---------- 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
********************************************
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
{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
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
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.
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
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.
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
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
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.
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
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.
---------- 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.
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.
by Walter Schachermayer by way of Andreas Schamanek
---------- 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
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.
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
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