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[VFN] VGSF research seminar: adlai Fisher
by Youchang Wu 03 Sep '07

03 Sep '07

Adlai Fisher from University of British Columbia is giving a VGSF research seminar on "Conditional Risk, Overconditioning, and the Performance of Momentum Strategies" on September 7, Friday, from 15:30 to 17:00, at HS 3, BWZ, Bruennerstrasse 72, A-1210 Vienna. See the VGSF webpage (Activities & Events--> Research Seminars) for a map of the location, and the paper to be presented. The abstract of the paper is attached below. Best, Youchang Abstract: Recent empirical studies evaluate the performance of investment strategies using contemporaneously measured loadings to proxy for conditional risk. We demonstrate that such procedures lead to potentially large biases in alpha when payoffs are nonlinear. We combine lagged portfolio and component realized betas with standard instruments to improve performance analysis, and .nd that conditioning information reduces momentum alphas by 20-40% relative to unconditional estimates. Overconditioned alphas are up to 2:5 times larger than appropriately conditioned measures.

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[VFN] CfP: Conference on Finance, Stochastics and Insurance, Bonn, 2008 (fwd)
by VFN-L admin * Andreas Schamanek 21 Jul '07

21 Jul '07

---------- Forwarded message ---------- Date: Fri, 20 Jul 2007 08:01:17 +0200 (CEST) From: kraft(a)mathematik.uni-kl.de CALL FOR PAPERS CONFERENCE ON FINANCE, STOCHASTICS AND INSURANCE FEBRUARY 25TH - 29TH 2008 HAUSDORFF RESEARCH INSTITUTE FOR MATHEMATICS (HIM) UNIVERSITY OF BONN, GERMANY TOPIC: The conference will bring together current research in mathematical finance namely on the development of a new generation of risk measures (e.g. "coherent risk measures", "theory of no good deals"), on the arbitrage pricing theory including pricing and hedging of complex financial derivative and on the risk management of long term insurance contracts. Related topics are the discussion of reforms of solvency requirements for financial institutions, the development of asset pricing theory in incomplete financial markets and new approaches to financial regulation. ORGANIZERS: Holger Kraft (University of Kaiserslautern, Germany), Kristian R. Miltersen (NHH, Bergen) J. Aase Nielsen (University of Aarhus, Denmark), Klaus Sandmann (University of Bonn, Germany) INVITED SPEAKERS: Fred Espen Benth (University of Oslo, Norway), Freddy Delbean (ETH, Zürich, Switzerland), Ralf Korn (University of Kaiserslautern, Germany), David Lando (Business School Copenhagen, Denmark), Mogens Steffensen (University of Copenhagen, Denmark), Rudi Zagst (University of Munich, Germany) PAPERS: Authors wishing to present a paper should send two copies of the paper with a short abstract (to be included in the program) to Klaus Sandmann ELECTRONIC SUBMISSION TO: k.sandmann(a)uni-bonn.de Submission of pdf format is required. Accepted papers will be made available to download from the conference page. DEADLINE FOR SUBMISSIONS: November 1. 2007 Acceptance: December 1. 2007 -- ******************************************** Dr. Holger Kraft Assistant Professor for Mathematical Finance Department of Mathematics Mathematical Finance Group University of Kaiserslautern www.mathematik.uni-kl.de/~kraft ********************************************

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[VFN] SHORT-TERM REMINDER: DOUBLE VGSF Research Seminar on Wednesday, June 27th, by David Hirshleifer and Siew Hong Teoh
by Michael Halling 27 Jun '07

27 Jun '07

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.

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[VFN] EMNet 2007 - Rotterdam, June 28 - 30
by Josef Windsperger 25 Jun '07

25 Jun '07

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

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[VFN] Reminder: June 26th Public Lecture with David Hirshleifer "A Tour of Behavioral Finance"
by Gutmann Center-D.Grimm 22 Jun '07

22 Jun '07

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

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[VFN] Ausschreibung Professur Empirische Finanzmarktforschung
by Michael Hanke 21 Jun '07

21 Jun '07

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

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[VFN] Conference Adv. Math. Methods for Finance, Sept. 17-22, 2007, Vienna
by Uwe Schmock 19 Jun '07

19 Jun '07

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/>

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[VFN] VGSF Research Seminar on Friday, June 22nd, by Richard Stanton
by Michael Halling 18 Jun '07

18 Jun '07

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.

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[VFN] Assistant Professor Position, Kennzahl: 37573/MB
by Martina Schlichting 15 Jun '07

15 Jun '07

*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>.

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[VFN] 22. Workshop der AWG in Innsbruck, 23. & 24. November 2007
by office＠bwg.at 12 Jun '07

12 Jun '07

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.

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[VFN] Invitation: June 26th - Public Lecture with David Hirshleifer "A Tour of Behavioral Finance"
by Gutmann Center-D.Grimm 11 Jun '07

11 Jun '07

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[VFN] 3rd Annual CARISMA Seminar on Program Trading Techniques and Financial Models for Hedge Funds
by Xiaochen Sun 25 May '07

25 May '07

{Apologise for cross-sending.} Dear Colleagues, On behalf of Professor Gautam Mitra, CARISMA, we are pleased to announce the forthcoming events on Program Trading and Hedge Funds. Please find the details below (or request PDF brochures for both conference and workshops by email to mapgxcs(a)brunel.ac.uk / info(a)unicom.co.uk ). We are also delighted to announce that ALL STUDENTS and ACADEMIC RESEARCHERS WILL BENEFIT THE EARLY BIRD RATE, besides that there are some discounts for group booking. We would appreciate if you could distribute this message to those colleagues who are interested in this topic. Program Trading Techniques and Financial Models for Hedge Funds: 3rd Annual CARISMA Seminar <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> 26 - 27 June 2007, London Related workshops: * Robust Portfolio Optimisation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Daniel Bienstock, Columbia University, 25 June - Half Day * Structuring Step-up CDOs: an Optimization Approach (including models and software demonstration) <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Stanislav Uryasev, University of Florida, and Gautam Mitra, CARISMA & OptiRisk Systems 25 June - Half Day * Great investors and hedge fund managers:their methods and evaluation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - William T Ziemba, University of British Columbia, 25 June * Financial Innovation <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Dilip Madan, University of Maryland, and Marek Musiela, BNP Paribas, 28 June 2007 * Algorithmic Decision Making Framework <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> - Roberto Malamut, SAC Capital Advisors, with guest presentation by Ekaterina Kochieva, CARISMA, 28 June Conference Programme * Day One Continuing Research on Optimal Trade Execution - Daniel Bienstock, Professor of Operations Research, Columbia University A Market Impact Model That Works - Dan diBartolomeo, Northfield Information Services, Inc., and Visiting Professor, CARISMA High Frequency Trading on Equity Market Micro Structure Evolution - M A H Dempster, Centre for Financial Research, Judge Business School University of Cambridge; V Leemans, Goldman Sachs, London Algorithmic Execution: Some future challenges - Gordon Baker, Head, Algorithmic Execution Services, Deutsche Bank Optimal Liquidation Against a Markovian Limit Order Book - Patrick Hewlett, OCIAM, University of Oxford Automated New Content and Algorithmic Trading - Philip Gagner, RavenPack International SL Algorithmic Trading of Hedge Funds - Nicos Christofides, Director, Centre for Quantitative Finance, Imperial College Invitation-only senior executive networking event on the first evening, which will be attended by an additional group of guests * Day Two Theory of Acceptability Indices Applied to Evaluating Hedge Fund Performance - Dilip Madan, University of Maryland Improving Hedge Fund Performance via Multi-Stage Stochastic Programs - John M. Mulvey, Professor of Operations Research, Princeton University Validation of Derivatives Pricing Models - Dario Cziraky, Insightful Independent Components Analysis of Hedge Fund Returns - Andrew Robinson, APT Detection of Momentum Effects Using an Index Out-performance Strategy - N. Meade, Imperial College & J.E. Beasley, CARISMA Portfolio Optimization with Drawdown Constraints - Stan Uryasev, University of Florida, USA, and American Optimal Decisions Algorithmic Decision Making Framework - Roberto Malamut, SAC Capital Advisors For further details please go to http://www.carisma.brunel.ac.uk/newsandinfo.html <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> or www.unicom.co.uk/finance <https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.…> or email mapgxcs(a)brunel.ac.uk or info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF flier. We look forward to welcoming you to the conference and workshops, please also make your colleagues aware of it. With kind regards Michael Sun ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk/> Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Uxbridge, UB8 3PH United Kingdom Email: xiaochen.sun (at) brunel.ac.uk http://optirisk.googlepages.com/ <http://optirisk.googlepages.com/> http://people.brunel.ac.uk/~mapgxcs <http://people.brunel.ac.uk/~mapgxcs> Blog: http://mam3xs.blogspot.com <http://mam3xs.blogspot.com/> Tel: (+44) (0)1895 265625 Mobile: (+44) (0)7841873292 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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[VFN] VGSF Research Seminar on Friday, May 25th, by Günter Strobl
by Michael Halling 23 May '07

23 May '07

Günter Strobl from the University of North Carolina, Chapel Hill, is giving a VGSF research seminar on "Time-Varying Information Asymmetry and the Disposition Effect" on FRIDAY, May 25th, 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 (soon) and this term's entire schedule of seminars. Please find the paper's abstract below. Best, Michael Halling Abstract Economists have long been puzzled by the tendency of investors to sell winning investments too soon and hold losing investments too long. Several behavioral explanations for this phenomenon, known as the disposition effect, have been advanced. This paper demonstrates that the disposition effect is not intrinsically at odds with rational behavior. We present a rational expectations model with asymmetrically informed investors and show that, for some parameterizations, trading strategies as predicted by the disposition effect are in fact an optimal response to dynamic changes in the information structure. We provide conditions under which the disposition effect holds and derive new empirical implications relating it to public news releases, trading volume, and stock price dynamics.

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[VFN] Reminder: Invitation Gutmann Center Symposium 2007 on June 1st
by Gutmann Center-D.Grimm 22 May '07

22 May '07

The Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at is pleased to announce the GUTMANN CENTER SYMPOSIUM 2007: CREDIT RISK AND THE MANAGEMENT OF FIXED INCOME PORTFOLIOS - With copious apologies for duplicated emails! - June 1st, 2007 - 9.00 am - 6.30 pm, University of Vienna (Austria) Aula Altes AKH, Hof 1, Alser Str. 4, 1090 Wien Fixed income products and credit derivatives represent booming markets with predictable cash-flows and attractive return-risk profiles. Still, the economic relationships underlying these products are very sophisticated. Determinants of credit spreads, the price of default and liquidity risk and models of default correlations are important questions in academic research and have immediate implications for fixed income fund management. At the Gutmann Symposium 2007 internationally recognized experts will address these issues and present their most current research results. 08.30-09.00 Registration 09.00-09.15 WELCOME Josef Zechner - University of Vienna 09.15-10.45 SESSION I: CREDIT SPREADS AND CREDIT RATINGS Chair: Josef Zechner - University of Vienna "Cash Holdings and Credit Spreads" Sergei Davydenko - University of Toronto Discussant: Youchang Wu - University of Vienna "Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle" Alexander David - University of Calgary Discussant: Thomas Steinberger - University of Vienna "Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration" Ashay Kadam - Cass Business School Discussant: Alexander David - University of Calgary 10.45-11.15 - coffee break - 11.15-12.45 SESSION II: CREDIT DEFAULT SWAP MARKETS: DEFAULT, LIQUIDITY AND RECOVERY RISK Chair: Klaus Spremann - University St. Gallen "Liquidity and Liquidity Risk Premia in the CDS Market" Dion Bongaerts - University of Amsterdam Discussant: Holger Kraft - University of Kaiserslautern "Liquidity and Credit Default Swap Spreads" Dragon Yongjun Tang - Kennesaw State University Discussant: Stefan Pichler - Wirtschaftsuniversität Wien "Separating the Components of Default Risk: A Derivative-Based Approach" Anh Le - New York University Discussant: Ashay Kadam - Cass Business School 12.45-14.00 - lunch break - 14.00-15.30 PANEL DISCUSSION: CREDIT RISK MARKETS - OPPORTUNITIES AND CHALLENGES Chair: Engelbert Dockner - University of Vienna Discussants: Joe Biernat - European Credit Management Limited (ECM) Pierre Collin-Dufresne - UC Berkeley/ Goldman Sachs Asset Management Stephen Schaefer - London Business School Suresh Sundaresan - Columbia University Friedrich Strasser - Bank Gutmann AG 15.30-16.00 - coffee break - 16.00-17.00 SESSION III: STRUCTURAL CREDIT RISK MODELS Chair: Stephen Schaefer - London Business School "On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle" Pierre Collin-Dufresne - UC Berkeley/ Goldman Sachs Asset Management Discussant: Neal Stoughton - University of Calgary "Specification Analysis of Structural Credit Risk Models" Jing-zhi Huang - Penn State University Discussant: Thomas Dangl - Vienna University of Technology 17.00-17.15 - coffee break - 17.15-18.15 SESSION IV: FIXED INCOME PORTFOLIO MANAGEMENT Chair: Robert Korajczyk - Northwestern University "An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion" Holger Kraft - University of Kaiserslautern Discussant: Helmut Elsinger - University of Vienna "Understanding Common Factors in Domestic and International Bond Spreads" Rodolfo Martell - Purdue University Discussant: Otto Randl - Anaxo - refreshments - Participation fee: the participation is free, but all participants are required to register. Contact: Gutmann Center for Portfolio Management University of Vienna - Dorothea Grimm - gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Web: www.gutmann-center.at

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[VFN] VGSF Research Seminar on Friday, May 18th, by Toni M. Whited
by Michael Halling 16 May '07

16 May '07

Toni M. Whited from the University of Wisconsin, Madison, is giving a VGSF research seminar on "The Corporate Propensity to Save" on FRIDAY, May 18th, 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 (soon) and this term's entire schedule of seminars. Please find the paper's abstract below. Best, Michael Halling Abstract We study corporate saving in a stochastic, dynamic model of the firm with endogenous choices of external finance, distributions, cash, and investment. Intertemporal trade-offs between costly external finance and interest income taxation determine optimal savings. Unlike static models, our model produces negative propensities to save out of income because firms lower cash reserves to invest after receiving good productivity news, and vice versa. OLS regressions using international data replicate positive saving propensities found previously. However, treating measurement error in Tobin's q produces negative propensities, consistent with our model. Empirically, income uncertainty matters more for saving than the cost of external finance.

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[VFN] Ankündigung:Kolloquium Finanz- und Versicherungsmathematik
by Hermine Panzenböck 10 May '07

10 May '07

Kolloquium Finanz- und Versicherungsmathematik in Theorie und Praxis Ort: TU Graz, Steyrergasse 30, EG, HS AE01 Zeit: 1. Juni 2007 10:00: Eröffnung 10:15: Prof. Dr. Ralf Korn (Univ. Kaiserslautern) Vortragstitel: Dividenden, Inflation und dynamische Mortalität 11:15: Prof. Dr. Wim Schoutens (K.U.Leuven) Vortragstitel: Levy Processes jumping into Credit Risk Mittagspause 14:00: Dr. Jürgen Hartinger (Kärntner Landesversicherung Klagenfurt) Vortragstitel: Solvency II - Aktuarielle Herausforderungen im neuen Aufsichtssystem für Versicherungen 14:35: Mag. Peter Rohrer (Raiffeisen Landesbank Graz) Vortragstitel: Neue Märkte - Chancen und Herausforderungen im Geld- und Kapitalmarktgeschäft am Beispiel der RLB Steiermark 15:10: Dipl. Ing. Mario Kasper (Merkur Versicherung Graz) Vortragstitel: Auswirkungen aktueller rechtlicher Entwicklungen auf die Kalkulation in der Lebensversicherung Kaffeepause 16:15: Dr. Günther Puchtler (Grazer Wechselseitige Versicherung) Vortragstitel: Wirkungen der Lebensversicherung auf die Unternehmensbilanz Organisatoren: R. Tichy, H. Albrecher -- ------------------------------ Institut für Analysis und Computational Number Theory (Math A) Technische Universität Graz Steyrergasse 30 - A-8010

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[VFN] Invitation: May 31st: Gutmann Center Practitioners' Seminar - "The Structural Approach to Credit Risk"
by Gutmann Center-D.Grimm 08 May '07

08 May '07

The Gutmann Center for Portfolio Management at the University of Vienna www.gutmann-center.at invites to the first GUTMANN CENTER PRACTITIONERS' SEMINAR "THE STRUCTURAL APPROACH TO CREDIT RISK" with: Prof. Dr. Stephen SCHAEFER, London Business School Date: May 31st (Thursday), 14.00 - 17.30 Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Invitation available as pdf on www.gutmann-center.at!) On occasion of its 5th annual symposium, the Gutmann Center extends its bridging activities, bringing together academia and industry, and offers for the first time a "Gutmann Center Symposium Practitioners' Seminar". In this half-day workshop designed especially for participants from the portfolio management industry, Stephen Schaefer from London Business School provides an introduction to the problem of modeling credit risk, describes the "structural approach", explains how it works, what its successes and failures have been and what it has to offer to practitioners who have to deal with credit risk. About Stephen Schaefer: Stephen Schaefer is Professor of Finance at London Business School. Formerly on the faculty of the Graduate School of Business at Stanford University, he has also been a visiting professor at the Universities of British Columbia, California (Berkeley), Cape Town, Chicago and Venice. He has published widely on fixed income markets, risk management, credit risk and financial regulation. At London Business School he has been at various times Research Dean, Chairman of the finance area, Director of the Institute of Finance and Accounting and a member of the School's Governing Body. In his outside academic life, Stephen Schaefer is a Senior Research Advisor to Moody's KMV, a member of Moody's Academic Research and Advisory Committee and a Non-Executive Director of Leo Fund Management. He was formerly an Independent Board Member of the Securities and Futures Authority and a Trustee-Director of Smith Breeden Mutual Funds. Program: 14.00-14.15 Welcome Rudolf Stahl, CEO Bank Gutmann AG Josef Zechner, University of Vienna and Gutmann Center 14.15-15.30 Introduction to Credit Risk - What is default? - How to model default - the main alternatives - The data The Structural Approach (Part I) - The basic idea (Black-Scholes-Merton[BSM]) - Limitations of BSM 15.30-16.00 - Coffee Break - 16.00-17.15 The Structural Approach (Part II) - Models with early default - Evidence on using structural models for predicting credit spreads and default probabilities Some recent research: Using structural models to understand - Hedge ratios (against the issuing firm's equity) - Duration Summary and discussion - Refreshments - Please register no later than May 23rd, 2007! Participation is free of charge, but the number of participants is limited. Registration, contact and further information: Gutmann Center for Portfolio Management University of Vienna Bruenner Strasse 72 1210 Wien (Vienna), Austria Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Mail: gutmann.bwl(a)univie.ac.at Homepage: www.gutmann-center.at

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[VFN] VGSF Research Seminar on Wednesday, May 9th, by Michael Roberts
by Michael Halling 07 May '07

07 May '07

Michael Roberts from the University of Pennsylvania (the Wharton School) is giving a VGSF research seminar on "Control Rights and Capital Structure: An Empirical Investigation" on WEDNESDAY, May 9th, from 16:00 to 17:30 in SR 1 (Seminarraum 1) 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 (soon) and this term's entire schedule of seminars. Please find the paper's abstract below. Michael Roberts is going to be in Vienna until Friday morning. He would be very happy to discuss research with the local faculty. Please contact Michael Halling if you are interested and would like to take advantage of this opportunity. Best, Michael Halling Abstract We show that a large number of financing decisions of solvent firms are dictated by creditors, who use the transfer of control rights accompanying financial covenant violations to address incentive conflicts between managers and investors. After showing that financial covenant violations occur among almost one third of all publicly listed firms, we find that creditors use the threat of accelerating the loan to reduce net debt issuing activity by over 2% of assets per annum immediately following a covenant violation. Further, this decline is persistent in that net debt issuing activity fails to return to pre-violation levels even after two years, resulting in a gradual decline in leverage of almost 3%. These findings represent the first, of which we are aware, piece of empirical evidence highlighting the role of control rights in shaping corporate financial policies outside of bankruptcy.

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[VFN] Invitation June 1st: Gutmann Center Symposium on Credit Risk and the Management of Fixed Income Portfolios
by Gutmann Center-D.Grimm 02 May '07

02 May '07

The Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at is pleased to announce the GUTMANN CENTER SYMPOSIUM 2007: CREDIT RISK AND THE MANAGEMENT OF FIXED INCOME PORTFOLIOS - apologies for any cross-postings!! - June 1st, 2007; 9.00 am - 6.30 pm University of Vienna, Aula Campus Altes AKH - Hof 1, Alser Str. 4, 1090 Wien Fixed income products and credit derivatives represent booming markets with predictable cash-flows and attractive return-risk profiles. Still, the economic relationships underlying these products are very sophisticated. Determinants of credit spreads, the price of default and liquidity risk and models of default correlations are important questions in academic research and have immediate implications for fixed income fund management. At the Gutmann Symposium 2007 internationally recognized experts will address these issues and present their most current research results. NO CONFERENCE FEE - ONLY REGISTRATION REQUIRED PLEASE REGISTER VIA E-MAIL NOT LATER THAN May 21st: gutmann.bwl(a)univie.ac.at PROGRAM: 08.30-09.00 Registration 09.00-09.15 WELCOME Josef Zechner, University of Vienna 09.15-10.45 SESSION I: CREDIT SPREADS AND CREDIT RATINGS "Cash Holdings and Credit Spreads" Sergei Davydenko - University of Toronto "Inflation Uncertainty, Asset Valuations, and the Credit Spreads Puzzle" Alexander David - University of Calgary "Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration" Ashay Kadam - Cass Business School 10.45-11.15 - coffee break - 11.15-12.45 SESSION II: CREDIT DEFAULT SWAP MARKETS: DEFAULT, LIQUIDITY AND RECOVERY RISK "Liquidity and Liquidity Risk Premia in the CDS Market" Dion Bongaerts - University of Amsterdam "Liquidity and Credit Default Swap Spreads" Dragon Yongjun Tang - Kennesaw State University "Separating the Components of Default Risk: A Derivative-Based Approach" Anh Le - New York University 12.45-14.00 - lunch break - 14.00-15.30 PANEL DISCUSSION: "Credit Risk Markets - Opportunities and Challenges" Discussants: - Joe Biernat - European Credit Management Limited (ECM) - Pierre Collin-Dufresne - UC Berkeley and Goldman Sachs Asset Management - Stephen Schaefer - London Business School - Suresh Sundaresan - Columbia University - Friedrich Strasser - Bank Gutmann AG 15.30-16.00 - coffee break - 16.00-17.00 SESSION III: STRUCTURAL CREDIT RISK MODELS "On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle" Pierre Collin-Dufresne -UC Berkeley/Goldman Sachs Asset Management "Specification Analysis of Structural Credit Risk Models" Jing-zhi Huang - Penn State University 17.00-17.15 - coffee break - 17.15-18.15 SESSION IV: FIXED INCOME PORTFOLIO MANAGEMENT "An ABC of Portfolio Choice: Asset Allocation with Bankruptcy and Contagion" Holger Kraft -University of Kaiserslautern "Understanding Common Factors in Domestic and International Bond Spreads" Rodolfo Martell - Purdue University - cocktails - Sessions will be chaired and discussed by members of the Academic Advisory Board: - Engelbert Dockner, University of Vienna - Robert Korajczyk, Northwestern University - Suresh Sundaresan, Columbia University - Klaus Spremann, University St. Gallen - Neal Stoughton, University of Calgary - Josef Zechner, University of Vienna Participation fee: the participation is free, but all participants are required to register: gutmann.bwl(a)univie.ac.at CONTACT AND FURTHER INFORMATION: Gutmann Center for Portfolio Management University of Vienna Bruenner Strasse 72 1210 Wien (Vienna), Austria Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 E-mail: gutmann.bwl(a)univie.ac.at Homepage: www.gutmann-center.at

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[VFN] VGSF Research Seminar on Friday, April 27th, by Lu Zhang
by Michael Halling 23 Apr '07

23 Apr '07

Lu Zhang from the University of Michigan is giving a VGSF research seminar on "Regularities" on FRIDAY, April 27th, 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. Lu is going to be in Vienna for the ENTIRE WEEK. He would be very happy to discuss research with the local faculty. Please contact Michael Halling if you are interested and would like to take advantage of this opportunity. Best, Michael Halling Abstract The neoclassical q-theory provides a good start to understanding the cross section of returns. Under constant return to scale stock returns equal levered investment returns, which are tied directly to firm characteristics. This equation predicts the empirical relations of average returns with book-to-market, investment, and earnings surprises. We estimate the model via GMM by minimizing the differences between average stock returns and average levered investment returns. Our model captures the average return patterns in portfolios sorted on capital investment and double-sorted on size and book-to-market, including the small-stock value premium. The model also partially captures post-earnings-announcement drift and its higher magnitude in small firms.

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[VFN] 2 professorships in finance @ Vienna University of Economics and Business Administration
by VFN-L admin * Andreas Schamanek 18 Apr '07

18 Apr '07

---------- Forwarded message ---------- Date: Wed, 18 Apr 2007 16:30:32 +0200 From: Margit Wegleitner <...(a)wu-wien.ac.at> Subject: Re: Ausschreibung Professuren im Bereich Finance Position Announcement [reference 79990]: Full Professor of Finance: Asset Management Vienna University of Economics and Business Administration (Wirtschaftsuniversität Wien) The Vienna University of Economics and Business Administration (Wirtschaftsuniversität Wien, WU) invites applications for the position of Full Professor of Finance (Asset Management), Department of Finance and Accounting. (...) [same text as below removed by admin] Position Announcement[reference 80090]: Full Professor of Finance: Corporate Finance Vienna University of Economics and Business Administration (Wirtschaftsuniversität Wien) The Vienna University of Economics and Business Administration (Wirtschaftsuniversität Wien, WU) invites applications for the position of Full Professor of Finance (Corporate Finance), Department of Finance and Accounting. Wirtschaftsuniversität Wien is the largest university of its kind in the European Union and well positioned in the heart of Europe. The University maintains an excellent position as a centre for research and teaching and draws an international group of students and faculty. It offers a broad range of subjects in all areas of economics and business administration. Resources and facilities are internationally comparable. The University is EQUIS accredited. For details see http://www.wu-wien.ac.at Applicants should have (a) a solid academic qualification (e.g. PhD, Habilitation); (b) an outstanding international reputation in high quality scholarship and research in the area of finance; (c) a strong record in attracting research funding; (d) a demonstrated commitment to excellence in teaching; and (e) proven qualities of leadership. We stress high research achievement in all areas of finance with particular emphasis on corporate finance and an interest in teaching finance on bachelor, master, and PhD levels as well as in executive programs. Teaching experience in English is required; teaching experience in German is not necessary. Non German-speaking candidates are expected to acquire proficiency in German over a certain period of time. For details of the position, please contact Professor Stefan Bogner, Chairman, Department of Finance and Accounting, phone: ++43-1-31336-4242, E-Mail: stefan.bogner(a)wu-wien.ac.at Candidates should send their applications (curriculum vitae, list of publications, list of classes held as well as copies of the five major publications) to the Rector of Wirtschaftsuniversität Wien, Professor Christoph Badelt, Augasse 2-6, A-1090 Vienna. Electronic applications can be sent to brigitte.parnigoni(a)wu-wien.ac.at . Applications, quoting reference 80090 [80090 for "Full Professor of Finance: Corporate Finance", 79990 for "Full Professor of Finance: Asset Management"], need to reach WU by May 18, 2007. The Vienna University of Economics and Business Administration is an Equal Opportunity Employer and seeks to increase the number of its female faculty members. Therefore qualified women are strongly encouraged to apply. In case of equal qualification, female candidates will be given preference.

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[VFN] VGSF Research Seminar on Friday, April 20th, by Massimo Massa
by Michael Halling 18 Apr '07

18 Apr '07

Massimo Massa from INSEAD is giving a VGSF research seminar on "Cosmetic Mergers: The Effect of Style Investing on the Market for Corporate Control" on FRIDAY, April 20th, 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. Massimo is going to be in Vienna on Friday. He would be very happy to discuss research with the local faculty. Please contact Michael Halling if you are interested and would like to take advantage of this opportunity. Best, Michael Halling Abstract We study the impact of style investing on the market for corporate control. We argue that a firm may choose to boost its market value by merging with a firm that belongs to a style that is more favored by the market. By using data on the flows in mutual funds, we construct a measure of neglectedness, which relies directly on the identification of sentiment-induced investor demand, rather than being a direct transformation of stock market data. We show that bidders tend to pair with targets that are relatively less neglected. The merger with a less neglected target generates a halo effect from the target to the bidder that induces the market to evaluate the assets of the more neglected bidder at the (inflated) market value of the less neglected target. Both bidder and target premia are positively related to the difference in neglectedness between bidder and target. However, the targets ability to appropriate the gain is reduced by the fact that its bargaining position is weaker when the bidders potential for asset appreciation is higher. We document a better medium-term performance of more neglected firms taking over less neglected firms. The bidder managers engaging in these cosmetic mergers take advantage of the window of opportunity created by the higher stock price induced by the M&A deal to reduce their stake in the firm under convenient conditions.

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[VFN] IME2007 2nd CALL FOR PAPER (fwd)
by Walter Schachermayer by way of Andreas Schamanek 27 Mar '07

27 Mar '07

---------- Forwarded message ---------- Date: Mon, 26 Mar 2007 18:16:35 +0300 From: IME2007 University of Piraeus <ime2007(a)unipi.gr> Subject: IME2007 2nd CALL FOR PAPER ANNOUNCEMENT AND CALL FOR PAPERS UNIVERSITY OF PIRAEUS DEPARTMENT OF STATISTICS & INSURANCE SCIENCE ELEVENTH INTERNATIONAL CONGRESS ON INSURANCE: MATHEMATICS & ECONOMICS July 10-12, 2007 The Department of Statistics and Insurance Science of the University of Piraeus is pleased to host the 11th International Congress on Insurance: Mathematics and Economics, on July 10-12, 2007. Information about the Congress can be found on http://www.unipi.gr/ime2007 The Congress gives researchers (both actuaries and non-actuaries) the opportunity to present their latest works in the general area of Actuarial Science. It also allows practicing actuaries, who are interested in the implementation of results, to make direct contact with recent developments. Papers for presentation should be relevant to the aims and scope of the international journal Insurance: Mathematics and Economics. Topics of interest include without being limited: models and computational methods of life insurance (including pension plans, social insurance and health insurance), of non-life insurance and of reinsurance. It also includes, innovative insurance applications of results from other fields, such as probability and statistics, numerical analysis, economics, operations research and risk management. There is also particular interest on the interactions of insurance mathematics with finance. The papers presented can be submitted for publication in a special issue of Insurance: Mathematics and Economics, dedicated to the Congress. Abstracts should be submitted online by March 31, 2007, on the IME 2007 website http://www.unipi.gr/ime2007/ Prior to the congress on July 8th - 9th there will be a course on " Dependence in Risk Theory " by Hansjoerg Albrecher Organizing Committee: Georgios Pitselis (chair), Konstadinos Politis (vice-chair), Michael Boutsikas, George Iliopoulos, Maria Kateri, Jan Dhaene. Scientific Committee: Hans Gerber (chair), Stathis Chadjikonstantinidis (vice-chair), Michel Denuit, Jan Dhaene, Jose Garrido, Marc Goovaerts, Rob Kaas, Nikolai Kolev, Takis Papaioannou, Georgios Pitselis, Susan Pitts. Georgios Pitselis President of the Organizing Committee --------------------------------- IME 2007 July 10-12, 2007 11th International Congress on Insurance: Mathematics and Economics University of Piraeus Athens, Greece e-mail: <mailto:ime2007@unipi.gr> ime2007(a)unipi.gr web: www.unipi.gr/ime2007

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[VFN] VGSF Research Seminar on Friday, March 30th, by Christopher Hennessy
by Michael Halling 23 Mar '07

23 Mar '07

Christopher Hennessy from UC Berkeley is giving a VGSF research seminar on "A dynamic theory of corporate finance based upon repeated signaling" on FRIDAY, March 30th, 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. Christopher is going to be in Vienna for the entire week (March 26th to March 30th). He would be very happy to discuss research with the local faculty. Please contact Michael Halling if you are interested and would like to take advantage of this opportunity. Best, Michael Halling Abstract We examine the effect of Markovian hidden information about the marginal product of capital on the dynamics of financing and investment. The model features endogenous investment, debt, default, dividends, equity flotations and share repurchases. Since deadweight signaling costs are necessarily high when net worth is low, forward-looking risk-neutral shareholders behave as if risk-averse. Consequently, in each period's least-cost separating equilibrium, firms can signal positive information with high leverage and investment. Firms with negative information have no debt and raise external funds with equity. Pareto dominant pooling equilibria also exist, but only if net worth is sufficiently low. In the pooling equilibria, firms issue positive amounts of debt and investment is between respective first-best levels. The model is rich in testable predictions and consistent with a broad set of established stylized facts regarding leverage ratios and announcement effects, and can also explain observed violations of the pecking-order hypothesis.

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[VFN] Reminder: March 27th talk with Christopher Hennessy, Berkeley
by Gutmann Center-D.Grimm 23 Mar '07

23 Mar '07

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: March 27th, 2007, 4.30 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. CHRISTOPHER HENNESSY, Haas School of Business at the University of California, Berkeley http://www.haas.berkeley.edu/faculty/hennessy.html Title: UNDERSTANDING CORPORATE ANNOUNCEMENT EFFECTS Abstract: Empirical evidence indicates that announced changes in corporate financing and investment policies have statistically significant effects on stock returns. For example, share prices rise in response to increased capital expenditures, debt-for-equity substitutions, and share repurchases. Although these effects are currently understood at a qualitative level, a quantitative framework is still absent. This talk will discuss recent efforts at quantitative modeling of the information content of corporate announcement effects. Implications for asset pricing and credit default risk are also discussed. About Christopher Hennessy: Christopher Hennessy is Associate Professor and Finance Department Chairman at the Walter A. Haas School of Business at the University of California, Berkeley. Professor Hennessy received a Master of Public Affairs Degree from the Woodrow Wilson School and a Ph.D. in Economics from Princeton University. He was Senior Associate of the Barents Group of KPMG Peat Marwick. Hennessy's research centers on the effects of taxes and private information on corporate financing, investment, and asset prices. His work has been recognized with two Brattle Prizes for outstanding corporate finance paper published in the Journal of Finance. 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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