by Walter Schachermayer by way of Andreas Schamanek
---------- Forwarded message ----------
Date: Mon, 26 Mar 2007 18:16:35 +0300
From: IME2007 University of Piraeus <ime2007(a)unipi.gr>
Subject: IME2007 2nd CALL FOR PAPER
ANNOUNCEMENT AND CALL FOR PAPERS
UNIVERSITY OF PIRAEUS
DEPARTMENT OF STATISTICS & INSURANCE SCIENCE
ELEVENTH INTERNATIONAL CONGRESS ON INSURANCE: MATHEMATICS & ECONOMICS
July 10-12, 2007
The Department of Statistics and Insurance Science of the University
of Piraeus is pleased to host the 11th International Congress on
Insurance: Mathematics and Economics, on July 10-12, 2007. Information
about the Congress can be found on http://www.unipi.gr/ime2007
The Congress gives researchers (both actuaries and non-actuaries) the
opportunity to present their latest works in the general area of
Actuarial Science. It also allows practicing actuaries, who are
interested in the implementation of results, to make direct contact
with recent developments.
Papers for presentation should be relevant to the aims and scope of
the international journal Insurance: Mathematics and Economics. Topics
of interest include without being limited: models and computational
methods of life insurance (including pension plans, social insurance
and health insurance), of non-life insurance and of reinsurance. It
also includes, innovative insurance applications of results from other
fields, such as probability and statistics, numerical analysis,
economics, operations research and risk management. There is also
particular interest on the interactions of insurance mathematics with
finance.
The papers presented can be submitted for publication in a special
issue of Insurance: Mathematics and Economics, dedicated to the
Congress.
Abstracts should be submitted online by March 31, 2007, on the IME
2007 website http://www.unipi.gr/ime2007/
Prior to the congress on July 8th - 9th there will be a course on
" Dependence in Risk Theory " by Hansjoerg Albrecher
Organizing Committee:
Georgios Pitselis (chair), Konstadinos Politis (vice-chair), Michael
Boutsikas, George Iliopoulos, Maria Kateri, Jan Dhaene.
Scientific Committee:
Hans Gerber (chair), Stathis Chadjikonstantinidis (vice-chair), Michel
Denuit, Jan Dhaene, Jose Garrido, Marc Goovaerts, Rob Kaas, Nikolai Kolev,
Takis Papaioannou, Georgios Pitselis, Susan Pitts.
Georgios Pitselis
President of the Organizing Committee
---------------------------------
IME 2007 July 10-12, 2007
11th International Congress on Insurance: Mathematics and Economics
University of Piraeus
Athens, Greece
e-mail: <mailto:ime2007@unipi.gr> ime2007(a)unipi.gr
web: www.unipi.gr/ime2007
Christopher Hennessy from UC Berkeley is giving a VGSF research seminar on
"A dynamic theory of corporate finance based upon repeated signaling" on
FRIDAY, March 30th, from 15:30 to 17:00 in HS 7 at the BWZ, Brünnerstrasse
72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research
Seminars) for a map of the location, the paper to download and this term's
entire schedule of seminars.
Please find the paper's abstract below. Christopher is going to be in Vienna
for the entire week (March 26th to March 30th). He would be very happy to
discuss research with the local faculty. Please contact Michael Halling if
you are interested and would like to take advantage of this opportunity.
Best,
Michael Halling
Abstract
We examine the effect of Markovian hidden information about the marginal
product of capital on the dynamics of financing and investment. The model
features endogenous investment, debt, default, dividends, equity flotations
and share repurchases. Since deadweight signaling costs are necessarily high
when net worth is low, forward-looking risk-neutral shareholders behave as
if risk-averse. Consequently, in each period's least-cost separating
equilibrium, firms can signal positive information with high leverage and
investment. Firms with negative information have no debt and raise external
funds with equity. Pareto dominant pooling equilibria also exist, but only
if net worth is sufficiently low. In the pooling equilibria, firms issue
positive amounts of debt and investment is between respective first-best
levels. The model is rich in testable predictions and consistent with a
broad set of established stylized facts regarding leverage ratios and
announcement effects, and can also explain observed violations of the
pecking-order hypothesis.
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: March 27th, 2007, 4.30 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. CHRISTOPHER HENNESSY,
Haas School of Business at the University of California,
Berkeley
http://www.haas.berkeley.edu/faculty/hennessy.html
Title: UNDERSTANDING CORPORATE ANNOUNCEMENT EFFECTS
Abstract:
Empirical evidence indicates that announced changes in corporate
financing and investment policies have statistically significant effects
on stock returns. For example, share prices rise in response to
increased capital expenditures, debt-for-equity substitutions, and share
repurchases. Although these effects are currently understood at a
qualitative level, a quantitative framework is still absent. This talk
will discuss recent efforts at quantitative modeling of the information
content of corporate announcement effects. Implications for asset
pricing and credit default risk are also discussed.
About Christopher Hennessy:
Christopher Hennessy is Associate Professor and Finance Department
Chairman at the Walter A. Haas School of Business at the University of
California, Berkeley. Professor Hennessy received a Master of Public
Affairs Degree from the Woodrow Wilson School and a Ph.D. in Economics
from Princeton University. He was Senior Associate of the Barents Group
of KPMG Peat Marwick. Hennessy's research centers on the effects of
taxes and private information on corporate financing, investment, and
asset prices. His work has been recognized with two Brattle Prizes for
outstanding corporate finance paper published in the Journal of Finance.
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
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: March 27th, 2007, 4.30 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. CHRISTOPHER HENNESSY,
Haas School of Business at the University of California,
Berkeley
http://www.haas.berkeley.edu/faculty/hennessy.html
Title: UNDERSTANDING CORPORATE ANNOUNCEMENT EFFECTS
Abstract:
Empirical evidence indicates that announced changes in corporate
financing and investment policies have statistically significant effects
on stock returns. For example, share prices rise in response to
increased capital expenditures, debt-for-equity substitutions, and share
repurchases. Although these effects are currently understood at a
qualitative level, a quantitative framework is still absent. This talk
will discuss recent efforts at quantitative modeling of the information
content of corporate announcement effects. Implications for asset
pricing and credit default risk are also discussed.
About Christopher Hennessy:
Christopher Hennessy is Associate Professor and Finance Department
Chairman at the Walter A. Haas School of Business at the University of
California, Berkeley. Professor Hennessy received a Master of Public
Affairs Degree from the Woodrow Wilson School and a Ph.D. in Economics
from Princeton University. He was Senior Associate of the Barents Group
of KPMG Peat Marwick. Hennessy's research centers on the effects of
taxes and private information on corporate financing, investment, and
asset prices. His work has been recognized with two Brattle Prizes for
outstanding corporate finance paper published in the Journal of Finance.
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
First Announcement
+--------------------------------------------------+
| Workshop and Mid-Term Conference on |
| Advanced Mathematical Methods for Finance |
| September 17-22, 2007 |
| <http://www.fam.tuwien.ac.at/amamef2007/> |
+--------------------------------------------------+
organized by PRisMa Lab and FAM @ TU Vienna
Location:
Vienna University of Technology
Wiedner Hauptstr. 8-10
1040 Vienna, Austria
Scientific Program:
Mo, Sep. 17th: Educational workshop for Ph.D. students and young postdocs
Tu, Sep. 18th: Scientific conference
We, Sep. 19th: Scientific conference
Tu, Sep. 20th: Scientific conference
Fr, Sep. 21st: Practitioner's day
Sa, Sep. 22nd: Scientific conference (half day)
Invited Speakers (confirmed):
Prof. Tomas Björk (Stockholm School of Economics)
Prof. Freddy Delbaen (ETH Zürich)
Prof. Ernst Eberlein (Universität Freiburg)
Prof. Damir Filipovic (LMU München)
Prof. Ioannis Karatzas (Columbia University)
Prof. Dmitry Kramkov (Carnegie Mellon University)
Prof. Damien Lamberton (Université de Marne-la-Vallée)
Dr. Marek Musiela (BNP Paribas, London)
Prof. Chris Rogers (University of Cambridge)
Prof. Wolfgang Runggaldier (Università degli Studi di Padova)
Dr. Peter Schaller (Bank Austria Creditanstalt)
Dr. Eva Strasser (JP Morgan)
Prof. Martin Schweizer (ETH Zürich)
Prof. Thaleia Zariphopoulou (University of Texas)
Invited Speakers (confirmed) from the AMaMeF Steering Committee:
(See <http://150.146.2.4/amamef/> for details of the AMaMeF program)
Prof. Ole E. Barndorff-Nielsen (University of Aarhus)
Prof. Lane P. Hughston (King's College London)
Prof. Claudia Klüppelberg (TU München)
Prof. Giulia Di Nunno (University of Oslo)
Prof. Bernt Øksendal (University of Oslo)
Dr. Benedetto Piccoli (Consiglio Nazionale delle Ricerche, Rome)
Prof. Christoph Schwab (ETH Zürich)
Prof. Lukasz Stettner (Polish Academy of Sciences)
Prof. Esko Valkeila (Helsinki University of Technology)
Prof. Michèle Vanmaele (Universiteit Gent)
Prof. Constantin Varsan (Romanian Academy, Bucharest)
Organizing Committee:
Prof. Peter Grandits
Dr. Friedrich Hubalek
Dr. Reinhold Kainhofer
Dr. Johannes Leitner
Prof. Walter Schachermayer
Prof. Uwe Schmock
Conference Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Vienna)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
For registration details, conference fees, contributed talks, etc.,
please visit the conference web site at
<http://www.fam.tuwien.ac.at/amamef2007/>, which will be updated
continuously. We are looking forward to welcome you in Vienna!
On behalf of the Organizing Committee,
Uwe Schmock
P.S.: I apologize for any cross-postings.
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Personal Home Page:
<http://www.fam.tuwien.ac.at/~schmock/>
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
Dear colleague,
the DEADLINE for submission of abstract EMNET 2007 is March 18, 2007.
We want to invite you to the third international conference on Economics
and Management of Networks(EMNet) will that will take place at the Erasmus
University Rotterdam (Rotterdam School of Management), The Netherlands,
from June 28 to June 30, 2007.
Call for papers and conference registration can be found at:
http://www.univie.ac.at/EMNET/2007/index2007.html.
An edited BOOK with the 20 best papers will be published at
Springer/Physica Verlag.
In addition, a SPECIAL ISSUE with selected papers of the conference
will be published in 'International Studies of Management and
Organization' (editors: George Hendrikse, Josef Windsperger)
One of the sponsors of EMNET 2007 will be eRNAC (e-Research Network
Agricultural Cooperatives). In addition to the EMNet-topics, we like to
elicit and encourage papers, and have therefore sessions, regarding their
focus on Board of Directors, member interests, member heterogeneity. (Free
sign up as member at www.ernac.net).
Best regards,
George Hendrikse, RSM Erasmus University Rotterdam
Josef Windsperger, University of Vienna , Center of Business Studies
Please send this announcement also to your colleagues!
Invitation to the VGSF Research Seminar!
This semester the seminar usually takes place on Friday from 15:30 to 17:00
in HS 7 (Bauteil III, 3rd floor) at the BWZ in Brünnerstrasse 72, 1210 Wien.
The detailed seminar schedule and the papers can be found on the
VGSF-website (www.vgsf.ac.at --> Activities --> Research Seminar).
On March 9th there will be TWO (!!!) VGSF research seminars from 14:00 (!!!)
to 17:00:
(A) Prof. Matti Keloharju (Helsinki School of Economics): Sensation Seeking,
Overconfidence, and Trading Activity
ABSTRACT: This study analyzes the role that two psychological
attributessensation seeking and overconfidenceplay in the tendency of
investors to trade stocks. Equity trading data are combined with data from
an investors tax filings, driving record, and psychological profile. We use
the data to construct measures of overconfidence and sensation seeking
tendencies. Controlling for a host of variables, including wealth, income,
age, number of stocks owned, marital status, and occupation, we find that
overconfident investors and those investors most
prone to sensation seeking trade more frequently.
(B) Prof. Laurent Calvet (HEC Paris): Down or Out: Assessing the Welfare
Costs of Household Investment Mistakes
ABSTRACT: This paper investigates the efficiency of household investment
decisions in a unique dataset containing the disaggregated wealth and income
of the entire population of Sweden. The analysis focuses on two main sources
of inefficiency in the financial portfolio: underdiversification of risky
assets (down) and nonparticipation in risky asset markets (out). We find
that while a few households are very poorly diversified, the cost of
diversification mistakes is quite modest for most of the population. For
instance, a majority of participating Swedish households are sufficiently
diversified internationally to outperform the Sharpe ratio of their domestic
stock market. We document that households with greater financial
sophistication tend to invest more efficiently but also more aggressively,
so the welfare cost of portfolio inefficiency tends to be greater for these
households. The welfare cost of nonparticipation is smaller by almost one
half when we take account of the fact that nonparticipants would be unlikely
to invest efficiently if they participated in risky asset markets.
Both professors will be available for individual meetings on Friday before
the seminars. If you would like to meet them, please contact Michael
Halling.
Best,
Michael Halling
The SS 2007 schedule of the VGSF Research Seminar is available on the VGSF
website (www.vgsf.ac.at --> Activities & Events --> Research Seminars). This
semester the seminar is going to take place at the BWZ
(Betriebswirtschaftliches Zentrum der Universität Wien) in Brünnerstrasse
72, 1210 Wien. The seminar's regular lecture room is HS 7 (a detailed map
can be found on the seminar webpage).
If you have further questions, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Hope to see you there,
Michael