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| 9th
Conference Zürich SWX Swiss Exchange April 7, 2006 Keynote Speech by Philipp M. Hildebrand |
| SESSION A | ||
| A1 Investments I | ||
| Stefan Rünzi and Alexandra Niessen | Sex Matters: Gender and Mutual Funds | download |
| Thomas Burkhardt | Efficiency of Cost-Averaging as an Investment Strategy - An Analysis Based on Second Order Stochastic Dominance | download |
| Stefan Hirth and Marliese Uhrig-Homburg | Investment Timing and Endogenous Default | download |
| A2 Investments II | ||
| Francois Degeorge, Francois Derrien and Kent Womack | Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding | download |
| Rajdeep Patgiri and Massimo Massa | Compensation and Managerial Herding: Evidence from the Mutual Fund Industry | download |
| William Ziemba | The Symmetric Downside-Risk Sharpe Ratio and the Evaluation of Great Investors and Speculators | |
| A3 Investments III | ||
| Stefan Rünzi, Michaela Bär and Alexander Kempf | Team Management and Mutual Funds | download |
| Christian Wagner and Markus Hochradl | Trading
the Forw |
download |
| Urs von Arx | Principle Guided Investing: The Use of Negative Screens and its Implications for Green Investors | download |
| A4 Economics and Finance | ||
| Allan Zebedee, Eric Bentzen, Peter Hansen and Asger Lunde | The Greenspan Effect on Equity Markets: An Intraday Examination of US Monetary Policy Announcements | download |
| Daniel Hartmann, Christian Pierdzioch and Jörg Döpke | Real-Time Macroeconomic Data and Ex Ante Stock Return Predictability | download |
| Angelo Ranaldo and Charlotte Christiansen | Realized Bond-Stock Correlation: Macroeconomic Announcement Effects | |
| SESSION B | ||
| B1 Banking I | ||
| Maurice Pedergnana, Gabrielle Wanzenried and Daniel Piazza | Board and Executive Compensation in the Swiss Banking Industry: The Case of Cantonal Banks | download |
| Timo Baas and Mechthild Schrooten | Relationship Banking and SMEs: A Theoretical Analysis | download |
| Anke Gerber, Thorsten Hens and Peter Woehrmann | Dynamic General Equilibrium and T-Period Fund Separation | download |
| B2 Banking II | ||
| Rainer Baule | Allocation of Economic Capital Based on Internal Market Mechanisms | download |
| Markus Holzhäuser | Long-term Performance Effects of Bank Diversification | download |
| Christina Bannier | Heterogeneous Multiple Bank Financing and Optimal Firm Policy - Is There a Hold-up Benefit? | download |
| B3 Banking III | ||
| Laura Spierdijk, Jacob Bikker, Roy Hoevenaars and Pieter Van der Sluis | Forecasting Market Impact Costs and Identifying Expensive Trades | download |
| Michael Chng and Aihua Xia | The
Price Formation of Substitute Markets: Theory and Application to
Twin-share |
download |
| Michael
Hütl, Otto Loistl and Johannes |
Doubly Stochastic Markov Process: A Causal Approach to Modelling Cadlag Market Event Time Series | download |
| B4 Market Microstructure II | ||
| Alain Durré, Helena Beltran and Pierre Giot | Volatility Regimes and the Provision of Liquidity in Order Book Markets | download |
| Fabrizio Palmucci | Do the Italian STARs’ Shine in a Hybrid Market? | download |
| Karl Keiber | Insider Trading Rules and Price Formation in Securities Markets - An Entropy Analysis of Strategic Trading | download |
| SESSION C: | ||
| C1 Empirical Finance I | ||
| Angelo Ranaldo | Information Content and Predictability of Extreme Prices in Financial Markets | |
| Alexander Kerl and Andreas Walter | Market Responses to Buy Recommendations Issued by German Personal Finance Magazines: Effects of Information, Price-Pressure, and Company Characteristics | download |
| Lily Fang and Ayako Yasuda | Are Stars' Opinions Worth More? The Relation Between Analyst Reputation and Recommendation Values | download |
| C2 Empirical Finance II | ||
| Lily Fang and Ayako Yasuda | The Effectiveness of Reputation as a Disciplinary Device in Sell-Side Research | download |
| Philipp Schmitz, Markus Glaser and Martin Weber | Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders? | download |
| Angel Liao and Jonathan Williams | Implications of News Asymmetries in Foreign Exchange Markets | download |
| C3 Empirical Finance III | ||
| Udo Seifert, Marco Klinge and Richard Stehle | Abnormal
Returns in the Vicinity of Insider Transactions: The Case of |
download |
| Zacharias Sautner and Martin Weber | Corporate Governance and the Design of Stock Option Programs | download |
| Maria Kasch | Volatility Threshold Dynamic Conditional Correlations: Implications for International Portfolio Diversification | download |
| C4 Empirical Finance IV | ||
| Wolfgang Drobetz and Matthias Grüninger | Corporate Cash Holdings: Evidence from a Different Institutional Setting | download |
| Hayette Gatfaoui | Is There a Latent Factor in Stock Returns? | download |
| Michael Grote and Marc Umber | Home Biased? A Spatial Analysis of the Domestic Merging Behavior of US Firms | download |
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SESSION D: |
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| D1 International Finance | ||
| Alexis Derviz | A Model of Brokered FX Trades under Heterogeneous Private Values and Information | download |
| Jakob Boudoukh, Matthew Richardson and Robert Whitelaw | The Information in Long-maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly | download |
| Yuan Ding, Eric Nowak and Hua Zhang | Foreign vs. Domestic Listing: a Decision of Entrepreneurial Firms | download |
| D2 Performance Measurement | ||
| Hendrik Scholz and Marco Wilkens | The
Sharpe Ratio's Market Climate Bias - Theoretical and Empirical Evidence
from US Equity Mutual Funds |
download |
|
Olivier Scaillet, Laurent Barras and Russ Wermers |
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas | download |
| Martin Eling and Frank Schuhmacher | Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds? | download |
| D3 Derivatives I | ||
| Grigory Vilkov, Joost Driessen and Pascal Maenhout | Option-Implied Correlations and the Price of Correlation Risk | download |
| Nadia Ouertani, Georges Dionne, Geneviève Gauthier and Nabil Tahani | Heterogeneous Basket Options Pricing Using Analytical Approximations | |
| Martin Wallmeier and Reinhold Hafner | Volatility as an Asset Class: European Evidence | download |
| D4 Derivatives II | ||
| João Amaro de Matos and Ana Lacerda | Random Dry Markets and Statistical Arbitrage Bounds for European Derivatives | download |
| Eva Schneider, Nicole Branger and Christian Schlag | General Equilibrium with Stochastic Volatility and Jumps | download |
| Matthias Muck | Pricing Turbo Certificates in the Presence of Stochastic Jumps, Interest Rates and Volatility | download |
| SESSION E | ||
| E1 Corporate Finance | ||
| Dusan Isakov, Dennis Chung and Christophe Pérignon | Repurchasing Shares on a Second Trading Line | download |
| Matthias Johannsen and Hans-Peter Burghof | Good versus Bad Earnings Management: Is Income Smoothing a Deliverance? | download |
| Jan Smolarski, Can Kut and Bengt Pramborg | Risk Management in European Private Equity Funds: Survey Evidence | |
| E2 Credit Risk I | ||
| Dirk Herkommer | Do the Recovery Rate and the Accounting Regime Matter for Pricing Corporate Bonds and Loans? Evidence from Models with Incomplete Accounting Information | download |
| Martin Hibbeln, Dirk Heithecker and Marc Gürtler | Auditing
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download |
| Marco Sorge and Blaise Gadanecz | The Term Structure of Credit Spreads in Project Finance | download |
| E3 Credit Risk II | ||
| Dirk Heithecker and Marc Gürtler | Multi-Period Defaults and Maturity Effects on Economic Capital in a Ratings-Based Default-Mode Model | download |
| Peter Grundke | Importance Sampling for Integrated Market and Credit Portfolio Models | download |
| Peter Posch | Time to Change. Rating Changes and Policy Implications. | download |
| E4 Credit Risk III | ||
| Thomas Moosbrucker | Pricing CDOs with Correlated Variance Gamma Distributions | download |
| Svenja Hager and Rainer Schöbel | Deriving the Dependence Structure of Portfolio Credit Derivatives Using Evolutionary Algorithms | |
| Christina Bannier and Marcel Tyrell | Modelling
the Role of Credit Rating Agencies - Do They Spark off a |
download |
| SESSION F | |||
| F1 Portfolio Choice I | |||
| Wolfgang Bessler and Claudia Bittelmeyer | Intellectual Capital and the Long-run Performance of Technology Firms | download | |
| Thorsten Hens and Martin Vlcek | Does Prospect Theory Explain the Disposition Effect? | download | |
| Pascal St-Amour | Endowment - Dependent Reference Consumption in Aggregate Household Portfolios | download | |
| F2 Portfolio Choice II | |||
| Dmitry Makarov | Difference in Interim Performance and Risk Taking | download | |
| Eva Schneider, Nicole Branger and Christian Schlag | Optimal Portfolios when Volatility can Jump | download | |
| Manuel Ammann and Michael Verhofen | The Effect of Market Regimes on Style Allocation | download | |
| F3 Debt and Interest Rates | |||
| Enrico Bernini | Inflation, Interest, and the Fed in Real Time | download | |
| Philipp Jostarndt | Of
Bail-outs and Bankruptcies: A Study of Distressed Debt Restructurings in |
download | |
| Manuel Ammann and Ralf Seiz | Pricing and Hedging Mandatory Convertible Bonds | download | |
| F4 Speeches | |||
| Luc Schuurmans | Practical Experiences with Equity Derivatives for Private Banking Clients | ||
| Jörg Kienitz | Constant Maturity Structures | ||
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