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.
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.
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.
---------- Forwarded message ----------
Date: Fri, 20 Jul 2007 08:01:17 +0200 (CEST)
From: kraft(a)mathematik.uni-kl.de
CALL FOR PAPERS
CONFERENCE ON
FINANCE, STOCHASTICS AND INSURANCE
FEBRUARY 25TH - 29TH 2008
HAUSDORFF RESEARCH INSTITUTE FOR MATHEMATICS (HIM)
UNIVERSITY OF BONN, GERMANY
TOPIC:
The conference will bring together current research in mathematical
finance namely on the development of a new generation of risk measures
(e.g. "coherent risk measures", "theory of no good deals"), on the
arbitrage pricing theory including pricing and hedging of complex
financial derivative and on the risk management of long term insurance
contracts. Related topics are the discussion of reforms of solvency
requirements for financial institutions, the development of asset pricing
theory in incomplete financial markets and new approaches to financial
regulation.
ORGANIZERS:
Holger Kraft (University of Kaiserslautern, Germany), Kristian R.
Miltersen (NHH, Bergen) J. Aase Nielsen (University of Aarhus, Denmark),
Klaus Sandmann (University of Bonn, Germany)
INVITED SPEAKERS:
Fred Espen Benth (University of Oslo, Norway),
Freddy Delbean (ETH, Zürich, Switzerland),
Ralf Korn (University of Kaiserslautern, Germany),
David Lando (Business School Copenhagen, Denmark),
Mogens Steffensen (University of Copenhagen, Denmark),
Rudi Zagst (University of Munich, Germany)
PAPERS: Authors wishing to present a paper should send two copies of the
paper with a short abstract (to be included in the program) to Klaus
Sandmann
ELECTRONIC SUBMISSION TO: k.sandmann(a)uni-bonn.de
Submission of pdf format is required. Accepted papers will be made
available to download from the conference page.
DEADLINE FOR SUBMISSIONS: November 1. 2007
Acceptance: December 1. 2007
--
********************************************
Dr. Holger Kraft
Assistant Professor for Mathematical Finance
Department of Mathematics
Mathematical Finance Group
University of Kaiserslautern
www.mathematik.uni-kl.de/~kraft
********************************************
David Hirshleifer and Siew Hong Teoh from UC Irvine are giving two VGSF
research seminars on "Stock Market Misvaluation and Corporate Investment"
and "Driven to Distraction: Extraneous Events and Underreaction to Earnings
News" on WEDNESDAY, June 27th, from 14:00 to 15:30 and 15:45 to 17:15 in SR
2 at the BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities
& Events --> Research Seminars) for a map of the location and the papers to
download.
Please find the papers' abstracts below.
Best,
Michael Halling
Abstract:"Stock Market Misvaluation and Corporate Investment"
This paper explores whether and why misvaluation affects corporate
investment by comparing tangible and intangible investments; and by using a
price-based misevaluation proxy that filters out scale and earnings growth
prospects. Capital, and especially R&D expenditures increase with
overpricing; but only among overvalued firms. Misvaluation affects
investment both directly (catering) and through equity issuance. The
sensitivity of capital expenditures to misvaluation is stronger among
financially constrained firms; for R&D this differential is strong and in
the opposite direction. We identify several other factors that influence the
strength of misvaluation effects on investment. Generally the equity channel
reinforces direct catering, suggesting that the two are complementary.
Overall, our evidence supports several implications of the misvaluation
hypothesis for the tangible and intangible components of investment.
Abstract: "Driven to Distraction: Extraneous Events and Underreaction to
Earnings News"
Psychological evidence indicates that it is hard to process multiple stimuli
and perform multiple tasks at the same time. This paper tests the investor
distraction hypothesis, which holds that the arrival of extraneous news
causes trading and market prices to react sluggishly to relevant news about
a firm. Our test focuses on the competition for investor attention between a
firm's earnings announcements and the earnings announcements of other firms.
We find that the immediate stock price and volume reaction to a firm's
earnings surprise is weaker, and post-earnings announcement drift is
stronger, when a greater number of earnings announcements by other firms are
made on the same day. Distracting news has a stronger effect on firms that
receive positive than negative earnings surprises. Industry-unrelated news
has a stronger distracting effect than related news. A trading strategy that
exploits post-earnings announcement drift is unprofitable for announcements
made on days with little competing news.
Dear colleague,
you will find the final program for the EMNet 2007 at the RSM, Erasmus
University Rotterdam, under the following link:
http://www.univie.ac.at/EMNET/2007/index2007.html
Best regards,
George Hendrikse (RSM)
Josef Windsperger
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: June 26th, 2007, 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. David HIRSHLEIFER, University of California at Irvine
http://web.merage.uci.edu/~Hirshleifer/
Title: A TOUR OF BEHAVIORAL FINANCE
Abstract:
Using classical tools, the behavioral revolution in finance has laid the
groundwork for a new asset pricing paradigm based upon the psychology of
investors. In this approach, security expected returns are determined by
both risk and mispricing. In this overview of psychology and asset
pricing, I describe how psychological bias affects investor decisions
and market prices. I illustrate with examples of how feelings, limited
attention, and overconfidence affect financial markets.
About David Hirshleifer:
David Hirshleifer is Professor of Finance and Merage Chair in Business
Growth at the Merage School of Business, University of
California-Irvine, which he joined after serving as the Kurtz Chair in
Finance at Ohio State University, the Waterman Professor of Finance at
the University of Michigan, and as a tenured faculty member at UCLA.
Some of his recent research has explored psychology and securities
markets, how emotions affect stock prices and managerial decision
biases, and how firms exploit market inefficiency. He has also conducted
research on risk management, corporate finance, futures pricing, and the
role of social learning in the spread of fads and fashions. His research
has been profiled in international news media, and has won several
awards, including the Smith-Breeden Award for outstanding paper in the
Journal of Finance. Professor Hirshleifer has served as a consultant for
securities and money management firms; as editor of the Review of
Financial Studies; as associate editor of the Journal of Finance; in
editorial positions at several other finance, economics, and strategy
journals; and as director of the American Finance Association and the
Western Finance Association.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Am Institut für Banken und Finanzen ist die neu eingerichtete Professur
für Empirische Finanzmarktforschung zur Besetzung ausgeschrieben:
http://www.uibk.ac.at/ibf/aktuelles/ausschreibungek.pdf
Bitte auch um Weiterleitung an möglicherweise interessierte Kollegen!
Beste Grüße aus Innsbruck,
Michael Hanke
--
Prof. Dr. Michael Hanke
University of Innsbruck
Department of Banking and Finance
Universitaetsstrasse 15
6020 Innsbruck, Austria
Phone: +43 512 5077552, Fax: +43 512 5072846
Second Announcement
+-----------------------------------------------+
| Workshop and Mid-Term Conference on |
| Advanced Mathematical Methods for Finance |
| (AMaMeF), September 17-22, 2007 |
| <http://www.fam.tuwien.ac.at/amamef2007/> |
+-----------------------------------------------+
organized by PRisMa Lab and FAM @ TU Vienna
Location:
Vienna University of Technology
Wiedner Hauptstr. 8-10
1040 Vienna, Austria
(travel grants available!)
Scientific Program:
Mo, Sep. 17th: Educational workshop
(Speakers: Ernst Eberlein, Lane P. Hughston, Michèle Vanmaele)
Tu, Sep. 18th: Scientific conference
We, Sep. 19th: Scientific conference
Tu, Sep. 20th: Scientific conference
Fr, Sep. 21st: Practitioner's day
Sa, Sep. 22nd: Scientific conference (half day)
Invited Speakers (confirmed):
- Ole E. Barndorff-Nielsen (University of Aarhus)
"Noise, jumps and other annoyances - or delights"
- Tomas Björk (Stockholm School of Economics)
"Optimal investments under partial information"
- Freddy Delbaen (ETH Zürich)
"Monetary time consistent utility functions
and the viscous Hamilton-Jacobi quasi-linear PDE"
- Giulia Di Nunno (University of Oslo)
"Events of small but positive probability
and a version of the fundamental theorem of asset pricing"
- Ernst Eberlein (Universität Freiburg)
"Lévy driven equity, FX- and interest rate models"
- Damir Filipovic (LMU München) - "tba"
- Lane P. Hughston (King's College London)
"Information-based asset pricing"
- Ioannis Karatzas (Columbia University)
"Stochastic portfolio theory: a survey"
- Claudia Klüppelberg (TU München)
"The continuous-time GARCH model"
- Dmitry Kramkov (Carnegie Mellon University) - "tba"
- Damien Lamberton (Université de Marne-la-Vallée)
"Optimal stopping problems with irregular payoff functions"
- Marek Musiela (BNP Paribas, London) - "tba"
- Bernt Øksendal (University of Oslo)
"Optimal portfolio for an insider in a strategic market equilibrium"
- Chris Rogers (University of Cambridge) - "tba"
- Wolfgang Runggaldier (Università degli Studi di Padova)
"Contagious default: application of methods
of statistical mechanics in finance"
- Peter Schaller (Bank Austria Creditanstalt)
"Consistent incorporation of statistical uncertainties
into quantile estimates"
- Christoph Schwab (ETH Zürich)
"Numerical derivative pricing in non-BS markets"
- Martin Schweizer (ETH Zürich)
"Modelling option prices"
- Mete Soner (Koc University Istanbul) - "tba"
- Lukasz Stettner (Polish Academy of Sciences)
"Portfolio selection with transaction costs,
decision lag and execution delay"
- Eva Strasser (JP Morgan)
"Correlation modelling in equity derivatives"
- Esko Valkeila (Helsinki University of Technology)
"Approximation of geometric fractional Brownian motion"
- Michèle Vanmaele (Universiteit Gent)
"Comonotonicity applied in finance"
- Constantin Varsan (Romanian Academy, Bucharest)
"Asymptotic behaviour of piece-wise continuous solutions of S.D.E."
- Thaleia Zariphopoulou (University of Texas)
"Investment performance measurement, risk tolerance
and optimal portfolio choice"
Some Contributed Talks:
- Giovanni Barone-Adesi (University of Lugano)
"Barrier option pricing using adjusted transition probabilities"
- Pavel Grigoriev (University of Leicester)
"Kusuoka's formula for dynamic risk measures"
- Laszlo Gyorfi (Budapest University)
"Growth-optimal portfolio selection strategies with transaction costs"
- Ludger Overbeck (Universität Giessen)
"Risk measures for structured credit products"
- Georg Pflug (Universität Wien)
"Pricing of swing options and stochastic games"
- Robert Stelzer (TU München)
"Multivariate continuous time Lévy-driven GARCH processes"
- Uwe Wystup (Mathfinance AG)
"Closed-form exotic option pricing in the Heston model"
For abstracts and updates see
http://www.fam.tuwien.ac.at/amamef2007/abstracts.php
Contributed Talks:
You may apply to give a talk by sending an email to the conference
secretary (see below). Please include the title and an abstract. The
deadline to apply is June, 30th. The organizing committee tries to
answer as soon as possible, but please understand that they can't
immediately decide whether your talk is accepted or not.
Poster Presentations:
There is the possibility of poster presentations. Please apply the
same way as for contributed talks. The deadline for applications is
June, 30th.
Grants for Ph.D. students and young PostDocs:
Thanks to the AMaMeF program, we have several travel grants available
covering the conference fee and up to ¤ 400,- for travel and
accommodation. These are available for Ph.D. students and young
postdocs. To apply for one of these grants, please send a current
curriculum vitae (including a short description of your current
research) to the conference secretary. The deadline for applications
is June, 30th. There is a strong preference for applicants who give a
talk or a poster presentation.
Conference Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Vienna)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
Organizing Committee:
- Peter Grandits
- Friedrich Hubalek
- Reinhold Kainhofer
- Johannes Leitner
- Walter Schachermayer
- Uwe Schmock
For registration details, conference fees, etc., please visit the
conference web site at <http://www.fam.tuwien.ac.at/amamef2007/>,
which will be updated continuously. We are looking forward to welcome
you in Vienna!
On behalf of the Organizing Committee,
Uwe Schmock
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
Richard Stanton from UC Berkeley is giving a VGSF research seminar on
"Optimal Exercise of Executive Stock Options and Implications for Firm Cost"
on FRIDAY, June 22nd, from 15:30 to 17:00 in HS 7 at the BWZ, Brünnerstrasse
72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research
Seminars) for a map of the location, the paper to download and this term's
entire schedule of seminars.
Please find the paper's abstract below. Please contact Youchang Wu if you
would like to meet and discuss your research with Richard.
Best,
Michael Halling
Abstract
The cost of executive stock options has become a focus of investor
attention. The difficulty is that option cost depends on the exercise
policies of executives. This paper analyzes the optimal policy for a general
utility-maximizing executive holding a nontransferable option. We show
analytically how the policy varies with risk aversion, wealth, and dividend
rate, and when the policy is characterized by a single stock price boundary.
We also provide an example with a split continuation region. In CRRA
examples, option value decreases with risk aversion, increases with wealth,
increases with outside hedging opportunities, but can actually decline with
volatility.