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1159 discussions

[VFN] Invitation June 29th Public Lecture with Prof. Ananth Madhavan "Transaction Cost Modeling as a Source of Alpha"
by Gutmann Center-D.Grimm 12 Jun '06

12 Jun '06

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: June 29th, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI) Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA The impact of realized transaction costs on portfolio performance is now well recognized. Less well understood, however, is the effect of transaction cost on performance in the pre-trade dimension. Intuitively, transaction costs affect performance through the choice of bets the manager undertakes (breadth), the frequency of bets (turnover), and the size of those bets (order size). We show that transaction cost modeling is a source of alpha (superior performance).Specifically, accurate transaction cost models allow managers to make better decisions regarding which securities should or should not be traded, and the optimal size of the trade. About Ananth Madhavan: Ananth Madhavan is the Global Head of Trading Research at BGI. He leads BGI's global trading research team with a focus on execution research and trading strategies across different asset classes worldwide. Prof. Madhavan also works closely with the global trading team and BGI’s alpha research and product groups to design and implement trading strategies capturing liquidity-driven market opportunities. Before joining BGI in 2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and a member of the firm’s management and executive committees. Previously, he was the Charles B. Thorton Professor of Finance at the Marshall School of Business at the University of Southern California, and Assistant Professor of Finance at the Wharton School of the University of Pennsylvania. Ananth Madhavan is the author of numerous publications in leading academic and practitioner journals. He received his PhD in Economics from Cornell University and BA from the University of Delhi, India. 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] TRIPLE VGSF Research Seminar - David Feldman, Kai Li and Martijn Cremers
by Michael Halling 07 Jun '06

07 Jun '06

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.

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[VFN] REMINDER: VGSF Research Seminar by Prof. Josef Zechner on June 2nd
by Michael Halling 02 Jun '06

02 Jun '06

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.

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[VFN] PostDoc position at Vienna Graduate School of Finance
by VGSF-D.Grimm 24 May '06

24 May '06

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.

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[VFN] Reminder: May 31st - Gutmann Center Public Lecture with Theo VERMAELEN: "Beating the Market with Buybacks"
by Gutmann Center-D.Grimm 24 May '06

24 May '06

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

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[VFN] Special VGSF Research Seminar by Damir Filipovic on Monday, May 29th
by Michael Halling 23 May '06

23 May '06

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

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[VFN] VGSF Research Seminar by Wolfgang Bühler on Wednesday 24th, 2006
by Michael Halling 23 May '06

23 May '06

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.

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[VFN] VGSF research seminar by Lorenzo Garlappi on Friday, May 19th
by Michael Halling 17 May '06

17 May '06

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.

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[VFN] Workshop on Financial Modeling with Jump Processes (fwd)
by Walter Schachermayer by way of Andreas Schamanek 16 May '06

16 May '06

---------- 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

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[VFN] VGSF research seminar by Andrei Simonov on Friday, May 12th
by Michael Halling 10 May '06

10 May '06

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.

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