David Hirshleifer and Siew Hong Teoh from UC Irvine are giving two VGSF
research seminars on "Stock Market Misvaluation and Corporate Investment"
and "Driven to Distraction: Extraneous Events and Underreaction to Earnings
News" on WEDNESDAY, June 27th, from 14:00 to 15:30 and 15:45 to 17:15 in SR
2 at the BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities
& Events --> Research Seminars) for a map of the location and the papers to
download.
Please find the papers' abstracts below.
Best,
Michael Halling
Abstract:"Stock Market Misvaluation and Corporate Investment"
This paper explores whether and why misvaluation affects corporate
investment by comparing tangible and intangible investments; and by using a
price-based misevaluation proxy that filters out scale and earnings growth
prospects. Capital, and especially R&D expenditures increase with
overpricing; but only among overvalued firms. Misvaluation affects
investment both directly (catering) and through equity issuance. The
sensitivity of capital expenditures to misvaluation is stronger among
financially constrained firms; for R&D this differential is strong and in
the opposite direction. We identify several other factors that influence the
strength of misvaluation effects on investment. Generally the equity channel
reinforces direct catering, suggesting that the two are complementary.
Overall, our evidence supports several implications of the misvaluation
hypothesis for the tangible and intangible components of investment.
Abstract: "Driven to Distraction: Extraneous Events and Underreaction to
Earnings News"
Psychological evidence indicates that it is hard to process multiple stimuli
and perform multiple tasks at the same time. This paper tests the investor
distraction hypothesis, which holds that the arrival of extraneous news
causes trading and market prices to react sluggishly to relevant news about
a firm. Our test focuses on the competition for investor attention between a
firm's earnings announcements and the earnings announcements of other firms.
We find that the immediate stock price and volume reaction to a firm's
earnings surprise is weaker, and post-earnings announcement drift is
stronger, when a greater number of earnings announcements by other firms are
made on the same day. Distracting news has a stronger effect on firms that
receive positive than negative earnings surprises. Industry-unrelated news
has a stronger distracting effect than related news. A trading strategy that
exploits post-earnings announcement drift is unprofitable for announcements
made on days with little competing news.
Dear colleague,
you will find the final program for the EMNet 2007 at the RSM, Erasmus
University Rotterdam, under the following link:
http://www.univie.ac.at/EMNET/2007/index2007.html
Best regards,
George Hendrikse (RSM)
Josef Windsperger
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: June 26th, 2007, 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. David HIRSHLEIFER, University of California at Irvine
http://web.merage.uci.edu/~Hirshleifer/
Title: A TOUR OF BEHAVIORAL FINANCE
Abstract:
Using classical tools, the behavioral revolution in finance has laid the
groundwork for a new asset pricing paradigm based upon the psychology of
investors. In this approach, security expected returns are determined by
both risk and mispricing. In this overview of psychology and asset
pricing, I describe how psychological bias affects investor decisions
and market prices. I illustrate with examples of how feelings, limited
attention, and overconfidence affect financial markets.
About David Hirshleifer:
David Hirshleifer is Professor of Finance and Merage Chair in Business
Growth at the Merage School of Business, University of
California-Irvine, which he joined after serving as the Kurtz Chair in
Finance at Ohio State University, the Waterman Professor of Finance at
the University of Michigan, and as a tenured faculty member at UCLA.
Some of his recent research has explored psychology and securities
markets, how emotions affect stock prices and managerial decision
biases, and how firms exploit market inefficiency. He has also conducted
research on risk management, corporate finance, futures pricing, and the
role of social learning in the spread of fads and fashions. His research
has been profiled in international news media, and has won several
awards, including the Smith-Breeden Award for outstanding paper in the
Journal of Finance. Professor Hirshleifer has served as a consultant for
securities and money management firms; as editor of the Review of
Financial Studies; as associate editor of the Journal of Finance; in
editorial positions at several other finance, economics, and strategy
journals; and as director of the American Finance Association and the
Western Finance Association.
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
Am Institut für Banken und Finanzen ist die neu eingerichtete Professur
für Empirische Finanzmarktforschung zur Besetzung ausgeschrieben:
http://www.uibk.ac.at/ibf/aktuelles/ausschreibungek.pdf
Bitte auch um Weiterleitung an möglicherweise interessierte Kollegen!
Beste Grüße aus Innsbruck,
Michael Hanke
--
Prof. Dr. Michael Hanke
University of Innsbruck
Department of Banking and Finance
Universitaetsstrasse 15
6020 Innsbruck, Austria
Phone: +43 512 5077552, Fax: +43 512 5072846
Second Announcement
+-----------------------------------------------+
| Workshop and Mid-Term Conference on |
| Advanced Mathematical Methods for Finance |
| (AMaMeF), September 17-22, 2007 |
| <http://www.fam.tuwien.ac.at/amamef2007/> |
+-----------------------------------------------+
organized by PRisMa Lab and FAM @ TU Vienna
Location:
Vienna University of Technology
Wiedner Hauptstr. 8-10
1040 Vienna, Austria
(travel grants available!)
Scientific Program:
Mo, Sep. 17th: Educational workshop
(Speakers: Ernst Eberlein, Lane P. Hughston, Michèle Vanmaele)
Tu, Sep. 18th: Scientific conference
We, Sep. 19th: Scientific conference
Tu, Sep. 20th: Scientific conference
Fr, Sep. 21st: Practitioner's day
Sa, Sep. 22nd: Scientific conference (half day)
Invited Speakers (confirmed):
- Ole E. Barndorff-Nielsen (University of Aarhus)
"Noise, jumps and other annoyances - or delights"
- Tomas Björk (Stockholm School of Economics)
"Optimal investments under partial information"
- Freddy Delbaen (ETH Zürich)
"Monetary time consistent utility functions
and the viscous Hamilton-Jacobi quasi-linear PDE"
- Giulia Di Nunno (University of Oslo)
"Events of small but positive probability
and a version of the fundamental theorem of asset pricing"
- Ernst Eberlein (Universität Freiburg)
"Lévy driven equity, FX- and interest rate models"
- Damir Filipovic (LMU München) - "tba"
- Lane P. Hughston (King's College London)
"Information-based asset pricing"
- Ioannis Karatzas (Columbia University)
"Stochastic portfolio theory: a survey"
- Claudia Klüppelberg (TU München)
"The continuous-time GARCH model"
- Dmitry Kramkov (Carnegie Mellon University) - "tba"
- Damien Lamberton (Université de Marne-la-Vallée)
"Optimal stopping problems with irregular payoff functions"
- Marek Musiela (BNP Paribas, London) - "tba"
- Bernt Øksendal (University of Oslo)
"Optimal portfolio for an insider in a strategic market equilibrium"
- Chris Rogers (University of Cambridge) - "tba"
- Wolfgang Runggaldier (Università degli Studi di Padova)
"Contagious default: application of methods
of statistical mechanics in finance"
- Peter Schaller (Bank Austria Creditanstalt)
"Consistent incorporation of statistical uncertainties
into quantile estimates"
- Christoph Schwab (ETH Zürich)
"Numerical derivative pricing in non-BS markets"
- Martin Schweizer (ETH Zürich)
"Modelling option prices"
- Mete Soner (Koc University Istanbul) - "tba"
- Lukasz Stettner (Polish Academy of Sciences)
"Portfolio selection with transaction costs,
decision lag and execution delay"
- Eva Strasser (JP Morgan)
"Correlation modelling in equity derivatives"
- Esko Valkeila (Helsinki University of Technology)
"Approximation of geometric fractional Brownian motion"
- Michèle Vanmaele (Universiteit Gent)
"Comonotonicity applied in finance"
- Constantin Varsan (Romanian Academy, Bucharest)
"Asymptotic behaviour of piece-wise continuous solutions of S.D.E."
- Thaleia Zariphopoulou (University of Texas)
"Investment performance measurement, risk tolerance
and optimal portfolio choice"
Some Contributed Talks:
- Giovanni Barone-Adesi (University of Lugano)
"Barrier option pricing using adjusted transition probabilities"
- Pavel Grigoriev (University of Leicester)
"Kusuoka's formula for dynamic risk measures"
- Laszlo Gyorfi (Budapest University)
"Growth-optimal portfolio selection strategies with transaction costs"
- Ludger Overbeck (Universität Giessen)
"Risk measures for structured credit products"
- Georg Pflug (Universität Wien)
"Pricing of swing options and stochastic games"
- Robert Stelzer (TU München)
"Multivariate continuous time Lévy-driven GARCH processes"
- Uwe Wystup (Mathfinance AG)
"Closed-form exotic option pricing in the Heston model"
For abstracts and updates see
http://www.fam.tuwien.ac.at/amamef2007/abstracts.php
Contributed Talks:
You may apply to give a talk by sending an email to the conference
secretary (see below). Please include the title and an abstract. The
deadline to apply is June, 30th. The organizing committee tries to
answer as soon as possible, but please understand that they can't
immediately decide whether your talk is accepted or not.
Poster Presentations:
There is the possibility of poster presentations. Please apply the
same way as for contributed talks. The deadline for applications is
June, 30th.
Grants for Ph.D. students and young PostDocs:
Thanks to the AMaMeF program, we have several travel grants available
covering the conference fee and up to ¤ 400,- for travel and
accommodation. These are available for Ph.D. students and young
postdocs. To apply for one of these grants, please send a current
curriculum vitae (including a short description of your current
research) to the conference secretary. The deadline for applications
is June, 30th. There is a strong preference for applicants who give a
talk or a poster presentation.
Conference Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Vienna)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
Organizing Committee:
- Peter Grandits
- Friedrich Hubalek
- Reinhold Kainhofer
- Johannes Leitner
- Walter Schachermayer
- Uwe Schmock
For registration details, conference fees, etc., please visit the
conference web site at <http://www.fam.tuwien.ac.at/amamef2007/>,
which will be updated continuously. We are looking forward to welcome
you in Vienna!
On behalf of the Organizing Committee,
Uwe Schmock
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
Richard Stanton from UC Berkeley is giving a VGSF research seminar on
"Optimal Exercise of Executive Stock Options and Implications for Firm Cost"
on FRIDAY, June 22nd, from 15:30 to 17:00 in HS 7 at the BWZ, Brünnerstrasse
72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research
Seminars) for a map of the location, the paper to download and this term's
entire schedule of seminars.
Please find the paper's abstract below. Please contact Youchang Wu if you
would like to meet and discuss your research with Richard.
Best,
Michael Halling
Abstract
The cost of executive stock options has become a focus of investor
attention. The difficulty is that option cost depends on the exercise
policies of executives. This paper analyzes the optimal policy for a general
utility-maximizing executive holding a nontransferable option. We show
analytically how the policy varies with risk aversion, wealth, and dividend
rate, and when the policy is characterized by a single stock price boundary.
We also provide an example with a split continuation region. In CRRA
examples, option value decreases with risk aversion, increases with wealth,
increases with outside hedging opportunities, but can actually decline with
volatility.
*The Finance Department of the University of Vienna invites Applications
for an Assistant Professor Position* (Universitätsassistent)
*Department of Finance,* Faculty of Economics and Business
Administration (O. Univ.-Prof. Dr. Josef Zechner)
*Location:* Vienna, Austria
The position is available starting in July 2007. The duration of the
employment contract is six years. Applicants should have high research
potential and must have completed their doctoral degree.
Applications are invited in all fields of Finance.
The successful candidate is expected to take an active role in the
department's research activities, engage in joint research projects,
interact with seminar speakers and visiting faculty and contribute to
the doctoral programme, the Vienna Graduated School of Finance. Teaching
responsibilities are limited to 3 class room hours per week per
semester. The teaching language will be English.
Finance as one of our faculty's strategic areas of development for
research and teaching activities. Through its successful track record in
this area, the University of Vienna hopes to attract candidates with
international exposure who are willing to contribute to its development
as a strong centre for academic research in Finance.
The University of Vienna is an Equal Opportunity Employer. Women are
encouraged to apply.
*Applications/Contact Details*
Applicants should submit their application before June 24, 2007 to
Universität Wien
Personalabteilung
Kennzahl: 37573/MB
Dr.-Karl-Lueger-Ring 1
A-1010 Wien.
Further informations are available at
<http://personalabteilung.univie.ac.at/index.php?id=job>.
22. Workshop der Austrian Working Group on Banking and Finance
Das Institut für Banken und Finanzen (o. Univ.-Prof. Dr. M. Bank, CFA /
a.o. Univ.-Prof. Dr. M. Hanke / o. Univ.-Prof. Dr. K. Schredelseker) an der
Leopold-Franzens-Universität Innsbruck veranstaltet gemeinsam mit der
Österreichischen Bankwissenschaftlichen Gesellschaft am
23. und 24. November 2007 in Innsbruck
den 22. Workshop der Austrian Working Group on Banking and Finance
Der Workshop findet am Freitag, dem 23. November 2007, nachmittags, und am
Samstag,
dem 24. November 2007, vormittags, an der Leopold-Franzens-Universität
Innsbruck statt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
First CALL for PAPERS
Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 12.
Oktober 2007 bei
o. Univ.-Prof. Dr. M. Bank, CFA, Leopold-Franzens-Universität Innsbruck,
Institut für betriebliche Finanzwirtschaft, Hypo Tirol Stiftungsprofessur
für Banking & Finance, A-6020 Innsbruck, Universitätsstraße 15, oder
e-mail: banken-finanzen(a)uibk.ac.at, eingereicht werden.
Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können
Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine
solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 1.
Oktober 2007 einzureichen.
Der Call for Papers kann als pdf unter
http://www.bwg.at/bwg2/bwg.nsf/Menue/1.4 abgerufen werden.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: June 26th, 2007, 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. David HIRSHLEIFER, University of California at Irvine
http://web.merage.uci.edu/~Hirshleifer/
Title: A TOUR OF BEHAVIORAL FINANCE
Abstract:
Using classical tools, the behavioral revolution in finance has laid the
groundwork for a new asset pricing paradigm based upon the psychology of
investors. In this approach, security expected returns are determined by
both risk and mispricing. In this overview of psychology and asset
pricing, I describe how psychological bias affects investor decisions
and market prices. I illustrate with examples of how feelings, limited
attention, and overconfidence affect financial markets.
About David Hirshleifer:
David Hirshleifer is Professor of Finance and Merage Chair in Business
Growth at the Merage School of Business, University of
California-Irvine, which he joined after serving as the Kurtz Chair in
Finance at Ohio State University, the Waterman Professor of Finance at
the University of Michigan, and as a tenured faculty member at UCLA.
Some of his recent research has explored psychology and securities
markets, how emotions affect stock prices and managerial decision
biases, and how firms exploit market inefficiency. He has also conducted
research on risk management, corporate finance, futures pricing, and the
role of social learning in the spread of fads and fashions. His research
has been profiled in international news media, and has won several
awards, including the Smith-Breeden Award for outstanding paper in the
Journal of Finance. Professor Hirshleifer has served as a consultant for
securities and money management firms; as editor of the Review of
Financial Studies; as associate editor of the Journal of Finance; in
editorial positions at several other finance, economics, and strategy
journals; and as director of the American Finance Association and the
Western Finance Association.
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