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: MARCH 22 (Thursday), 2012 - 4:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. ALEXANDER KEMPF, University of Cologne
Title: THE VALUATION OF HEDGE FUNDS' EQUITY POSITIONS
ABSTRACT:
We provide evidence on the valuation of equity positions by hedge fund advisors. Reported
valuations deviate from standard valuations based on closing prices from CRSP for roughly
seven percent of the positions. These deviations are economically significant for about 25
percent of the hedge fund advisors. Advisors with more pronounced valuation deviations
show a stronger discontinuity in their reported returns around zero, manage a higher
fraction of potentially fraudulent funds, show smoother reported returns, self-report to
commercial databases, and are domiciled in offshore locations. Additional tests suggest
that the documented equity valuation deviations respond to past performance.
ABOUT ALEXANDER KEMPF:
Professor Kempf is Professor of Finance at the University of Cologne and a full member of
the Northrhine-Westphalian Academy of Sciences, Humanities, and the Arts. He is in charge
of the Cologne PhD School in Risk Management, is a member of the Executive Board of the
Cologne Graduate School and the managing Director of the CFR Centre for Financial
Research. The CFR is an independent research institute focusing on topics in asset
management. Professor Kempf has been teaching at the University of Cologne since 1999. He
obtained his doctoral degree and his venia legendi from the University of Mannheim.
Professor Kempf has published extensively on asset and risk management. His current
research focuses on mutual and hedge funds as well as on liquidity and estimation risk.
His research has been published in leading academic journals like Journal of Financial
Economics, Review of Financial Studies, and Review of Finance. He regularly presents his
research results at conferences and in the national and international press. Prof. Kempf
is also an advisory consultant for companies and serves as a consultant for the industry.
More information about Professor Kempf:
www.finance.uni-koeln.de
www.cfr-cologne.de
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