INVITATION TO
GUTMANN CENTER SYMPOSIUM ON HEDGE FUNDS
November 29th, 2004
University of Vienna
Dr. Karl Lueger-Ring 1, 1010 Wien
Program as pdf:
http://gutmann-center.univie.ac.at/bridging/gutmann_symposia/200
4_on_hedge_funds/Symp04-Folder.pdf
REGISTRATION IS REQUIRED!:
gutmann.bwl(a)univie.ac.at
Further information:
www.gutmann-center.at
In cooperation with:
www.diepresse.com
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In times of falling stock markets and not very promising bond
markets, investors are looking for alternatives. Hedge Funds
promise stable and attractive returns both during rising as well
as falling marketsbut come with the disadvantage that they are
frequently a black box for investors.The internationally
recognized speakers at our symposium will shed some light on
this hot topic from an academic as well as a practitioner's
point of view.
PROGRAM
08.30 - 09.00 Registration (Kleiner Festsaal)
09.00 - 09.15 Welcome (Kleiner Festsaal)
Josef Zechner, University of Vienna
Session 1 (Kleiner Festsaal)
Chair: Josef Zechner, University of Vienna
09.15 - 09.45 Mila Getmansky, Isenberg School of Management at
UMASS
"The Life Cycle of Hedge Funds: Fund
Flows, Size and Performance"
Discussant: Stefan Pichler, Vienna
University of Economics and BA
09.45 - 10.15 Julien Hugonnier, University of Lausanne
"Mutual Fund Portfolio Choice in the
Presence of Dynamic Flows"
Discussant: Thomas Dangl, Vienna
University of Technology
10.15 - 10.45 Narayan Y. Naik, London Business School
"Flows, Performance, and Managerial
Incentives in Hedge Funds
Discussant: Otto Randl, ISK Vienna
10.45 - 11.15 - Coffee Break -
Session 2 (Kleiner Festsaal)
Chair: Klaus Spremann, University of St. Gallen
11.15 - 11.45 Ryan J. Davies, Babson College
"Fund of Hedge Funds Portfolio
Selection:
A Multiple-Objective Approach"
Discussant: Steven Thorley, Brigham
Young University
11.45 - 12.15 Terry Marsh, Quantal Inc./ UC Berkeley
"Equity Market Neutral Hedge Funds"
Discussant: Engelbert Dockner,
University of Vienna
12.15 -12.45 Oleg Bondarenko, Washington University in St.
Louis
"Market Price of Variance Risk and
Performance of Hedge Funds"
Discussant: Shmuel Kandel, Tel Aviv
University
12.45 - 14.15 - Lunch Buffet -
PARALLEL SESSIONS:
Session 3a Parallel Session I (Kleiner Festsaal)
Chair: Shmuel Kandel, Tel Aviv University
14.15 14.45 Martin Ruckes, University of Wisconsin-Madison
"Liquidity, Borrowing Structure, and
Limits to Arbitrage"
Discussant: Alfred Lehar, University of
Vienna
14.45 15.15 Maria Vassalou, Columbia University
"Corporate Innovation and its Effects on
Equity Returns"
Discussant: Neal Stoughton, University
of Calgary
15.15 15.45 Kuan Xu, Dalhousie University
"Myopic Loss Aversion and Margin of
Safety"
Discussant: Elroy Dimson, London
Business School
Session 3b Parallel Session II (Hörsaal 16)
Chair: Terry Marsh, Quantal
International Inc./ UC Berkeley
14.15 14.45 George O Aragon, Boston College
"Share Restrictions and Asset Pricing
Evidence from the Hedge Fund Industry"
Discussant: Peter Pope, Lancaster
University
14.45 15.15 Yong Chen, Boston College
"Timing ability in the focus market of
hedge funds"
Discussant: Michael Halling, University
of Vienna
15.15. 15.45 Robert Kosowski, INSEAD
"Is Stellar Hedge Fund Performance for
Real?"
Discussant: Robert Korajczyk,
Northwestern University
Panel Discussion (Kleiner Festsaal)
16.00 - 17.30 Hedge Funds Temporary Fad or Here to Stay?
Chair: Michael Prüller, Die Presse
Discussants:
- Elroy Dimson, London Business
School
- Terry Marsh, UC Berkeley/
Quantal International Inc.
- Friedrich Strasser, Bank Gutmann
AG
- Josef Zechner, University of
Vienna
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Gutmann Center for Portfolio Management
University of Vienna
Bruenner Strasse 72
A-1210 Wien/Vienna
Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
e-mail: gutmann.bwl(a)univie.ac.at
Homepage:
www.gutmann-center.at