Prof. Ashley Wang from UC Irvine is giving a VGSF research seminar on "Asset
Pricing and Mispricing" on MONDAY, October 9th, from 16:30 to 18:00 at the
WU Wien (Seminarraum A. 619, UZA 4, 6. Stock, Block A, Nordbergstrasse 15,
1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Ashley is going to be in Vienna on Monday. If you like to meet her and to
discuss your research with her, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
In this paper we develop models for stock returns when stock prices are
subject to stochastic mispricing errors. We show that expected rates of
return depend not only on the fundamental risk that is captured by a
standard asset pricing model, but also on the type and degree of asset
mispricing, even when the mispricing is zero on average. Empirically, the
mispricing induced return bias, proxied either by Kalman filter estimates or
by volatility and variance ratio of residual returns, are shown to be
significantly associated with realized risk adjusted returns.
Prof. Peter Swan from the University of New South Wales is giving a VGSF
research seminar on "OPTIMAL PORTFOLIO BALANCING UNDER CONVENTIONAL
PREFERENCES AND TRANSACTION COSTS EXPLAINS THE EQUITY PREMIUM PUZZLE" on
FRIDAY, October 6th, from 15:30 to 17:00 at the WU Wien (UZA 4,
Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Peter is going to be in Vienna on Friday. If you like to meet him and to
discuss your research with him, please contact Alex Stomper
(stomper(a)ihs.ac.at).
Best,
Michael Halling
Abstract
Adding a motivation for trading due to endowment differences to the standard
assumptions of asset pricing, we investigate the impact of a variety of
impediments to trade including transactions costs and illiquidity due to
small participant numbers. We calibrate to observed activity levels,
returns, transaction costs and volatility in equity and bond markets to show
that equity investors benefit from the ability to trade freely, and thus
require a high return of 6 to 8% pa for bearing even modest transactional
charges of 0.5%. Our findings are consistent with most empirical facts and
explain a number of anomalies in addition to the equity premium puzzle.
Am 17./18. 11. 2006 findet im Universitätszentrum Obergurgl ein Workshop zum
Thema Risikomanagement statt. Papers können noch bis spätestens 11. Oktober
eingereicht werden. Den CFP und weitere Informationen finden Sie unter
http://www.uibk.ac.at/congress/krm/krm.html
Beste Grüße aus Tirol,
Michael Hanke