Dear colleagues,
You are kindly invited to attend the following VGSF research seminars:
***Seminar 1: Delegated Asset Management and Market Segmentation
***Speaker: Wei Xiong (Princeton University)
****Time: 2008-04-23, Wednesday, 15:30-17:00 !!!*
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
***Seminar 2: Day Trading in Equilibrium
***Speaker: Terrance Odean (Haas School of Business, Berkeley)
***Time: 2008-04-25, Friday, 15:30-17:00
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The paper to be presented by Terrance Odean can be downloaded at
http://www.vgsf.ac.at/activities/seminars.htm. The abstracts are
attached below.
Please note that the special time for the first seminar of this week.
Please also be informed that from now on VGSF research seminars will
only be announced through the VGSF newsletter. You are kindly invited to
subscribe to the VGSF newsletter at
https://lists.wu-wien.ac.at/mailman/listinfo/vgsf-newsletter if you have
not yet done it.
Wei Xiong will be available for individual meetings on Wednesday, and
Terrance Odean will be available on Friday afternoon before the seminar.
If you would like to talk to them in person, please contact me as soon
as possible.
Best regards,
Youchang Wu
Abstract 1: This paper explains capital immobility in financial markets
based on agency frictions in delegated asset management. Our key insight
is that confining a fund
to investing in a single market increases the efficiency of incentive
provision to the fund manager through benchmarking and reduces the
agency cost. We show
that this benefit can dominate the cost of forgone investment gain due
to restricted investment choices, and therefore provide a justification
of capital confinement
provisions commonly specified in asset management contracts. Our model
offers a new perspective on liquidity crises. After investors distribute
their capital into
different market segments through institutionally managed funds, agency
considerations can largely confine capital within its initial market
segments, thus
refraining liquidity from flowing down to a distressed market.
Abstract 2: When an investor buys and sells the same stock on the same
day, he has made a day trade. We analyze the performance of day traders
in Taiwan. Day trading by individual investors is prevalent in Taiwan –
accounting for over 20 percent of total volume from 1995 through 1999.
Individual investors account for over 97 percent of all day trading
activity. Day trading is extremely concentrated. About one percent of
individual investors account for half of day trading and one fourth of
total trading by individual investors. Heavy day traders earn gross
profits, but their profits are not sufficient to cover transaction
costs. Moreover, in the typical six month period, more than eight out of
ten day traders lose money. Despite these bleak findings, there is
strong evidence of persistent ability for a relatively small group of
day traders. Traders with strong past performance continue to earn
strong returns. The stocks they buy outperform those they sell by 62
basis points /per day/. This spread is sufficiently large to cover
transaction costs.
-------- Forwarded message ----------
Date: Thu, 17 Apr 2008 16:55:09 +0100
From: Xiaochen Sun <Xiaochen.Sun(a)brunel.ac.uk>
Subject: Risk Control Strategies for Hedge Funds and Program Trading - 4th
Annual CARISMA conference
We are pleased to announce the 4th Annual CARISMA conference, which
takes place in London at 7City Learning on 1-2 July 2008.
The theme of the conference is "Risk Control Strategies for Hedge
Funds and Program Trading". There are also four pre- and
post-conference workshops. For further details see
http://www.optirisk-systems.com/events/carisma2008.asp
The conference provides a platform to discuss the applications and
advances, and to explore future research directions. The focus is on
the emerging requirements of the finance industry, from the
perspective of performance monitoring, regulation and compliance. It
brings together practitioners and academics working in the area of
financial planning, optimisation and risk modelling. The satellite
workshops provide an in-depth view of related topics in investment and
risk modelling.
Speakers include:
* Carlo Acerbi, Abaxbank
* Art Asriev, Bear Stearns
* Les Balzer, The University of New South Wales
* Dan Bienstock, Columbia University
* Nicos Christofides, Imperial College
* Robert Clarkson, Cass Business School, City University.
* M A H Dempster, Centre for Financial Research, Judge Business School,
University of Cambridge & Cambridge Systems Associates Limited
* Dan diBartolomeo, Northfield Information Services Inc
* Chanaka Edirisinghe, University of Tennessee
* Philip Gagner, RavenPack Int'l
* Gerd Infanger, Stanford University
* Dilip Madan, University of Maryland, Consultant to Morgan Stanley & Visiting
Professor, CARISMA (Risk Awards Quant of the Year 2008)
* Gautam Mitra, CARISMA, Brunel University
* Andrew Robinson, SunGard-APT
* Bernd Scherer, Morgan Stanley
* Rob Stubbs, Axioma
* Stefan Thurner, red.stars.com
* Xunyu Zhou, University of Oxford
Topics:
* Risk Management for Hedge Funds
* Long-Short Portfolios with Downside Risk Control
* Credit Crunch, Liquidity, and Equity Market Neutral Strategies: Managing
Risk in High Volatility Markets
* Dynamic Asset Allocation
* Automated Risk Management for Global Macro Strategies
* Actuarial Insights into Hedge Fund Management
* Optimal Trade Execution
* Risk Management for Equity Trading: Fat Tails and Liquidity Gaps
* Optimal Technical Trading Rules and Risk Control in Managing Stock Portfolios
* Portfolio Implementation Shortfall Trading Strategies
* Dynamic Behavioural Portfolio Choice
* Coherent Measures of Risk
* Automated Statistical Arbitrage Funds
* Efficiencies in Multi-Account Optimisation
Pre/Post Conference Workshops:
30 June 2008: Two Half-Day WORKSHOPS:
Morning: Robust Portfolio Optimisation
Afternoon: LDI/ALM
3 July 2008: Two Half-Day WORKSHOPS:
Morning: New Developments: Performance Measures and Structured Products;
Coherent Risk Measures and Liquidity Risk
Afternoon: RavenPack workshop: News Analytics and Financial Modelling
###############################
# Apologise for any cross sending ##
###############################
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun, BA(BTBU), MSc(Hull), PhD Student,
CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk/>
The Centre for the Analysis of Risk and OptimISation Modelling Applications
School of Information Systems, Computing and Mathematics
Brunel University, Uxbridge, UB8 3PH, Middlesex, United Kingdom
Telephone: +44 1895 265625 [M503], Fax: +44 1895 269732
Webpage:http://people.brunel.ac.uk/~mapgxcs
<http://people.brunel.ac.uk/~mapgxcs>
http://optirisk.googlepages.com <http://optirisk.googlepages.com/>
Blog: http://mam3xs.blogspot.com <http://mam3xs.blogspot.com/>
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
<http://mam3xs.blogspot.com/>
Dear colleagues,
You are kindly invited to attend the following VGSF research seminars:
***Seminar 1: Real Investment and Risk Dynamics
***Speaker: Ilan Cooper (Tel Aviv University)
***Time: 2008-04-18, Friday, 14:00-15:30
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
***Seminar 2: The Levered Equity Risk Premium and Credit Spreads: A
Unified Framework
***Speaker: Harjoat Bhamra (University of British Columbia)
***Time: 2008-04-18, Friday, 16:00-17:30
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The papers to be presented can be downloaded from the VGSF website
(http://www.vgsf.ac.at/activities/seminars.htm). The abstracts are
attached below.
If you would like to arrange an individual meeting with the speakers,
please contact me as soon as possible.
Best regards,
Youchang Wu
Abstract 1: We show that systematic risk falls sharply following firm
investment and rises after disin-
vestment. The risk dynamics we uncover are driven by real investment and
not by changes in
firm characteristics and are strongest among firms with valuable
investment opportunities,
high adjustment costs of investment and low operating leverage.
Consistent with rational
pricing, firms with poor investment opportunities, those most likely to
be overinvesting, ex-
perience an increase in average returns and systematic risk following
investment. For firms
with valuable growth opportunities the bulk of the negative investment
(asset growth)-future
returns relationship stems from differences in risk factor loadings
between high and low in-
vesting firms.
Abstract 2: We embed a structural model of credit risk inside a
consumption-based model, which allows us to price
equity and corporate debt in a single framework. Our key economic
assumptions are that the first and
second moments of earnings and consumption growth depend on the state of
the economy which switches
randomly, creating intertemporal risk, which agents prefer to resolve
quickly because they have Epstein-
Zin-Weil preferences; agents choose capital structure and default times.
Our model generates co-movement
between aggregate stock return volatility and credit spreads, consistent
with the data and potentially resolves
the equity risk premium and credit spread puzzles.
---------- Forwarded message ----------
Date: Wed, 02 Apr 2008 11:00:14 +0200
From: Walter Fisher <fisher(a)ihs.ac.at>
Subject: IHS Workshop: July 1-2, 2008
Dear Colleagues,
I am writing to invite you to attend a workshop at IHS:
"Incomplete Market Economies with Production"
Organized by Egbert Dierker and Klaus Ritzberger
This will take place at Institute for Advanced Studies, Vienna
July 1-2, 2008.
For your information, I attach the Announcement, which includes a
preliminary list of speakers and the contact information.
[attachment removed by admin since it is available online at
http://www.ihs.ac.at/index.php3?id=1100 ]
If you have any questions, please don't hesitate to ask.
Best regards,
Walt Fisher
--
Walter H. Fisher
Department Head
Economics and Finance
Institute for Advanced Studies
A-1060 Vienna
Stumpergasse 56
Austria
Email: fisher(a)ihs.ac.at
http://elaine.ihs.ac.at/~fisher/
Dear colleagues,
You are kindly invited to attend the following VGSF research seminar:
***Topic: Approximate Solutions for Indifference Pricing under General
Utility Functions
***Speaker: Antoon Pelsser (University of Amsterdam)
***Time: 2008-04-11, Friday, 15:30-17:00
***Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The paper to be presented can be downloaded from the VGSF website
(http://www.vgsf.ac.at/activities/seminars.htm). The abstract is
attached below.
Professor Antoon Pelsser will arrive at WU-H46 on Thursday. If you would
like to arrange an individual meeting with him, please contact professor
Damir Filipovic.
Best regards,
Youchang
*Abstract. *With the aid of Taylor-based approximations, this paper
presents results
for pricing insurance contracts by using indifference pricing under general
utility functions. We discuss the connection between the resulting
“theoretical”
indifference prices and the pricing rule-of-thumb that practitioners
use: Best Estimate
plus a “Market Value Margin”. Furthermore, we compare our approximations
with known analytical results for exponential and power utility.
The Vienna Graduate School of Finance (VGSF) is now hosting a public mailing list.
You are invited to subscribe to this newsletter at
https://lists.wu-wien.ac.at/mailman/listinfo/vgsf-newsletter
This newsletter will be mainly used to announce presentations in the VGSF research
seminar and to provide other information related to research in finance.
In the near future, announcements regarding the VGSF research seminar will not be
announced anymore via the Vienna Finance Newsletter (VFN-L), but only via the vgsf-
newsletter.
To reach all subscribers of the vgsf-newsletter you can write an email to
vgsf-newsletter at wu-wien.ac.at
Please note that vgsf-newsletter is a moderated list; thus postings will be distributed
subject to confirmation of an administrator.
Best regards,
Alois Geyer
-- Thanks to Hermann Elendner for his support.
-- The list is operated by courtesy of WU-Wien ZID and GNU/Mailman.
Dear colleagues,
You are kindly invited to attend the following VGSF research seminars:
Seminar 1: What gives? A Study of Firms' Reactions to Cash Shortfalls
Speaker: Toni Whited (University of Wisconsin-Madison)
Time: 2008-04-04, Friday, 14:00-15:30
Seminar 2: Time Inconsistent Stochastic Control
Speaker: Tomas Björk (Stockholm School of Economics)
Time: 2008-04-04, Friday, 16:00-17:30
Location: 1190, Heiligenstädter Strasse 46-48, seminar room 1 (ground
floor) (WU-H46)
The paper to be presented by Toni Whited can be downloaded from the VGSF
website (http://www.vgsf.ac.at/activities/seminars.htm). The abstracts
are attached below.
Best regards,
Youchang
*What Gives? A Study of FirmsReactions to Cash Shortfalls*
*Abstract*
This paper examines the relative magnitude of financial versus real
frictions by looking at how firms react to exogenous cash shortfalls. To
answer the question theoretically, we examine a dynamic model of
financing and exogenous cash shortfalls. We find that when financing
costs are high, firms adjust on real margins and vice versa. To answer
the question empirically, we use a regression discontinuity design, in
which the discontinuity is the point of violation of underfunding of
corporate defined benefit pension plans. We examine firm-year
observations in which the firms pension assets are just barely less
than its pension liabilities, and in which, consequently, the firm must
make a mandatory contribution to its pension plan. We compare this group
to a control group of firm-year observations in which the rm has just
barely escaped having to make a mandatory contribution. In this
quasi-experimental setting, we find little evidence that firms cut back
on their real activities such as employment and investment. Instead,
they use a variety of financial tools, such as cash, working capital
management, and short-term external financing to fund their pension
liabilities.
*Time Inconsistent Stochastic Control
Abstract
*In this talk we will present some recent work on non-classical
stochastic control problems which are "time inconsistent" in the sense
that they cannot be treated by dynamic programming. We present a
game-theoretic approach to such problems and we derive an extended
version of the Hamilton-Jacobi-Bellman equation in terms of a system of
PDEs for the determination of the associated subgame perfect Nash
equilibrium strategy. We also present applications from finance.