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: February 21st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London
Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS
The talk will outline our ongoing research into applications of
quantitative approaches for investment decision making in global
fixed-income and currency markets.
We will consider tactical market-timing type decisions as well as
strategies aimed at exploiting risk premia over a long horizon.
About Vasant Naik:
Vasant Naik is the head of the Quantitative Market Strategies Group of
the Fixed Income Research division of Lehman Brothers in London. He has
been with Lehman Brothers for 7 years. He is responsible for a team that
is engaged in building quantitative models useful for investment
decision-making in global fixed income markets. As such, the group
conducts research projects characterizing risk and return in global
bond, currency and volatility markets. Vasant’s group also works on
questions of optimal portfolio construction, portfolio risk modeling and
investment process design. This research is made available to clients of
Lehman Brothers which include the largest institutional investors around
the globe. Quantitative research is one of the dimensions along which
Lehman Brothers excels in the financial industry.
Prior to joining Lehman Brothers, Vasant was a faculty member at the
University of British Columbia in Canada for 10 years. In his academic
research, he has developed models of equity returns, the yield curve,
derivatives valuation and hedging and real options. Also, he taught
under-graduate, graduate and doctoral students in different areas of
Finance. Vasant graduated from Indian Institute of Management Bangalore
in 1983 and from University of California, Berkeley in 1988 with a
doctorate in 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
Prof. Vasant Naik from Lehman Brothers (London) is giving a VGSF research
seminar on "Global Savings - Investment Imbalances: A Look Through the
Life-Cycle Model" on MONDAY, Feb. 20th, from 15:30 to 17:00 at the BWZ,
Lecture Room (HS) 3.
There is going to be the possibility to talk to Vasant on Tuesday. If you
would like to discuss your research projects and ideas with him, please
contact michael.halling(a)univie.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"
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.
KEY-NOTE ADDRESS
“Homeownership as a Constraint on Asset Allocation”
Eduardo Schwartz, UCLA
SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN CHARACTERISTICS
- “Efficient Portfolios when Housing is a Hedge against Rent Risk”
Loriana Pelizzon, Università Ca' Foscari di Venezia
- “Illiquidity and Pricing Biases in the Real Estate Market”
Kerry D. Vandell, University of Wisconsin-Madison
- “Hot and Cold Housing Markets: International Evidence”
Javier Suarez, CEMFI
SESSION II: REAL ASSETS AND PORTFOLIO CHOICE
- “Comovement After Joining an Index: Spillovers of Nonfundamental Effects”
Dong Wook Lee, University of Kentucky
- “Better Regulation and Underwriter Reputation have done nothing for
IPO Underpricing over the 20th Century: Empirical Evidence from IPOs on
the London Stock Exchange”
Elroy Dimson, London Business School
- “Beautiful Asset: Art as Investment”
Michael Moses, New York University
SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL
- “Determinants of Venture Capital Performance: Europe and the United
States”
Ulrich Hege, HEC
- “Risk-Adjusted Returns of Private Equity Investments”
Alexander Groh, Technische Universität Darmstadt
- “The Performance of Private Equity Funds”
Ludovic Phalippou, University of Amsterdam,
SESSION IV: EXPECTED RETURNS IN REAL ESTATE
- “Expected Returns and the Expected Growth in Rents of Commercial Real
Estate”
Walter Torous, UCLA
- “Assessing High House Prices: Bubbles, Fundamentals and Misperceptions”
Charles P. Himmelberg, Goldmann Sachs
Sessions will be chaired and discussed by members of the Academic
Advisory Board:
- Elroy Dimson, London Business School
- Engelbert Dockner, University of Vienna
- Robert Korajczyk, Northwestern University
- Klaus Spremann, University St. Gallen
- Neal Stoughton, University of Calgary
- Josef Zechner, University of Vienna
The participation is free, but all participants are required to REGISTER:
mail: gutmann.bwl(a)univie.ac.at
Detailed program is available at www.gutmann-center.at !
Contact:
Gutmann Center for Portfolio Management
University of Vienna
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: February 21st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London
Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS
The talk will outline our ongoing research into applications of
quantitative approaches for investment decision making in global
fixed-income and currency markets.
We will consider tactical market-timing type decisions as well as
strategies aimed at exploiting risk premia over a long horizon.
About Vasant Naik:
Vasant Naik is the head of the Quantitative Market Strategies Group of
the Fixed Income Research division of Lehman Brothers in London. He has
been with Lehman Brothers for 7 years. He is responsible for a team that
is engaged in building quantitative models useful for investment
decision-making in global fixed income markets. As such, the group
conducts research projects characterizing risk and return in global
bond, currency and volatility markets. Vasant’s group also works on
questions of optimal portfolio construction, portfolio risk modeling and
investment process design. This research is made available to clients of
Lehman Brothers which include the largest institutional investors around
the globe. Quantitative research is one of the dimensions along which
Lehman Brothers excels in the financial industry.
Prior to joining Lehman Brothers, Vasant was a faculty member at the
University of British Columbia in Canada for 10 years. In his academic
research, he has developed models of equity returns, the yield curve,
derivatives valuation and hedging and real options. Also, he taught
under-graduate, graduate and doctoral students in different areas of
Finance. Vasant graduated from Indian Institute of Management Bangalore
in 1983 and from University of California, Berkeley in 1988 with a
doctorate in 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
There are two VGSF research seminars in January (and an important
announcement regarding Lubos Pastor's seminar):
(A) on Friday, Jan. 20th, Engelbert Dockner is going to present the paper
"Leaders, Followers, and Risk Dynamics in Industry Equilibrium"; this
seminar is going to take place in lecture room 3 at the standard time.
(B) on Friday, Jan. 27th, Lubos Pastor from the University of Chicago is
going to present his paper "Technological Revolutions and Stock Prices". The
seminar takes place in lecture room 11 BUT THE TIME HAS CHANGED: the seminar
is going to be from 11:00 to 12:30!!!
By the way, Lubos is going to be in Vienna for the entire week. If you want
to meet him, please let me know.
See you at the seminar,
Michael Halling
The VIENNA GRADUATE SCHOOL OF FINANCE
www.vgsf.ac.at
OFFERS
6 SCHOLARSHIPS FOR ITS PhD PROGRAM IN FINANCE
INVITATION TO APPLY
The Vienna Graduate School of Finance – a joint initiative of the
University of Vienna, the Institute for Advanced Studies, Vienna, and
the Vienna University of Economics and Business Administration – invites
applications for its doctoral program. Upon admission, applicants can
expect to obtain a top-quality education for an academic career or a
highly specialized position in business or international institutions.
HIGHEST ACADEMIC CREDENTIALS
The Vienna Graduate School of Finance draws on the academic resources of
three established academic institutions, with a faculty specializing in
various fields of finance, including asset pricing, corporate finance,
financial institutions, risk management, and market microstructure.
Well-established within the research community, the local faculty not
only focuses on questions of fundamental theoretical and empirical
importance in finance, but also on policy-oriented issues and practical
applications.
DISTINGUISHED INTERNATIONAL FACULTY
Leading scholars in the field are regularly invited to teach advanced
courses on a topic with either important practical applications or high
potential for future research. For example, in the last three years
courses have been taught by Kerry Back (St. Louis), David Bates (Iowa),
Tomas Björk (Stockholm), Tim Bollerslev (Durham), Michael Brennan
(UCLA), Zsuzsanna Fluck (Michigan State), David Lando (Copenhagen),
Antonio Mele (LSE), Mojmir Mrak (Ljubljana), Stefan Reichelstein
(Stanford), Neal Stoughton (UC Irwine), Suresh Sundaresan (Columbia),
Russ Wermers (Maryland), Jan Werner (Minnesota), and Stanley Zin
(Carnegie Mellon).
PROGRAM
The program consists of two years of intensive course work, followed by
thesis writing. All courses are taught in English. In addition to good
language skills, good skills in mathematics and statistics are
advantageous to successfully complete the program.
APPLICATION
The program is open for students from all countries with all academic
specializations, provided they hold a Master degree or equivalent and
have a sufficient level of formal training. Applicants should take a GRE
and/or GMAT and a TOEFL test, and provide proof of basic proficiency in
finance and/or economics (based on either the degree they hold or a
sample of original written work). The application package should also
contain a statement of purpose, as well as copies of any certificates
and diplomas obtained during prior studies, along with certified
translations into English. Finally, each applicant should arrange for at
least two letters of reference to be sent directly to the address stated
below.
SCHOLARSHIP
Successful applicants will receive generous financial support.
Approximately 6 applicants will be admitted to the program.
Please send your application package not later than
------FEBRUARY 15th, 2006-----
to the following address:
VGSF - Prof. Josef Zechner
University of Vienna
Department of Finance
Brünnerstrasse 72
1210 Vienna (Wien), Austria.
FURTHER INFORMATION AND APPLICATON DETAILS:
--------------- 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: December 19th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Darrell DUFFIE, Stanford
http://www.stanford.edu/~duffie/
Title:
MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW?
Abstract:
Some of the fog surrounding the measurement and pricing of corporate
credit risk seems to be lifting, as the empirical evidence builds. There
are nevertheless some important puzzles to be explained, and we remain
in severe need of better models, especially for the pricing and risk
management of correlated credit risk products (for which the
market-standard copula models have significant inadequacies). Investors
are compensated for bearing corporate default risk with market premia
(credit yield spreads or credit derivative prices) that appear to be
large relative to expected losses, and highly variable across time.
There is evidence of significant clustering of defaults across corporate
issuers, above and beyond that suggested by the correlation of
observable risk factors such as equity returns, volatility, leverage,
interest rates, and broad macroeconomic business-cycle variables. This
is a clue to the surprisingly high prices of tranched credit products
that are exposed only to those portfolio default losses that are above
extremely high thresholds relative to historical losses. Drawing from a
number of new collaborative research projects, this talk will present
some recent evidence, suggest some new modelling approaches, and
speculate on the underlying economic causes of these puzzles, which may
include unobservable common risk factors, sluggish movement of capital
across market segments, and agency in the asset management business.
About Darrell Duffie:
Darrell Duffie is the James I. Miller Professor of Finance at The
Graduate School of Business, Stanford University, where he has been a
member of the finance faculty since receiving his Ph.D. at Stanford.
Duffie, recently a Director of The Board of The American Finance
Association, is a Fellow of the Econometric Society, a Research
Associate of the National Bureau of Economic Research, a member of
Moody's Academic Research Committee, and the 2003 IAFE/Sunguard
Financial Engineer of the Year. He is currently on the editorial boards
of Econometrica and The Journal of Financial Economics, among other
journals.
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
Dear VFN-L,
Josef Hofbauer from the Department of Mathematics of University
College London informed us of a vacant Chair in Financial Mathematics.
Details are to be found at
http://www.maths.lse.ac.uk/Chair_in_Financial_Mathematics.html
Regards,
--
-- Andreas Schamanek
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: December 19th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Darrell DUFFIE, Stanford
http://www.stanford.edu/~duffie/
Title:
MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW?
Abstract:
Some of the fog surrounding the measurement and pricing of corporate
credit risk seems to be lifting, as the empirical evidence builds. There
are nevertheless some important puzzles to be explained, and we remain
in severe need of better models, especially for the pricing and risk
management of correlated credit risk products (for which the
market-standard copula models have significant inadequacies). Investors
are compensated for bearing corporate default risk with market premia
(credit yield spreads or credit derivative prices) that appear to be
large relative to expected losses, and highly variable across time.
There is evidence of significant clustering of defaults across corporate
issuers, above and beyond that suggested by the correlation of
observable risk factors such as equity returns, volatility, leverage,
interest rates, and broad macroeconomic business-cycle variables. This
is a clue to the surprisingly high prices of tranched credit products
that are exposed only to those portfolio default losses that are above
extremely high thresholds relative to historical losses. Drawing from a
number of new collaborative research projects, this talk will present
some recent evidence, suggest some new modelling approaches, and
speculate on the underlying economic causes of these puzzles, which may
include unobservable common risk factors, sluggish movement of capital
across market segments, and agency in the asset management business.
About Darrell Duffie:
Darrell Duffie is the James I. Miller Professor of Finance at The
Graduate School of Business, Stanford University, where he has been a
member of the finance faculty since receiving his Ph.D. at Stanford.
Duffie, recently a Director of The Board of The American Finance
Association, is a Fellow of the Econometric Society, a Research
Associate of the National Bureau of Economic Research, a member of
Moody's Academic Research Committee, and the 2003 IAFE/Sunguard
Financial Engineer of the Year. He is currently on the editorial boards
of Econometrica and The Journal of Financial Economics, among other
journals.
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
This is a reminder for the VGSF Research Seminar that is going to take
place today, Friday Dec. 2nd, from 15:30 to 17:00 at the BWZ in
Floridsdorf (University of Vienna, a detailed plan can be found at
http://www.univie.ac.at/Wirtschaftswissenschaften/ ) in lecture room 3
(HS 3).
Prof. Burcin Yurtoglu from the University of Vienna is going to give a
talk on "The Effects of Ownership Concentration and Identity on
Investment Performance: An International Comparison". For further
information regarding Prof. Yurtoglu look at
http://homepage.univie.ac.at/besim.yurtoglu/
For further information and upcoming visitors, please refer to
http://www.vgsf.ac.at.
Best,
Michael Halling
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 1. Jänner 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: 21. Dezember 2005).
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls Weiterleitung
an InteressentInnen verbleibe ich
mit freundlichen Grüßen
Alexander Veverka
----------------------------------------------------------------------------------------
Dr. Alexander Veverka, Assistant Professor
Institute for Finance and Financial Markets
Chair for Investmentbanking and Catallactics
Vienna University of Economics and Business Administration
Althanstrasse 39-45, 1090 Vienna, Austria, Europe
Phn: +43 1 31336 4183
Fax: +43 1 31336 761
email: alexander.veverka(a)wu-wien.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: December 5th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Terrance ODEAN (www.odean.org)
Haas School of Business at the University of California, Berkeley
Title: "INVESTOR BEHAVIOR AND MARKET EFFICIENCY"
Abstract:
Professor Terrance Odean will present his research on how psychological
biases and decision heuristics affect the trading of individual
investors and the impact of this trading on investor welfare and market
efficiency. Analyzing the trading records of hundreds of thousands of
individual and institutional investors, Professor Odean finds that
individual investors tend to trade too frequently, hold onto their
losing investments, and buy stocks that are in the news. Psychological
motivations for these behaviors are overconfidence, a desire to avoid
feeling regret, and the limits of human attention. Investors, especially
those who have experienced recent success, are likely to be
overconfident about their abilities. Overconfidence leads to excessive
trading and lower returns. The stocks that individual investors buy tend
to subsequently under-perform those they sell. Active investors tend to
under-perform buy-and-hold investors. Men, who tend to be more
overconfident than women, trade 45% more actively than women thereby
hurting their net returns. And investors who switch to online trading
tend to trade more actively, more speculatively, and less successfully
after going online. And investors tend to buy stocks that are in the
news, irrespective of whether the news is good or bad. These trading
behaviors lead to substantial reductions in portfolio returns for
individual investors. Furthermore, the trading of individual investors
forecasts future asset returns.
About Terrance Odean:
Terrance Odean (www.odean.org) is Professor of Finance at the Haas
School of Business, University of California, Berkeley. He is director
of UC Berkeley’s Experimental Social Science Laboratory, associate
editor of The Review of Financial Studies, and a member of the Russell
Sage Behavioral Economics Roundtable.
Professor Odean is an internationally highly respected scholar in the
field of behavioral finance. His research focuses on the implications of
overconfidence on investment behavior. It has been cited in The Wall
Street Journal, The New York Times, The L.A. Times, The Washington Post,
The International Herald Tribune, Time, Newsweek, U.S. News and World
Report, Barron's, Forbes, Business Week, Smart Money, Bloomberg
Personal, Worth, Kipplinger's Personal Finance, and several other
publications.
Professor Odean earned a B.A. in Statistics at the University of
California, Berkeley in 1990 and a Ph.D. in Finance from the Haas School
of Business in 1997. He held a position at the Graduate School of
Management, University of California Davies and returned to the Haas
School in 2001.
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 - A-1210 Wien
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Im *Institut für Finanzierung und Finanzmärkte, Abteilung Betriebliche
Finanzierung*, ist voraussichtlich ab 15. Dezember 2005 bis 14. Dezember
2009 die Stelle *eines wissenschaftlichen Mitarbeiters/ einer
wissenschaftlichen Mitarbeiterin* (ArbeitnehmerIn der
Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), *vollbeschäftigt
*zu besetzen.
*Notwendige Kenntnisse und Qualifikationen:*
EU-Bürger/in, abgeschlossenes Studium der Sozial- und
Wirtschaftswissenschaften
*Erwünschte Kenntnisse und Qualifikationen:*
Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung
und der englischen Sprache, Interesse an entscheidungsorientierter,
analytischer finanzwirtschaftlicher Forschung
Weitere Infos auf http://www.wu-wien.ac.at/aktuell/mblatt/pdf/MB07_05.pdf
This is a reminder for the VGSF Research Seminar that is going to take place
tomorrow, Friday Nov. 18th, from 15:30 to 17:00 at the BWZ in Floridsdorf
(University of Vienna, a detailed plan can be found at
http://www.univie.ac.at/Wirtschaftswissenschaften/) in lecture room 3 (HS
3).
Prof. Hans Degryse from CentER-Tilburg University is going to give a talk on
"SMEs and Bank Lending Relationships: The Impact of Mergers". For further
information regarding Prof. Degryse look at
http://www.tilburguniversity.nl/faculties/feb/finance/people/degryse/
For further information and upcoming visitors, please refer to
www.vgsf.ac.at. If you would like to discuss your research with Prof.
Degryse, please contact michael.halling(a)univie.ac.at.
Best,
Michael Halling
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: December 5th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Terrance ODEAN (www.odean.org)
Haas School of Business at the University of California, Berkeley
Title: "INVESTOR BEHAVIOR AND MARKET EFFICIENCY"
Abstract:
Professor Terrance Odean will present his research on how psychological
biases and decision heuristics affect the trading of individual
investors and the impact of this trading on investor welfare and market
efficiency. Analyzing the trading records of hundreds of thousands of
individual and institutional investors, Professor Odean finds that
individual investors tend to trade too frequently, hold onto their
losing investments, and buy stocks that are in the news. Psychological
motivations for these behaviors are overconfidence, a desire to avoid
feeling regret, and the limits of human attention. Investors, especially
those who have experienced recent success, are likely to be
overconfident about their abilities. Overconfidence leads to excessive
trading and lower returns. The stocks that individual investors buy tend
to subsequently under-perform those they sell. Active investors tend to
under-perform buy-and-hold investors. Men, who tend to be more
overconfident than women, trade 45% more actively than women thereby
hurting their net returns. And investors who switch to online trading
tend to trade more actively, more speculatively, and less successfully
after going online. And investors tend to buy stocks that are in the
news, irrespective of whether the news is good or bad. These trading
behaviors lead to substantial reductions in portfolio returns for
individual investors. Furthermore, the trading of individual investors
forecasts future asset returns.
About Terrance Odean:
Terrance Odean (www.odean.org) is Professor of Finance at the Haas
School of Business, University of California, Berkeley. He is director
of UC Berkeley’s Experimental Social Science Laboratory, associate
editor of The Review of Financial Studies, and a member of the Russell
Sage Behavioral Economics Roundtable.
Professor Odean is an internationally highly respected scholar in the
field of behavioral finance. His research focuses on the implications of
overconfidence on investment behavior. It has been cited in The Wall
Street Journal, The New York Times, The L.A. Times, The Washington Post,
The International Herald Tribune, Time, Newsweek, U.S. News and World
Report, Barron's, Forbes, Business Week, Smart Money, Bloomberg
Personal, Worth, Kipplinger's Personal Finance, and several other
publications.
Professor Odean earned a B.A. in Statistics at the University of
California, Berkeley in 1990 and a Ph.D. in Finance from the Haas School
of Business in 1997. He held a position at the Graduate School of
Management, University of California Davies and returned to the Haas
School in 2001.
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 - A-1210 Wien
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Das Institut für Betriebliche Finanzwirtschaft der Universität Innsbruck (ab
1.1.2006: Institut für Banken und Finanzen) veranstaltet am 25./26.11. im
Universitätszentrum Obergurgl einen Workshop zum Thema Kreditrisikomanagement.
Die Liste der Vortragenden inkludiert unter anderem Prof. Wolfgang Bühler
(Mannheim) und Prof. Stefan Pichler (WU Wien). Das Programm und
organisatorische Informationen finden Sie unter
http://uibk.ac.at/congress/krm/krm.html
Anmeldungen sind noch möglich, Details dazu finden Sie ebenfalls auf der
Website.
Beste Grüße,
Michael Hanke
--
Univ.Prof. Dr. Michael Hanke
Institut für Betriebliche Finanzwirtschaft
Universität Innsbruck
Universitätsstr. 15
6020 Innsbruck
Tel.: (43)512 507-7552, Fax: -2846
e-mail: Michael.Hanke(a)uibk.ac.at
RE: CARISMA FINANCIAL ENGINEERING WORKSHOPS <http://www.unicom.co.uk/events/event_details.asp?productid=1473&catid=1&sub…>
EXTREME VALUE THEORY AND COPULAS <http://www.unicom.co.uk/events/event_details.asp?productid=1456&catid=1&sub…> , 29 November 2005, London
Presenters: Paul Embrechts, Johanna Neslehova, Rosario Dell'Aquila, RiskLab, ETH Zurich; Claudio Romano, Credit Risk Analyst, Capitalia Bank Holding, Rome; Annalisa Di Clemente, University of Rome;
FINANCIAL INNOVATION AND NEW STRUCTURED PRODUCTS IN THE EQUITY WORLD <http://www.unicom.co.uk/events/event_details.asp?productid=1457&catid=1&sub…> , 30 November 2005, London
Presenter: Dilip Madan, Robert H. Smith School of Business, University of Maryland / Consultant to Morgan Stanley
PRACTICAL FINANCIAL OPTIMISATION: DECISION MAKING FOR FINANCIAL ENGINEERS <http://www.unicom.co.uk/events/event_details.asp?productid=1458&catid=1&sub…> ,1 December 2005, London
Presenters: Stavros Zenios, Wharton School of Business /University of Cyprus; Gautam Mitra, CARISMA, Brunel University
HIDDEN MARKOV MODELS, KALMAN FILTERS, ROBUST REGRESSION <http://www.unicom.co.uk/events/event_details.asp?productid=1468&catid=1&sub…> , 2 December 2005, London
Presenters: Paresh Date, Rogemar Mamon, Keming Yu, CARISMA, Brunel University;
We are pleased to announce the above workshops. The objective of the four one-day events is to bring together practitioners, academics working in the area of risk management, financial engineering, quantitative finance and optimisation. They will provide an opportunity for participants engaged at the forefront of this area to discuss problems and challenges and suggest fruitful directions for future research, which focus on the emerging requirements of the finance industry.
The speaker panel includes world leaders such as Dilip Madan, Robert H. Smith School of Business, University of Maryland/ Consultant to Morgan Stanley; Paul Embrechts and colleagues, RiskLab, ETH, Zurich; Gautam Mitra, CARISMA, Brunel University; Stavros Zenios, Wharton School of Business/University of Cyprus; Claudio Romano, Credit Risk Analyst, Capitalia Bank Holding, Rome. All the speakers have achieved distinction through their research contributions and also possess wide experience of real world applications of highly sophisticated quantitative models.
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.
For further details please go to www.carisma.brunel.ac.uk/FE.html <http://www.carisma.brunel.ac.uk/FE.html> or www.unicom.co.uk/finance , either download brochure or email info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF filer.
The events are organised by the Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA) at Brunel University, and managed by UNICOM Seminars.
We will appreciate if could put the poster on your bulleting board and make your colleagues aware of these events. We look forward to welcoming you and your colleagues to the workshops; please contact me if you require further information.
Best regards
Michael Sun
xiaochen.sun(a)brunel.ac.uk or michael(a)unicom.co.uk
CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk>
UNICOM Seminars, www.unicom.co.uk/finance <http://www.unicom.co.uk/finance>
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
This is a reminder for the VGSF Research Seminar that is going to take place
tomorrow, Friday Nov. 4th, from 15:30 to 17:00 at the BWZ in Floridsdorf
(University of Vienna, a detailed plan can be found at
http://www.univie.ac.at/Wirtschaftswissenschaften/) in lecture room 3 (HS
3).
Prof. Espen Eckbo from Dartmouth College is going to give a talk on "The
Toehold Puzzle". For further information regarding Prof. Eckbo who is a
leading scholar in the area of corporate finance and especially in corporate
governance related issues look at
http://mba.tuck.dartmouth.edu/pages/faculty/espen.eckbo/
For further information and upcoming visitors, please refer to
www.vgsf.ac.at.
Best,
Michael Halling
This is a reminder for the VGSF Research Seminar that is going to take place
tomorrow, Friday Oct. 28th, from 15:30 to 17:00 at the BWZ in Floridsdorf
(University of Vienna, a detailed plan can be found at
http://www.univie.ac.at/Wirtschaftswissenschaften/) in lecture room 8 (HS
8). Prof. Alois Geyer from the Vienna University of Economics and Business
Administration is going to give a talk on "Life-Cycle Asset Allocation".
For further information, please refer to www.vgsf.ac.at. Note further that
the schedule up to Christmas (in fact, up to Dec. 21st) has been finalized.
Best,
Michael Halling
Please take note of the following information regarding the VGSF Research
Seminar:
(A) There is NO research seminar on Oct. 14th.
(B) The next research seminar takes place on Oct. 21st in HS 3 at the BWZ
and is given by Alexander STOMPER (from the University of Vienna) on "How
Leverage affects Pricing: Theory and Evidence".
With apologies for cross-postings and kind regards,
Michael Halling
This week there are going to be three interesting research seminars:
(1.) Bing Liang (from the University of Massachusetts Amherst,
http://www.isenberg.umass.edu/finopmgt/Faculty/Profiles/Bing_Liang/) is
going to give a research seminar on the paper "Do Market Timing Hedge Funds
Time the Market?" on Thursday Oct. 6th from 11:00 to 12:30 in HS 6.
(2.) Per Strömberg (from SIFR, http://www.sifr.org/) gives a research
seminar on "What are firms? Evolution from Birth to Public Companies" on
Friday Oct. 7th from 14:00 to 15:30 in HS 12 at the BWZ.
(3.) Nicolae Garleanu (from Wharton, University of Pennsylvania,
http://www.wharton.upenn.edu/faculty/garleanu.html) is giving a research
seminar on a paper called "Demand based option pricing" on Friday Oct. 7th
from 15:45 to 17:15 in HS 12 at the BWZ.
Information regarding the research seminar can be found on
http://www.vgsf.ac.at/ (then follow the link to activities and events).
If you any questions or suggestions regarding the research seminar, don't
hesitate to contact Michael Halling (michael.halling(a)univie.ac.at).
Furthermore, please accept my apologies for any cross-postings or duplicate
pieces of information.
Best,
Michael Halling
Sehr geehrte Damen und Herren,
am Institut für Kreditwirtschaft, der Wirtschaftsuniversität Wien,
Univ. Prof. Dr. Stefan Pichler, ist voraussichtlich ab 1. November 2005
bis 30. Februar 2008 die Stelle eines drittmittelfinanzierten
wissenschaftlichen Mitarbeiters / einer drittmittelfinanzierten
wissenschaftlichen Mitarbeiterin (ArbeitnehmerIn der
Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt,
zu besetzen.
Notwendige Kenntnisse und Qualifikation:
Abgeschlossenes Diplomstudium
Erwünschte Kenntnisse und Qualifikation:
Fundierte Programmierkenntnisse und Fähigkeiten im Umgang mit Datenbanken
Fundierte Kenntnisse in Finanzwirtschaft besonders im Bereich Kreditrisiko
Fundiertes Wissen in Mathematik und Statistik
Bewerbungsfrist: 10. Oktober 2005
Schriftliche Bewerbung mit Lebenslauf und Zeugnissen bitte an das
Institut für Kreditwirtschaft, WU Wien, UZA 4, Nordbergstrasse 15, 1090
Wien.
Mit der Bitte um Kenntnisnahme und gegebenenfalls Weiterleitung an
Interessenten verbleibe ich
mit freundlichen Grüßen
Rainer Jankowitsch
--
***************************************************
Univ.-Ass. Mag. Dr. Rainer Jankowitsch
Wirtschaftsuniversität Wien
Institut für Kreditwirtschaft
UZA 4, 6. Stock Kern B
Nordbergstrasse 15
A-1090 Wien
Tel: ++ 43 1 31336 4340
Fax: ++ 43 1 310 05 80
E-mail: rainer.jankowitsch(a)wu-wien.ac.at
Web: http://www.wu-wien.ac.at/wwwu/institute/ikw/
****************************************************
CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT
(apologies for any cross-postings!!)
GUTMANN CENTER SYMPOSIUM ON
"REAL ASSETS AND PORTFOLIO MANAGEMENT"
Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
March 27th, 2006
University of Vienna, Austria
The Gutmann Center for Portfolio Management at the University of Vienna
is proud to announce its fourth annual symposium to be held at the
University of Vienna.
The focus of this year’s symposium is on “real assets” such as real
estate, commodities, etc. In particular we invite empirical and
theoretical research on: (i) the risk-return characteristics of real
assets, (ii) return prediction in real asset markets, (iii) alternative
instruments and investment vehicles in real asset markets, (iv) asset
pricing and real assets (v) asset allocation and real assets.
PAPER SUBMISSION:
Papers on topics mentioned above should be submitted by email (in
Acrobat PDF) not later than October 31st, 2005 to the following address:
Email: gutmann.bwl(a)univie.ac.at
CONTACT:
Gutmann Center for Portfolio Management
University of Vienna
Director: Josef Zechner
Administrative Director: Dorothea Grimm
Bruenner Strasse 72, A-1210 Wien, Austria
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Mail: gutmann.bwl(a)univie.ac.at - Homepage: http://www.gutmann-center.at
All submissions will be reviewed by a committee composed of members of
the Gutmann Center’s Academic Advisory Board and decisions will be
announced by January 15th, 2006.
Submission and participation are free of charge. Presenting authors are
invited to apply to Gutmann Center to cover their accommodation and
travel expenses.
---------- Forwarded message ----------
Date: Thu, 25 Aug 2005 12:08:17 +0200
From: Manuel Lingo <manuel.lingo(a)wu-wien.ac.at>
Subject: Stellenausschreibung am Inst. fuer Kreditwirtschaft der WU-WIEN
Sehr geehrte Damen und Herren,
am Institut für Kreditwirtschaft, der Wirtschaftsuniversität Wien,
Univ. Prof. Dr. Stefan Pichler, ist voraussichtlich ab 1. Oktober 2005
bis 30. September 2011 die Stelle eines Assistenten/ einer Assistentin
(ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF),
vollbeschäftigt, zu besetzen.
Nähere Informationen entnehmen Sie bitte dem Ausschreibungstext:
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w31
(Ende der Bewerbungsfrist: 14. September 2005)
Mit der Bitte um Kenntnisnahme und gegebenenfalls Weiterleitung
an Interessenten verbleibe ich
mit freundlichen Grüßen
Manuel Lingo
Institut für Kreditwirtschaft
WU-WIEN
Tel: +43 (0) 1 313 36 4686
Fax: +43 (0) 1 310 05 80
manuel.lingo(a)wu-wien.ac.at
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Tue, 23 Aug 2005 18:24:27 +0200
From: Hans-Joachim Zwiesler <zwiesler(a)mathematik.uni-ulm.de>
Subject: Uni Ulm informiert: Internationaler Workshop ueber Kredit-Modelle
und Energie-Derivate
Financial Modelling Workshop
University of Ulm
20-22.9. 2005
( http://www.mathematik.uni-ulm.de/finmath/confpage/index.html )
The workshop aims to discuss leading-edge research in credit and commodities
(energy) modelling. The first 1.5 days will be devoted to credit risk while
the focus of the remaining 1.5 days is on commodities, in particular energy
risk.
The workshop will bring together leading international experts from both
academia and practice to promote exchange of ideas and help make progress on
research into current issues.
It is the second of a series of workshops jointly organized with the
Birkbeck College, University of London (see http://www.energyrisk.org/ for
details on the first workshop).
The preliminary schedule is shown on the conference webpage:
http://www.mathematik.uni-ulm.de/finmath/confpage/programme.html
Short Course
In addition we will have a half-day course on Monday on Credit Modelling
designed for practitioners. The course will consist of four one hour
sessions with topics: Corporate Bonds (Modelling Spread Curves), Credit
Derivatives; CDOs, Use and Effects of Corporate Bonds in Investment
Portfolios.
( http://www.mathematik.uni-ulm.de/finmath/confpage/satellite.html )
Registration
The registration for the conference and the preceding Short Course in Credit
Modelling is open until September 17.
http://www.mathematik.uni-ulm.de/finmath/confpage/regform.html
Registration for talks has been closed.
Further Details can be found on the conference webpage
http://www.mathematik.uni-ulm.de/finmath/confpage/index.html
Chairman:
Prof. Dr. Ruediger Kiesel
Department of Financial Mathematics
Ulm University
D-89069 Ulm
Germany
phone: +49-731-502-3521
fax: +49-731-503-1096
email: org(a)conference.finance-ulm.de