Sheridan Titman from University of Texas at Austin is giving a VGSF research seminar on "Financial Structure, Liquidity, and Firm Locations" on December 12, Wednesday, from 11:00 to 12:30, at HS 12, BWZ, Bruennerstrasse 72, A-1210 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Please note the special time and location of this seminar!!!
Professor Titman is visiting BWZ on December 10-12. If you would like to talk to him at BWZ, please let me know as soon as possible.
Best,
Youchang
This paper investigates the relation between a firm’s location and its corporate finance
decisions. We develop a simple model where being located within an industry cluster
increases opportunities to make acquisitions, and to facilitate those acquisitions, firms
within clusters maintain more financial slack. Consistent with our model we find that
firms that are located within industry clusters tend to make more acquisitions, and have
lower debt ratios and larger cash balances than their industry peers located outside
clusters. In addition, we document that firms in growing cities and technology centers
also maintain more financial slack. Overall, these findings, which reveal systematic
patterns between geography and corporate finance choices, suggest the importance of
growth opportunities in firms’ financial decisions.
Liebe Kolleginnen und Kollegen!
In meiner Eigenschaft als Vorsitzender der
Habilitationskommission von Herrn Dr. Markus
Schwaiger lade ich Sie sehr herzlich zum
öffentlichen Habilitationsvortrag und Habilitationskolloquium ein.
Der Habilitationsvortrag von Dr. Markus Schwaiger
zum Thema Determinanten der Zinsmargenreduktion
in der europäischen Bankenlandschaft am Beispiel von Lokalbanken findet am
Dienstag, 18. Dezember 2007, um 9.00 Uhr,
im UZA 1, großer Sitzungssaal, Kern D, 2. OG.,
statt.
Das öffentliche Habilitationskolloquium wird im
Anschluss an den Habilitationsvortrag am selben Ort abgehalten.
Mit herzlichen Grüßen
Stefan Bogner eh.
===================================================
Brigitte Krammer
Wirtschaftsuniversität Wien, Vienna University of
Economics and Business Administration
Büro des Senats, Senate Office
Augasse 2-6, A-1090 Wien
Tel: +43 1 31336-5322
Fax: +43 1 31336-792
E-Mail: brigitte.krammer(a)wu-wien.ac.at
===================================================
Professor Kristian Miltersen from Norwegian School of Economics and Business Administration is giving a VGSF research seminar on "REAL OPTIONS WITH UNCERTAIN MATURITY AND COMPETITION" on December 7 (Friday, 15:30-17:00), at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna. The paper to be presented can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Kristian will visit BWZ on Dec 5-7. If you would like to meet him at BWZ, please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract. We develop a new approach to dealing with real options problems with uncertain maturity. This approach is highly applicable to analyze R&D investments and mine or oil exploration projects. These projects are characterized by signi.cant on-going investment costs until completion. Since time to completion is uncertain, the total investment costs will also be uncertain. Despite the fact that these projects include complicated American abandonment/switching options until completion and European options at completion (because of .xed .nal investment costs) we obtain simple closed form solutions. We apply the framework to situations in which the owner of the project has monopoly rights to the outcome of the project, and to situations in which there are two owners who simultaneously invest, but where only one of them may obtain the rights to the outcome. We expand the real options framework to incorporate game theoretic considerations, including a generalization of mixed strategies to continuous-time models in the form of abandonment intensities.
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: December 13th (Thursday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Michael BRANDT, Duke University
http://www.duke.edu/~mbrandt
Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT:
CREDIT QUALITY OR LIQUIDITY?
Abstract:
Do government bond investors demand credit quality or liquidity? The
answer is both, but at different times and for different reasons. Using
data on the Euro-area government bond market, which features a unique
negative correlation between credit quality and liquidity across
countries, Professor Brandt and coauthors show that the bulk of
sovereign yield spreads is explained by differences in credit quality,
though liquidity plays a non-trivial role especially for low credit risk
countries and during times of heightened market uncertainty. In
contrast, the destination of large flows into the bond market is
determined almost exclusively by liquidity. Professor Brandt and
coauthors conclude that credit quality matters for bond valuation but
that, in times of market stress, investors demand liquidity, not credit
quality.
About Michael Brandt:
Michael W. Brandt is a Professor of Finance and the Finance Area
Coordinator at the Fuqua School of Business of Duke University. His is
also a Research Associate of the National Bureau of Economic Research
(NBER). Professor Brandt's research on quantitative portfolio
management, the response of financial markets to news, the role of order
flow in price discovery, and the link between financial markets and the
macro economy has appeared in leading academic journals. Professor
Brandt received the 2001 FAME Research prize for best paper on asset
management and finance engineering presented at the American, Western,
and European Finance Association meetings and the 2003 Barclays Global
Investor prize for best symposium paper presented at the European
Finance Association meeting. He is an associate editor of the Journal
of Finance, Management Science, and Journal of Econometrics. He is a
member of several corporate advisory boards and a consultant to a number
of financial institutions. He received an M.Sc. in Economics from the
London School of Economics and an M.B.A. and Ph.D. in Finance from the
University of Chicago. Prior to joining the Fuqua School of Business,
Professor Brandt was on the faculty of the Wharton School of the
University of Pennsylvania.
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
The Global Association of Risk Professionals (GARP) is pleased to
announce an Austrian chapter meeting
Monday, December 17th, 2007
Time: 6:00 p.m. * 8:30 p.m.
Vienna University of Technology
Wiedner Hauptstraße 8-10
Green Area, 7th floor, Zeichensaal 3
1040 Vienna
Refreshments
Please invite colleagues who you think would be interested in
attending.
We ask only that they register to attend.
Registration is desired so that we can plan accordingly. Please
register at www.garp.com
Topics:
I. Ex post risk attribution in a value-at-risk framework
Speaker: Eugen Puschkarski (Oesterreichische Nationalbank)
Abstract:
We will first describe a general procedure to decompose time-variation
in Value-at-Risk from one reporting period to the next. Then, using
standard methodology from the field of performance attribution, we
analytically show how the new VaR Risk Attribution Model (RAM) ascribes
these changes to an active trading factor, a market risk changes factor,
a passive time decay factor and a resulting cross-product. With a
slightly simplified version of the RAM, we subsequently demonstrate how
behavioural risk-taking patterns can be detected in practice. We
highlight the relevance of using a RAM for central banks and
subsequently set the presented RAM into the context of existing risk
attribution methods.
Eugen Puschkarski is currently a Risk Manager in the Treasury Division
at Oesterreichische Nationalbank, Vienna, Austria, where he has worked
since 1999. His areas of specialization are Market Risk Measurement,
Quantitative Research on Asset Allocation, Pricing Models and
Econometric Research. Prior to that, he was in charge of Sales and
Support of the Risk Management programs SAILFISH and KONDOR+ in the Risk
Management Division at REUTERS America Inc. He earned his Postgraduate
in Finance at the Center for Central European Financial Markets and
studied International Business Administration at the University of
Vienna, Austria. In 2007 Eugen Puschkarski was appointed as co-director
of GARP chapter Austria.
II. Overview of and personal experience with the FRM exam
III. Discussion
Mag. Eugen Puschkarski
______________________________________________________________
Oesterreichische Nationalbank (Austria's Central Bank)
Treasury - Strategy Division
Otto Wagner Platz 3, POB 61, A-1011 Vienna, Austria
Phone (+43-1) 40420-4419
Fax (+43-1) 40420-4499
e-mail: Eugen.Puschkarski(a)oenb.at
http://www.oenb.at
______________________________________________________________
Professor Vikram Nanda from Arizona State University is giving a VGSF
research seminar on "Are Incentive Contracts Rigged by Powerful CEOs?"
on November 30 (Friday, 15:30-17:00), at the Institute for Advanced
Studies(SZ VI), Stumpergasse 56, 1060 Vienna. The paper to be presented
can be downloaded at the VGSF webpage (Activities & Events--> Research
Seminars). The abstract of the paper is attached below.
Vikram will visit BWZ on Nov 30. If you would like to meet him at BWZ,
please let me know as soon as possible.
Kind regards,
Youchang Wu
We argue that powerful CEOs extract rents by rigging the incentive part
of their pay. In particular, we
contend that CEOs induce their boards to shift the weight on performance
measures towards the better
performing measures. The intuition is developed in a simple model in
which some powerful CEOs exploit
superior information and lack of transparency in compensation contracts
to extract rents. Our model
delivers several testable implications: (1) powerful CEOs are more
likely to rig their incentive pay; (2)
rigging is expected to increase with CEO human capital intensity and
uncertainty about a firm’s future
prospects; and (3) firm performance is expected be negatively affected
by rigging. Using measures of
CEO power and board independence on a large panel of firms in the U.S.,
we find support for all our
predictions. Rigging accounts for 57% of the sensitivity of compensation
to performance measures and
is increasing in CEO human capital and volatility of a firm’s future
prospects. Moreover, the portion
of incentive pay that is predicted by power is associated with negative
subsequent future profitability
of the order of 1.7% per year (a drop of 39% from the sample mean).
Overall, our empirical evidence
rejects the theory that incentives serve as a substitute for low
monitoring in firms with powerful CEOs,
supporting instead the theory that CEOs with power can skim rents at the
expense of shareholders.
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: December 13th (Thursday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Michael BRANDT, Duke University
http://www.duke.edu/~mbrandt
Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT:
CREDIT QUALITY OR LIQUIDITY?
Abstract:
Do government bond investors demand credit quality or liquidity? The
answer is both, but at different times and for different reasons. Using
data on the Euro-area government bond market, which features a unique
negative correlation between credit quality and liquidity across
countries, Professor Brandt and coauthors show that the bulk of
sovereign yield spreads is explained by differences in credit quality,
though liquidity plays a non-trivial role especially for low credit risk
countries and during times of heightened market uncertainty. In
contrast, the destination of large flows into the bond market is
determined almost exclusively by liquidity. Professor Brandt and
coauthors conclude that credit quality matters for bond valuation but
that, in times of market stress, investors demand liquidity, not credit
quality.
About Michael Brandt:
Michael W. Brandt is a Professor of Finance and the Finance Area
Coordinator at the Fuqua School of Business of Duke University. His is
also a Research Associate of the National Bureau of Economic Research
(NBER). Professor Brandt's research on quantitative portfolio
management, the response of financial markets to news, the role of order
flow in price discovery, and the link between financial markets and the
macro economy has appeared in leading academic journals. Professor
Brandt received the 2001 FAME Research prize for best paper on asset
management and finance engineering presented at the American, Western,
and European Finance Association meetings and the 2003 Barclays Global
Investor prize for best symposium paper presented at the European
Finance Association meeting. He is an associate editor of the Journal
of Finance, Management Science, and Journal of Econometrics. He is a
member of several corporate advisory boards and a consultant to a number
of financial institutions. He received an M.Sc. in Economics from the
London School of Economics and an M.B.A. and Ph.D. in Finance from the
University of Chicago. Prior to joining the Fuqua School of Business,
Professor Brandt was on the faculty of the Wharton School of the
University of Pennsylvania.
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
Professor Loriana Pelizzon from University of Venice is giving a VGSF
research seminar on "Credit Derivatives, Capital Requirements and Opaque
OTC Markets" on November 23 (Friday, 15:30-17:00), at the Institute for
Advanced Studies(HS II) Stumpergasse 56, 1060 Vienna. The paper to be
presented can be downloaded at the VGSF webpage (Activities & Events-->
Research Seminars). The abstract of the paper is attached below.
Loriana will visit BWZ on Nov 23. If you would like to meet her at BWZ,
please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract
In this paper we study the optimal design of credit derivative contracts
when
banks have private information over their loan portfolios and are
subject to minimum
regulatory capital requirements. We show that bank regulation affects the
form of the optimal signalling contracts. Moreover we show that the use
of signalling
contracts is more costly when OTC credit derivative markets are opaque.
VIENNA GRADUATE SCHOOL OF FINANCE (VGSF)
www.vgsf.ac.at
offers
PhD SCHOLARSHIPS IN FINANCE
INVITATION TO APPLY
The Vienna Graduate School of Finance - a joint initiative of the
Institute for Advanced Studies, Vienna, the University of Vienna, and
the Wirtschaftsuniversität Wien - invites applications for its PhD
Program in Finance for the class starting in September 2008. The VGSF
offers a stimulating learning and research environment plus financial
support to outstanding students from around the world. VGSF graduates
can look forward to a rewarding career at leading academic institutions.
FACULTY
The local VGSF faculty has an excellent track record of producing high
quality research and is very well connected in the academic finance
community. Local faculty members are complemented in teaching by leading
international scholars in financial economics. For example, 2007/08
courses will be taught by Tomas Björk, Christopher Hennessy, Gordon
Phillips, and Toni Whited. In addition, international scholars are
regularly invited to present their current research in the VGSF finance
research seminar.
PROGRAM
The VGSF PhD-program in Finance consists of two parts: rigorous
coursework and work on the PhD-thesis. All courses are taught in English
and appropriate language skills are required. 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.
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 must 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 two letters of reference to be sent directly to the
address below.
SCHOLARSHIP
Successful applicants will receive financial support. Approximately 4-6
scholarships are offered for the class starting in September 2008.
Please send your application package no later than February 1st, 2008,
to the following address:
VGSF - Prof. Dr. Josef Zechner, University of Vienna, Department of
Finance, Brünnerstrasse 72, 1210 Vienna (Wien), Austria.
FOR FURTHER DETAILS ON THE VGSF AND THE APPLICATION PLEASE SEE:
http://www.vgsf.ac.at - Contact: vgsf(a)vgsf.ac.at