GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
- apologies for duplicated emails! -
Date: December 13th (Thursday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Michael BRANDT, Duke University
http://www.duke.edu/~mbrandt
Title: WHAT DO GOVERNMENT BOND INVESTORS CARE ABOUT:
CREDIT QUALITY OR LIQUIDITY?
Abstract:
Do government bond investors demand credit quality or liquidity? The
answer is both, but at different times and for different reasons. Using
data on the Euro-area government bond market, which features a unique
negative correlation between credit quality and liquidity across
countries, Professor Brandt and coauthors show that the bulk of
sovereign yield spreads is explained by differences in credit quality,
though liquidity plays a non-trivial role especially for low credit risk
countries and during times of heightened market uncertainty. In
contrast, the destination of large flows into the bond market is
determined almost exclusively by liquidity. Professor Brandt and
coauthors conclude that credit quality matters for bond valuation but
that, in times of market stress, investors demand liquidity, not credit
quality.
About Michael Brandt:
Michael W. Brandt is a Professor of Finance and the Finance Area
Coordinator at the Fuqua School of Business of Duke University. His is
also a Research Associate of the National Bureau of Economic Research
(NBER). Professor Brandt's research on quantitative portfolio
management, the response of financial markets to news, the role of order
flow in price discovery, and the link between financial markets and the
macro economy has appeared in leading academic journals. Professor
Brandt received the 2001 FAME Research prize for best paper on asset
management and finance engineering presented at the American, Western,
and European Finance Association meetings and the 2003 Barclays Global
Investor prize for best symposium paper presented at the European
Finance Association meeting. He is an associate editor of the Journal
of Finance, Management Science, and Journal of Econometrics. He is a
member of several corporate advisory boards and a consultant to a number
of financial institutions. He received an M.Sc. in Economics from the
London School of Economics and an M.B.A. and Ph.D. in Finance from the
University of Chicago. Prior to joining the Fuqua School of Business,
Professor Brandt was on the faculty of the Wharton School of the
University of Pennsylvania.
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