| Asset Pricing |
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| Swidler, Steve; Lally, M. |
|
Implications
of a Firm's Market Weight in a CAPM Framework (Download) |
| Auburn University, USA |
|
Schüler, Andreas
|
|
Do
German Firms Earn Their Cost of Capital Considering Tax Effects Caused
by Debt and Provisions? (Download) |
| University of Regensburg, Germany |
|
| Break |
| Schlesinger, Harris; Franke, G.; Stapleton, R.C. |
|
Multiplicative
Background Risk (Download) |
| University of Alabama, USA |
|
| Opfer, Heiko; Bessler, W. |
|
Eine
empirische Untersuchung zur Bedeutung verschiedener Einflussfaktoren auf
Aktienrenditen am deutschen Kapitalmarkt (Download) |
| Justus-Liebig University, Giessen, Germany |
|
| Lunch Break |
| Ajili, Souad |
|
The
Capital Asset Pricing Model and the three Factor Model of Fama and French
Revisited in the Case of France (Download) |
| CEREG-University of Paris Dauphine, France |
|
| Timmreck, Christian; Richter, F. |
|
Valuation
with Risk-Neutral Probabilities: Attempts to Quantify Q (Download) |
| University of Witten/Herdecke, Germany |
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| Banking Industry |
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| Bos, Jaap; Kool, C. |
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Bank
Efficiency: the Role of Local Market Conditions |
| De Nederlandsche Bank, Netherlands |
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| Penas, Maria F.; Unal, H. |
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Gains
in Bank Mergers: Evidence from the Bond Markets (Link) |
| Vrije Universiteit, Amsterdam, Netherlands |
|
| Break |
| Ongena, Steven; Degryse, H. |
|
Distance,
Lending Relationships, and Competition (Link) |
| Tilburg University, Netherlands |
|
| Racke, Wilfried |
|
Enhancing
Value through Retail Banking Distribution (Download,
Link) |
| Institute for Business Value, IBM, Germany |
|
| Lunch Break |
| Matthews, Sean |
|
A
Natural Solution to the Problem of Real-time Monitoring and Management
of Structured Counterparty Exposure Limits (Download) |
| Financial Markets, IBM, Germany |
|
| Biester, Nils |
|
Pulling
the Cost Lever to Optimize Operations at Financial Markets Firms (Download,
Link) |
| Institute for Business Value, IBM, Germany |
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| Behavioral Finance |
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| Keiber, Karl Ludwig |
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Managerial
Compensation Contracts and Overconfidence (Link) |
| WHU, Otto Beisheim Graduate School of Management, Koblenz, Germany |
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| Oehler, Andreas; Heilmann, K.; Läger, V.; Oberländer, M. |
|
Dying
Out or Dying Hard? Disposition Investors in Stock Markets (Link) |
| University of Bamberg, Germany |
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| Capital Market Analysis |
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| Meschke, J. Felix |
|
CEO
Interviews on CNBC (Download) |
| Arizona State University, USA |
|
| Lueders, Erik |
|
Why
are Asset Returns Predictable? (Link) |
| University of Konstanz; ZEW, Mannheim, Germany |
|
| Bohl, Martin T.; Reitz, S. |
|
The
Influence of Positive Feedback Trading on Return Autocorrelation: Evidence
for the German Stock Market (Download) |
| European University Viadrina, Frankfurt (Oder), Germany |
|
| Lunch Break |
| Leisen, Dietmar; Judd, K.L. |
|
Equilibrium
Open Interest (Download) |
| McGill University, Montreal, Canada |
|
| Herf, Jürgen; Bessler, W. |
|
Analysten-Empfehlungen
und Ad hoc-Mitteilungen: Eine empirische Studie zum Neuen Markt (Download) |
| Justus-Liebig University, Giessen, Germany |
|
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| Catastrophe Insurance |
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| Doherty, Neil; Lamm Tennant, J.; Starks, L. |
|
Insuring
September 11th (Link) |
| University of Pennsylvania, USA |
|
| Richter, Andreas |
|
Catastrophe
Risk Management - Implications of Default Risk and Basis Risk (Download) |
| University of Hamburg, Germany |
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| Commercial Banking |
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| Parwada, Jerry T.; Allen, D.E. |
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Are
Bank Deposits and Bank-affiliated Managed Funds Close Substitutes?
(Download) |
| Securities Industry Research Centre of Asia Pacific, Sydney, Australia |
|
| Goldberg, Lawrence; Cole, R.A.; White, L.J. |
|
Cookie-Cutter
versus Character: The Micro Structure of Small Business Lending by Large
and Small Banks (Download) |
| University of Miami, USA |
|
| Break |
| Jaenicke, Johannes |
|
Non-Separation
Between Loan and Deposit Policy of German Banks: Some Multi-Step Granger-Causality
Results (Download) |
| University of Osnabrück, Germany |
|
| Fraser, Donald; Berry, T.; Beyers, S. |
|
Do
Bank Loan Relationships Still Matter? (Download) |
| Texas A&M University, USA |
|
| Arping, Stefan |
|
Playing
Hardball: Relationship Banking in the Age of Credit Derivatives (Download) |
| University of Lausanne, Ecole des HEC, Switzerland |
|
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| Corporate Control |
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| Müller, Elisabeth |
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Benefits
of Control, Capital Structure and Company Growth (Link) |
| London School of Economics, UK |
|
| Hege, Ulrich; Hauswald, R. |
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Ownership
and Control in Joint Ventures: Theory and Evidence (Link) |
| HEC School of Management, France |
|
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| Corporate Finance |
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| Hol, Suzan; Westgaard, S.; van der Wijst, N. |
|
Capital
Structure and the Prediction of Bankruptcy (Download) |
| Norwegian University of Science and Technology, Trondheim, Norway |
|
| Weill, Laurent |
|
Leverage
and Corporate Performance: A Frontier Efficiency Analysis (Download) |
| Universite Robert Schuman, Strasbourg, France |
|
| Break |
| Banerji, Sanjay; Bose, P. |
|
Management
Pay-off in Corporate Restucturing and the Optimal composition of Corporate
Debt (Download) |
| McGill University, Montreal, Canada |
|
| Delannay, Anne-France |
|
Trade
Credit and Product Market Competition: Theory and Evidence (Download) |
| Universite Robert Schuman, Strasbourg, France |
|
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| Credit Spreads/Credit Rating |
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| Jankowitsch, Rainer; Pichler, St. |
|
Parsimonious
Estimation of Credit Spreads (Download) |
| Vienna University of Technology, Austria |
|
| Löffler, Gunter |
|
Avoiding
the Rating Bounce: Why Rating Agencies are Slow to React to New Information
(Download) |
| J.W.-Goethe University, Frankfurt, Germany |
|
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| Derivative Pricing |
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| Branger, Nicole |
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Pricing
Derivative Securities Using Cross-Entropy: An Economic Analysis (Link) |
| J.W.-Goethe University, Frankfurt, Germany |
|
| Düllmann, Klaus; Bühler, W. |
|
Conversion
Factors, Delivery Option and Hedge Efficiency of a Multi-Issuer Bond Future
(Download) |
| Deutsche Bundesbank, Germany |
|
| Korn, Olaf; Uhrig-Homburg, M. |
|
Do
Lead-Lag Effects Affect Derivative Pricing? (Link) |
| University of Mannheim, Germany |
|
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| Financial Econometrics |
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| Wagner, Niklas; Marsh, T.A. |
|
On
Adaptive Tail Index Estimation for Financial Return Models (Download) |
| Technische Universität München, Germany |
|
| Ayadi, Mohamed A.; Kryzanowski, L. |
|
Assessing
Portfolio Performance Using Asset Pricing Kernels (Download) |
| Brock University, St. Catharines, Canada |
|
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| Fixed Income Securities |
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| Pichler, Stefan; Jankowitsch, R.; Mösenbacher, H. |
|
Measuring
the Liquidity Impact on EMU Government Bond Prices (Download) |
| Vienna University of Technology, Austria |
|
| Sauerbier, Peter; Koziol, C. |
|
Valuation
of Bond Illiquidity: An Option-Theoretical Approach (Download) |
| University of Mannheim, Germany |
|
| Feldman, David |
|
The
Term Structure of Interest Rates: Bounded or Falling? (Download) |
| Ben-Gurion University of the Negev, Israel |
|
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| Hedging |
|
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| Adam-Müller, Axel |
|
An
Alternative View on Cross Hedging (Download) |
| University of Konstanz, Germany |
|
| Thierbach, Frank |
|
Mean-Variance
Hedging under Additional Market Information (Download) |
| University of Bonn, Germany |
|
| Adam-Müller, Axel; Wong, K.P. |
|
The
Impact of Delivery Risk on Optimal Production and Futures Hedging |
| University of Konstanz, Germany |
|
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| Investment Banking |
|
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| Adams, Renee; Santos, J.A.C. |
|
Votes
without Dividends: Managerial Control through Bank Trust Departments (Download) |
| Federal Reserve Bank of New York, USA |
|
| Hallak, Issam |
|
Price
Discrimination on Syndicated Loans and the Number of Lenders: Empirical
Evidence from the Sovereign Debt Syndication (Download) |
| Center for Financial Studies, J.W.-Goethe University, Frankfurt, Germany |
|
| Break |
| Dresel, Tanja; Burghof, H.-P. |
|
Value
at Risk with Informed Traders, Herding, and the Optimal Structure of Trading
Divisions (Download) |
| Ludwig-Maximilians-University, Munich, Germany |
|
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| IPOs |
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| Wagner, Wolf |
|
Divestment,
Entrepreneurial Incentives and the Decision to Go Public (Download) |
| Tilburg University, Netherlands |
|
| Aussenegg , Wolfgang; Pichler, P.; Stomper, A. |
|
Sticky
Prices: IPO Pricing on Nasdaq and the Neuer Markt (Download) |
| Vienna University of Technology, Austria |
|
| Lunch Break |
| Panther, Patrick F.; Löffler, G.; Theissen, E. |
|
Who
Knows What When? - The Information Content of Pre-IPO Market Prices (Download) |
| J.W.-Goethe University, Frankfurt, Germany |
|
| Tykvova, Tereza |
|
The
Timing of Venture-backed IPOs and the Lock-up Commitment of Venture Capitalists (Download) |
| Centre for European Economic Research (ZEW), Mannheim, Germany |
|
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| Life Insurance |
|
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| Jaquemod, Reinhold |
|
Quantifizierung
des Risikos eines deutschen Lebensversicherers - Übertragung des S&P-Ansatzes |
| SV-Versicherungen, Stuttgart, Germany |
|
| Purcal, Sachi |
|
Modelling
Optimal Retirement Planning: A Simulation Approach and an Application
to Japan |
| University of New South Wales, Sydney, Australia |
|
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| M+A |
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| Pereira, Ricardo; Armada, M.R. |
|
Interrelated
Investments within the Context of a Real Options Framework: Discussion
and Application of a Generic Valuation Model to a Case on Mergers and
Acquisitions (Download) |
| Moderna University of Porto, Portugal |
|
| Arellano-Ostoa, Augusto; Brusco, S. |
|
Understanding
Reverse Mergers: A first Approach (Download) |
| Universidad Carlos III de Madrid, Spain |
|
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| Market and Control |
|
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| Phillips, Richard; Cummins, J.D.; Grace, M.F. |
|
The
Missing Link: Is Book Value Efficiency Recognized by the Market? (Download) |
| Georgia State University, USA |
|
| Schradin, Heinrich; Zons, M. |
|
Determination
and Allocation of Risk-adequate Equity Capitalization for Performance Measurement (Download) |
| University of Cologne, Germany |
|
| Jüttner, Johannes; Murat, G.; Tonkin, R.S. |
|
Competition
in the General Insurance Industry (Download) |
| Macquarie University, Sydney / University of Magdeburg, Australia
/ Germany |
|
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|
| Market Microstructure/Exchanges |
|
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|
| Bessler, Wolfgang; Book, Th. |
|
Elektronischer
Handel versus Präsenzhandel: Eine Untersuchung des Wettbewerbs von Terminbörsen
am Beispiel des DM-Bund Future (Download) |
| Justus-Liebig University, Giessen, Germany |
|
| Lazarov, Zdravetz; Koch, A. |
|
Clustering
of Trading Activity in the Dax Index Options Market (Download) |
| University of Bonn, Germany |
|
| Break |
| Theissen, Erik; Gomber, P.; Schweickert U. |
|
Die
vierte Dimension - Der Market Impact als Konzept zur Erfassung der Erneuerungskraft
im elektronischen Wertpapierhandel (Download) |
| University of Bonn, Germany |
|
| Kasch-Haroutounian, Maria ; Theissen, E. |
|
Competition
Between Exchanges: Euronext versus Xetra (Download) |
| University of Bonn, Germany |
|
| Heidle, Hans-Gerhard |
|
Inferring
Information from Trading (Link) |
| University of Notre Dame, USA |
|
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| Operational Risk |
|
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|
| Hartung , Thomas |
|
Considerations
to the Quantification of Operational Risks (Download) |
| Ludwig-Maximilians-University, Munich, Germany |
|
| Vanini, Paolo; Ebnöther, S.; McNeil A.; Antolinez-Fehr, P. |
|
Modelling
Operational Risk (Link) |
| Zürcher Kantonalbank, Switzerland |
|
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|
| Option Implied Distributions |
|
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| Branger, Nicole; Schlag, C. |
|
Why
is the Index Smile so Steep? (Link) |
| J.W.-Goethe University, Frankfurt, Germany |
|
| Breuer, Peter |
|
How
Does the Volatility Risk Premium Affect the Informational Content of Currency
Options? (Download) |
| International Monetary Fund, Washington, USA |
|
| Mandler, Martin |
|
Comparing
Risk-neutral Probability Density Functions Implied by Option Prices - Market Uncertainty and ECB-council
Meetings (Download) |
| Justus-Liebig University, Giessen, Germany |
|
|
|
|
| Portfolio Credit Risk |
|
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|
| Schönbucher, Philipp; Schubert, D. |
|
Copula
Dependent Default Risk in Intensity Models (Link) |
| University of Bonn, Germany |
|
| Rau-Bredow, Hans |
|
Credit
Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment (Download) |
| University of Würzburg, Germany |
|
| Huschens, Stefan; Höse, S. |
|
Konfidenzintervalle
für Ausfallwahrscheinlichkeiten (Link) |
| Technische Universität Dresden, Germany |
|
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| Portfolio Selection |
|
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|
| Grasselli, Martino; Deelstra, G.; Koehl, P.-F. |
|
Optimal
Design of the Guarantee for Defined Contribution Funds (Download) |
| University of Verona, Italy |
|
| Leippold, Markus; Trojani, F.; Vanini, P. |
|
Equilibrium
Impact of Value-at-Risk (Link) |
| University of Zurich, Swiss Banking Institute, Switzerland |
|
| Nietert, Bernhard |
|
Model
Uncertainty and Portfolio Insurance (Download) |
| University of Passau, Germany |
|
|
|
|
| Regulation |
|
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|
| Dietsch, Michel; Petey, J. |
|
Are
SMEs Sensitive to Systematic Risk? A Study of Probabilities of Default
and Asset Correlations in French and German SMEs (Download) |
| Universite Robert Schuman, Strasbourg, France |
|
| Yildiran, Levent |
|
Evaluation
of the New Basel Capital Accord: Is it a Remedy Really or a Tranquilizer
Only? |
| University of Toulouse, France |
|
| Lunch Break |
| Pichler, Stefan; Thurner, St.; Hanel, R. |
|
Banking
Regulation and Network-Topology Dependence of Iterative Risk-trading Games (Download) |
| Vienna University of Technology, Austria |
|
| Chateau, Jean-Pierre; Wu, J. |
|
Banks'
Capital Adequacy: Computing the 'Fair' Capital Charge for Loan Commitment
Credit Risk |
| ESC-Rouen, France |
|
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| Risk Management |
|
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|
| Morlock, Martin; Riedel, O. |
|
Erfolgsorientierte
Vergütungssysteme auf Basis der Credibility-Theorie |
| Justus-Liebig University, Giessen, Germany |
|
| Altenburger, Otto A. |
|
The
Current State of the Development of the IFRS Insurance Contracts - New
Solutions to Fundamental Problems of Accounting? (Download) |
| University of Regensburg, Germany |
|
|
|
|
| Risk Pricing |
|
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|
| Benzion, Uri; Yosef, R. |
|
Options
Pricing on Pension Insurance (Link) |
| Ben-Gurion University of the Negev, Israel |
|
| Sandmann, Klaus; Nielsen, J.A. |
|
The
Fair Premium of an Equity linked Life and Pension Insurance (Download) |
| Johannes-Gutenberg University, Mainz, Germany |
|
| Break |
| Gründl, Helmut; Schmeiser, H. |
|
Pricing
Double-Trigger Reinsurance Contracts Financial versus Actuarial approach |
| Humboldt-University, Berlin, Germany |
|
| Mürmann, Alexander |
|
Valuation
in Integrated Financial and Insurance Markets (Download) |
| University of Pennsylvania, USA |
|
|
|
|
| Special Lecture: G. Gebhardt |
|
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|
| Gebhardt, Günther; Reichardt, R.; Wittenbrink, C. |
|
Financial
Instruments Fair Value Accounting for (not against) the Banking Industry (Download)
|
| J.W.-Goethe University, Frankfurt, Germany |
|
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|
| Venture Capital |
|
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|
|
| Bigus, Jochen |
|
Moral
Hazard by Inside Investors in the Context of Venture Financing (Download) |
| University of Hamburg, Germany |
|
| Dittmann, Ingolf; Kemper, J.; Maug, E. |
|
How
Fundamental are Fundamental Values? Valuation Methods and Their Impact
on the Performance of German Venture Capitalists (Download) |
| Humboldt-University, Berlin, Germany |
|
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|
| Volatility |
|
|
|
|
|
| Eberlein, Ernst; Kallsen, J.; Kristen, J. |
|
Risk
Management Based on Stochastic Volatility (Download) |
| University of Freiburg, Germany |
|
| Pojarliev, Momtchil; Polasek, W. |
|
Portfolio
Construction by Volatility Forecasts: Does the Covariance Structure Matter? (Download)
|
| INVESCO Asset Management, Frankfurt, Germany |
|
| Raunig, Burkhard; de Raaij, G. |
|
Evaluating
Risk Models with Likelihood Ratio Tests: Use with Care! (Download) |
| Central Bank of Austria, Austria |
|
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|