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| 12th Conference Geneva, Pictet & Cie April 3, 2009 Keynote Speech by Patrick Odier, Lombard Odier Darier Hentsch & Cie |
| SESSION A | ||
| A1 Corporate Finance I | ||
| Susanna Holzschneider | Herding in IPO Valuation - Evidence from Germany in Hot and Cold Markets | download |
| Francois Degeorge, Francois Derrien and Kent Womack | Auctioned IPOs: The U.S. Evidence | download |
| Christoph Kaserer, Alfred Mettler and Stefan Obernberger | Has the Sarbanes-Oxley Act reduced the Cost of Going Public? | download |
| A2 Corporate Finance II | ||
| Jens Martin | Prop Ups During Lockups | download |
| Thomas Hartmann-Wendels, Georg Keienburg and Soenke Sievers | Valuation of Venture Capital Backed Firms - Guess or Professional Judgment of Agency Risks and Observable Firm Characteristics? | download |
| Jörg Prokop | Agency Problems in Impartial Business Appraisals | download |
| A3 Corporate FinanceIII | ||
| Matthias Bühlmaier | Debt, Equity, and Information | |
| Daniel Hoang and Martin Ruckes | Informed Headquarters and Socialistic Internal Capital Markets | download |
| Michael Kisser | The Value of Internal Funds | download |
| A4 Corporate Finance IV | ||
| Sebastian Lobe, Tobias Niermeier, Wolfgang Essler and Klaus Röder | Do Managers follow the Shareholder Value Principle when applying Capital Budgeting Methods? | download |
| Claudio Loderer and Urs Wälchli | Firm Age and Performance | download |
| Wolfgang Bessler, Wolfgang Drobetz and Martin Seim | Motives and Valuation Effects of Share Repurchase Announcements in Germany: A Comparison of Established Firms and Initial Public Offerings | download |
| SESSION B | ||
| B1 Empirical Finance I | ||
| Yuliya Plyakha and Grigory Vilkov | Portfolio Policies with Stock Options | download |
| Maria Kasch and Bing Anderson | DJIA Index Membership and the Flow of Information between Stock Returns | download |
| Wolfgang Bessler, Wolfgang Drobetz and Julian Holler | Capital Markets and Corporate Control: Empirical Evidence from Hedge Fund Activism in Germany | download |
| B2 Empirical Finance II | ||
| Benjamin Golez | Options Implied Dividend Yield and Market Returns | download |
| Beate Breuer | Markov-Chain Monte-Carlo Estimation of Index Option Models | download |
| Paulo Jorge Mauricio Rodrigues and Christian Schlag | A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks | download |
| B3 Empirical Finance III | ||
| Sven Bornemann, Susanne Homölle, Carsten Hubensack, Andreas Pfingsten | To Use or Not To Use - Empirical Study of Visible Reserves in Bank Accounting in Light of Regulatory Requirements & Information Asymmetries | download |
| Marcel Prokopczuk | Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector | download |
| Wolfgang Breuer and Astrid Salzmann | Cultural Dimensions of Corporate Governance Systems | download |
| B4 Empirical Finance IV | ||
| Denis Schweizer and Roland Füss | Dynamic Interactions between Venture Capital Returns and the Macroeconomy: Theoretical and Empirical Evidence from the US | download |
| Wolfgang Breymann | Measuring Risk of Short Return Series with an Application to fund of Hedge Fund Data | download |
| Sebastian Krimm, Hendrik Scholz and Marco Wilkens | Selection, Timing and Total Performance of Equity Mutual Funds: On the Relevance of Model Specification | download |
| SESSION C | ||
| C1 Risk Management I | ||
| C2 Risk Management II | ||
| Gabriel Frahm and Christoph Memmel | Dominating Estimators for the Global Minimum Variance Portfolio | download |
| Terhi Katariina Jokipii | Nonlinearity of Bank Capital and Charter Values | download |
| Thomas Schmid, Markus Ampenberger, Christoph Kaserer, A.-K. Achleitner | Family Firms, Agency Costs and Risk Aversion - Empirical Evidence from Diversification and Hedging Decisions | download |
| C3 Risk Management III | ||
| Mindaugas Baltutis | Non-stationary Stock Returns and Time to Revise the Optimal Portfolio | download |
| Sven Balder and Antje Mahayni | Cash-Lock Comparison of Portfolio Insurance Strategies | download |
| Florian Ielpo, Jose da Fonseca and Martino Grasselli | Hedging (Co)Variance Risk with Variance Swaps | download |
| C4 Credit Risk | ||
| Andreas C. Blöchlinger | Quantitative Validation of the Term Structure of Credit Default Probabilities | download |
| Giovanni Calice and Christos Ioannidis | An Empirical Analysis of the Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions | download |
| Andreas Oehler, Thomas J. Walker and Stefan Wendt | On the Bond Market's Evaluation of Insider Stock Trading Activities - Evidence from Germany | download |
| SESSION D |
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| D1 Financial Intermediation I | ||
| Barry Williams and Jan-Egbert Sturm | What Determines Differences in Foreign Bank Efficiency? Australian Evidence | download |
| Andreas Dietrich and Gabrielle Wanzenried | What Determines the Profitability of Commercial Banks? New Evidence from Switzerland | download |
| Christoph Memmel and Andrea Schertler | The Dependency of the Banks' Assets and Liabilities: Evidence from Germany | download |
| D2 Financial Intermediation II | ||
| Alexis Derviz, Ralph de Haas and Iman van Lelyveld | Funding Costs and Lending Rates: Theory and Application to Loan Pricing by Multinational Bank Affiliates | download |
| Daniel Foos |
Lending Conditions, Macroeconomic Fluctuations, and the Impact of Bank Ownership | download |
| Brunella Bruno and Mascia Bedendo | Credit Risk Transfer Practices in US Commercial Banks | download |
| D3 Mutual Funds | ||
| Shengsui Hu, Yannick Malevergne and Didier Sornette | Investors' Misperception: A Hidden Source of High Markups in the Mutual Fund Industry | download |
| Michaela Baer, Alexandra Niessen and Stefan Ruenzi | The Impact of Team Diversity on Mutual Fund Performance | download |
| Richard Stehle and Patrick Lehmann | German Stock Mutual Funds: Industry Characteristics and Long-Run Performance | download |
| D4 Interest Rates and Term Structure | ||
| Katrin Assenmacher-Wesche and Stefan Gerlach | The Term Structure of Interest Rates across Frequencies | download |
| Riccardo Pacini | Auctioning Government Securities: The Puzzle of Overpricing | download |
| Andreas Gintschel and Christian Wiehenkamp | A Global Liquidity Factor for Fixed Income Pricing | download |
| SESSION E | ||
| E1 Asset Valuation I | ||
| Wolfgang Bessler, David Blake, Peter Lueckoff and Ian Tonks | Why is Persistent Mutual Fund Performance so Difficult to Achieve? TheImpact of Fund Flows and Manager Turnover | download |
| Daniel Kreutzmann and Stefan Kanne | Recommendations and the Performance of Target Price Changes? | download |
| Sebastian Lobe and Stefan Roithmeier | Vice vs. Virtue Investing | download |
| E2 Asset Valuation II | ||
| Rajna Gibson, Songtao Wang | Hedge Fund Alphas: Do they Reflect Managerial Skills or Mere Compensation for Liquidity Risk Bearing? | download |
| Raphael Paschke and Marcel Prokopczuk | Investing in Commodity Futures Markets: Can Spot Price Model Help | download |
| Thomas Nitschka | Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence | download |
| E3 Asset Valuation III | ||
| Urs Peter von Arx and Andreas Ziegler | The Effect of CSR on Stock Performance: New Evidence for the USA and Europe | download |
| John V. Duca, John Muellbauer and Anthony Murphy | House Prices and Credit Constraints: Making Sense of the U.S. Experience | download |
| Tony Berrada and Julien Hugonnier | Incomplete Information, Idiosyncratic Volatility and Stock Returns | download |
| E4 Theory of Capital Markets | ||
| Bjarne Astrup Jensen and Marcel Marekwica | Optimal Portfolio Choice with Wash Sale Constraints | download |
| Felix Miebs, André Güttler and Patrick Behr | Is Minimum-Variance Investing really Worth the While? An Analysis with Robust Performance Inference | download |
| Florian Esterer and David Schroeder | The Implied Equity Duration - Empirical Evidence for Explaining the Value Premium | download |
| SESSION F | ||
| F1 Behavioral Finance I | ||
| Stefan Zeisberger, Maik Dierkes and Carsten Erner | Investment Horizon and the Attractiveness of Investment Strategies | download |
| Thorsten Hens and Marc Oliver Rieger | The Dark Side of the Moon: Structured Products from the Customer's Perspective | download |
| Gabriele Mario Lepori | Environmental Stressors, Mood, and Investment Decisions: Evidence from Air Pollution in Milan, Italy | download |
| F2 Behavioral Finance II | ||
| Christian Hott | Banks and Real Estate Prices | download |
| Irene Comeig, C. Monica Capra and Matilde O. Fernandez | Moral Hazard and Screening in an Experiemntal Market | download |
| Levent Guntay and Dirk Hackbarth | Corporate Bond Credit Spreads and Forecast Dispersion | download |
| F3 Derivatives I | ||
| Nicole Branger and Alexandra Hansis | Asset Allocation in SVCJ Models: How much does Model Choice matter? | download |
| Adrian Buss and Grigory Vilkov | Option-Implied Correlation and Factor Betas Revisited | download |
| Nicole Branger, Antje Mahayni and Judith Christiane Schneider | Pricing and Upper Price Bounds of Relax Certificates | download |
| F4 Derivatives II | ||
| Nicole Branger, Alexandra Hansis and Christian Schlag | Expected Option Returns and the Structure of Jump Risk Premia | download |
| Manuel Ammann and Stephan Süss | The Valuation of Volatility Options | download |
| Nicole Branger, Holger Kraft and Christoph Meinerding | What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice? | download |
| SESSION G | ||
| G1 International Finance I | ||
| Lucia Morales | Volatility Spillovers on Precious Metals Markets: The Effects of the Asian Crisis | download |
| Naohiko Baba | Dynamic Spillover of Money Market Turmoil from FX Swap to Cross-Currency Swap Markets: Evidence from 2007-08 Turmoil | download |
| Georgios Gatopoulos | ADR Spreads and their Informational Content: The Role of Relative US Investor Sentiment | download |
| G2 International Finance II | ||
| Petros Migiakis and Dimitris Georgoutsos | Benchmark Bonds' Interactions Under Regime Shifts | download |
| Harald Lohre and Markus Leippold | The Dispersion Effect in International Stock Returns | download |
| Victoria Galsband | Inflation Uncertainty, Size and Value Premia: Evidence from Survey Data | download |
| G3 Market Microstructure I | ||
| Eva Benz and Joerdis Hengelbrock | Liquidity and Price Discovery in the European CO2 Futures Market: An Intraday Analysis | download |
| Philipp Fasnacht | Liquidity and Asymmetric Return Correlations: The Case of the UK Stock Market | download |
| Manfred Frühwirth, Leopold Sögner and Paul Schneider | The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market | download |
| G4 Market Microstructure II | ||
| Emmanuel Fragnière, Nils Tuchschmid and Qun Zhang | Measuring Liquidity Risk: The Estimation of Liquidity Adjusted Value at Risk | download |
| Markus Gsell and Peter Gomber | Algorithmic Trading Engines versus Human Traders - Do they behave Different in Securities Markets? | download |
| Gongyu Chen | Herd Induced by Uninformed Traders in Efficient Financial Markets | download |
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