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1159 discussions

[VFN] research workshop: Andrea Eisfeldt
by Youchang Wu 14 Oct '07

14 Oct '07

Professor Andrea Eisfeldt from Northwestern University is giving a VGSF research seminar on "Financing Shortfalls and the Value of Aggregate Liquidity " on October 19 (Friday, 15:30-17:00) at Institute for Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Eisfeldt is going to visit BWZ from October 15 to 19. If you would like to meet him at BWZ, please let me know as soon as possible. Kind regards, Youchang Wu This paper studies the level and dynamics of the value of aggregate liquidity induced by firms’ financing shortfalls. We model liquidity and cash flows as internal funds available for investment in an economy where external funds are costly. We study whether the use of liquidity to hedge investment opportunities can generate substantial liquidity premia with empirically observed countercyclical properties, and show how firms’ financial positions affect the value of aggregate liquidity. Cash flows affect the “natural supply” of liquidity and are procyclical. Thus, we argue that shortfalls between firms’ financing needs and available liquid funds are more likely to occur in bad times when current cash flows are low, rendering liquidity premia countercyclical. We investigate the relationship between such shortfalls and the value of aggregate liquidity empirically using US Flow of Funds and Compustat data.

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[VFN] Stellen fuer wissenschaftliche Mitarbeiter (fwd)
by VFN-L admin * Andreas Schamanek 09 Oct '07

09 Oct '07

---------- Forwarded message ---------- Date: Tue, 09 Oct 2007 10:19:23 +0200 From: Gertrude Seidelmann <gertrude.seidelmann(a)wu-wien.ac.at> To: vfn-l(a)fam.tuwien.ac.at Subject: Stellen für wissenschaftliche Mitarbeiter Sehr geehrte Damen und Herren, am Institut für Betriebswirtschaftslehre des Außenhandels der Wirtschaftsuniversität Wien sind zwei Assistentenstellen ausgeschrieben. Ich ersuche Sie, die Veröffentlichung aus dem Mitteilungsblatt der Wirtschaftsuniversität auch über Ihren Newsletter zu verschicken: Im Institut für Betriebswirtschaft des Außenhandels sind voraussichtlich ab 5. November 2007 bis 4. November 2011 zwei Stellen für wissenschaftliche MitarbeiterInnen (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt zu besetzen. Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für wissenschaftliche Mitarbeiter/ wissenschaftliche Mitarbeiterinnen eine maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 4 Jahre fehlende Zeit eingestellt werden. Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die bereits eine Stelle als wissenschaftlicher Mitarbeiter/wissenschaftliche Mitarbeiterin inne hatten, aus rechtlichen Gründen nicht möglich ist. Notwendige Kenntnisse und Qualifikationen: abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften Erwünschte Kenntnisse und Qualifikationen: Fundierte Kenntnisse im Bereich der BWL des Außenhandels (facheinschlägige wissenschaftliche Arbeiten (Diplomarbeit) und/oder praktische Erfahrungen) mit dem Fokus ?Finanzierung und Risikoabsicherung im Auslandsgeschäft?, überdurchschnittlicher Studienerfolg, Fremdsprachenkenntnisse, pädagogische Eignung, Bereitschaft zur Mitarbeit in der Lehre in den neuen Studienangeboten sowie in der Institutsadministration, Stressresistenz, Flexibilität und hohe Selbstmotivation Kennzahl: 91848 Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien (<mailto:sekretariatpersabt@wu-wien.ac.at>sekretariatpersabt(a)wu-wien.ac.at) zu richten. Ende der Bewerbungsfrist: 24. Oktober 2007 Bitte die Kennzahl unbedingt anführen! Der Rektor: o. Univ.Prof. Dr. Christoph Badelt Herzlichen Dank im Voraus! Mit freundlichen Grüßen Gertrude Seidelmann Gertrude Seidelmann Institut für BWL des Außenhandels Wirtschaftsuniversität Wien Althanstraße 51 A 1090 Wien P +43 1 31336-4371 F +43 1 31336-751 http://www.wu-wien.ac.at/auha

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[VFN] VGSF research workshop: Felix Meschke
by Youchang Wu 08 Oct '07

08 Oct '07

Professor Felix Meschke from University of Minnesota is giving a VGSF research seminar on "The Rise and Fall of Portfolio Pumping Among U.S. Mutual Funds" on October 12 (Friday, 15:30-17:00), at Institute for Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Meschke is going to visit BWZ in the morning of Oct 12. If you would like to meet him at BWZ on Oct 12, please let me know as soon as possible. Kind regards, Youchang Wu We construct a new measure that tightens the link between stock return patterns around quarter- ends and the likelihood that these patterns result from mutual fund portfolio pumping. Both the level and the concentration of mutual fund ownership explain temporary stock price increases at the end of the quarter. We show that pumping is particularly pronounced among the best- and worst-performing funds and document a distinctive increase in this activity during the 1997-2001 period. The sharp decrease in portfolio pumping after 2001 is most likely due to academic and media attention that spawned investor activism and SEC enforcement actions. These changes in regulatory attention and scrutiny markedly affected the behavior of mutual fund managers.

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[VFN] VGSF research seminar: Gordon Phillips
by Youchang Wu 01 Oct '07

01 Oct '07

Professor Gordon Phillips from University of Maryland is giving a VGSF research seminar on "Real and Financial Industry Booms and Busts" on October 5 (Friday, 15:30-17:00), at Institute for Advanced Studies(SZ VI),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below. Professor Phillips is going to visit BWZ in the afternoon of Oct 10. If you would like to meet him at BWZ on Oct 10, please let me know as soon as possible. Kind regards, Youchang Wu We examine how industry valuation and product market competition affect firm cash flows and stock returns. In competitive industries we find that operating cash flows and stock returns decrease with industry-level stock-market valuation, investment and new financing. We find weak and generally insignificant results in concentrated industries. In competitive industries, firms in the most highly valued industry quintile have abnormal stock returns that are four percentage points lower than those in the least valuable industry quintile. Overall our results are consistent with a small probability of a new era of very high subsequent growth, or high competition among firms that affects both industry cash flows and stock prices in competitive industries.

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

03 Sep '07

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

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

21 Jul '07

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

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

27 Jun '07

David Hirshleifer and Siew Hong Teoh from UC Irvine are giving two VGSF research seminars on "Stock Market Misvaluation and Corporate Investment" and "Driven to Distraction: Extraneous Events and Underreaction to Earnings News" on WEDNESDAY, June 27th, from 14:00 to 15:30 and 15:45 to 17:15 in SR 2 at the BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research Seminars) for a map of the location and the papers to download. Please find the papers' abstracts below. Best, Michael Halling Abstract:"Stock Market Misvaluation and Corporate Investment" This paper explores whether and why misvaluation affects corporate investment by comparing tangible and intangible investments; and by using a price-based misevaluation proxy that filters out scale and earnings growth prospects. Capital, and especially R&D expenditures increase with overpricing; but only among overvalued firms. Misvaluation affects investment both directly (catering) and through equity issuance. The sensitivity of capital expenditures to misvaluation is stronger among financially constrained firms; for R&D this differential is strong and in the opposite direction. We identify several other factors that influence the strength of misvaluation effects on investment. Generally the equity channel reinforces direct catering, suggesting that the two are complementary. Overall, our evidence supports several implications of the misvaluation hypothesis for the tangible and intangible components of investment. Abstract: "Driven to Distraction: Extraneous Events and Underreaction to Earnings News" Psychological evidence indicates that it is hard to process multiple stimuli and perform multiple tasks at the same time. This paper tests the investor distraction hypothesis, which holds that the arrival of extraneous news causes trading and market prices to react sluggishly to relevant news about a firm. Our test focuses on the competition for investor attention between a firm's earnings announcements and the earnings announcements of other firms. We find that the immediate stock price and volume reaction to a firm's earnings surprise is weaker, and post-earnings announcement drift is stronger, when a greater number of earnings announcements by other firms are made on the same day. Distracting news has a stronger effect on firms that receive positive than negative earnings surprises. Industry-unrelated news has a stronger distracting effect than related news. A trading strategy that exploits post-earnings announcement drift is unprofitable for announcements made on days with little competing news.

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

25 Jun '07

Dear colleague, you will find the final program for the EMNet 2007 at the RSM, Erasmus University Rotterdam, under the following link: http://www.univie.ac.at/EMNET/2007/index2007.html Best regards, George Hendrikse (RSM) Josef Windsperger

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

22 Jun '07

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: - apologies for duplicated emails! - Date: June 26th, 2007, 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. David HIRSHLEIFER, University of California at Irvine http://web.merage.uci.edu/~Hirshleifer/ Title: A TOUR OF BEHAVIORAL FINANCE Abstract: Using classical tools, the behavioral revolution in finance has laid the groundwork for a new asset pricing paradigm based upon the psychology of investors. In this approach, security expected returns are determined by both risk and mispricing. In this overview of psychology and asset pricing, I describe how psychological bias affects investor decisions and market prices. I illustrate with examples of how feelings, limited attention, and overconfidence affect financial markets. About David Hirshleifer: David Hirshleifer is Professor of Finance and Merage Chair in Business Growth at the Merage School of Business, University of California-Irvine, which he joined after serving as the Kurtz Chair in Finance at Ohio State University, the Waterman Professor of Finance at the University of Michigan, and as a tenured faculty member at UCLA. Some of his recent research has explored psychology and securities markets, how emotions affect stock prices and managerial decision biases, and how firms exploit market inefficiency. He has also conducted research on risk management, corporate finance, futures pricing, and the role of social learning in the spread of fads and fashions. His research has been profiled in international news media, and has won several awards, including the Smith-Breeden Award for outstanding paper in the Journal of Finance. Professor Hirshleifer has served as a consultant for securities and money management firms; as editor of the Review of Financial Studies; as associate editor of the Journal of Finance; in editorial positions at several other finance, economics, and strategy journals; and as director of the American Finance Association and the Western Finance Association. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - 1210 Wien (Austria) phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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

21 Jun '07

Am Institut für Banken und Finanzen ist die neu eingerichtete Professur für Empirische Finanzmarktforschung zur Besetzung ausgeschrieben: http://www.uibk.ac.at/ibf/aktuelles/ausschreibungek.pdf Bitte auch um Weiterleitung an möglicherweise interessierte Kollegen! Beste Grüße aus Innsbruck, Michael Hanke -- Prof. Dr. Michael Hanke University of Innsbruck Department of Banking and Finance Universitaetsstrasse 15 6020 Innsbruck, Austria Phone: +43 512 5077552, Fax: +43 512 5072846

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