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