INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for duplicated mails!)
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Date: JANUARY 22 (Tuesday), 2013 - 4:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Giovanna NICODANO, University of Torino
http://sites.carloalberto.org/nicodano/
Title: "THE ECONOMIC VALUE OF TIMING BULL AND BEAR MARKETS"
ABSTRACT:
Risk-adjusted profits of portfolio managers derive from their ability in forecasting
returns out-of-sample. Recently, several papers cast doubts on prevailing linear methods
for predicting out-of-sample. These doubts are reinforced by the difficulty of optimizing
strategies in obtaining out-of-sample gains relative to a naïve equally-weighted strategy.
This presentation examines the ex-post performance of optimal portfolios using returns
predicted by a switching regression model. Due to the investor's ability to anticipate
shifts from bull to bear markets, predictability involves the risk premium, volatility and
correlations, and may extend to third and fourth moments. The out-of-sample performance of
these timing strategies is assessed for horizons ranging from one month to ten years using
three different equity datasets, including the commonly used US Industry and International
Book-to-Market portfolios.
ABOUT GIOVANNA NICODANO:
Giovanna Nicodano is professor of financial economics at the University of Torino, chair
of the Masters Programs in Economics and Finance, and fellow at Collegio Carlo Alberto. A
recipient of the European Investment Bank Prize, she obtained her Ph.D. from Princeton
University. She has been a visiting scholar at CEMFI Madrid, the London School of
Economics and the Universities of Amsterdam, Freiburg and Haifa. Her research deals with
strategic asset allocation, corporate finance and market liquidity. As a founder of the
Centre for Research on Pension (CeRP), she initiated a research project on Asset Classes
for Long Run Investors - with publications in the Annals of Finance, the Journal of Real
Estate Finance and Economics and Real Estate Economics. Since 2008 she is international
fellow of the Dutch Network for Studies on Pensions, Aging and Retirement (Netspar). She
is research associate of the Brussels-based European Corporate Governance Institute
(ECGI), and her work in corporate finance, focusing on complex structures such as business
groups, has been published in the European Economic Review, the Journal of Banking and
Finance and the Journal of Public Economics. Finally, her work on market liquidity was
published in the Journal of Finance, the Review of Finance and the Journal of Banking and
Finance.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-4244
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management
WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics
Mag. Dorothea GRIMM
www.gutmann-center.at