INVITATION The WU Gutmann Center cordially invites you to the forthcoming WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for duplicated mails!) **************************************************************************** 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