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Presentations
Session A: International Finance / Hedging |
| Name |
Paper |
|
| Wolfgang Drobetz,
Susanne Stürmer and Heinz Zimmermann |
Conditional Asset
Pricing in Emerging Stock Markets |
Download |
| Dušan Isakov
and Frédéric Sonney |
Are Practitioners
Right? On the Relative Importance of Industrial Factors in International Stock Returns |
Download |
| Paul Ehling and
Sofia Ramos |
The EMU and the
Country Risk Puzzle |
. |
| Jean-François
Bacmann and Guido Bolliger |
Who Are the Best?
Local versus Foreign Analysts on the Latin American Stock Markets |
. |
| Laurent Barras and
Dušan Isakov |
How to Diversify
Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods |
Download |
| Benoît Carmichæl
and Alain Coën |
International
Portfolio Choice in an Overlapping Generations Model with Transaction Costs |
Download |
| Joachim Grammig,
Michael Melvin and Christian Schlag |
Internationally
Cross-Listed Stocks during Overlapping Trading Hours: Price Discovery and Exchange Rate
Effects |
Download |
| Dirk Baur and
Robert Jung |
Modeling Mean and
Volatility Spillovers between the US and the German Stock Market |
. |
| Axel F. A.
Adam-Müller and Kit Pong Wong |
The Impact of
Delivery Risk on Optimal Production and Futures Hedging |
. |
| Frank Thierbach |
Mean-Variance
Hedging under Additional Market Information |
Download |
|
| Session B: Asset
Pricing / Market Microstructure |
| Name |
Paper |
|
| Jean-Pierre
Danthine and Xiangrong Jin |
Intangible
Capital, Asset Pricing and Firm Valuation |
Download |
| Séverine Cauchie,
Martin Hoesli and Dušan Isakov |
The Determinants
of Stock Returns: An Analysis of Industrial Sector Indices |
Download |
| Jürg Tobler |
Return
Predictability under Knightian Uncertainty |
Download |
| Karl Ludwig Keiber |
Price Discovery in
the Presence of Boundedly Rational Agents |
Download |
| Alexis Derviz |
Forex
Microstructure and Cross-Border Capital Flows |
Download
Cover |
| Michael S. Piwowar
and Li Wei |
The Sensitivity of
Effective Spread Estimates to Trade-Quote Matching Algorithms |
Download |
| Li Wei |
Market Design,
Reputation, and Interdealer Trading |
Download |
| Stéphane
Dubreuille |
A European
Comparison of the Short Rates Future Contracts |
Download |
| Angelo Ranaldo |
Transaction Costs
on Swiss Stock Exchange |
Download |
|
| Session C:
Portfolio Management / Empirical Finance |
| Name |
Paper |
|
| Knut Griese and
Alexander Kempf |
Is Modesty an
Ornament? An Empirical Comparison of the Performance of Actively and Passively Managed
German Mutual Funds |
Download |
| Steffen Graf |
Tracking the
Market |
Download |
| S. Avouyi-Dovi, D.
Guégan and Sophie Ladoucette |
A Measure of the
Persistence in Stock Markets |
Download |
| Andreas Gintschel |
Short Interest on
Nasdaq |
Download |
| Hussein A. Hassan
Al-Tamimi, Mouawiya Al-Awad and Husni Charif |
Finance and
Growth: Evidence from Some Arab Countries |
Download |
| Philip Schnedler |
The Predictability
of Swiss Stock and Bond Market Returns: An Empirical Comparison |
Download |
| Mathias Binswanger |
Stock Returns and
Real Activity in the G-7 Countries: Did the Relationship Change in the Early 1980s? |
Download |
| Roger Kunz and
Sandro Majhensek |
Stock Splits in
Switzerland: Much Ado about Nothing? |
Download |
| Niklas Wagner |
A Market Model
with Time Varying Moments and Results on Neuer Markt Stock Returns |
Download |
| Jean-François
Bacmann, Michel Dubois and Dušan Isakov |
Industries,
Business Cycle and Profitability of Momentum Strategies: An International Perspective |
Download |
|
| Session D: Contingent
Claims & Term Structure Models / Corporate Finance & Valuation / Mergers &
Acquisitions |
| Name |
Paper |
|
| Matthias Muck and
Markus Rudolf |
An Extension of
the Discrete Implementation of the Hull-and-White-2-Factor-Model |
Download |
| Kristian R.
Miltersen, J. Aase Nielsen and Klaus Sandmann |
The Market Model
of Futures Rates |
. |
| Naomi Belfer and
Simon Benninga |
Options in
Incomplete Markets |
Download |
| Miguel Mirás,
Alejandro Balbás and María José Muñoz-Bouzo |
Martingale
Characterization of the Absence of Arbitrage in a Projective Systems Setting |
. |
| Thomas Bühner and
Christoph Kaserer |
The Structure of
External Financing Costs and the Economies of Scale View - New Evidence from Seasoned
Equity Offerings in Germany |
Download |
| Jenifer Piesse,
Chris Présiaux and Alexander Van de Putte |
Rational Valuation
Metrics |
Download |
| Lutz Hahnenstein
and Klaus Röder |
Hedging with
Forward Contracts and the Firm’s Optimal Capital Structure |
Download |
| André Kronimus |
Valuation and
Optimal Liquidation of Growth Companies |
. |
| Claudia Buch and
Gayle DeLong |
Cross-Border Bank
Mergers: What Lures the Rare Animal? |
Download |
| Hubert de La
Bruslerie and Catherine Deffains-Crapsky |
Takeover Bids,
Price Offer and Investors Protection |
Download |
|
| Session E: Credit
Risk / Banking and Riskn E Credit Risk / Banking and Risk |
| Name |
Paper |
|
| Michael Westphalen
|
The Determinants
of Sovereign Bond Credit Spreads Changes |
Download |
| Roger Walder |
Dynamic Allocation
of Treasury and Corporate Bonds |
Download |
| Jean-Christophe
Meyfredi |
Convertible Bond
Pricing: Using Two Different Discount Rates |
Download |
| Gunter Löffler |
Implied Asset
Value Distributions |
Download |
| Udo Broll and Jack
E. Wahl |
Optimum Bank
Equity Capital and Value at Risk |
Download |
| Maria Coronado |
Extreme Value
Theory (EVT) for Risk Managers: Pitfalls and Opportunities in the Use of EVT in Measuring
VAR |
Download |
| Ute Merbecks and
Gabriela Sondinger |
Einlagensicherungssysteme
– Ökonomische Analyse unterschiedlicher institutioneller Ausgestaltungsformen |
Download |
| Nathalie Janson |
The Bank Capital
Regulation: The Result of a Market Failure or of a Regulation Failure? |
Download |
| Andreas Pfingsten
and Kai Rudolph |
German Banks' Loan
Portfolio Composition: Market-Orientation vs. Specialization |
Download |
| Olivier Scaillet |
Nonparametric
Estimation of Conditional Expected Shortfall |
Download |
