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: June 29th, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI)
Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA
The impact of realized transaction costs on portfolio performance is now
well recognized. Less well understood, however, is the effect of
transaction cost on performance in the pre-trade dimension. Intuitively,
transaction costs affect performance through the choice of bets the
manager undertakes (breadth), the frequency of bets (turnover), and the
size of those bets (order size). We show that transaction cost modeling
is a source of alpha (superior performance).Specifically, accurate
transaction cost models allow managers to make better decisions
regarding which securities should or should not be traded, and the
optimal size of the trade.
About Ananth Madhavan:
Ananth Madhavan is the Global Head of Trading Research at BGI. He leads
BGI's global trading research team with a focus on execution research
and trading strategies across different asset classes worldwide. Prof.
Madhavan also works closely with the global trading team and BGI’s alpha
research and product groups to design and implement trading strategies
capturing liquidity-driven market opportunities. Before joining BGI in
2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and
a member of the firm’s management and executive committees. Previously,
he was the Charles B. Thorton Professor of Finance at the Marshall
School of Business at the University of Southern California, and
Assistant Professor of Finance at the Wharton School of the University
of Pennsylvania. Ananth Madhavan is the author of numerous publications
in leading academic and practitioner journals. He received his PhD in
Economics from Cornell University and BA from the University of Delhi,
India.
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
Next week the VGSF is organizing THREE seminars - one on MONDAY, June 12th,
and two on TUESDAY, June 13th.
Prof. David Feldman from the University of New South Wales is going to talk
about "The CAPM Relation for Inefficient Portfolios" on Monday, June 12th,
from 15:30 to 17:00 at the BWZ, Seminar Room 1, Bruennerstr. 72,1210 Wien.
On TUESDAY, June 13th, two seminars by Kai Li, University of British
Columbia, and Martijn Cremers, University of Yale, are scheduled. Kai is
going to talk about "Corporate Boards and the Leverage and Debt Maturity
Choices". The paper presented by Martijn has to be still announced. This
double seminar takes place from 16:00 to 19:00 in Lecture Room 2 at the
Institute for Advanced Studies (Stumpergasse 56, 1060 Wien).
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract of "The CAPM Relation for Inefficient Portfolios"
**********************************************************
Following empirical evidence that - contrary to CAPM predictions - found
little relation between expected rates of return and betas, the relation has
been investigated extensively. Roll and Ross (1994) (RR) and Kandel and
Stambaugh (1995) are seminal works. In this context, within a Markowitz
world (finite number of nonredundant risky securities with finite first two
moments), we generally and simply write the theoretical CAPM relation for
inefficient (non-frontier) portfolios (CAPMI). We demonstrate that the CAPMI
is a well-specified alternative for the widely implemented misspecified CAPM
for use with inefficient portfolios. We identify three sources for this
misspecification: i) the omission of an addend in the pricing relation, ii)
the use of an incorrect risk premiums/beta coefficients (due to of the
existence of infinitely many "zero beta" portfolios at all expected
returns), and iii) the use of unadjusted betas. We suggest the use of
incomplete information equilibria to overcome unobservability of moments of
returns. Our results are robust to regressions that produce positive
explanatory beta power, including extensions such as multiperiod,
multifactor, and the conditioning on time and various attributes.
Abstract of "Corporate Boards and the Leverage and Debt Maturity Choices"
**************************************************************************
Debt, and in particular, short-term debt have the potential to discipline
managers. We examine the role of the board in making financing decisions
that provide this discipline. Specifically, given a firm's characteristics,
we predict that stronger boards will force the firm to hold more debt and
more shortterm debt, and that the effect of the board on the use of
short-term debt is likely to be stronger among low-growth firms than among
high-growth firms. Employing a rich dataset of board characteristics and
controlling for other aspects of a firm's corporate governance, we find
support for these hypotheses.
Moreover, the degree to which director tenure on the board exceeds the CEO
tenure is the most important driver of board strength in our study. This
simple measure of the relative power and true independence of directors
relative to the CEO is a robust and promising measure of internal
governance.
Prof. Josef Zechner from the University of Vienna is giving a VGSF research
seminar on "Human Capital, Bankruptcy, and Capital Structure" on Friday,
June 2nd, from 15:30 to 17:00 at the Institute for Advanced Studies
(Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS)
2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
This paper identifies a previously overlooked friction, human capital risk,
which can explain an important puzzle in corporate finance why firms
maintain such low levels of debt, given the apparently modest costs of
bankruptcy. We derive the optimal compensation contract when employees are
averse to their own human capital risk, but equity holders are not averse to
this risk, and show that, in the absence of other frictions, all firms will
be unlevered. In the presence of corporate taxes, optimal debt levels are
consistent with the levels observed, implying that human capital risk is of
the same order of importance as taxes in the capital structure decision.
Because these costs are impossible to measure directly, existing empirical
studies that attempt to measure the costs of bankruptcy grossly
underestimate them.
POSTDOCTORAL POSITION
at
VIENNA GRADUATE SCHOOL OF FINANCE (VGSF)
The Vienna Graduate School of Finance (VGSF – www.vgsf.ac.at) offers the
first PhD Program in Finance in Austria and aims to become an
internationally leading PhD program and research center. The VGSF is a
cooperation between three leading academic institutions in Austria:
Institute for Advanced Studies Vienna (IHS – www.ihs.ac.at), University
of Vienna (www.univie.ac.at), and Vienna University of Economics and
Business Administration (WU – www.wu-wien.ac.at). The VGSF is funded by
the Austrian Science Fund (FWF – www.fwf.ac.at).
The VGSF offers a
Postdoctoral Position
(full time)
Job Description:
The main focus of this position will be on research. It furthermore
involves coordinating a first/second year “Finance Paper Reading” course
and some general administrative tasks.
Job Qualification:
Candidates must have a doctoral degree in finance, financial economics
or equivalent. Solid training and experience in econometrics or
statistical modelling. Experience with one or more of the following
packages: R, GAUSS, EVIEWS, STATA. Evidence of research capability at a
level that can lead to publications in international peer-reviewed
journals. The language of the PhD program in Finance is English.
Therefore excellent English skills are required, German language skills
are desirable but not obligatory.
Start Date: As soon as possible, but no later than September 2006
Term: up to 2 years with possible extension
Salary: Euro 40.300 gross per annum
Application Deadline: June 25th, 2006
Candidates should mail or preferably e-mail their curriculum vitae,
letters of recommendation, a one page statement of purpose in which they
explain their interest in the position as well as their area of
research, and a copy of one research paper to:
Vienna Graduate School of Finance (VGSF)
o.Univ.-Prof. Mag. Dr. Stefan Bogner
c/o Wirtschaftsuniversität Wien
Institut für Finanzierung und Finanzmärkte
Abteilung für Betriebliche Finanzierung
UZA 4, 6. Stock Kern B
Nordbergstraße 15 - 1090 Wien (Vienna), Austria
Tel: ++43 1 31336 4242 Fax: ++43 1 31336 736
E-mail: stefan.bogner(a)wu-wien.ac.at
Further details about the VGSF are available at: http://www.vgsf.ac.at.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: May 31st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Austria)
Speaker: Prof. Dr. THEO VERMAELEN
http://www.insead.edu/facultyresearch/faculty/profiles/tvermaelen/
Title: "BEATING THE MARKET WITH BUYBACKS"
When firms announce plans to repurchase shares in the market, they often
state that their shares are undervalued. In spite of this claim stock
prices only increase slightly around the announcement. We show that, on
average, the market is wrong, and managers are right: stock prices
significantly under-react to buyback announcements. Of course, not every
buyback is driven by undervaluation. In order to distinguish companies
that repurchase shares because they are cheap from those that repurchase
shares for other reasons, we develop an undervaluation index. The index
measures the probability that the repurchase is driven by
undervaluation. A portfolio strategy that invests in high undervaluation
index stocks beats the Fama-French 3 factor model benchmark by 45 %,
after 3 years. The strategy is stable over time in the sense that a
buyback portfolio that consists of the 50 companies with the highest
undervaluation index during the previous year, always beats the
benchmark over the next 3 and 4 years.
About Theo Vermaelen:
Theo Vermaelen is the Schroders Professor of International Finance and
Asset Management at INSEAD. He received his Ph.D. and MBA at the
University of Chicago. Professor Vermaelen has published more than 10
articles on share repurchases in leading academic journals such as the
Journal of Finance and the Journal of Financial Economics and is also
the author of “Share Repurchases” published by NOW publishers. In
addition he has extensive practical experience implementing the
strategies suggested by his research as a portfolio manager of the KBC
equity buyback fund, until 2004. He is planning to launch a new fund in
the fall of this year.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Prof. Damir Filipovic from the University of Munich (Mathematics Institute)
is giving a special VGSF research seminar on "Optimal Capital and Risk
Transfer for Group Diversification" on Monday, May 29th, 17.00, in
Seminarraum A 619, Wirtschaftsuniversität Wien, UZA4, 6. Stock,
Nordbergstraße 15, 1090 Wien.
Best,
Michael Halling
Prof. Wolfgang Bühler from the University of Mannheim is giving a VGSF
research seminar on "Credit Risk, Liquidity Risk, and Optimal Capital
Structure under Incomplete Accounting Information" on WEDNESDAY, May 24th,
from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für
Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please
find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
In a structural model for credit risk we endogenize inability to pay as a
second independent reason for default besides overindebtedness. Inability to
pay is triggered by rational behavior of incompletely informed outsiders.
The firm needs to raise additional cash via secondary equity offerings in
order to service its coupon payments. Underpricing of secondary equity
offerings is explained as necessary for these offerings to be successful. In
addition to Duffie/Lando (2001) we find that the liquidity risk has a strong
impact on the current firm value and the optimal leverage. Credit spreads of
debt in the primary market depend on the degree of liquidity risk. They can
be lower or higher than in case without liquidity risk.
Our results have a number of additional, interesting consequences. Contrary
to Duffie/Lando (2001) incomplete information of outside investors has an
impact on the default probability of the firm and therefore on the optimal
capital structure which is determined in the primary market. The debt-equity
ratio is typically lower than in the Duffie/Lando (2001) model that operates
under complete information in the primary market and can result in lower
credit spreads.
Prof. Lorenzo Garlappi from the University of Texas at Austin is giving a
VGSF research seminar on "Default Risk, Shareholder Advantage, and Stock
Returns" on FRIDAY, May 19th, from 15:30 to 17:00 at the Institute for
Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien),
Lecture Room (HS) 2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at! Lorenzo is going to be available for discussions
on Friday before and after the seminar, and on the following Monday (22.5.)
and Tuesday (23.5.). If you would like to meet him, please let me know.
Best,
Michael Halling
Abstract
In this paper, we study the relationship between default probability
and stock returns. Using the market-based measure of Expected
Default Frequency (EDF) constructed by Moody's KMV, we first
demonstrate that higher default probabilities are not necessarily
associated with higher expected stock returns, a finding that
complements the existing empirical evidence. We then show that the
puzzling and complex relationship between stock returns and default
probability is consistent with the implications of existing
structural models that account for possible negotiated benefits for
equity-holders upon default. Adapting the setting of the Fan and
Sundaresan (2000) model that explicitly considers the bargaining
game between equity-holders and debt-holders in financial distress,
we are able to obtain a theoretical relationship between expected
returns and default probability that resembles the empirically
observed pattern. Our analysis indicates that, depending on the
level of shareholder advantage, the relationship between default
probability and equity return may be either upward sloping (low
shareholder advantage) or humped and downward sloping (high
shareholder advantage). Moreover, we show that distressed firms in
which shareholders have a stronger advantage in renegotiation
exhibit lower expected returns, and that their default probabilities
do not adequately represent the risk of default born by equity. We
test these implications using several proxies for shareholder
advantage and find strong support in the data.
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 15 May 2006 22:14:00 +0200 (CEST)
From: Rama CONT <Rama.Cont(a)polytechnique.fr>
Subject: Workshop on Financial Modeling with Jump Processes
Dear colleague,
On behalf of the Scientific Committee and the Local Organizing Committee,
we are pleased to announce the forthcoming
Workshop on Financial Modeling with Jump Processes,
Ecole Polytechnique (Palaiseau, France), September 6-8, 2006
http://www.fiquam.polytechnique.fr/AMAMEF/
We invite contributions dealing with models based on jump processes and
their applications in finance dealing in particular, but not exclusively,
with the following issues:
Multidimensional models with jumps: dependence modeling, Lévy copulas,
numerical methods for multidimensional models.
Simulation and estimation: efficient simulation of multivariate models,
econometrics of jump processes, realized volatility/ bi-power variation.
Partial integro-differential equations (PIDEs) and computational methods
Inverse problems: theory and algorithms for inverse problems related to
option pricing models with jumps.
New modeling approaches: Markov processes with jumps, models for
electricity prices, interest rate models with jumps and their efficient
analytical and numerical treatment
* DEADLINE for submission of abstracts: JUNE 15, 2006
* DEADLINE for registration: AUGUST 1, 2006.
For more information please visit the conference website:
http://www.fiquam.polytechnique.fr/AMAMEF/
THIS WORKSHOP IS SUPPORTED BY:
European Programme on "Advanced mathematical methods for finance"
Centre de Mathematiques Appliquees, Ecole Polytechnique
Chaire des Risques Financiers, Ecole Polytechnique
Seminar on Applied Mathematics, ETH Zurich
Europlace Institute of Finance
Prof. Andrei Simonov from the Stockholm School of Economics is giving a VGSF
research seminar on "Shareholder Homogeneity and Firm Value: The
Disciplining Role of Non-Controlling Shareholders" on FRIDAY, May 12th, from
15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere
Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the
paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at! Andrei is going to be available for discussions
on Thursday and Friday. If you would like to meet him, please let me know.
Best,
Michael Halling
Abstract
We study how the shareholding structure of a firm affects its stock price
and profitability. We argue that the degree of shareholder homogeneity
affects firm value. Homogeneous shareholders act as a disciplining device on
managers, inducing them to be more transparent and to engage less in value
destroying activities. This leads to higher firm profitability, higher stock
price and lower volatility. Shareholder homogeneity represents an
alternative and indirect source of corporate governance based on the stock
market. We test this hypothesis by using a dataset containing information on
all the shareholders for each firm in Sweden from 1995 to 2001. We construct
two proxies for shareholder homogeneity: the first is based on the age
cohort of the shareholders, and the second on their degree of college
interaction. For each firm, we measure the degree of homogeneity of all
shareholders. Using this proxy, we show that greater homogeneity increases
firm profitability and returns, and reduces analysts forecasting errors and
dispersion, and stock volatility.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: May 31st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Austria)
Speaker: Prof. Dr. THEO VERMAELEN
http://www.insead.edu/facultyresearch/faculty/profiles/tvermaelen/
Title: "BEATING THE MARKET WITH BUYBACKS"
When firms announce plans to repurchase shares in the market, they often
state that their shares are undervalued. In spite of this claim stock
prices only increase slightly around the announcement. We show that, on
average, the market is wrong, and managers are right: stock prices
significantly under-react to buyback announcements. Of course, not every
buyback is driven by undervaluation. In order to distinguish companies
that repurchase shares because they are cheap from those that repurchase
shares for other reasons, we develop an undervaluation index. The index
measures the probability that the repurchase is driven by
undervaluation. A portfolio strategy that invests in high undervaluation
index stocks beats the Fama-French 3 factor model benchmark by 45 %,
after 3 years. The strategy is stable over time in the sense that a
buyback portfolio that consists of the 50 companies with the highest
undervaluation index during the previous year, always beats the
benchmark over the next 3 and 4 years.
About Theo Vermaelen:
Theo Vermaelen is the Schroders Professor of International Finance and
Asset Management at INSEAD. He received his Ph.D. and MBA at the
University of Chicago. Professor Vermaelen has published more than 10
articles on share repurchases in leading academic journals such as the
Journal of Finance and the Journal of Financial Economics and is also
the author of “Share Repurchases” published by NOW publishers. In
addition he has extensive practical experience implementing the
strategies suggested by his research as a portfolio manager of the KBC
equity buyback fund, until 2004. He is planning to launch a new fund in
the fall of this year.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
------------ Forwarded message -----------------
Date: Fri, 5 May 2006 19:12:12 +0200 (MEST)
From: cobol(a)cc.kuas.edu.tw
Subject: Second Call for Paper for Special Sessions of CIEF'2006
* My apology if multiple copies of this message reach you.
Special sessions of CIEF'2006 Second Call For Paper
The 5th International Conference on Computational Intelligence in
Economics and Finance
October 8-11, 2006 Kaohsiung City, Taiwan
Submission deadline has been extended to June 1, 2006
http://www.jcis.org,
www.aiecon.org
Dear colleagues,
We would like to invite you to submit your manuscript to the special
sessions of CIEF'06. This conference features emerging the related
quantitative and experimental methods and integrations of economic and
financial studies with computational methods (e.g. numerical methods,
econometrics, artificial neural networks, genetic algorithm, particle
swarm optimization, fuzzy logics, etc.). All other aspects of theory
and research on computational method related to economics and finance
issue are welcome. CIEF'2006 will have organized 13 special
sessions shown as follow:
Topics
Special Session Chairs
Behavioral Economics and Finance
Dr. Len-Kuo Hu, lkhu(a)nccu.edu.tw
Dr. Yu-Hsiu Lin, yushiu(a)cc.kuas.edu.tw
Experimental Economics
Dr. Sun-Chong Wang, scwang(a)phys.sinica.edu.tw
Econophysics
Dr. Taisei Kaizoji, kaizoji(a)icu.ac.jp
Dr. Yuji Aruka, aruka(a)tamacc.chuo-u.ac.jp
Volatility Forecasting in Financial Market
Dr. Prof. Dietmar Maringer dmaring(a)essex.ac.uk
Financial engineering
Dr. San-Lin Chung, chungs(a)management.ntu.edu.tw
New Econometrics in stock market
Dr. Chou, Ray-Yeutien, rchou(a)econ.sinica.edu.tw 02-27822791-321
Agent-based computational finance
Dr. Takao Terano, terano(a)dis.titech.ac.jp
Dr. Takashi Yamada, tyamada(a)trn.dis.titech.ac.jp
Industrial Organization
Dr. William F. Lawless, lawlessw(a)mail.paine.edu
Electronic Finance (e-Finance)
Dr. Kun-huang Huarng khhuarng(a)fcu.edu.tw
Dr. Feng-Jyh Li fjlin(a)fcu.edu.tw
Computable General Equilibrium (CGE) Modeling
Dr. Shih-Mo Lin shihmo(a)cycu.edu.tw
Financial Engineering and Economic Agent Models
Dr. Serge Hayward shayward(a)escdijon.com
Intelligent Decision Support System in Stock Market
Dr. An-Pin Chen, apc(a)iim.nctu.edu.tw
Mu-Yen Chen, chenmy(a)cc.ncue.edu.tw
Fuzzy Decision and Management
Dr. Yaw-Chu Chen, ycchen(a)mcu.edu.tw
Innovation and Applications in SoftComputing
Dr. Tzung-Pei Hong, tphong(a)nuk.edu.tw
Dr. Wen-Yang Lin, wylin(a)nuk.edu.tw
For submission details, please see CFP on the JCIS website
(http://www.jcis.org/page/subconference/cief/special.html) and feel
free to disseminate them to other colleagues.
New important dates:
Full paper (4 pages limited) submission due: 2006.6.1
Paper acceptance notification date: 2006.7.1
Final (Camera-ready) paper submission due: 2006.7.15
Paper submission: Please email to related special session chairs.
Best regards,
Shu-Heng Chen and Ping-Chen Lin
Professor Dr. Shu-Heng Chen
Conference Chair of CIEF'2006
AI-ECON Research Center
Department of Economics
National Chengchi University, Taipei, Taiwan 116
Tel: +886-2-2938-7308
Fax: +886-2-2937-0290
E-mail: chchen(a)nccu.edu.tw
http://www.aiecon.org/
Associate Professor Dr. Ping-Chen Lin
Program Chair of CIEF'2006
Institute of Finance and Information
National Kaohsiung University of Applied Sciences
415 Chien Kung Road,Kaohsiung 807, Taiwan,R.O.C.
Tel: +886-7-3814526 ext 6309
Celluar Phone: +886-935846043
Fax: +886-7-3831544
E-mail: lety(a)cc.kuas.edu.tw
Prof. Dimitri Vayanos from LSE is going to present the paper "A Search-Based
Theory of the On-the-Run Phenomenon" in the VGSF research seminar on May
5th.
Dimitri will be at the BWZ on Friday morning and at the IHS around the
seminar. If you would like to meet him please let me know.
Best,
Michael Halling
Prof. Pierre Mella-Barral from HEC Paris is going to present the paper
"Which way to Grow? Merging, Allying, or Buying Assets" in the research
seminar on April 28th.
Pierre will be at the BWZ on Thursday afternoon and at the IHS on Friday
before the seminar. If you would like to meet him please let me know.
Please accept my apologies for the outdated VGSF seminar website that still
shows Ananth Madhavan scheduled for this week's seminar. However, he had to
cancel his visit.
Best,
Michael Halling
Sehr geehrte Damen und Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr.
Otto Loistl, ist voraussichtlich ab 1. Mai 2006 bis 30. September 2008 die
Stelle eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen
Mitarbeiterin vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte dem entsprechenden Ausschreibungstext:
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers
(Bewerbungsfrist: 26. April 2006).
Für eine Weiterleitung an InteressentInnen bzw. Bekanntmachung über Ihre
Liste wäre ich Ihnen dankbar.
Mit vielen freundlichen Grüßen
Christopher Casey
--------------------------------------------------------------------
ao.Univ.-Prof. Dr. Christopher Casey
Institut fuer Finanzierung und Finanzmaerkte
Abteilung für Investmentbanking und Katallaktik
Wirtschaftsuniversität Wien
Althanstrasse 39-45, 1090 Wien, Oesterreich
Tel.: 0043-1-31336-4167
Fax: 0043-1-31336-761
Email: Christopher.Casey(a)wu-wien.ac.at
http://ifm.wu-wien.ac.at/
--------------------------------------------------------------------
Prof. Liam Brunt from the University of Lausanne is going to present the
paper "Do Banks Generate Financial Market Integration?" in the research
seminar on April 7th.
We are very happy that Prof. Brunt is able to come to Vienna on short
notice, as Prof. Bruno Solnik who was originally scheduled for this week had
to cancel his visit due to private reasons.
Prof. Brunt is going to be in Vienna from Thursday early afternoon to
Saturday afternoon. If you would like to meet him, please contact me via
email.
Best,
Michael Halling
-----------------------------------
P O S T D O C P O S I T I O N
AT THE
JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS
(RICAM)
OF THE AUSTRIAN ACADEMY OF SCIENCES, AUSTRIA
RICAM is a research institute which went into operation on January 1, 2003, and
is building up to a total of 30 PostDoc positions in six areas:
Computational Methods for Direct Field Problems
Inverse Problems
Mathematical Finance
Symbolic Computation
Analysis of Partial Differential Equations
Optimization and Control
The institute is housed on the campus of the Johannes Kepler University in
Linz, a town of about 200.000 inhabitants located along the Danube, very close
to the Austrian Alps, and half-way between Vienna and Salzburg (more
information about the institute can be found at http://www.ricam.oeaw.ac.at).
The "Mathematical Finance Group" is looking for a PostDoc with a strong
background in risk theory or quantitative finance. Possible specialisation
areas also include dependence modelling. Informal enquiries can be made to Dr.
Hansjörg Albrecher at: hansjoerg.albrecher(a)oeaw.ac.at.
A doctorate in mathematics or a closely related field is required. The working
language is English. The position is available from June 2006 or as soon as
possible thereafter. The initial contract can be for up to three years, a
renewal for three more years is possible depending on achievements. Closing
date for applications is May 1, 2006.
Two sets of applications with personal and scientific data, copies of relevant
documents and a statement about scientific interests and achievements should be
sent to
Prof. H. Engl
Johann Radon Institute
Austrian Academy of Sciences
Altenbergerstraße 69
A-4040 Linz
Austria
Alternatively, the application material can be sent by email to
annette.weihs(a)oeaw.ac.at
Date: Wed, 22 Mar 2006 10:41:32 +0100
From: "D. Filipovic" <filipo(a)mathematik.uni-muenchen.de>
--------------------------------------------------------
SUMMER SCHOOL
Risk Measurement and Optimal Investment
June 29 - 30, 2006
Mathematical Department
of the Ludwig-Maximilians Universitaet
LMU, Muenchen (Germany)
The summer school will take place at the Mathematical Department of the Ludwig-Maximilians Universitaet (LMU) of Muenchen on June 29 (13 - 19.30h) and on June 30 (9 - 17.30h). It consists of two mini courses on
* Risk Measures and Capital Allocation (Prof. F.Delbaen)
* Optimal Investment (Prof. C. Rogers)
held by Prof. F. Delbaen (ETH Zurich) and Prof. C. Rogers (University of Cambridge), and a special talk on
* Managing Value, Risk and Economic Capital:
A Practical Approach to Asset Liability Management
held by Dr. B. Kaufmann (Munich Re).
The school addresses PhD students, postgraduate researchers and all practitioners from the risk management in insurance and other financial institutions.
For further information, see:
http://www.mathematik.uni-muenchen.de/~finsum/koll.php
REGISTRATION
There is a registration fee. Participants are kindly requested to follow the indications on line available at
http://www.mathematik.uni-muenchen.de/~finsum/regi.html
ORGANISERS
Francesca Biagini, LMU Muenchen
(http://www.mathematik.uni-muenchen.de/~biagini/)
Damir Filipovic, LMU Muenchen.
(http://www.mathematik.uni-muenchen.de/~filipo/)
Please note that on March 24th there is not going to be a research seminar -
the originally planned seminar is cancelled.
The next seminar is given by Prof. Erwan Morellec (Université de Lausanne)
on "Stock returns in mergers and acquisitions" on FRIDAY, March 31st, from
15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere
Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before (starting at around 15:00) and
after the seminar.
If you want to meet Prof. Morellec to discuss your research projects, please
let me know. I'm going to set up a schedule for him.
Best,
Michael Halling
Im *Institut für Finanzierung und Finanzmärkte/ Corporate Finance* ist
voraussichtlich ab 1. Mai 2006 bis 30. April 2012 die Stelle *eines
Assistenten/einer Assistentin* (ArbeitnehmerIn der
Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), *vollbeschäftigt
*zu besetzen.
Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für
Assistent/inn/en eine maximale Befristungsdauer von 6 Jahren vorsieht.
Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind,
können daher nur mehr für die auf die 6 Jahre fehlende Zeit eingestellt
werden.
Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen,
die bereits einen Assistent/inn/enposten "Säule 2" inne hatten, aus
rechtlichen Gründen nicht möglich ist.
*Notwendige Kenntnisse und Qualifikationen:*
EU-Bürger/in, Doktorat in Wirtschaftswissenschaften oder
Wirtschaftsmathematik, gutes Englisch
*Erwünschte Kenntnisse und Qualifikationen:*
Erfahrung in Forschung und Lehre auf dem Gebiet der Finanzwirtschaft,
insbesondere im Bereich Corporate Finance in Verbindung mit Banking und
Accounting sowie Währungsmärkte und deren Mikrostruktur.
Fundierte ökonometrische Kenntnisse, Programmierkenntnisse in VBA und
C/C++,
sehr gute Kenntnisse im Umgang mit statistischer Software insbesondere
Stata sowie im Umgang mit Datenprovidern wie Reuters, Bloomberg und
Datastream.
*Kennzahl: 57905*
*Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind
unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten.*
*Ende der Bewerbungsfrist: 5. April 2006*
*Bitte die Kennzahl unbedingt anführen!*
Nähere Informationen gibt es bei Prof. Stefan Bogner.
Allgemeine Informationen zu Bewerbungen an der WU-Wien finden sich beispielsweise unter
http://notes.wu-wien.ac.at/usr/zid/mb/05/mb23.nsf/Inhalt?OpenView&Start=1&C…
-------------------------------------------------------------------------------
o.Univ.-Prof. Mag. Dr. Stefan Bogner
Wirtschaftsuniversität Wien
Institut für Finanzierung und Finanzmärkte
Abteilung für Betriebliche Finanzierung
UZA 4, 6. Stock Kern B
Nordbergstraße 15
A-1090 Wien
Tel: ++43 1 31336 4242
Fax: ++43 1 31336 736
E-mail: stefan.bogner(a)wu-wien.ac.at
Web: http://www.wu-wien.ac.at/dcf
--------------------------------------------------------------------------------
Prof. Klaus Ritzberger is giving a VGSF research seminar on "Corporate
Control and the Stock Market" on FRIDAY, March 17th, from 15:30 to 17:00 at
the Institute for Advanced Studies (Institut für Höhere Studien,
Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before the seminar (starting at around
15:00).
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Prof. Doyne Farmer from the Santa Fe Institute is giving a VGSF research
seminar on "Financial markets as a behavioral laboratory: An empirical
behavioral model for price formation" on FRIDAY, March 10th, from 15:30 to
17:00 at the Institute for Advanced Studies (Institut für Höhere Studien,
Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2.
Coffee and sweet snacks are going to be available in the cafeteria of IHS,
which is located next to the lecture room, before the seminar (starting at
around 15:00).
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM 2006:
"REAL ASSETS AND PORTFOLIO MANAGEMENT"
- apologies for any cross-postings!! -
March 27th, 2006, 9.00 am – 6.00 pm
University of Vienna - "Kleiner Festsaal"
Dr. Karl-Lueger-Platz 1, 1010 Wien
Real estate, a major driver of both the overall economy and of
individual wealth, has become an increasingly important asset class for
portfolio managers. Other real assets such as private equity and venture
capital have also generated a lot of interest recently as additional
opportunities to optimize asset allocation. However, for most investors,
these alternative investment opportunities remain rather opaque.
Internationally recognized experts will present their analyses of these
asset classes at our symposium from both an academic and practitioner’s
perspective.
NO CONFERENCE FEE - ONLY REGISTRATION REQUIRED
PLEASE REGISTER VIA E-MAIL NOT LATER THAN MARCH 14th:
gutmann.bwl(a)univie.ac.at
PROGRAM
08.15-09.00 REGISTRATION
09.00-09.10 WELCOME AND PRESENTATION OF THE GUTMANN CENTER
PHD-SCHOLARSHIP 2005/2006
Josef Zechner, University of Vienna and Gutmann Center
Rudolf Stahl, CEO Bank Gutmann AG
Recipient: Jin Yu, Vienna Graduate School of Finance (VGSF)
09.10-10.40 SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN
CHARACTERISTICS
Chair: Engelbert Dockner, University of Vienna
09.10-09.40 “Efficient Portfolios when Housing is a Hedge against Rent Risk”
Speaker: Loriana Pelizzon, Università Ca' Foscari di Venezia
Discussant: Walter Torous, UCLA
09.40-10.10 “Illiquidity and Pricing Biases in the Real Estate Market”
Speaker: Kerry D. Vandell, University of Wisconsin-Madison
Discussant: Charles Himmelberg, Goldman Sachs
10.10-10.40 “Hot and Cold Housing Markets: International Evidence”
Speaker: Javier Suarez, CEMFI
Discussant: Robert Korajczyk, Northwestern University
10.40-11.00 - Coffee Break -
11.00-12.30 SESSION II: REAL ASSETS AND PORTFOLIO CHOICE
Chair: Tomas Björk, Stockholm School of Economics
11.00-11.30 “Comovement After Joining an Index: Spillovers of
Nonfundamental Effects”
Speaker: Dong Wook Lee, University of Kentucky
Discussant: Youchang Wu, University of Vienna
11.30-12.00 “Better Regulation and Underwriter Reputation have done
nothing for IPO Underpricing over the 20th Century: Empirical Evidence
from IPOs on the London Stock Exchange”
Speaker: Elroy Dimson, London Business School
Discussant: Neal Stoughton, University of Calgary
12.00-12.30 “Beautiful Asset: Art as Investment”
Speaker: Michael Moses, New York University
Discussant: Klaus Spremann, University St. Gallen
12.30-13.30 - Lunch Buffet -
13.30-14.15 KEY-NOTE-ADDRESS
“Homeownership as a Constraint on Asset Allocation”
Speaker: Eduardo Schwartz, UCLA
14.15-14.45 - Coffee Break -
14.45-16.15 SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL
Chair: Elroy Dimson, London Business School
14.45-15.15 “Determinants of Venture Capital Performance: Europe and the
United States”
Speaker: Ulrich Hege, HEC
Discussant: Michael Halling, University of Vienna
15.15-15.45 “Risk-Adjusted Returns of Private Equity Investments”
Speaker: Alexander Groh, TU Darmstadt
Discussant: Engelbert Dockner, University of Vienna
15.45-16.15 “The Performance of Private Equity Funds”
Speaker: Ludovic Phalippou, University of Amsterdam,
Discussant: Stefan Pichler, Vienna University of Economics and Business
Administration
16.15-16.30 - Coffee Break -
16.30-17.30 SESSION IV: EXPECTED RETURNS IN REAL ESTATE
Chair: Klaus Spremann, University St. Gallen
16.30-17.00 “Expected Returns and the Expected Growth in Rents of
Commercial Real Estate”
Speaker: Walter Torous, UCLA
Discussant: Alex Stomper, Institute for Advanced Studies, Vienna
17.00-17.30 “Assessing High House Prices: Bubbles, Fundamentals and
Misperceptions”
Speaker: Charles P. Himmelberg, Goldman Sachs
Discussant: Javier Suarez, CEMFI
CONCLUDING REMARKS
Josef Zechner, University of Vienna and Gutmann Center
- Refreshments –
The Gutmann Center Symposium 2006 is organized in cooperation with:
DIE PRESSE – www.diepresse.com
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
New Directions in Financial Modelling <http://www.unicom.co.uk/finance>
Seminar and Workshop Series,
22 May 2006 - 25 May 2006, London, UK
22 May: Pre-Seminar Workshop
Financial Innovation & New Structured Products in the Equity World
23-24 May: Two-day, multi-speaker seminar, with the following themes:
*
Day One: Recent Developments in Financial Modelling
*
Day Two: Recent Developments in Portfolio Planning
25 May: Demonstrations of specialist financial software systems
This meeting is organised by CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University in collaboration with a number of other leading research institutions:
Hermes Centre of Excellence, University of Cyprus
Department of Statistics and Decision Support Systems, University of Vienna
The Centre for Financial Research, Judge Business School, Cambridge.
The Centre for Quantitative Finance, Imperial College
The Risk Management and Financial Engineering (RMFE) Lab, University of Florida
The theme of the final day is to present specialist financial software systems. Some systems are commercial and others have been developed in academic labs and are migrating to commercial applications. Those presenting/demonstrating systems will include:
CARISMA
University of Vienna
The Centre for Financial Research, Judge Business School, Cambridge
The Centre for Quantitative Finance, Imperial College
APT
Insightful
Speakers for 23-24 May confirmed to date include:
Nicos
Christofides
The Centre for Quantitative Finance, Imperial College (confirmed)
Michael
Dempster
The Centre for Financial Research, Judge Business School, Cambridge (confirmed)
Gerd
Infanger
Stanford University (confirmed)
Dilip
Madan
Robert H Smith School of Business, University of Maryland/Consultant to Morgan Stanley (confirmed)
Gautam
Mitra
CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University (confirmed)
Georg
Pflug
Department of Statistics and Decision Support Systems, University of Vienna (confirmed)
Stan
Uryasev
The Risk Management and Financial Engineering (RMFE) Lab, University of Florida (confirmed)
Stavros
Zenios
Hermes Centre of Excellence, University of Cyprus (confirmed)
Daniel
Di Bartolomeo
Northfield Systems (confirmed)
Norbert
Jobst
Standard & Poor's (confirmed)
Zari
Rachev
FinAnalytica (confirmed)
Andrew
Robinson
APT (confirmed)
Benefits of Attending
You will learn about the latest developments in the field from acknowledged research leaders, gathered together in London. By networking and listening to the presentations, you will gain valuable knowledge and practical techniques to apply your own area of practice or research. You will gain first hand experience of the innovative thinking and best practices currently being developed in some of the world's leading educational institutions.
The target audience is
Academics
PhD Research Students
Project leaders and Quants from Financial Institutions
For further details please go to www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> , either download brochure or email info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF filer.
We look forward to welcoming you to the workshops; please also make your colleagues aware of it. I believe this information will be of interest to you and your colleagues
With regards
Michael Sun
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Middlesex
Uxbridge, UB8 3PH
United Kingdom
* xiaochen.sun(a)brunel.ac.uk <mailto:xiaochen.sun@brunel.ac.uk>
http://mam3xs.blogspot.com/
*(+44) (0)1895 265625
*(+44) (0)7841873292
Sehr verehrte Damen, sehr geehrte Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr.
Otto Loistl, sind voraussichtlich ab Anfang März 2006 bis 30. September
2008 zwei Stellen eines Wissenschaftlichen Mitarbeiters/einer
Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte der Ausschreibung obiger zwei
Stellen unter:
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w48
(Bewerbungsfrist: 1. März 2006).
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls
Weiterleitung an InteressentInnen verbleibe ich
mit freundlichen Grüßen
Christopher Casey
--------------------------------------------------------------------
ao.Univ.-Prof. Dr. Christopher Casey
Institut fuer Finanzierung und Finanzmaerkte
Abteilung für Investmentbanking und Katallaktik
Wirtschaftsuniversität Wien
Althanstrasse 39-45, 1090 Wien, Oesterreich
Tel.: 0043-1-31336-4167
Fax: 0043-1-31336-761
Email: Christopher.Casey(a)wu-wien.ac.at
http://ifm.wu-wien.ac.at/
--------------------------------------------------------------------