct two proxies for shareholder homogeneity: the first is based on the age cohort of the shareholders, and the second on their degree of college interaction. For each firm, we measure the degree of homogeneity of all shareholders. Using this proxy, we show that greater homogeneity increases firm profitability and returns, and reduces analysts forecasting errors and dispersion, and stock volatility.

1 0

[VFN] Invitation May 31st: Gutmann Center Public Lecture with Theo Vermaelen "Beating the Market with Buybacks"
by Gutmann Center-D.Grimm 08 May '06

08 May '06

1 0

[VFN] Second CfP for Special Sessions of CIEF'2006
by VFN-L admin * Andreas Schamanek 06 May '06

06 May '06

------------ Forwarded message ----------------- Date: Fri, 5 May 2006 19:12:12 +0200 (MEST) From: cobol(a)cc.kuas.edu.tw Subject: Second Call for Paper for Special Sessions of CIEF'2006 * My apology if multiple copies of this message reach you. Special sessions of CIEF'2006 Second Call For Paper The 5th International Conference on Computational Intelligence in Economics and Finance October 8-11, 2006 Kaohsiung City, Taiwan Submission deadline has been extended to June 1, 2006 http://www.jcis.org, www.aiecon.org Dear colleagues, We would like to invite you to submit your manuscript to the special sessions of CIEF'06. This conference features emerging the related quantitative and experimental methods and integrations of economic and financial studies with computational methods (e.g. numerical methods, econometrics, artificial neural networks, genetic algorithm, particle swarm optimization, fuzzy logics, etc.). All other aspects of theory and research on computational method related to economics and finance issue are welcome. CIEF'2006 will have organized 13 special sessions shown as follow: Topics Special Session Chairs Behavioral Economics and Finance Dr. Len-Kuo Hu, lkhu(a)nccu.edu.tw Dr. Yu-Hsiu Lin, yushiu(a)cc.kuas.edu.tw Experimental Economics Dr. Sun-Chong Wang, scwang(a)phys.sinica.edu.tw Econophysics Dr. Taisei Kaizoji, kaizoji(a)icu.ac.jp Dr. Yuji Aruka, aruka(a)tamacc.chuo-u.ac.jp Volatility Forecasting in Financial Market Dr. Prof. Dietmar Maringer dmaring(a)essex.ac.uk Financial engineering Dr. San-Lin Chung, chungs(a)management.ntu.edu.tw New Econometrics in stock market Dr. Chou, Ray-Yeutien, rchou(a)econ.sinica.edu.tw 02-27822791-321 Agent-based computational finance Dr. Takao Terano, terano(a)dis.titech.ac.jp Dr. Takashi Yamada, tyamada(a)trn.dis.titech.ac.jp Industrial Organization Dr. William F. Lawless, lawlessw(a)mail.paine.edu Electronic Finance (e-Finance) Dr. Kun-huang Huarng khhuarng(a)fcu.edu.tw Dr. Feng-Jyh Li fjlin(a)fcu.edu.tw Computable General Equilibrium (CGE) Modeling Dr. Shih-Mo Lin shihmo(a)cycu.edu.tw Financial Engineering and Economic Agent Models Dr. Serge Hayward shayward(a)escdijon.com Intelligent Decision Support System in Stock Market Dr. An-Pin Chen, apc(a)iim.nctu.edu.tw Mu-Yen Chen, chenmy(a)cc.ncue.edu.tw Fuzzy Decision and Management Dr. Yaw-Chu Chen, ycchen(a)mcu.edu.tw Innovation and Applications in SoftComputing Dr. Tzung-Pei Hong, tphong(a)nuk.edu.tw Dr. Wen-Yang Lin, wylin(a)nuk.edu.tw For submission details, please see CFP on the JCIS website (http://www.jcis.org/page/subconference/cief/special.html) and feel free to disseminate them to other colleagues. New important dates: Full paper (4 pages limited) submission due: 2006.6.1 Paper acceptance notification date: 2006.7.1 Final (Camera-ready) paper submission due: 2006.7.15 Paper submission: Please email to related special session chairs. Best regards, Shu-Heng Chen and Ping-Chen Lin Professor Dr. Shu-Heng Chen Conference Chair of CIEF'2006 AI-ECON Research Center Department of Economics National Chengchi University, Taipei, Taiwan 116 Tel: +886-2-2938-7308 Fax: +886-2-2937-0290 E-mail: chchen(a)nccu.edu.tw http://www.aiecon.org/ Associate Professor Dr. Ping-Chen Lin Program Chair of CIEF'2006 Institute of Finance and Information National Kaohsiung University of Applied Sciences 415 Chien Kung Road,Kaohsiung 807, Taiwan,R.O.C. Tel: +886-7-3814526 ext 6309 Celluar Phone: +886-935846043 Fax: +886-7-3831544 E-mail: lety(a)cc.kuas.edu.tw

1 0

[VFN] VGSF Research Seminar on May 5th, 2006
by Michael Halling 02 May '06

02 May '06

Prof. Dimitri Vayanos from LSE is going to present the paper "A Search-Based Theory of the On-the-Run Phenomenon" in the VGSF research seminar on May 5th. Dimitri will be at the BWZ on Friday morning and at the IHS around the seminar. If you would like to meet him please let me know. Best, Michael Halling

1 0

2025

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

1999

1998

1997

1996

1995

VFN-L May 2006