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
------------ 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
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
Prof. Pierre Mella-Barral from HEC Paris is going to present the paper
"Which way to Grow? Merging, Allying, or Buying Assets" in the research
seminar on April 28th.
Pierre will be at the BWZ on Thursday afternoon and at the IHS on Friday
before the seminar. If you would like to meet him please let me know.
Please accept my apologies for the outdated VGSF seminar website that still
shows Ananth Madhavan scheduled for this week's seminar. However, he had to
cancel his visit.
Best,
Michael Halling
Sehr geehrte Damen und Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr.
Otto Loistl, ist voraussichtlich ab 1. Mai 2006 bis 30. September 2008 die
Stelle eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen
Mitarbeiterin vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte dem entsprechenden Ausschreibungstext:
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers
(Bewerbungsfrist: 26. April 2006).
Für eine Weiterleitung an InteressentInnen bzw. Bekanntmachung über Ihre
Liste wäre ich Ihnen dankbar.
Mit vielen freundlichen Grüßen
Christopher Casey
--------------------------------------------------------------------
ao.Univ.-Prof. Dr. Christopher Casey
Institut fuer Finanzierung und Finanzmaerkte
Abteilung für Investmentbanking und Katallaktik
Wirtschaftsuniversität Wien
Althanstrasse 39-45, 1090 Wien, Oesterreich
Tel.: 0043-1-31336-4167
Fax: 0043-1-31336-761
Email: Christopher.Casey(a)wu-wien.ac.at
http://ifm.wu-wien.ac.at/
--------------------------------------------------------------------
Prof. Liam Brunt from the University of Lausanne is going to present the
paper "Do Banks Generate Financial Market Integration?" in the research
seminar on April 7th.
We are very happy that Prof. Brunt is able to come to Vienna on short
notice, as Prof. Bruno Solnik who was originally scheduled for this week had
to cancel his visit due to private reasons.
Prof. Brunt is going to be in Vienna from Thursday early afternoon to
Saturday afternoon. If you would like to meet him, please contact me via
email.
Best,
Michael Halling
-----------------------------------
P O S T D O C P O S I T I O N
AT THE
JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS
(RICAM)
OF THE AUSTRIAN ACADEMY OF SCIENCES, AUSTRIA
RICAM is a research institute which went into operation on January 1, 2003, and
is building up to a total of 30 PostDoc positions in six areas:
Computational Methods for Direct Field Problems
Inverse Problems
Mathematical Finance
Symbolic Computation
Analysis of Partial Differential Equations
Optimization and Control
The institute is housed on the campus of the Johannes Kepler University in
Linz, a town of about 200.000 inhabitants located along the Danube, very close
to the Austrian Alps, and half-way between Vienna and Salzburg (more
information about the institute can be found at http://www.ricam.oeaw.ac.at).
The "Mathematical Finance Group" is looking for a PostDoc with a strong
background in risk theory or quantitative finance. Possible specialisation
areas also include dependence modelling. Informal enquiries can be made to Dr.
Hansjörg Albrecher at: hansjoerg.albrecher(a)oeaw.ac.at.
A doctorate in mathematics or a closely related field is required. The working
language is English. The position is available from June 2006 or as soon as
possible thereafter. The initial contract can be for up to three years, a
renewal for three more years is possible depending on achievements. Closing
date for applications is May 1, 2006.
Two sets of applications with personal and scientific data, copies of relevant
documents and a statement about scientific interests and achievements should be
sent to
Prof. H. Engl
Johann Radon Institute
Austrian Academy of Sciences
Altenbergerstraße 69
A-4040 Linz
Austria
Alternatively, the application material can be sent by email to
annette.weihs(a)oeaw.ac.at
Date: Wed, 22 Mar 2006 10:41:32 +0100
From: "D. Filipovic" <filipo(a)mathematik.uni-muenchen.de>
--------------------------------------------------------
SUMMER SCHOOL
Risk Measurement and Optimal Investment
June 29 - 30, 2006
Mathematical Department
of the Ludwig-Maximilians Universitaet
LMU, Muenchen (Germany)
The summer school will take place at the Mathematical Department of the Ludwig-Maximilians Universitaet (LMU) of Muenchen on June 29 (13 - 19.30h) and on June 30 (9 - 17.30h). It consists of two mini courses on
* Risk Measures and Capital Allocation (Prof. F.Delbaen)
* Optimal Investment (Prof. C. Rogers)
held by Prof. F. Delbaen (ETH Zurich) and Prof. C. Rogers (University of Cambridge), and a special talk on
* Managing Value, Risk and Economic Capital:
A Practical Approach to Asset Liability Management
held by Dr. B. Kaufmann (Munich Re).
The school addresses PhD students, postgraduate researchers and all practitioners from the risk management in insurance and other financial institutions.
For further information, see:
http://www.mathematik.uni-muenchen.de/~finsum/koll.php
REGISTRATION
There is a registration fee. Participants are kindly requested to follow the indications on line available at
http://www.mathematik.uni-muenchen.de/~finsum/regi.html
ORGANISERS
Francesca Biagini, LMU Muenchen
(http://www.mathematik.uni-muenchen.de/~biagini/)
Damir Filipovic, LMU Muenchen.
(http://www.mathematik.uni-muenchen.de/~filipo/)
Please note that on March 24th there is not going to be a research seminar -
the originally planned seminar is cancelled.
The next seminar is given by Prof. Erwan Morellec (Université de Lausanne)
on "Stock returns in mergers and acquisitions" on FRIDAY, March 31st, from
15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere
Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before (starting at around 15:00) and
after the seminar.
If you want to meet Prof. Morellec to discuss your research projects, please
let me know. I'm going to set up a schedule for him.
Best,
Michael Halling
Im *Institut für Finanzierung und Finanzmärkte/ Corporate Finance* ist
voraussichtlich ab 1. Mai 2006 bis 30. April 2012 die Stelle *eines
Assistenten/einer Assistentin* (ArbeitnehmerIn der
Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), *vollbeschäftigt
*zu besetzen.
Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für
Assistent/inn/en eine maximale Befristungsdauer von 6 Jahren vorsieht.
Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind,
können daher nur mehr für die auf die 6 Jahre fehlende Zeit eingestellt
werden.
Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen,
die bereits einen Assistent/inn/enposten "Säule 2" inne hatten, aus
rechtlichen Gründen nicht möglich ist.
*Notwendige Kenntnisse und Qualifikationen:*
EU-Bürger/in, Doktorat in Wirtschaftswissenschaften oder
Wirtschaftsmathematik, gutes Englisch
*Erwünschte Kenntnisse und Qualifikationen:*
Erfahrung in Forschung und Lehre auf dem Gebiet der Finanzwirtschaft,
insbesondere im Bereich Corporate Finance in Verbindung mit Banking und
Accounting sowie Währungsmärkte und deren Mikrostruktur.
Fundierte ökonometrische Kenntnisse, Programmierkenntnisse in VBA und
C/C++,
sehr gute Kenntnisse im Umgang mit statistischer Software insbesondere
Stata sowie im Umgang mit Datenprovidern wie Reuters, Bloomberg und
Datastream.
*Kennzahl: 57905*
*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: 5. April 2006*
*Bitte die Kennzahl unbedingt anführen!*
Nähere Informationen gibt es bei Prof. Stefan Bogner.
Allgemeine Informationen zu Bewerbungen an der WU-Wien finden sich beispielsweise unter
http://notes.wu-wien.ac.at/usr/zid/mb/05/mb23.nsf/Inhalt?OpenView&Start=1&C…
-------------------------------------------------------------------------------
o.Univ.-Prof. Mag. Dr. Stefan Bogner
Wirtschaftsuniversität Wien
Institut für Finanzierung und Finanzmärkte
Abteilung für Betriebliche Finanzierung
UZA 4, 6. Stock Kern B
Nordbergstraße 15
A-1090 Wien
Tel: ++43 1 31336 4242
Fax: ++43 1 31336 736
E-mail: stefan.bogner(a)wu-wien.ac.at
Web: http://www.wu-wien.ac.at/dcf
--------------------------------------------------------------------------------