INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
************************************************************************
Date: November 12 (Wednesday), 2014, 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Vienna
Speaker: Prof. Amit Goyal, http://www.hec.unil.ch/agoyal/
Title: Is the Cross-Section of Expected Bond Returns Influenced by Equity Return
Predictors?
ABSTRACT:
Using a comprehensive cross-section and time-series of corporate bond returns assembled
from multiple data sources, we analyze whether commonly analyzed equity return predictors
also predict bond returns. There is a surprisingly strong monthly lead from equity to bond
returns, indicating that new information gets reflected in the equity market first. In
univariate portfolio sorts, net equity issues are positively priced in the bond market,
consistent with the notion that equity is preferred when bond market is undervalued.
Profitability is negatively priced while idiosyncratic equity volatility is positively priced in the
corporate bond market, suggesting that profitable and relatively less volatile firms are more
attractive to bond investors, thus requiring lower returns. Our results indicate that the bond
markets do price risk, but also are susceptible to delayed information transmission relative
to equities. Finally, consistent with a relatively sophisticated institutional clientele, bonds
are efficiently priced in that none of the behaviorally-motivated variables predict returns
after accounting for transactions costs, though some risk-based variables continue to do so.
About Amit Goyal:
Amit Goyal is professor of finance at the University of Lausanne where he holds a senior
chair from the Swiss Finance Institute. Formerly on the faculty of the Goizueta Business
School at Emory University (USA), he has a Ph.D. in Finance from the University of California
at Los Angeles (USA). His research interests are in empirical asset pricing and pension funds.
His papers have been published in a variety of academic journals including the Journal of
Finance, the Journal of Financial Economics, and the Review of Financial Studies. He is the
co-editor of Journal of Financial Markets and an associate editor at the Review of Finance.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at
Dear colleagues,
I'm very glad to inform you about the first version of the program for the 29th workshop of the AUSTRIAN WORKING GROUP ON BANKING & FINANCE, November 21st until 22nd at WU Wien.
For details please go to http://www.wu.ac.at/finance/events/awg2014_program.
Presenters and discussants will follow the following time schedules:
Presentations with discussion
Presentation: 20 minutes
Discussion: 10 minutes
Questions from the audience: 5 minutes
Presentations without discussion
Presentation: 20 minutes
Questions from the audience: 10 minutes
To guarantee a perfect and smooth run auf our workshop I kindly ask you to register for the workshop and the conference dinner as well http://www.wu.ac.at/finance/events/registration_awg.
Please don't hesitate to contact us for any further questions.
I am looking forward to an inspiring workshop!
With kind regards, Stefan Bogner
----------------------------------------------
Dr. Stefan Bogner, Professor
Vorstand, Department für Finance, Accounting and Statistics
Head, Department of Finance, Accounting and Statistics
WU
Wirtschaftsuniversität Wien
Vienna University of Economics and Business
Welthandelsplatz 1, Building D4, level 4, 1020 Vienna, Austria
[T] +43 1 31336/4242
[F] +43 1 31336/904242
[E] stefan.bogner(a)wu.ac.at<mailto:stefan.bogner@wu-wien.ac.at>
Investment Seminar
INSTITUTIONELLES ASSET MANAGEMENT IM NIEDRIGZINSUMFELD
Montag, 10. November 2014
14.00 Begrüßung: Josef ZECHNER, Professor an der WU Wien
14.15 Makroökonomische und Regulatorische Rahmenbedingungen* (Session 1)
Moderation: Josef ZECHNER
14.15 Bernhard FELDERER
Präsident des Fiskalrates und ehem. Direktor des Instituts für Höhere Studien, Wien
Aktueller Wirtschaftsausblick
14.45 Oskar ULREICH
Abteilungsleiter, Vor-Ort-Prüfung und interne Modelle von Versicherungsunternehmen und Pensionskassen, Finanzmarktaufsicht (FMA), Wien
Markt und Aufsicht(en): Regulatorische Herausforderungen für institutionelle Investoren
15.15 Diskussion
15.30 Pause
16.00 Investment Strategies in low interest environments (Session 2)
Moderation: Thomas DANGL, Professor an der TU Wien
16.00 Raman UPPAL, Professor an der EDHEC Business School, London
Risk-minimizing equity strategies
16.30 Engelbert DOCKNER, Professor an der WU Wien
Bond strategies in a low interest environment
17.00 Institutionelles Asset Management im Niedrigzinsumfeld* (Panel Discussion)
Moderation: Josef ZECHNER
Diskussionsteilnehmer:
Andreas GRÜNBICHLER, CFO, Mitglied des Vorstandes der Bausparkasse Wüstenrot AG und Wüstenrot Versicherungs-AG
Dieter LEHMANN, Leiter Vermögensverwaltung, VolkswagenStiftung, Hannover
Andreas KRETSCHMER, Hauptgeschäftsführer, Ärzteversorgung Westfalen-Lippe
Wir bitten Sie um Anmeldung bis 3. November unter si-researchcenter(a)wu.ac.at
Veranstaltungsort: WU, Gebäude LC, Festsaal 2 (http://gis.wu.ac.at/index.html?roomShow=festsaal%202)
Welthandelsplatz 1, 1020 Wien
Kontakt und weitere Information:
WU, Department of Finance, Accounting and Statistics
Spängler IQAM Research Center, Martina Schlichting
Welthandelsplatz 1, Gebäude D4, 4. Stock, 1020 Wien
Telefon: +43 1 31336 6315
Mail: si-researchcenter(a)wu.ac.at, Web: www.si-researchcenter.at