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1159 discussions

[VFN] Invitation May 31st: Gutmann Center Public Lecture with Theo Vermaelen "Beating the Market with Buybacks"
by Gutmann Center-D.Grimm 08 May '06

08 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] Second CfP for Special Sessions of CIEF'2006
by VFN-L admin * Andreas Schamanek 06 May '06

06 May '06

------------ Forwarded message ----------------- Date: Fri, 5 May 2006 19:12:12 +0200 (MEST) From: cobol(a)cc.kuas.edu.tw Subject: Second Call for Paper for Special Sessions of CIEF'2006 * My apology if multiple copies of this message reach you. Special sessions of CIEF'2006 Second Call For Paper The 5th International Conference on Computational Intelligence in Economics and Finance October 8-11, 2006 Kaohsiung City, Taiwan Submission deadline has been extended to June 1, 2006 http://www.jcis.org, www.aiecon.org Dear colleagues, We would like to invite you to submit your manuscript to the special sessions of CIEF'06. This conference features emerging the related quantitative and experimental methods and integrations of economic and financial studies with computational methods (e.g. numerical methods, econometrics, artificial neural networks, genetic algorithm, particle swarm optimization, fuzzy logics, etc.). All other aspects of theory and research on computational method related to economics and finance issue are welcome. CIEF'2006 will have organized 13 special sessions shown as follow: Topics Special Session Chairs Behavioral Economics and Finance Dr. Len-Kuo Hu, lkhu(a)nccu.edu.tw Dr. Yu-Hsiu Lin, yushiu(a)cc.kuas.edu.tw Experimental Economics Dr. Sun-Chong Wang, scwang(a)phys.sinica.edu.tw Econophysics Dr. Taisei Kaizoji, kaizoji(a)icu.ac.jp Dr. Yuji Aruka, aruka(a)tamacc.chuo-u.ac.jp Volatility Forecasting in Financial Market Dr. Prof. Dietmar Maringer dmaring(a)essex.ac.uk Financial engineering Dr. San-Lin Chung, chungs(a)management.ntu.edu.tw New Econometrics in stock market Dr. Chou, Ray-Yeutien, rchou(a)econ.sinica.edu.tw 02-27822791-321 Agent-based computational finance Dr. Takao Terano, terano(a)dis.titech.ac.jp Dr. Takashi Yamada, tyamada(a)trn.dis.titech.ac.jp Industrial Organization Dr. William F. Lawless, lawlessw(a)mail.paine.edu Electronic Finance (e-Finance) Dr. Kun-huang Huarng khhuarng(a)fcu.edu.tw Dr. Feng-Jyh Li fjlin(a)fcu.edu.tw Computable General Equilibrium (CGE) Modeling Dr. Shih-Mo Lin shihmo(a)cycu.edu.tw Financial Engineering and Economic Agent Models Dr. Serge Hayward shayward(a)escdijon.com Intelligent Decision Support System in Stock Market Dr. An-Pin Chen, apc(a)iim.nctu.edu.tw Mu-Yen Chen, chenmy(a)cc.ncue.edu.tw Fuzzy Decision and Management Dr. Yaw-Chu Chen, ycchen(a)mcu.edu.tw Innovation and Applications in SoftComputing Dr. Tzung-Pei Hong, tphong(a)nuk.edu.tw Dr. Wen-Yang Lin, wylin(a)nuk.edu.tw For submission details, please see CFP on the JCIS website (http://www.jcis.org/page/subconference/cief/special.html) and feel free to disseminate them to other colleagues. New important dates: Full paper (4 pages limited) submission due: 2006.6.1 Paper acceptance notification date: 2006.7.1 Final (Camera-ready) paper submission due: 2006.7.15 Paper submission: Please email to related special session chairs. Best regards, Shu-Heng Chen and Ping-Chen Lin Professor Dr. Shu-Heng Chen Conference Chair of CIEF'2006 AI-ECON Research Center Department of Economics National Chengchi University, Taipei, Taiwan 116 Tel: +886-2-2938-7308 Fax: +886-2-2937-0290 E-mail: chchen(a)nccu.edu.tw http://www.aiecon.org/ Associate Professor Dr. Ping-Chen Lin Program Chair of CIEF'2006 Institute of Finance and Information National Kaohsiung University of Applied Sciences 415 Chien Kung Road,Kaohsiung 807, Taiwan,R.O.C. Tel: +886-7-3814526 ext 6309 Celluar Phone: +886-935846043 Fax: +886-7-3831544 E-mail: lety(a)cc.kuas.edu.tw

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[VFN] VGSF Research Seminar on May 5th, 2006
by Michael Halling 02 May '06

02 May '06

Prof. Dimitri Vayanos from LSE is going to present the paper "A Search-Based Theory of the On-the-Run Phenomenon" in the VGSF research seminar on May 5th. Dimitri will be at the BWZ on Friday morning and at the IHS around the seminar. If you would like to meet him please let me know. Best, Michael Halling

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[VFN] VGSF Research Seminar on April 28th
by Michael Halling 25 Apr '06

25 Apr '06

Prof. Pierre Mella-Barral from HEC Paris is going to present the paper "Which way to Grow? Merging, Allying, or Buying Assets" in the research seminar on April 28th. Pierre will be at the BWZ on Thursday afternoon and at the IHS on Friday before the seminar. If you would like to meet him please let me know. Please accept my apologies for the outdated VGSF seminar website that still shows Ananth Madhavan scheduled for this week's seminar. However, he had to cancel his visit. Best, Michael Halling

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[VFN] Stellenausschreibung Wissenschaftliche Mitarbeiterin/Wissenschaftlicher Mitarbeiter
by Christopher Casey 10 Apr '06

10 Apr '06

Sehr geehrte Damen und Herren, am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr. Otto Loistl, ist voraussichtlich ab 1. Mai 2006 bis 30. September 2008 die Stelle eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen. Nähere Informationen entnehmen Sie bitte dem entsprechenden Ausschreibungstext: http://www.wu-wien.ac.at/home/jobs/ausschrwisspers (Bewerbungsfrist: 26. April 2006). Für eine Weiterleitung an InteressentInnen bzw. Bekanntmachung über Ihre Liste wäre ich Ihnen dankbar. Mit vielen freundlichen Grüßen Christopher Casey -------------------------------------------------------------------- ao.Univ.-Prof. Dr. Christopher Casey Institut fuer Finanzierung und Finanzmaerkte Abteilung für Investmentbanking und Katallaktik Wirtschaftsuniversität Wien Althanstrasse 39-45, 1090 Wien, Oesterreich Tel.: 0043-1-31336-4167 Fax: 0043-1-31336-761 Email: Christopher.Casey(a)wu-wien.ac.at http://ifm.wu-wien.ac.at/ --------------------------------------------------------------------

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[VFN] VGSF Research Seminar on Friday, April 7th
by Michael Halling 05 Apr '06

05 Apr '06

Prof. Liam Brunt from the University of Lausanne is going to present the paper "Do Banks Generate Financial Market Integration?" in the research seminar on April 7th. We are very happy that Prof. Brunt is able to come to Vienna on short notice, as Prof. Bruno Solnik who was originally scheduled for this week had to cancel his visit due to private reasons. Prof. Brunt is going to be in Vienna from Thursday early afternoon to Saturday afternoon. If you would like to meet him, please contact me via email. Best, Michael Halling

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[VFN] PostDoc-Stellenausschreibung
by Hansjoerg Albrecher 28 Mar '06

28 Mar '06

----------------------------------- P O S T D O C P O S I T I O N AT THE JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS (RICAM) OF THE AUSTRIAN ACADEMY OF SCIENCES, AUSTRIA RICAM is a research institute which went into operation on January 1, 2003, and is building up to a total of 30 PostDoc positions in six areas: Computational Methods for Direct Field Problems Inverse Problems Mathematical Finance Symbolic Computation Analysis of Partial Differential Equations Optimization and Control The institute is housed on the campus of the Johannes Kepler University in Linz, a town of about 200.000 inhabitants located along the Danube, very close to the Austrian Alps, and half-way between Vienna and Salzburg (more information about the institute can be found at http://www.ricam.oeaw.ac.at). The "Mathematical Finance Group" is looking for a PostDoc with a strong background in risk theory or quantitative finance. Possible specialisation areas also include dependence modelling. Informal enquiries can be made to Dr. Hansjörg Albrecher at: hansjoerg.albrecher(a)oeaw.ac.at. A doctorate in mathematics or a closely related field is required. The working language is English. The position is available from June 2006 or as soon as possible thereafter. The initial contract can be for up to three years, a renewal for three more years is possible depending on achievements. Closing date for applications is May 1, 2006. Two sets of applications with personal and scientific data, copies of relevant documents and a statement about scientific interests and achievements should be sent to Prof. H. Engl Johann Radon Institute Austrian Academy of Sciences Altenbergerstraße 69 A-4040 Linz Austria Alternatively, the application material can be sent by email to annette.weihs(a)oeaw.ac.at

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[VFN] Sommer School in Munich
by Sandra Trenovatz 22 Mar '06

22 Mar '06

Date: Wed, 22 Mar 2006 10:41:32 +0100 From: "D. Filipovic" <filipo(a)mathematik.uni-muenchen.de> -------------------------------------------------------- SUMMER SCHOOL Risk Measurement and Optimal Investment June 29 - 30, 2006 Mathematical Department of the Ludwig-Maximilians Universitaet LMU, Muenchen (Germany) The summer school will take place at the Mathematical Department of the Ludwig-Maximilians Universitaet (LMU) of Muenchen on June 29 (13 - 19.30h) and on June 30 (9 - 17.30h). It consists of two mini courses on * Risk Measures and Capital Allocation (Prof. F.Delbaen) * Optimal Investment (Prof. C. Rogers) held by Prof. F. Delbaen (ETH Zurich) and Prof. C. Rogers (University of Cambridge), and a special talk on * Managing Value, Risk and Economic Capital: A Practical Approach to Asset Liability Management held by Dr. B. Kaufmann (Munich Re). The school addresses PhD students, postgraduate researchers and all practitioners from the risk management in insurance and other financial institutions. For further information, see: http://www.mathematik.uni-muenchen.de/~finsum/koll.php REGISTRATION There is a registration fee. Participants are kindly requested to follow the indications on line available at http://www.mathematik.uni-muenchen.de/~finsum/regi.html ORGANISERS Francesca Biagini, LMU Muenchen (http://www.mathematik.uni-muenchen.de/~biagini/) Damir Filipovic, LMU Muenchen. (http://www.mathematik.uni-muenchen.de/~filipo/)

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[VFN] CANCELLATION of VGSF research seminar on March, 24th
by Michael Halling 22 Mar '06

22 Mar '06

Please note that on March 24th there is not going to be a research seminar - the originally planned seminar is cancelled. The next seminar is given by Prof. Erwan Morellec (Université de Lausanne) on "Stock returns in mergers and acquisitions" on FRIDAY, March 31st, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before (starting at around 15:00) and after the seminar. If you want to meet Prof. Morellec to discuss your research projects, please let me know. I'm going to set up a schedule for him. Best, Michael Halling

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[VFN] Stellenausschreibung an WU-Wien
by Stefan Bogner 15 Mar '06

15 Mar '06

Im *Institut für Finanzierung und Finanzmärkte/ Corporate Finance* ist voraussichtlich ab 1. Mai 2006 bis 30. April 2012 die Stelle *eines Assistenten/einer Assistentin* (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), *vollbeschäftigt *zu besetzen. Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für Assistent/inn/en eine maximale Befristungsdauer von 6 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 6 Jahre fehlende Zeit eingestellt werden. Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die bereits einen Assistent/inn/enposten "Säule 2" inne hatten, aus rechtlichen Gründen nicht möglich ist. *Notwendige Kenntnisse und Qualifikationen:* EU-Bürger/in, Doktorat in Wirtschaftswissenschaften oder Wirtschaftsmathematik, gutes Englisch *Erwünschte Kenntnisse und Qualifikationen:* Erfahrung in Forschung und Lehre auf dem Gebiet der Finanzwirtschaft, insbesondere im Bereich Corporate Finance in Verbindung mit Banking und Accounting sowie Währungsmärkte und deren Mikrostruktur. Fundierte ökonometrische Kenntnisse, Programmierkenntnisse in VBA und C/C++, sehr gute Kenntnisse im Umgang mit statistischer Software insbesondere Stata sowie im Umgang mit Datenprovidern wie Reuters, Bloomberg und Datastream. *Kennzahl: 57905* *Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten.* *Ende der Bewerbungsfrist: 5. April 2006* *Bitte die Kennzahl unbedingt anführen!* Nähere Informationen gibt es bei Prof. Stefan Bogner. Allgemeine Informationen zu Bewerbungen an der WU-Wien finden sich beispielsweise unter http://notes.wu-wien.ac.at/usr/zid/mb/05/mb23.nsf/Inhalt?OpenView&Start=1&C… ------------------------------------------------------------------------------- o.Univ.-Prof. Mag. Dr. Stefan Bogner Wirtschaftsuniversität Wien Institut für Finanzierung und Finanzmärkte Abteilung für Betriebliche Finanzierung UZA 4, 6. Stock Kern B Nordbergstraße 15 A-1090 Wien Tel: ++43 1 31336 4242 Fax: ++43 1 31336 736 E-mail: stefan.bogner(a)wu-wien.ac.at Web: http://www.wu-wien.ac.at/dcf --------------------------------------------------------------------------------

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