Next week the VGSF is organizing THREE seminars - one on MONDAY, June 12th,
and two on TUESDAY, June 13th.
Prof. David Feldman from the University of New South Wales is going to talk
about "The CAPM Relation for Inefficient Portfolios" on Monday, June 12th,
from 15:30 to 17:00 at the BWZ, Seminar Room 1, Bruennerstr. 72,1210 Wien.
On TUESDAY, June 13th, two seminars by Kai Li, University of British
Columbia, and Martijn Cremers, University of Yale, are scheduled. Kai is
going to talk about "Corporate Boards and the Leverage and Debt Maturity
Choices". The paper presented by Martijn has to be still announced. This
double seminar takes place from 16:00 to 19:00 in Lecture Room 2 at the
Institute for Advanced Studies (Stumpergasse 56, 1060 Wien).
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract of "The CAPM Relation for Inefficient Portfolios"
**********************************************************
Following empirical evidence that - contrary to CAPM predictions - found
little relation between expected rates of return and betas, the relation has
been investigated extensively. Roll and Ross (1994) (RR) and Kandel and
Stambaugh (1995) are seminal works. In this context, within a Markowitz
world (finite number of nonredundant risky securities with finite first two
moments), we generally and simply write the theoretical CAPM relation for
inefficient (non-frontier) portfolios (CAPMI). We demonstrate that the CAPMI
is a well-specified alternative for the widely implemented misspecified CAPM
for use with inefficient portfolios. We identify three sources for this
misspecification: i) the omission of an addend in the pricing relation, ii)
the use of an incorrect risk premiums/beta coefficients (due to of the
existence of infinitely many "zero beta" portfolios at all expected
returns), and iii) the use of unadjusted betas. We suggest the use of
incomplete information equilibria to overcome unobservability of moments of
returns. Our results are robust to regressions that produce positive
explanatory beta power, including extensions such as multiperiod,
multifactor, and the conditioning on time and various attributes.
Abstract of "Corporate Boards and the Leverage and Debt Maturity Choices"
**************************************************************************
Debt, and in particular, short-term debt have the potential to discipline
managers. We examine the role of the board in making financing decisions
that provide this discipline. Specifically, given a firm's characteristics,
we predict that stronger boards will force the firm to hold more debt and
more shortterm debt, and that the effect of the board on the use of
short-term debt is likely to be stronger among low-growth firms than among
high-growth firms. Employing a rich dataset of board characteristics and
controlling for other aspects of a firm's corporate governance, we find
support for these hypotheses.
Moreover, the degree to which director tenure on the board exceeds the CEO
tenure is the most important driver of board strength in our study. This
simple measure of the relative power and true independence of directors
relative to the CEO is a robust and promising measure of internal
governance.
Prof. Josef Zechner from the University of Vienna is giving a VGSF research
seminar on "Human Capital, Bankruptcy, and Capital Structure" on Friday,
June 2nd, from 15:30 to 17:00 at the Institute for Advanced Studies
(Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS)
2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
This paper identifies a previously overlooked friction, human capital risk,
which can explain an important puzzle in corporate finance why firms
maintain such low levels of debt, given the apparently modest costs of
bankruptcy. We derive the optimal compensation contract when employees are
averse to their own human capital risk, but equity holders are not averse to
this risk, and show that, in the absence of other frictions, all firms will
be unlevered. In the presence of corporate taxes, optimal debt levels are
consistent with the levels observed, implying that human capital risk is of
the same order of importance as taxes in the capital structure decision.
Because these costs are impossible to measure directly, existing empirical
studies that attempt to measure the costs of bankruptcy grossly
underestimate them.
POSTDOCTORAL POSITION
at
VIENNA GRADUATE SCHOOL OF FINANCE (VGSF)
The Vienna Graduate School of Finance (VGSF – www.vgsf.ac.at) offers the
first PhD Program in Finance in Austria and aims to become an
internationally leading PhD program and research center. The VGSF is a
cooperation between three leading academic institutions in Austria:
Institute for Advanced Studies Vienna (IHS – www.ihs.ac.at), University
of Vienna (www.univie.ac.at), and Vienna University of Economics and
Business Administration (WU – www.wu-wien.ac.at). The VGSF is funded by
the Austrian Science Fund (FWF – www.fwf.ac.at).
The VGSF offers a
Postdoctoral Position
(full time)
Job Description:
The main focus of this position will be on research. It furthermore
involves coordinating a first/second year “Finance Paper Reading” course
and some general administrative tasks.
Job Qualification:
Candidates must have a doctoral degree in finance, financial economics
or equivalent. Solid training and experience in econometrics or
statistical modelling. Experience with one or more of the following
packages: R, GAUSS, EVIEWS, STATA. Evidence of research capability at a
level that can lead to publications in international peer-reviewed
journals. The language of the PhD program in Finance is English.
Therefore excellent English skills are required, German language skills
are desirable but not obligatory.
Start Date: As soon as possible, but no later than September 2006
Term: up to 2 years with possible extension
Salary: Euro 40.300 gross per annum
Application Deadline: June 25th, 2006
Candidates should mail or preferably e-mail their curriculum vitae,
letters of recommendation, a one page statement of purpose in which they
explain their interest in the position as well as their area of
research, and a copy of one research paper to:
Vienna Graduate School of Finance (VGSF)
o.Univ.-Prof. Mag. Dr. Stefan Bogner
c/o Wirtschaftsuniversität Wien
Institut für Finanzierung und Finanzmärkte
Abteilung für Betriebliche Finanzierung
UZA 4, 6. Stock Kern B
Nordbergstraße 15 - 1090 Wien (Vienna), Austria
Tel: ++43 1 31336 4242 Fax: ++43 1 31336 736
E-mail: stefan.bogner(a)wu-wien.ac.at
Further details about the VGSF are available at: http://www.vgsf.ac.at.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: May 31st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Austria)
Speaker: Prof. Dr. THEO VERMAELEN
http://www.insead.edu/facultyresearch/faculty/profiles/tvermaelen/
Title: "BEATING THE MARKET WITH BUYBACKS"
When firms announce plans to repurchase shares in the market, they often
state that their shares are undervalued. In spite of this claim stock
prices only increase slightly around the announcement. We show that, on
average, the market is wrong, and managers are right: stock prices
significantly under-react to buyback announcements. Of course, not every
buyback is driven by undervaluation. In order to distinguish companies
that repurchase shares because they are cheap from those that repurchase
shares for other reasons, we develop an undervaluation index. The index
measures the probability that the repurchase is driven by
undervaluation. A portfolio strategy that invests in high undervaluation
index stocks beats the Fama-French 3 factor model benchmark by 45 %,
after 3 years. The strategy is stable over time in the sense that a
buyback portfolio that consists of the 50 companies with the highest
undervaluation index during the previous year, always beats the
benchmark over the next 3 and 4 years.
About Theo Vermaelen:
Theo Vermaelen is the Schroders Professor of International Finance and
Asset Management at INSEAD. He received his Ph.D. and MBA at the
University of Chicago. Professor Vermaelen has published more than 10
articles on share repurchases in leading academic journals such as the
Journal of Finance and the Journal of Financial Economics and is also
the author of “Share Repurchases” published by NOW publishers. In
addition he has extensive practical experience implementing the
strategies suggested by his research as a portfolio manager of the KBC
equity buyback fund, until 2004. He is planning to launch a new fund in
the fall of this year.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Prof. Damir Filipovic from the University of Munich (Mathematics Institute)
is giving a special VGSF research seminar on "Optimal Capital and Risk
Transfer for Group Diversification" on Monday, May 29th, 17.00, in
Seminarraum A 619, Wirtschaftsuniversität Wien, UZA4, 6. Stock,
Nordbergstraße 15, 1090 Wien.
Best,
Michael Halling
Prof. Wolfgang Bühler from the University of Mannheim is giving a VGSF
research seminar on "Credit Risk, Liquidity Risk, and Optimal Capital
Structure under Incomplete Accounting Information" on WEDNESDAY, May 24th,
from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für
Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please
find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
In a structural model for credit risk we endogenize inability to pay as a
second independent reason for default besides overindebtedness. Inability to
pay is triggered by rational behavior of incompletely informed outsiders.
The firm needs to raise additional cash via secondary equity offerings in
order to service its coupon payments. Underpricing of secondary equity
offerings is explained as necessary for these offerings to be successful. In
addition to Duffie/Lando (2001) we find that the liquidity risk has a strong
impact on the current firm value and the optimal leverage. Credit spreads of
debt in the primary market depend on the degree of liquidity risk. They can
be lower or higher than in case without liquidity risk.
Our results have a number of additional, interesting consequences. Contrary
to Duffie/Lando (2001) incomplete information of outside investors has an
impact on the default probability of the firm and therefore on the optimal
capital structure which is determined in the primary market. The debt-equity
ratio is typically lower than in the Duffie/Lando (2001) model that operates
under complete information in the primary market and can result in lower
credit spreads.
Prof. Lorenzo Garlappi from the University of Texas at Austin is giving a
VGSF research seminar on "Default Risk, Shareholder Advantage, and Stock
Returns" on FRIDAY, May 19th, from 15:30 to 17:00 at the Institute for
Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien),
Lecture Room (HS) 2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at! Lorenzo is going to be available for discussions
on Friday before and after the seminar, and on the following Monday (22.5.)
and Tuesday (23.5.). If you would like to meet him, please let me know.
Best,
Michael Halling
Abstract
In this paper, we study the relationship between default probability
and stock returns. Using the market-based measure of Expected
Default Frequency (EDF) constructed by Moody's KMV, we first
demonstrate that higher default probabilities are not necessarily
associated with higher expected stock returns, a finding that
complements the existing empirical evidence. We then show that the
puzzling and complex relationship between stock returns and default
probability is consistent with the implications of existing
structural models that account for possible negotiated benefits for
equity-holders upon default. Adapting the setting of the Fan and
Sundaresan (2000) model that explicitly considers the bargaining
game between equity-holders and debt-holders in financial distress,
we are able to obtain a theoretical relationship between expected
returns and default probability that resembles the empirically
observed pattern. Our analysis indicates that, depending on the
level of shareholder advantage, the relationship between default
probability and equity return may be either upward sloping (low
shareholder advantage) or humped and downward sloping (high
shareholder advantage). Moreover, we show that distressed firms in
which shareholders have a stronger advantage in renegotiation
exhibit lower expected returns, and that their default probabilities
do not adequately represent the risk of default born by equity. We
test these implications using several proxies for shareholder
advantage and find strong support in the data.
by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
From: Walter Schachermayer
---------- Forwarded message ----------
Date: Mon, 15 May 2006 22:14:00 +0200 (CEST)
From: Rama CONT <Rama.Cont(a)polytechnique.fr>
Subject: Workshop on Financial Modeling with Jump Processes
Dear colleague,
On behalf of the Scientific Committee and the Local Organizing Committee,
we are pleased to announce the forthcoming
Workshop on Financial Modeling with Jump Processes,
Ecole Polytechnique (Palaiseau, France), September 6-8, 2006
http://www.fiquam.polytechnique.fr/AMAMEF/
We invite contributions dealing with models based on jump processes and
their applications in finance dealing in particular, but not exclusively,
with the following issues:
Multidimensional models with jumps: dependence modeling, Lévy copulas,
numerical methods for multidimensional models.
Simulation and estimation: efficient simulation of multivariate models,
econometrics of jump processes, realized volatility/ bi-power variation.
Partial integro-differential equations (PIDEs) and computational methods
Inverse problems: theory and algorithms for inverse problems related to
option pricing models with jumps.
New modeling approaches: Markov processes with jumps, models for
electricity prices, interest rate models with jumps and their efficient
analytical and numerical treatment
* DEADLINE for submission of abstracts: JUNE 15, 2006
* DEADLINE for registration: AUGUST 1, 2006.
For more information please visit the conference website:
http://www.fiquam.polytechnique.fr/AMAMEF/
THIS WORKSHOP IS SUPPORTED BY:
European Programme on "Advanced mathematical methods for finance"
Centre de Mathematiques Appliquees, Ecole Polytechnique
Chaire des Risques Financiers, Ecole Polytechnique
Seminar on Applied Mathematics, ETH Zurich
Europlace Institute of Finance
Prof. Andrei Simonov from the Stockholm School of Economics is giving a VGSF
research seminar on "Shareholder Homogeneity and Firm Value: The
Disciplining Role of Non-Controlling Shareholders" on FRIDAY, May 12th, from
15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere
Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the
paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at! Andrei is going to be available for discussions
on Thursday and Friday. If you would like to meet him, please let me know.
Best,
Michael Halling
Abstract
We study how the shareholding structure of a firm affects its stock price
and profitability. We argue that the degree of shareholder homogeneity
affects firm value. Homogeneous shareholders act as a disciplining device on
managers, inducing them to be more transparent and to engage less in value
destroying activities. This leads to higher firm profitability, higher stock
price and lower volatility. Shareholder homogeneity represents an
alternative and indirect source of corporate governance based on the stock
market. We test this hypothesis by using a dataset containing information on
all the shareholders for each firm in Sweden from 1995 to 2001. We construct
two proxies for shareholder homogeneity: the first is based on the age
cohort of the shareholders, and the second on their degree of college
interaction. For each firm, we measure the degree of homogeneity of all
shareholders. Using this proxy, we show that greater homogeneity increases
firm profitability and returns, and reduces analysts forecasting errors and
dispersion, and stock volatility.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: May 31st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Austria)
Speaker: Prof. Dr. THEO VERMAELEN
http://www.insead.edu/facultyresearch/faculty/profiles/tvermaelen/
Title: "BEATING THE MARKET WITH BUYBACKS"
When firms announce plans to repurchase shares in the market, they often
state that their shares are undervalued. In spite of this claim stock
prices only increase slightly around the announcement. We show that, on
average, the market is wrong, and managers are right: stock prices
significantly under-react to buyback announcements. Of course, not every
buyback is driven by undervaluation. In order to distinguish companies
that repurchase shares because they are cheap from those that repurchase
shares for other reasons, we develop an undervaluation index. The index
measures the probability that the repurchase is driven by
undervaluation. A portfolio strategy that invests in high undervaluation
index stocks beats the Fama-French 3 factor model benchmark by 45 %,
after 3 years. The strategy is stable over time in the sense that a
buyback portfolio that consists of the 50 companies with the highest
undervaluation index during the previous year, always beats the
benchmark over the next 3 and 4 years.
About Theo Vermaelen:
Theo Vermaelen is the Schroders Professor of International Finance and
Asset Management at INSEAD. He received his Ph.D. and MBA at the
University of Chicago. Professor Vermaelen has published more than 10
articles on share repurchases in leading academic journals such as the
Journal of Finance and the Journal of Financial Economics and is also
the author of “Share Repurchases” published by NOW publishers. In
addition he has extensive practical experience implementing the
strategies suggested by his research as a portfolio manager of the KBC
equity buyback fund, until 2004. He is planning to launch a new fund in
the fall of this year.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at