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| 8th
Conference Zürich SWX Swiss Exchange April 8, 2005 Keynote Speech by Dr. Giuseppe Benelli,
Bank Vontobel
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| SESSION A | ||
| A1 Governance | ||
| Marcel Normann and Dirk Schiereck | Existence and size of top executive-specific effects on corporate performance and policy in Germany | |
| Marc Chesney and Rajna Gibson-Asner | Stock Options and Managers’ Incentives to Cheat | download |
| Russ Wermers, Youchang Wu and Josef Zechner | Portfolio Performance, Discount Dynamics, and the Turnover of Closed-End Fund Managers | |
| A2 Banking | ||
| Rainer Baule, Oliver Entrop and Marco Wilkens | What do Banks Earn with Their Own Credit Risk? Evidence from the German Retail Market for Structured Financial Products | download |
| Andreas Kamp, Andreas Pfingsten and Daniel Porath | Do Banks Diversify Loan Portfolios? A Tentative Answer Based on Individual Bank Loan Portfolios | |
| A3 International Finance | ||
| Joachim Loebb | Market and Currency Risk Premia during Financial and Political Crises: An Asset Pricing Perspective | download |
| Stefano d’Addona and Axel Kind | International Stock-Bond Correlations in a Simple Affine Asset Pricing Model | download |
| Cinzia Alcidi | Detecting misalignments. Simulating the "aligned" component of stock returns and real exchange rates. | download |
| A4 Asset Pricing | ||
| Manuel Ammann and Michael Verhofen | Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach | download |
| Marc Steffen Rapp and Bernhard Schwetzler | Asset Prices in the Presence of a Tax Authority | |
| Jacob Boudoukh, Roni Michaely, Matthew Richardson and M. Roberts | On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing | download |
| SESSION B | ||
| B1 Banking Regulation | ||
| Rainer Jankowitsch, Stefan Pichler and Walter Schwaiger | Modelling the Economic Value of Credit Rating Systems | download |
| Daniel Rösch | Regulatory Banking Capital, Estimation Error, and Systemic Risk in Ratings Based Capital Rules | download |
| Helmut Elsinger, Alfred Lehar, and Martin Summer | Using Market Information for Banking System Risk Assessment | download |
| B2 Portfolio Selection | ||
| Eric Jondeau and Michael Rockinger | Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion? | download |
| Peter Oertmann and Greg Sohn | The Effect of Hedge Funds on the Risk Profile of Global Portfolios | download |
| B3 Investments | ||
| Stefan Ruenzi | Mutual Fund Growth in Standard and Specialist Market Segments | download |
| Frédéric Sonney | Sector versus Country Specialization and Financial Analysts’ Performance | download |
| Martin Wallmeier | Analysts’ Earnings Forecasts for DAX100 firms During the Stock Market Boom of the 1990s | download |
| B4 Venture Capital | ||
| Christian Diller and Christoph Kaserer | What Drives Private Equity Returns? – Fund Inflows, Skilled GPs, and/or Risk? | download |
| Wolfgang Bessler and Andreas Kurth | The Performance of Venture-Backed IPOs in Germany: Exit Strategies, Lock-up Periods, and Bank Ownership | download |
| Christian Hopp and Finn Rieder | Empirical Evidence on Venture Capital Syndication and Shared Real Option Ownership | download |
| SESSION C: | ||
| C1 Corporate Finance | ||
| Stefan Hirth and Marliese Uhrig-Homburg | Optimal Investment Timing When External Financing Is Costly | download |
| Bogdan Stacescu | Dividend Policy in Switzerland | download |
| Michael Adams | ||
| C2 Lending & Crises | ||
| Rofikoh Rokhim | Related Lending and Banking Healthiness | download |
| Markus Ricke | What is the Link Between Margin Loans and Stock Market Bubbles | download |
| C3 Empirical Finance I | ||
| Markus Glaser and Martin Weber | Which Past Returns Affect Trading Volume? | download |
| Henning Fock, Christian Klein and Bernhard Zwergel | The Performance of Candlestick Analysis on Intraday Futures Data | |
| Henryk Gurgul and Roland Mestel | Price-Volume Relations on the German Stock Market | download |
| C4 Empirical Finance II | ||
| Ivan Jaccard | House Prices, Real Estate Returns, and the Business Cycle | download |
| Timotheos Angelidis and Nikolaos Tessaromatis | Equity Returns and Idiosyncratic Volatility: UK Evidence | download |
| Martin Bohl and Katrin Gottschalk | International Evidence on the Democrat Premium and the Presidential Cycle Effect | download |
| SESSION D | ||
| D1 Derivatives I | ||
| Ren-Raw Chen and Shih-Kuo Yeh | Analytical Bounds for Treasury Bond Futures Prices | |
| Gregor Dorfleitner and Kurt Hawlitschek | A general Green’s function approach to option pricing | download |
| Matthias Muck | Where Should You Buy Your Options? Limited Arbitrage and Imperfect Competition in the Options Market | download |
| D2 Derivatives II | ||
| Giovanni Barone-Adesi, Robert Engle and Loriano Mancini | GARCH Options in Incomplete Markets | download |
| Enrico Moretto, Sara Pasquali and Barbara Trivellato | An alternative model for evaluating exchange rates derivatives with stochastic volatility | download |
| D3 Hedging & Volatility | ||
| Nicole Branger and Christian Schlag | Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? | download |
| Aymeric Kalife | Dynamic Hedging by a Large Player | |
| Nicole Branger and Christian Schlag | Is Jump Risk Priced? — What We Can (and Cannot) Learn From Option Hedging Errors | download |
| D4 Information & Uncertainty | ||
| Anton Miglo | Intertemporal substitution activities and optimal design of securities | download |
| Frank Niemeyer | Banking. The More You Know - Informational Rents in a General and a Rating Framework | download |
| Patrick Behr and Samuel Lee | Credit Risk Transfer, Delegated Monitoring, Real Sector Productivity, and Financial Deepening | download |
| SESSION E | ||
| E1 Market Microstructure | ||
| Knut Griese and Alexander Kempf | Predicting liquidity from order book data | download |
| Rudy De Winne and Catherine D’Hondt | Market Transparency and Traders’ Behavior: An Analysis on Euronext with Full Order Book Data | download |
| Alexander Kempf and Daniel Mayston | Commonalities in the Liquidity of an Open Limit Order Book | download |
| E2 Term Structure Modelling | ||
| Markus Junker, Alexander Szimayer and Niklas Wagner | Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications | download |
| Ralf Fendel | Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates | download |
| E3 Credit Risk | ||
| Lars Norden and Martin Weber | The comovement of credit default swap, bond and stock markets: an empirical analysis | download |
| Marc Gürtler and Dirk Heithecker | Credit Cycle Risk of Financial Collaterals: Modelling, Evidence, and Practical Implications | download |
| Christian Koziol | Optimal Debt Service: Straight vs. Convertible Debt | download |
| E4 Credit Ratings | ||
| André Güttler and Mark Wahrenburg | The adaptation of credit ratings of defaulted issuers | download |
| Christian Koziol and Tim Thabe | Optimal Ratings: Theory and Evidence | download |
| Karl Keiber and Gunter Löffler | Rationalizing the Policy of Credit Rating Agencies | download |
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