Reminder: INVITATION / CONFERENCE ANNOUNCEMENT
The WU Gutmann Center for Portfolio Management is proud to invite to its sixth symposium.
WU GUTMANN CENTER SYMPOSIUM 2011:
"LIQUIDITY AND ASSET MANAGEMENT"
http://www.wu.ac.at/gc/whatwedo/bridging/symposia
June 15, 2011 - 09:00-17:30
Venue: WU (Vienna University of Economics and Business) Festsaal, UZA 1, Augasse 2-6, 1090
Vienna
PROGRAM
08:30 Registration
09:00-09:15 Welcome
09:15-10:45 SESSION I
Chair: William F. Sharpe, Stanford University
HOW DOES ILLIQUIDITY AFFECT DELEGATED PORTFOLIO CHOICE?
Luis Goncalves-Pinto, University of Southern California
Discussant: Neal Stoughton, UNSW Sydney
THE DIMINISHING LIQUIDITY PREMIUM
Azi Ben-Rephael, Tel Aviv University
(joint with Ohad Kadan and Avi Wohl)
Discussant: Yong Chen, Virginia Tech
EVAPORATING LIQUIDITY
Stefan Nagel, Stanford University
Discussant: Miguel A. Ferreira, Universidade Nova de Lisboa
10:45-11:15 Coffee Break
11:15-12:45 SESSION II
Chair: Alexander Mürmann, WU
ECONOMETRIC MEASURES OF SYSTEMIC RISK IN THE FINANCE AND INSURANCE SECTORS
Mila Getmansky Sherman, University of Massachusetts
(joint with Monica Billio, Andrew Lo and Loriana Pelizzon)
Discussant: Joost Driessen, Tilburg University
CAN HEDGE FUNDS TIME MARKET LIQUIDITY?
Yong Chen, Virginia Tech
(joint with Charles Cao, Bing Liang and Andrew Lo)
Discussant: Azi Ben-Rephael, Tel Aviv University
HEDGE FUND STOCK TRADING IN THE FINANCIAL CRISIS OF 2007-2008
Francesco Franzoni, University of Lugano (joint with Itzhak Ben-David and Rabih Moussawi)
Discussant: Stefan Nagel, Stanford University
12:45-13:45 Lunch Break
13:45-15:15 SESSION III
Chair: Thomas Gehrig, University of Vienna
MONEY AND LIQUIDITY IN FINANCIAL MARKETS
Kjell G. Nyborg, University of Zürich (joint with Per Östberg)
Discussant: Loriana Pelizzon, Università Ca'Foscari di Venezia
AN ASSET PRICING APPROACH TO LIQUIDITY EFFECTS IN CORPORATE BOND MARKETS
Joost Driessen, Tilburg University (joint with Dion Bongaerts and Frank de Jong)
Discussant: Lubos Pastor, University of Chicago
ILLIQUIDITY OR CREDIT DETERIORATION:
A STUDY OF LIQUIDITY IN THE US CORPORATE BOND MARKET DURING FINANCIAL CRISES
Rainer Jankowitsch, WU (joint with Nils Friewald and Marti G. Subrahmanyam)
Discussant: Robert Korajczyk, Northwestern University
15:15-15:45 Coffee Break
15:45-17:15 SESSION IV
Chair: Terrance Odean, University of California, Berkeley
THE GEOGRAPHY OF MUTUAL FUNDS: THE ADVANTAGE OF DISTANT INVESTORS
Miguel A. Ferreira, Universidade Nova de Lisboa (joint with Massimo Massa and Pedro
Matos)
Discussant: Susan Christoffersen, University of Toronto
INVESTORS' HORIZONS AND THE AMPLIFICATION OF MARKET SHOCKS
Cristina Cella, Stockholm School of Economics (joint with Andrew Ellul and Mariassunta
Giannetti)
Discussant: Luis Goncalves-Pinto, University of Southern California
MONEY FUND RUNS
Russ Wermers, University of Maryland
Discussant: Thomas Dangl, Vienna University of Technology
17:15 Concluding Remarks and Refreshments
PLEASE REGISTER not later than June 8th, 2011:
gutmann-center(a)wu.ac.at
Participation is free of charge
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management
WU (Vienna University of Economics and Business)
Department of Finance, Accounting and Statistics
Phone: +43-1-31336-4244
gutmann-center(a)wu.ac.at
www.gutmann-center.at