13th Conference
of the Swiss Society for Financial Market Research
March 19, 2010
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13th Conference of the Swiss Society for Financial Market Research |
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| Zurich, SIX - Swiss Exchange March 19, 2010 |
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| Keynote Speech by Prof. Dr. Erwin Heri, Chairman of Valartis Group |
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SESSION A |
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| A1 Asset Valuation I | ||
| Nicole Branger and Alexandra Hansis | Earning the Right Premium on the Right Factor in Portfolio Planning | download |
| Mahmoud Botshekan, Roman Kraeussl and Andre Lucas | Good, Bad, Up, and Down Betas: What is Actually Priced? | download |
| Nicole Branger, Holger Kraft and Christoph Meinerding | Optimal Portfolio Choice with Contagion Risk and Restricted Information | download |
| Jingjing Chai, Wolfram Horneff, Raimond Maurer and Olivia Mitchell | Optimal Portfolio Choice over the Life-Cycle with Flexible Work, Endogenous Retirement and Lifetime Payouts | download |
| A2 Asset Valuation II | ||
| Juan Carlos Matallin, David Moreno and Rosa Rodriguez | Why is Timing Perverse? | download |
| Victoria Galsband | The Cross-Section of Equity Returns and Assets' Fundamental Cashflow Risk | download |
| Kewei Hou, Mathijs A. van Dijk and Yinglei Zhang | The Implied Cost of Capital: A New Approach | download |
| A3 Asset Valuation III | ||
| Lutz Johanning and Gaston Michel | Real Estate Risk in Equity Returns | download |
| Marcel Marekwica | Optimal Tax-Timing and Asset Allocation when Tax Rebates on Capital Losses are Limited | download |
| Björn Bick, Holger Kraft and Claus Munk | Investment, Income, and Incompleteness | download |
| A4 International Finance | ||
| Katrin Assenmacher and Stefan Gerlach | Financial Structure and the Impact of Monetary Policy on Property Prices | download |
| Thomas Nitschka | Momentum in Stock Market Returns: Implications for Risk Premia on Foreign Currencies | download |
| Wolfgang Breuer and Astrid Salzmann | National Culture and Household Finance | download |
| SESSION B | ||
| B1 Credit Risk | ||
| Steffi Höse and Stefan Huschens | Confidence Intervals for Correlations in the Asymptotic Single Risk Factor Model | download |
| Arthur Grimes and Kurt Hess | Commercial Bank Loan Loss Recoveries | download |
| Timo Schläfer and Marliese Uhrig-Homburg | Estimating Market-Implied Recovery Rates from Credit Default Swap Premia | download |
| John V. Duca, John Muellbauer and Anthony Murphy | The Financial Crisis and Consumption | download |
| B2 Behavioral Finance I | ||
| Tim A. Herberger, Daniel M. Kohlert and Andreas Oehler | Momentum and Industry-Dependence: An Analysis of the Swiss Stock Market | download |
| Roger J. Bowden and Peter N. Posch | The Bonus Pool, Mark to Market and Free Cash Flow: Producer Surplus and its Vesting in the Financial Markets | download |
| Nicole Branger and Dennis Vrecko | Why is Portfolio Insurance Attractive to Investors? | download |
| B3 Financial Intermediation I | ||
| Carsten Hubensack and Andreas Pfingsten | The Impact of Risk and Relationship on Loan Commitments - Evidence from German SMEs | download |
| Rainer Friedrich Haselmann, Katharina Marsch and Beatrice Weder di Mauro | Real Effects of Bank Governance: Bank Ownership and Corporate Innovation | download |
| Alexander Popov | Cross-Border Banking and the International Transmission of Financial Distress | download |
| B4 Behavioral Finance II | ||
| Maik Dierkes | On the Horizon Effects of Estimation Risk and Smooth Ambiguity Aversion | download |
| Katrien Bosquet, Peter de Goeij and Kristien Smedts | Coexistence and Dynamics of Overconfidence and Strategic Incentives | download |
| Camelia M. Kuhnen and Alexandra Niessen | Is Executive Compensation Shaped by Public Attitudes? | download |
SESSION C |
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| C1 Corporate Finance I | ||
| Ralf Elsas, David Florysiak | Dynamic Capital Structure Adjustment and the Impact of Fractional Dependent Variables | download |
| Claudio Loderer, Klaus Neusser and Urs Wälchli | Firm Age and Survival | download |
| Daniel Hoechle and Markus Schmid | Predicting and Explaining IPO Underperformance | download |
| François Derrien, Ambrus Kecskes and David Thesmar | Investor Horizons and Corporate Policies | download |
| C2 Corporate Finance II | ||
| Tugba Bas, Yaz Gulnur Muradoglu and Kate Phylaktis | Determinants of Capital Structure in Emerging Markets | download |
| Matthias Pfister and Rico von Wyss | Delistings of Secondary Listings: Price and Volume Effects | download |
| Christian Riis Flor and Stefan Hirth | Asset Liquidity, Corporate Investment and Endogeneous Financing Costs | download |
| C3 Corporate Finance III | ||
| Nils Friewald, Rainer Jankowitsch and Marti Subrahmanyam | Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises | download |
| Anders Ekholm and Benjamin Maury | External Shareholders: Incentives and Returns | download |
| Stefan Hirth and Marc Viswanatha | The Non-Monotonic Effect of Financing Constraints on Investment Timing | download |
| C4 Market Microstructure | ||
| Andrew Koch, Stefan Ruenzi and Laura Starks | Commonality in Liquidity: A Demand-Side Explanation | download |
| Matthias Bank and Georg Peter | Public Attention, Adverse Selection, and the Pricing of Stocks | download |
| Jun Uno and Naoki Kamiyama | Ownership Structure, Liquidity, and Firm Value | download |
| SESSION D | ||
| D1 Empirical Finance I | ||
| Carolina Fugazza | 1/N and Long Run Optimal Portfolios | download |
| Adrian Buss, Christian Schlag and Grigory Vilkov | CAPM with Option-Implied Betas: Another Rescue Attempt | download |
| Victor DeMiguel, Yuliya Plyakha, Raman Uppal and Grigory Vilkov | Improving Portfolio Selection Using Option-Implied Volatility and Skewness | download |
| Katja Ignatieva, Paulo Rodrigues and Norman Seeger | Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P 500 Dynamics | download |
| D2 Empirical Finance II | ||
| Caroline Henderson, Philippe Masset and Jean-Philippe Weisskopf | Wine as an Alternative Asset Class | download |
| Juliane Proelss and Denis Schweizer | Polynomial Goal Programming and the Implicit Higher Moment Preferences of U.S. Institutional Investors in Hedge Funds | download |
| Johannes Rieks, Sebastian Lobe | Investor Relations, Talking Insiders and Liquidity | download |
| D3 Empirical Finance III | ||
| Christian Koziol, Juliane Proelss and Denis Schweizer | Are Institutional Investors Ambiguity Averse? - Evidence From Portfolio Holdings in Alternative Investments | download |
| Sebastian Lobe, Klaus Röder and Christoph Schmidhammer | Intraday Pricing of ETFs and Certificates Replicating the German DAX Index | download |
| Leopold Sögner | Bayesian Analysis of Affine Term Structure Models | download |
| D4 Financial Intermediation II | ||
| Tobias C. Michalak and Andre Uhde | Credit Risk Securitization and Bank Soundness: Evidence from the Micro-Level for Europe | download |
| Pragyan Deb, Zijun Liu and Nelson Camanho | Credit Rating and Competition | download |
| Andrea Schertler | Prudential Liquidity Requirements and Bank Behavior | download |
SESSION E |
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| E1 Interest Rates and Term Structure | ||
| Christoph Memmel | Banks' Exposure to Interest Rate Risk, their Earnings from Term Transformation, and the Dynamics of the Term Structure | download |
| Marco Willner | Revisiting the Nelson-Siegel Approach to Forecasting International Bond Yields | download |
| Joao Sousa Andrade, Adelaide Duarte and António Portugal Duarte | Is there a Trade-Off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model | download |
| László Nimród Vulkán | A Hybrid Time-Varying Prices of Risk Model and the Term Structure; Empirical Identification of Affine Prices of Risk Parameters | download |
| E2 Theory of Capital Markets | ||
| Marcel Marekwica, Alexander Schaefer and Steffen Sebastian | Life Cycle Asset Allocation in the Presence of Housing and Tax-deferred Investing | download |
| Seraina Gruenewald, Alexander F. Wagner and Rolf H. Weber | Short Selling Regulation After the Financial Crisis - First Principles Revisited | download |
| Jean-Yves Gnabo, Jérôme Lahaye, Sébastien Laurent and Christelle Lecourt | Do Jumps Mislead the FX Market? | download |
| E3 Derivatives | ||
| SNicole Branger and Matthias Muck | Keep On Smiling? Volatility Surfaces and the Pricing of Quanto Options when all Covariances are Stochastic | download |
| Janis Back and Marcel Prokopczuk | Seasonality and the Valuation of Commodity Options | download |
| Thomas Volmer | A Robust Model of the Convenience Yield in the UK Natural Gas Market | download |
| E4 Risk Management | ||
| Laurent Bodson, Laurent Cavenaile, Georges Hübner | Normalized Risk-Adjusted Performance Measures Based on Multi-Factor Models | download |
| Gilles Criton and Olivier Scaillet | Time-Varying Coefficient Model for Hedge Funds | download |
| Nicole Branger, Antje Mahayni, Judith Christiane Schneider | On the Optimal Design of Insurance Contracts with Guarantees | download |
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