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Program of the 12th Symposium on Finance, Banking, and Insurance

You can download the final version of the short program overview (two pages) here.

You can download the final version of the program here.



Title Author(s) Discussant
Wednesday, December 14, 2011      

Inofficial Get Together and Registration


Kapellenstraße 68

76131 Karlsruhe



Thursday, December 15, 2011      
 8.00h-19.00h:  Registration    

Please note: If you would like to register prior to the keynote speech, please allow ten minutes to walk from the Conference Office to Building 11.40 (Tulla).


Welcome Address and Academic Keynote Speech


"Rating Agencies in the Face of Regulation."


delivered by Prof. Milton Harris
exclusively sponsored by Audi


11.00-13.00h Panel A
 Session 1 Economics of Banking    
  Competition, efficiency, and soundness in banking: An industrial organization perspective Schaeck, Klaus
Cihak, Martin
Scalia, Antonio
  Fair Value Accounting and the Business Model of Banks Daske, Holger
Gebhardt, Günther
Bischof, Jannis
Ruprecht, Benedikt
Ranking, risk-taking and effort: an analysis of the ECB´s foreign reserves management
Sahel, Benjamin
Scalia, Antonio
Haselmann, Rainer
Determinants of Bank Interest Margins: Impact of Maturity Transformation
Entrop, Oliver
Memmel, Christoph
Ruprecht, Benedikt
Wilkens, Marco
Vorgrimler, Stephan
Session 2 Asset Pricing I
Preference Heterogeneity and Survival in Long-Run Risk Models
Branger, Nicole
Dumitrescu, Ioana
Ivanova, Vesela
Schlag, Christian
Eraker, Bjorn
  The Role of Volatility Shocks and Rare Events on Long-Run Risk Models Branger, Nicole
Rodrigues, Paulo
Schlag, Christian
Rieger, Marc Oliver
Dynamic Present Values and the Intertemporal CAPM
Eraker, Bjorn
Wang, Wenyu
Halling, Michael
In Search of Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns
Halling, Michael
Cremers, Martijn
Weinbaum, David
Branger, Nicole
Session 3 Mathem. Issues in Banking and Insurance
  Capital Adequacy of Financial Enterprises Madan, Dilip B. Franke, Günter
  Multiperiod top-down models for banking supervision Artzner, Philippe
Eisele, Karl-Theodor
Madan, Dilip B.
  Exploring the Sources of Default Clustering Giesecke, Kay
Schwenkler, Gustavo
Azizpour, Shahriar
Becker, Christoph
  Stressed Correlations and Volatilities – How to Fulfill Requirements of the Basel Committee Becker, Christoph
Schmidt, Wolfgang M.
Schwenkler, Gustavo
Session 4 Governance    
  Institutional Investment Horizon, Corporate Governance, and the Cost of Equity Capital Attig, Najah
Cleary, Sean
El Ghoul, Sadok
Guedhami, Omrane
Walther, Tobias
  Bad Corporate Governance: When Incentive-Based Compensation Identifies Dangerous CEOs Bechmann, Ken L.
Raaballe, Johannes
Schneider, Christoph
  Is it better to say goodbye? When (former) executives set executive pay Andres, Christian
Fernau, Erik
Theissen, Erik
Guedhami, Omrane
  Which form of venture capital is best-suited for innovation? Bertoni, Fabio
Tykvova, Tereza
Strych, Jan‐Oliver
Session 5 Retail Investments    
  How Severe Was the Impact of the Financial Crisis on Individual
Investor Perceptions and Behavior?
Hoffmann, Arvid
Pennings, Joost M.
Post, Thomas
Schmid, Markus
  A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors Schmid, Markus
Hoechle, Daniel
Zimmermann, Heinz
Höchstötter, Markus
  Is proprietary trading detrimental to retail investors? Karabulut, Yigitcan
Fecht, Falko
Hackethal, Andreas
Post, Thomas
13.00-14.30h Lunch  
14.30-16.00h Panel B  
Session 6 Systemic Risk & Contagion  
  Interbank Lending and the Spread of Bank Failures: A Network Model of Systemic Risk

Giansante, Simone  Krause, Andreas

Lehar, Alfred
   International propagation of the credit crisis Brealey,Richard A.
Cooper, Ian Anthony
Kaplanis, Evi
Raupach, Peter
  Robustness and informativeness of systemic risk measures Löffler, Gunter
Raupach, Peter
Packham, Natalie
 Session 7 Asset Pricing II
  Creative Destruction and Asset Prices Grammig, Joachim
Jank, Stephan
Faias, José
  New Insights on Asset Pricing and Illiquidity Buchner, Axel Schlag, Christian
  Does Institutional Ownership Matter for International Stock Return Comovement? Faias, José
Ferreira, Miguel
Matos, Pedro
Santa-Clara, Pedro
Buchner, Axel
Session 8 Insurance and Information
  Asymmetric Information in the Home Insurance Market  Aarbu, Karl Ove Berg, Tobias
  Safe Today or Sorry Tomorrow? The Impact of Time‐Structure on
Optimal Loss Prevention
Peter, Richard
Hofmann, Annette
Aarbu, Karl Ove
  Information Exchange in the Insurance Industry: A Procompetitive
or Anticompetitive Device?
Jansen, Jos
Stenbacka, Rune
Hirth, Stefan
 Session 9 Focus Session: Minimum Variance Portfolio    
  A practitioner’s view
Comparing Alternative Beta Equity Strategies
Kieselstein, Thomas (QUONIAM)  
  An academic’s view
A Fully Implied Approach to Find the Global Minimum Variance
Kempf, Alexander
Korn, Olaf
Saßning, Sven
Session 10 News    
  When Does Company Specific News Matter? Determinants of
News‐related Stock Returns.
Dzielinski, Michal Graf, Ferdinand
  Do Newspaper Articles Predict Aggregate Stock Returns?

Ammann, Manuel Frey, Roman
Verhofen, Michael

Dzielinski, Michal
  Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets Graf, Ferdinand Frey, Roman
 16.30-18.00h Panel C    
Session 11 Banking: Regulation
  Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking Gamba, Andrea
De Nicolò, Gianni
Lucchetta, Marcella
Fecht, Falko
  Competition, bonuses, and risk-taking in the banking industry Bannier, Christina E.
Feess, Eberhard
Packham, Natalie
Gamba, Andrea
  Does contingent capital induce excessive risk-taking and prevent an efficient recapitalization of banks? Berg, Tobias
Kaserer, Christoph
Stenbacka, Rune
Session 12 Portfolio Selection
  Asset allocation of defined-benefit pension plans in the absence of agency conflicts Ley, Patrick
Rieger, Marc Oliver Wagner, Alexander
Korn, Olaf
  Risk-Taking-Neutral Background Risk Schlesinger, Harris
Franke, Guenter
Stapleton, Richard
Brandtner, Mario
  On the (Mis)Use of Conditional Value‐at‐Risk and Spectral Risk Measures for Portfolio Selection – a Comparison with Mean‐
Brandtner, Mario Peter, Richard
 Session 13 Annuities
  Variable Annuities and the Option to seek Risk: Why should you diversify?
Schneider, Judith Christiane
Mahayni, Antje
Moenig, Thorsten
  Revisiting the Risk‐Neutral Approach to Optimal Policyholder
Behavior: A Study of Withdrawal Guarantees in Variable
Bauer, Daniel
Moenig, Thorsten
Kraut, Gunther Arno
  On the Propensity to Surrender a Variable Annuity Contract Knoller, Christian
Kraut, Gunther
Schoenmaekers, Pascal
Schneider, Judith
Session 14 Government and Corporate Finance  
  Corporate Risk-Taking in Privatized Firms: International Evidence on the Role of State and Foreign Owners Boubakri, Narjess
Cosset, Jean-Claude
Saffar, Walid
Tykvova, Tereza
  Political Reforms and the Causal Impact of Blood-Related Politicians on Corporate Performance Amore, Mario Daniele
Bennedsen, Morten
Saffar, Walid
  Default Risk, Stock Returns and the Bankruptcy Reform Act of 1978 Hackbarth, Dirk
Haselmann, Rainer
Schoenherr, David
Andres, Christian
 Session 15 Institutional Trading  
  Selection, timing and total performance of equity funds: Wasting time measuring timing Krimm, Sebastian
Scholz, Hendrik
Wilkens, Marco
Porras Prado, Melissa
  The Economic Value of Market Transparency and the
Determinants of the Information Content of Order Flow: An Asset
Allocation Perspective
Nolte, Ingmar
Payne, Richard
Vasios, Michalis
Scholz, Hendrik
  The Price of Prospective Lending: Evidence from Short Sale Constraints Porras Prado, Melissa Vasios, Michalis

Conference Dinner

Karlsruher Messe- und Kongress GmbH

Kongresszentrum Karlsruhe - Konzerthaus

Festplatz 9

76137 Karlsruhe


Friday 16.12.2011      
9.00-10.30h: Panel D
 Session 16 Commodity & Energy Finance
  An Empirical Study of the Information Premium on Electricity Markets Biegler-König, Richard      Benth,Fred Espen
Kiesel, Rüdiger
Stoll, Sven‐Olaf
  What Can We Learn from the EU ETS Experience?
Recommendations for Effective Trading and Market Design.
Mnif, Walid
Davison, Matt
Kiesel, Rüdiger
   News Analytics for Energy Futures Borovkova, Svetlana
Davison, Matt
 Session 17 Delega. Portfolio Management & Mutual Funds  
  The expertise of mutual fund managers De Bondt, Werner F. M.
Xu, Wei
Mählmann, Thomas
  Fee dispersion and persistence in the mutual fund industry Cooper, Michael
Halling, Michael
Lemmon, Michael
Jank, Stephan
  Equity friendly or noteholder friendly? The role of collateral asset managers in the collapse of the market for ABS-CDOs Mählmann, Thomas Daske, Holger
 Session 18 Contemporary Issues in Insurance  
  Coherent Projections of Age, Period, and Cohort Dependent Mortality Improvements Aleksic, Marie-Christine
Börger, Matthias
Wesker, Hannah
  Financial Planning and Risk-return Profiles Graf, Stefan
Kling, Alexander
Ruß, Jochen
Schiller, Jörg
  Contract Design and Insurance Fraud: an Experimental
Schiller, Jörg
Lammers, Frauke
Gründl, Helmut
 Session 19 Debt Financing
  Banks’ Use of Credit Derivatives and the Pricing of Loans: What Is the Channel and Does It Persist Under Adverse Economic Conditions? Norden, Lars
Silva Buston, Consuelo
Wagner, Wolf
Düllmann, Klaus
  Certification and Reputation Milking: Comprehensive Evidence from Corporate Bonds Andres, Christian
Betzer, André
Limbach, Peter
Norden, Lars
  The Credit Ratings Game - revisited Hirth, Stefan Thabe, Tim
 Session 20 Market Microstructure
  Do we need a European "National Market System''? Competition, arbitrage, and suboptimal executions Wagener, Martin
Storkenmaier, Andreas
Colliard, Jean‐Edouard
  Trading Fees and Efficiency in Limit Order Markets Colliard, Jean-Edouard
Foucault, Thierry
Sojli, Elvira
  Sunshine trading: Flashes of trading intent at the NASDAQ Skjeltorp, Johannes A.
Sojli, Elvira
Tham, Wing Wah
Wagener, Martin

Practitioners´ Keynote Speech


"Euroland´s hidden balance-of-payment crisis"


delivered by Dr. Thomas Mayer

12.00-13.15h: Lunch    
13.15-14.45h: Panel E
 Session 21 Credit Risk
  Risk Decomposition of Credit Spreads Fuess, Roland
Gehrig, Thomas
Rindler, Philipp
Trapp, Monika
  Volatility patterns of CDS, bond and stock markets before and during the financial crisis: Evidence from major financial institutions

Belke, Ansgar
Gokus, Christian

Füss, Roland
  Credit Risk and the Macro Economy in an Affine Term Structure Model Speck, Christian Belke, Ansgar
 Session 22 Banking: Empirical
  Stress testing German banks against a global credit crunch  Düllmann, Klaus
Kick, Thomas K
Krause, Andreas
  Bank risk taking and liquidity creation following regulatory interventions and capital support Berger, Allen
Bouwman, Christa                    Schaeck, Klaus
Kick, Thomas
Schmitt, Claus
  Government Guarantees and Bank Risk Taking Incentives Fischer, Markus Jens
Hainz, Christa
Rocholl, Joerg
Steffen, Sascha
Schaeck, Klaus
 Session 23 Insurance and Risk Managment
  Risk management of implicit options in life insurance contracts under estimation uncertainty Körbitz, Paul
Löffler, Gunter
Gatzert, Nadine
  Mortality Risk and its Effect on Shortfall and Risk Management in Life Insurance Gatzert, Nadine
Wesker, Hannah
Bauer, Daniel
  Price-Default Risk-Demand-Curves and the Optimal Corporate Risk Strategy of Insurers: A Behavioral Approach Gründl, Helmut
Schade, Christian
Zimmer, Anja
Körbitz, Paul
Session 24  Empirical Corporate Finance  
  Financial Constraints and the International Zero-Leverage Phenomenon Bessler, Wolfgang
Drobetz, Wolfgang
Haller, Rebekka
Meier, Iwan
Hofbaur, Ulrich
  Does Institutional Environment matter in Executive Compensation? A multinational Analysis Hüttenbrink, Alexander
Rapp, Marc Steffen
Wolff, Michael
Schneider, Christoph
  Acquisitions as Lotteries: Do Managerial Gambling Attitudes Influence Takeover Decisions? Schneider, Christoph
Spalt, Oliver
Drobetz, Wolfgang
 Session 25 Empirical Finance
  Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects
Fricke, Christoph Bestelmeyer, Georg
  Implied Risk Premium and the Business Cycle: You Can´t Always Get What You Want

Bestelmeyer, Georg
Dicke, Kristian Hess, Dieter

Kinateder, Harald
  Market Risk Prediction under Long Memory: When VaR is Higher than Expected Kinateder, Harald
Wagner, Niklas
Fricke, Christoph
14.45h: Farewell