The European Corporate Governance Institute (ECGI) is organizing a
conference on Corporate Governance in Oxford on 10-11 June 2008. The
conference is part of the ECGI Corporate Governance Best Paper
Competition. Papers included in the conference will be automatically
eligible for inclusion in the Competition. They will also be eligible
for fast track reviewing for inclusion in the /Review of Finance/ (RoF)
free of charge.
You are invited to submit a paper for inclusion in the conference and
for consideration by the competition. Details of the competition, the
conference, the fast track submission and the procedure by which papers
will be selected are available at
http://www.ecgi.org/competitions/rof/index.php Papers should be
submitted by February 15th.
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: January 31st, 2008 (Thursday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Mark SEASHOLES, Santa Clara University, London
Business School and INSEAD
http://www.seasholes.com/
Title: TIME VARIATION IN LIQUIDITY:
THE ROLE OF MARKET MAKER INVENTORIES AND REVENUES
Abstract:
We use an 11-year panel of NYSE specialist inventory positions and
revenues to study two aspects of financial markets: stock price
reversals (temporary mispricings) and liquidity. Understanding when
stocks are mispriced and when liquidity is drying up is of key
importance to asset managers. We show that as stock prices go up,
market-makers sell. As stock prices fall, market-makers buy.
Market-makers are compensated for taking on risky positions via stock
price reversals. Sorting stocks based on inventory positions predict
reversals of 33 basis points over the following week and 45 basis points
over the following two weeks. Sorting stocks by current returns and
inventory positions can predict reversals of over 85 basis points per
week. Combining inventory positions with NYSE specialist revenues
allows us to predict liquidity (at the market-level) at a daily
frequency. As prices fall, market-makers lose money on current
positions. They also increase positions and thus risk. The net result
is that market-makers are less willing to provide liquidity. Our tests
are done at both the market-level and at the specialist firm level. Our
results suggest an important role for market makers' financial positions
in explaining the time variation of liquidity.
About Mark Seasholes:
Mark Seasholes is an Assistant Professor of Finance. He received his BA
from Wesleyan University and his AM and PhD degrees from Harvard
University. Mark's research focuses on investor behavior around the
world. He has written on cross-border equity investments, herding
behavior of individual investors, and loss aversion. Current work
focuses on the role and pricing of liquidity. One project looks at the
systematic liquidity demands of individual investors. A second project
studies NYSE specialist inventories (a measure of liquidity provided to
the market).
Mark studied physics at Wesleyan University. After graduating from
college, he spent a number of years working on Wall Street and in the
emerging markets of East/Central Europe. He has completed a valuation
project in Honduras, helped with the Lloyds of London restructuring, and
given a series of lectures in the People's Republic of China.
Professor Seasholes taught at U.C. Berkeley Haas School from 2000 to
2007 where he won teaching awards in three programs: Daytime MBA,
Undergrad Program, and Berkeley-Columbia Executive MBA. He continues to
teach in Executive Education programs where he receives top ratings.
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
Professor Susan Christoffersen from McGill University is giving a VGSF
research seminar on "Fund Flows vs. Family Flows: Evidence from the
Cross Section of Brokers" on January 25 (Friday, 15:30-17:00) at
Institute for Advanced Studies(HS II), Stumpergasse 56, 1060 Vienna. You
can download the paper to be presented at the VGSF webpage (Activities &
Events--> Research Seminars). The abstract of the paper is attached below.
Professor Christoffersen is going to visit BWZ on Jan 25. If you would
like to meet her at BWZ, please let me know as soon as possible.
Kind regards,
Youchang Wu
Evidence that brokers influence the mutual-fund flows they intermediate
suggests that
funds’ families make important choices about their use of brokerage. We
address these
choices by relating the flows in and out of funds to, on one hand, the
involvement of
brokers who are or aren’t affiliated with the fund, and their
revenue-sharing with the
family, and on the other hand, the simultaneous flows of other funds in
the same family.
Among our findings are that affiliated brokers increase recapture of
outflows but also
cannibalization of inflows, and that consumer sentiment increases the
market power of
unaffiliated brokers.
Professor Rohit Rahi from London School of Economics is giving a VGSF research seminar on "Arbitrage Networks" on January 18 (Friday, 15:30-17:00) at Institute for Advanced Studies(HS II),Stumpergasse 56, 1060 Vienna. You can download the paper to be presented at the VGSF webpage (Activities & Events--> Research Seminars). The abstract of the paper is attached below.
Professor Rahi is going to visit Vienna from Jan 16 to 21. If you would like to meet him, please let me know as soon as possible.
Kind regards,
Youchang Wu
This paper is studies the general equilibrium implications of arbitrage trades by
strategic players in segmented financial markets. Arbitrageurs exploit clientele
effects and choose to specialize in one category of trades, taking into consideration
all other arbitrage strategies. This results in an equilibrium network of arbitrageurs.
The optimal network for arbitrageurs is of the hub-spoke kind. The
equilibrium network, in contrast, is never optimal for arbitrageurs and is never
hub-spoke. The reason is that equilibrium networks suffer from a Prisoner’s
Dilemma problem that prevents network externalities from being internalized.
We show that, as the number of intermediaries grows, equilibrium allocations
converge to those of the frictionless complete-markets Arrow-Debreu economy.
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: January 31st, 2008 (Thursday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Mark SEASHOLES, Santa Clara University, London
Business School and INSEAD
http://www.seasholes.com/
Title: TIME VARIATION IN LIQUIDITY:
THE ROLE OF MARKET MAKER INVENTORIES AND REVENUES
Abstract:
We use an 11-year panel of NYSE specialist inventory positions and
revenues to study two aspects of financial markets: stock price
reversals (temporary mispricings) and liquidity. Understanding when
stocks are mispriced and when liquidity is drying up is of key
importance to asset managers. We show that as stock prices go up,
market-makers sell. As stock prices fall, market-makers buy.
Market-makers are compensated for taking on risky positions via stock
price reversals. Sorting stocks based on inventory positions predict
reversals of 33 basis points over the following week and 45 basis points
over the following two weeks. Sorting stocks by current returns and
inventory positions can predict reversals of over 85 basis points per
week. Combining inventory positions with NYSE specialist revenues
allows us to predict liquidity (at the market-level) at a daily
frequency. As prices fall, market-makers lose money on current
positions. They also increase positions and thus risk. The net result
is that market-makers are less willing to provide liquidity. Our tests
are done at both the market-level and at the specialist firm level. Our
results suggest an important role for market makers' financial positions
in explaining the time variation of liquidity.
About Mark Seasholes:
Mark Seasholes is an Assistant Professor of Finance. He received his BA
from Wesleyan University and his AM and PhD degrees from Harvard
University.
Mark's research focuses on investor behavior around the world. He has
written on cross-border equity investments, herding behavior of
individual investors, and loss aversion. Current work focuses on the
role and pricing of liquidity. One project looks at the systematic
liquidity demands of individual investors. A second project studies
NYSE specialist inventories (a measure of liquidity provided to the market).
Mark studied physics at Wesleyan University. After graduating from
college, he spent a number of years working on Wall Street and in the
emerging markets of East/Central Europe. He has completed a valuation
project in Honduras, helped with the Lloyds of London restructuring, and
given a series of lectures in the People's Republic of China.
Professor Seasholes taught at U.C. Berkeley Haas School from 2000 to
2007 where he won teaching awards in three programs: Daytime MBA,
Undergrad Program, and Berkeley-Columbia Executive MBA. He continues to
teach in Executive Education programs where he receives top ratings.
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
There will be two VGSF research seminars on January 11 at the Institute for Advanced Studies (HS II), Stumpergasse 56, 1060 Vienna:
Seminar 1 (14:00-15:30)
Speaker: Alexander Wagner (University of Zurich)
Topic: The Executive Turnover Risk Premium
Seminar 2 (16:00-17:30)
Speaker: Jeffrey Zwiebel (Stanford University)
Topic: Executive Pay, Hidden Compensation, and Managerial Entrenchment
Both papers can be downloaded from the VGSF homepage (Activities & Events--> Research Seminars). The abstracts are attached below.
Alexander and Jeff will visit VGSF on Friday (Jan 11) morning. If you would like to meet them at BWZ, please let me know as soon as possible.
Kind regards,
Youchang Wu
Abstract 1: Executive compensation has increased dramatically over the past 15 years, but so has forced CEO turnover. Previous research shows that fired CEOs do poorly later on in their careers and some forfeit their previous compensation. We argue that these adverse consequences of forced turnover explain part of the secular rise and cross-sectional variation of CEO pay. We fnd a large premium for exogenous turnover risk for the CEOs of the largest US corporations for the years 1993-2001: a one-percentage point increase in the probability of involuntary turnover is associated with about 10 percent more in terms of risk-neutral compensation. We show that this relation is unlikely to be driven by reverse causation or a general tendency towards stronger performance sensitivity of both pay and turnover.
Abstract 2: We consider a "managerial optimal" framework for top executive compensation, where top management sets their own compensation subject to limited entrenchment, instead of the conventional setting where such compensation is set by a board that maximizes firm value. Top management would like to pay themselves as much as possible, but are constrained by the need to ensure sucient effciency to avoid a replacement. Shareholders can remove a manager, but only at a cost, and will therefore only do so if the anticipated future value of the manager (given by anticipated future performance net of future compensation) falls short of that of a replacement by this replacement cost. In this setting, observable compensation (salary) and hidden compensation (perks, pet projects, pensions, etc.) serve different roles for management and have different costs, and both are used in equilibrium. We examine the relationship between observable and hidden compensation and other variables in a dynamic model, and derive a number of unique predictions regarding these two types of pay. We then test these implications and find results that generally support the predictions of our model.