Prof. Li Jin from the Harvard Business School is giving a VGSF research
seminar on "Managerial Career Concern and Mutual Fund Short-termism" on
FRIDAY, June 30th, from 15:30 to 17:00 at the Institute for Advanced Studies
(Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS)
2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Li is going to be in Vienna for the entire week. If you like to meet him and
to discuss your research with him, please contact me.
Best,
Michael Halling
Abstract
Mutual fund investors reward short run performance with large inflows. Fund
managers facing strong performance-related flows are shown to focus more on
short horizon investments. Further tests of causality suggest that fund
managers short investment horizons are caused by their investors short
horizons, but not the other way around.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: June 29th, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI)
Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA
Abstract
The impact of realized transaction costs on portfolio performance is now
well recognized. Less well understood, however, is the effect of
transaction cost on performance in the pre-trade dimension. Intuitively,
transaction costs affects performance through the choice of bets the
manager undertakes (breadth), the frequency of bets (turnover), and the
size of those bets (order size). We show that transaction cost modeling
is a source of alpha, increasing skill and breadth. Specifically,
accurate transaction cost models allow managers to make better decisions
regarding which securities should or should not be traded, and the
optimal size of the trade. Further, improved forecasts of costs are
critical to determining optimal portfolio turnover. Greater turnover
allows for more active bets, increasing breadth, but magnifies the
impact of trading costs. Balancing these considerations appropriately
yields an optimal turnover level. Transaction cost models thus help
reduce not only realized costs, but also improve performance on an ex
ante basis. The analysis provides insights into the determinants of
optimal fund capacity. We show that capacity problems are manifested
gradually in the form of higher expected costs, reduced breadth, and
lower turnover. Capacity is an elastic concept that is surprisingly
responsive to even relatively modest gains in transaction cost control
or forecasting ability. This suggests that fund managers can influence
their capacity through investments in better execution research and
technology.
About Ananth Madhavan:
Ananth Madhavan is the Global Head of Trading Research at BGI. He leads
BGI's global trading research team with a focus on execution research
and trading strategies across different asset classes worldwide. Prof.
Madhavan also works closely with the global trading team and BGI’s alpha
research and product groups to design and implement trading strategies
capturing liquidity-driven market opportunities. Before joining BGI in
2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and
a member of the firm’s management and executive committees. Previously,
he was the Charles B. Thorton Professor of Finance at the Marshall
School of Business at the University of Southern California, and
Assistant Professor of Finance at the Wharton School of the University
of Pennsylvania. Ananth Madhavan is the author of numerous publications
in leading academic and practitioner journals. He received his PhD in
Economics from Cornell University and BA from the University of Delhi,
India.
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
Sehr geehrte Damen und Herren,
ich darf Sie auf folgende Veranstaltung aufmerksam machen:
21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE
24. / 25. November 2006
ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT
First CALL for PAPERS
http://www.uni-klu.ac.at/fgk/assets/images/DP/AWG-21_CallPaper.pdf
Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem
25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei
o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik
Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt
Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at
eingereicht werden.
Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch
durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise
wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 einzureichen.
Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten
auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit
innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis.
Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten
und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und
Finanzabteilungen von Unternehmen.
Schwerpunkte: Arbitrage Pricing - Business Valuation - Capital Market Theory - Capital Requirements of
(Auswahl) Financial Intermediaries - Commercial Banking - Contingent Claims Analysis - Corporate Finance
- Financial Innovations - Financial Markets Research - International Banking and Finance - Investment
Banking - Options and Futures - Performance Measurement - Portfolio Management - Risk
Management - Security Analysis.
Prof. Branco Urosevic from the Faculty of Economics, Belgrade (Serbia), and
the Department of Economics and Business, Universitat Pompeu Fabra,
Barcelona (Spain) is giving a VGSF research seminar on "Ownership Dynamics
with Multiple Insiders: The case of REITs" on FRIDAY, June 23rd, from 15:30
to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien,
Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's
abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
We study ownership dynamics of multiple strategic risk-averse insiders
facing a moral hazard problem. We show that, when insiders cannot commit,
ex-ante, to an ownership policy, the aggregate insider stake gradually
declines towards the competitive allocation. Moreover, both the speed of
decline and the long-term equilibrium aggregate insider ownership level are
greater for companies with a higher number of insiders, ceteris paribus. We,
then, test the model on data from the U.S. Real Estate Investment Trusts
(REITs) industry and find that the predictions of the model are supported by
the data.
Prof. Philipp Schönbucher from the ETH Zurich is giving an Extra-VGSF
research seminar on "Portfolio Losses and the Term Structure of Loss
Transition Rates: A new methodology for the pricing of portfolio credit
derivatives" on Monday, June 19th, from 18:00 to 19:30 at the Vienna
University of Business Administration and Economics (WU Wien,
Nordbergstrasse 15, 1090 Wien), SR A619, UZA 4. Please find the paper's
abstract below.
Best,
Michael Halling
Abstract
In this paper, we present a model for the joint stochastic evolution of the
cumulative loss process of a credit portfolio and of its probability
distribution. At any given time, the loss distribution of the portfolio is
represented using forward transition rates, i.e. the transition rates of a
hypothetical time-inhomogeneous Markov chain which reproduces the desired
transition probability distribution. This approach allows a straightforward
calibration of the model (e.g. to a full initial term- and strike structure
of synthetic CDOs including the correlation smile) and it is shown that
(except for regularity restrictions) every arbitrage-free loss distribution
admits such a representation with forward transition rates. To capture the
stochastic evolution of the loss distribution, the transition rates are then
equipped with stochastic dynamics of their own, and martingale / drift
restrictions on these dynamics are derived which ensure absence of arbitrage
in the model. Furthermore, we analyze the dynamics of spreads and
STCDO-prices that are implied by the model and show that the input
parameters can be viewed as spread move parameters and correlation move
parameters. We also show how every dynamic model for correlated individual
defaults can be cast into this framework.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: June 29th, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI)
Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA
The impact of realized transaction costs on portfolio performance is now
well recognized. Less well understood, however, is the effect of
transaction cost on performance in the pre-trade dimension. Intuitively,
transaction costs affect performance through the choice of bets the
manager undertakes (breadth), the frequency of bets (turnover), and the
size of those bets (order size). We show that transaction cost modeling
is a source of alpha (superior performance).Specifically, accurate
transaction cost models allow managers to make better decisions
regarding which securities should or should not be traded, and the
optimal size of the trade.
About Ananth Madhavan:
Ananth Madhavan is the Global Head of Trading Research at BGI. He leads
BGI's global trading research team with a focus on execution research
and trading strategies across different asset classes worldwide. Prof.
Madhavan also works closely with the global trading team and BGI’s alpha
research and product groups to design and implement trading strategies
capturing liquidity-driven market opportunities. Before joining BGI in
2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and
a member of the firm’s management and executive committees. Previously,
he was the Charles B. Thorton Professor of Finance at the Marshall
School of Business at the University of Southern California, and
Assistant Professor of Finance at the Wharton School of the University
of Pennsylvania. Ananth Madhavan is the author of numerous publications
in leading academic and practitioner journals. He received his PhD in
Economics from Cornell University and BA from the University of Delhi,
India.
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
Next week the VGSF is organizing THREE seminars - one on MONDAY, June 12th,
and two on TUESDAY, June 13th.
Prof. David Feldman from the University of New South Wales is going to talk
about "The CAPM Relation for Inefficient Portfolios" on Monday, June 12th,
from 15:30 to 17:00 at the BWZ, Seminar Room 1, Bruennerstr. 72,1210 Wien.
On TUESDAY, June 13th, two seminars by Kai Li, University of British
Columbia, and Martijn Cremers, University of Yale, are scheduled. Kai is
going to talk about "Corporate Boards and the Leverage and Debt Maturity
Choices". The paper presented by Martijn has to be still announced. This
double seminar takes place from 16:00 to 19:00 in Lecture Room 2 at the
Institute for Advanced Studies (Stumpergasse 56, 1060 Wien).
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract of "The CAPM Relation for Inefficient Portfolios"
**********************************************************
Following empirical evidence that - contrary to CAPM predictions - found
little relation between expected rates of return and betas, the relation has
been investigated extensively. Roll and Ross (1994) (RR) and Kandel and
Stambaugh (1995) are seminal works. In this context, within a Markowitz
world (finite number of nonredundant risky securities with finite first two
moments), we generally and simply write the theoretical CAPM relation for
inefficient (non-frontier) portfolios (CAPMI). We demonstrate that the CAPMI
is a well-specified alternative for the widely implemented misspecified CAPM
for use with inefficient portfolios. We identify three sources for this
misspecification: i) the omission of an addend in the pricing relation, ii)
the use of an incorrect risk premiums/beta coefficients (due to of the
existence of infinitely many "zero beta" portfolios at all expected
returns), and iii) the use of unadjusted betas. We suggest the use of
incomplete information equilibria to overcome unobservability of moments of
returns. Our results are robust to regressions that produce positive
explanatory beta power, including extensions such as multiperiod,
multifactor, and the conditioning on time and various attributes.
Abstract of "Corporate Boards and the Leverage and Debt Maturity Choices"
**************************************************************************
Debt, and in particular, short-term debt have the potential to discipline
managers. We examine the role of the board in making financing decisions
that provide this discipline. Specifically, given a firm's characteristics,
we predict that stronger boards will force the firm to hold more debt and
more shortterm debt, and that the effect of the board on the use of
short-term debt is likely to be stronger among low-growth firms than among
high-growth firms. Employing a rich dataset of board characteristics and
controlling for other aspects of a firm's corporate governance, we find
support for these hypotheses.
Moreover, the degree to which director tenure on the board exceeds the CEO
tenure is the most important driver of board strength in our study. This
simple measure of the relative power and true independence of directors
relative to the CEO is a robust and promising measure of internal
governance.
Prof. Josef Zechner from the University of Vienna is giving a VGSF research
seminar on "Human Capital, Bankruptcy, and Capital Structure" on Friday,
June 2nd, from 15:30 to 17:00 at the Institute for Advanced Studies
(Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS)
2. Please find the paper's abstract below.
Coffee and snacks are going to be available in the cafeteria of IHS, which
is located next to the lecture room, before and after the seminar.
Information regarding the further schedule of the VGSF research seminar can
be found at www.vgsf.ac.at!
Best,
Michael Halling
Abstract
This paper identifies a previously overlooked friction, human capital risk,
which can explain an important puzzle in corporate finance why firms
maintain such low levels of debt, given the apparently modest costs of
bankruptcy. We derive the optimal compensation contract when employees are
averse to their own human capital risk, but equity holders are not averse to
this risk, and show that, in the absence of other frictions, all firms will
be unlevered. In the presence of corporate taxes, optimal debt levels are
consistent with the levels observed, implying that human capital risk is of
the same order of importance as taxes in the capital structure decision.
Because these costs are impossible to measure directly, existing empirical
studies that attempt to measure the costs of bankruptcy grossly
underestimate them.