January 11 & 12, 2012
Vallendar, Germany
Vallendar, Germany
SESSIONS AND PAPER PRESENTATIONS
Below you will find the preliminary time table and session list for the Campus for Finance Research Conference 2012 held on January 11th and 12th at WHU – Otto Beisheim School of Management in Vallendar, Germany. If you should have any questions or requests, do not hesitate to contact us at info(at)cff-rsc.com or via phone: 0049 261 6509 - 429.
PRELIMINARY SESSION SCHEDULE
Please note that the schedule may be subject to changes.
last update: 12 / 01 / 05 - 03:00 PM CET
Asset Allocation
| Patrick Konermann (University of Münster, Germany), Christoph Meinerding (Goethe University Frankfurt, Germany), Olga Sedova (University of Münster, Germany) | |
| Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations | |
| discussant: Mario Brandtner | |
| Mario Brandtner (University of Jena, Germany) | |
| Portfolio Selection With Spectral Risk Measures - A Really Good Choice? | |
| discussant: Nuno Silva | |
| Joao Amaro de Matos (University of Lisbon , Portugal), Nuno Silva (University of Coimbra, Portugal) | |
| Consuming durable goods when stock markets jump: a strategic asset allocation approach | |
| discussant: Olga Sedova | |
Behavioral Finance I
| Manuel Ammann (University of St. Gallen, Switzerland), Roman Frey (University of St. Gallen, Switzerland), Michael Verhofen (University of St. Gallen, Switzerland) | |
| Do Newspaper Articles Predict Aggregate Stock Returns? | |
| discussant: Amelie Brune | |
| Amelie Brune (University of Zurich, Switzerland), Thorsten Hens (University of Zurich, Switzerland), Marc Rieger (University of Trier, Germany), Mei Wang (WHU – Otto Beisheim School of Management, Germany) | |
| The war puzzle: contradictory effects of international conflicts on stock markets | |
| discussant: Christian Ehm | |
| Christian Ehm (University of Mannheim, Germany), Christine Kaufmann (University of Mannheim, Germany), Martin Weber (University of Mannheim, Germany) | |
| Does Risk-Taking Depend on the Risk-Return-Profile Given? | |
| discussant: Roman Frey | |
Behavioral Finance II
| Wolfgang Breuer (RWTH Aachen University, Germany), Benjamin Quinten (RWTH Aachen University, Germany), Marc Rieger (University of Trier, Germany), Kalender Soypak (RWTH Aachen University, Germany) | |
| The Behavioral Foundations of Corporate Dividend Policy A Cross-Country Empirical Analysis | |
| discussant: Andreas Jacobs | |
| Moritz Lehmensiek-Starke (University of Münster, Germany), Andreas Jacobs (University of Münster, Germany) | |
| The Weather's Impact on Gambling Behavior | |
| discussant: Robin Pope | |
| Sebastian Kube (University of Bonn, Germany), Robin Pope (University of Bonn, Germany), Reinhard Selten (University of Bonn, Germany) | |
| Prominent Numbers, Indices and Ratios in Exchange Rate Determination: Field and Laboratory Evidence | |
| discussant: Marc Rieger | |
Banking Policy
| Nikola Nikodijevic Mirkov (University of St. Gallen, Switzerland) | |
| The US Term Premia around FOMC Decisions | |
| discussant: Alexander Schmidt | |
| Florian Hett (Goethe University Frankfurt, Germany), Alexander Schmidt (Goethe University Frankfurt, Germany) | |
| Do Bank Bail-Outs create Moral Hazard? Evidence from the recent Financial Crisis | |
| discussant: Thomas Vieten | |
| Achim Hauck (University of Düsseldorf, Germany), Ulrike Neyer (University of Düsseldorf, Germany), Thomas Vieten (University of Düsseldorf, Germany) | |
| Reestablishing Stability and Avoiding a Credit Crunch: Comparing Different Bad Bank Schemes | |
| discussant: Nikola Nikodijev Mirkov | |
Financial Crises
| Steffen Sebastian (Centre for European Economic Research, Germany), Christian Witt (University of Regensburg) | |
| Why Stock Markets Crashed During the Subprime Crisis ––The Amplifying Role of Banking Instability | |
| discussant: Achim Hauck | |
| Achim Hauck (University of Düsseldorf, Germany), Ulrike Neyer (University of Düsseldorf, Germany) | |
| Reserve Holding Incentives of Commercial Banks in the Euro Area during the Financial Crisis | |
| discussant: Christin Rudolph | |
| Christin Rudolph (HHL - Leipzig Graduate School of Management, Germany), Bernhard Schwetzler (HHL - Leipzig Graduate School of Management, Germany) | |
| Conglomerates on the rise again? The worldwide impact of the 2008-2009 financial crisis on the diversification discount | |
| discussant: Christian Witt | |
Corporate Finance I
| Christian Andres (WHU – Otto Beisheim School of Management, Germany), André Betzer (University of Wuppertal, Germany), Peter Limbach (Karlsruhe Institute of Technology, Germany) | |
| Certification and Reputation Milking: Comprehensive Evidence from Corporate Bonds | |
| discussant: Denis Schweizer | |
| Timur Karabiber (WHU – Otto Beisheim School of Management, Germany), Denis Schweizer (WHU – Otto Beisheim School of Management, Germany) | |
| Do Markets Anticipate Capital Structure Decisions? – Feedback Effects in Equity Liquidity | |
| discussant: Rebekka Haller | |
| Wolfgang Bessler (University of Giessen, Germany), Wolfgang Drobetz (University of Hamburg, Germany), Rebekka Haller (University of Hamburg, Germany), Iwan Meier (HEC Montréal, Canada) | |
| The International Zero-Leverage Phenomenon | |
| discussant: Christian Andres | |
Corporate Finance II
| Christoph Schneider (University of Mannheim, Germany), Oliver Spalt (Tilburg University, Netherlands) | |
| Managerial Skewness Preference and the Allocation of Corporate Resources in Internal Capital Markets | |
| discussant: Cesario Mateus | |
| Cesario Mateus (University of Greenwich, United Kingdom) | |
| The role of Credit Ratings in firm's capital structure choices: The pre-financial Crisis | |
| discussant: Katrin Wibmer | |
| Matthias Bank (University of Innsbruck, Austria), Katrin Wibmer (University of Innsbruck, Austria) | |
| Start-up firm valuation: A real-options approach | |
| discussant: Christoph Schneider | |
Corporate Finance III
| Flavio Bazzana (University of Trento, Italy), Eleonora Broccardo (University of Trento, Italy) | |
| The role of bondholders’ coordination in freeze-out exchange offers | |
| discussant: Peter Limbach | |
| Peter Limbach (Karlsruhe Institute of Technology, Germany) | |
| Delegated Monitoring: the Effectiveness and Pricing of Bond Indenture Trustees | |
| discussant: Flavio Bazzana | |
Corporate Finance & Corporate Governance
| Daniel Arand (University of Giessen, Germany), Alexander Kerl (University of Giessen, Germany) | |
| Sell-Side Analysts' Target Prices in the Presence of Conflicts of Interest | |
| discussant: Ahmed Barakat | |
| Ahmed Barakat (Goethe University of Frankfurt, Germany), Anna Chernobai (Syracuse University, United States), Mark Wahrenburg (Goethe University of Frankfurt, Germany) | |
| Information Asymmetry around Operational Loss Announcements in U.S. Financial Firms | |
| discussant: tba (Please contact Mr Ahmed Barakat for a full copy: ahmedfmb {at} yahoo.com) | |
Corporate Governance
| Lutz Johanning (WHU – Otto Beisheim School of Management, Germany), Timur Karabibur (WHU – Otto Beisheim School of Management, Germany), Denis Schweizer (WHU – Otto Beisheim School of Management, Germany), Maximilian Trossbach (WHU – Otto Beisheim School of Management, Germany) | |
| Effective Governance in Institutional Investments - Reallocations and Tournament Behavior in German Multi-Manager Accounts | |
| discussant: Christoph Wenk | |
| Alexander Wagner (University of Zurich, Switzerland), Christoph Wenk (University of Zurich, Switzerland) | |
| Are shareholders stupid? On the surprising impact of binding say-on-pay on stock prices | |
| discussant: Margarita Sevostiyanova | |
| Martin Ruckes (Karlsruhe Institute of Technology, Germany), Margarita Sevostiyanova (Karlsruhe Institute of Technology, Germany) | |
| Time to Wind Down: Closing Decisions and High Water Marks in Hedge Fund Management Contracts | |
| discussant: Maximilian Trossbach | |
Credit Risk
| Björn Imbierowicz (Goethe University Frankfurt, Germany), Christian Rauch (Goethe University Frankfurt, Germany) | |
| On the Interrelation of Liquidity and Credit Risk in Banks | |
| discussant: Kilian Plank | |
| Kilian Plank (University of Regensburg, Germany) | |
| Fundamental Rating Characteristics of Structured Finance | |
| discussant: Christian Speck | |
| Christian Speck (University of Mannheim, Germany) | |
| Credit Risk and the Macro Economy in an Affine Term Structure Model | |
| discussant: Björn Imbierowicz | |
Derivatives & Financial Economics
| Jacinto Marabel (Universitz of Alcalá, Spain) | |
| A Closed-form Solution for Outperfomance Options with Stochastic Correlation and Stochastic Volatility | |
| discussant: Martin Klimmek | |
| David Hobson (University of Warwick, United Kingdom), Martin Klimmek (University of Warwick, United Kingdom) | |
| Model independent hedging strategies for variance swaps | |
| discussant: Sonia Zaharia | |
| Nicole Branger (University of Münster, Germany), Christian Schlag (Goethe University Frankfurt, Germany), Sonia Zaharia (Goethe University Frankfurt, Germany) | |
| An Equilibrium Foundation for the Heston Stochastic Volatility Model and U-Shaped Pricing Kernels | |
| discussant: Jacinto Marabel | |
Empirical Finance I
| Sebastian Lobe (University of Regensburg, Germany), Klaus Röder (University of Regensburg, Germany), Christoph Schmidhammer (University of Regensburg, Germany) | |
| The Day the Index Rose 11 %: A Clinical Study on Price Discovery Reversal | |
| discussant: Thomas Etheber | |
| Thomas Etheber (Goethe University Frankfurt, Germany), Dominik Hennes (Goethe University Frankfurt, Germany), Steffen Meyer (Goethe University Frankfurt, Germany), Tilman Rochow (Goethe University Frankfurt, Germany) | |
| EARNINGS ANNOUNCEMENTS, MILLER’S STOCKS AND PRIVATE INVESTORS – TRADING PATTERNS AND PERFORMANCE | |
| discussant: Oscar Stolper | |
| Alexander Kerl (University of Giessen, Germany), Oscar Stolper (University of Giessen, Germany), Andreas Walter (University of Giessen, Germany) | |
| Tagging the triggers: An empirical analysis of information events prompting sell-side analyst reports | |
| discussant: Christoph Schmidhammer | |
Empirical Finance II
| Sebastian Lobe (University of Regensburg, Germany), Lena Mertel (University of Regensburg, Germany), Christian Walkshäusl (University of Regensburg, Germany) | |
| Global Evidence on Growth Opportunities, Beta, and the Cost of Capital | |
| discussant: Tobias Schlüter | |
| Tobias Schlüter (University of Cologne, Germany), Sönke Sievers (University of Cologne, Germany) | |
| Determinants of Market Beta: The Impacts of Firm-Specific Accounting Figures and Market Conditions | |
| discussant: Anaïs Hamelin | |
| Anaïs Hamelin (University of Strasbourg, France) | |
| Are small business groups an organizational strategy that promotes growth? Evidence from French SMEs. | |
| discussant: Lena Mertel | |
Real Estate
| Christian Rehring (University of Regensburg, Germany), Bertram Steininger (University of Regensburg, Germany) | |
| An Empirical Evaluation of Normative Commercial Real Estate Swap Pricing | |
| discussant: Tim Kroencke | |
| Tim Kroencke (Centre for European Economic Research, Germany), Felix Schindler (Centre for European Economic Research, Germany), Steffen Sebastian (Centre for European Economic Research, Germany) | |
| Housing Cycles, Business Cycles, and the Cross-Section of Stock Returns | |
| discussant: Bertram Steininger | |
Finance & Economics I
| Kristian Rydqvist (Binghamton University, United States), Steven Schwartz (Binghamton University, United States), Joshua Spizman (Loyola Marymount University, United States) | |
| The Tax Benefit of Income Smoothing | |
| discussant: Stefan Klößner | |
| Martin Becker (Saarland University, Germany), Ralph Friedmann (Saarland University, Germany), Stefan Klößner (Saarland University, Germany) | |
| Modeling and measuring intraday overreaction of stock prices | |
| discussant: David Nicolaus | |
| David Nicolaus (Goethe University Frankfurt, Germany) | |
| Derivative Choices of Retail Investors - Evidence from Germany | |
| discussant: Kristian Rydqvist | |
Finance & Economics II
| Hans-Christian Krumholz (University of Ulm, Germany) | |
| Estimating firm and terminal values under parameter uncertainty and serially correlated returns | |
| discussant: Christoph Becker | |
| Christoph Becker (Frankfurt School of Finance, Germany), Wolfgang Schmidt (Frankfurt School of Finance, Germany) | |
| Stressing Correlations and Volatilities – A Consistent Modeling Approach | |
| discussant: Hans-Christian Krumholz | |
Financial Markets I
| Ka Kei Chan (Cass Business School, United Kingdom), Alistair Milne (Cass Business School, United Kingdom) | |
| Bank Coexistence, Deposit Market and Policy Interventions | |
| discussant: Steffen Juranek | |
| Steffen Juranek (Goethe University Frankfurt, Germany), Uwe Walz (Goethe University Frankfurt, Germany) | |
| Vertical Integration, Competition, and Financial Exchanges: Is there Grain in the Silo? | |
| discussant: Martin Rohleder | |
| Martin Rohleder (Catholic University of Eichstätt-Ingolstadt, Germany), Hendrik Scholz (University of Erlangen-Nuremberg, Germany), Marco Wilkens (University of Augsburg, Germany) | |
| Bond fund disappearance: What’s Return got to do with it? | |
| discussant: Ka Kei Chan | |
Financial Markets II
| Alexander Eisl (Vienna University of Economics and Business, Austria), Hermann Elendner (Vienna University of Economics and Business, Austria), Stefan Pichler (Vienna University of Economics and Business, Austria) | |
| Exploring the Performance of Government Debt Issuance | |
| discussant: Christian Walkshäusl | |
| Sebastian Lobe (University of Regensburg, Germany), Christian Walkshäusl (University of Regensburg, Germany) | |
| Islamic Index Investing: The International Evidence | |
| discussant: Horst Löchel | |
| Xiang Li (Frankfurt School of Finance, Germany), Horst Löchel (Frankfurt School of Finance, Germany) | |
| Understanding the high profitability of Chinese banks | |
| discussant: Hermann Elendner | |
Mergers & Acquisitions
| Marc Martos-Vila (UCLA, United States), Matthew Rhodes-Kropf (Harvard University, United States) | |
| Waves of Financial vs. Strategic Buyers | |
| discussant: Dominic Klemmer | |
| Jens Kengelbach (The Boston Consulting Group), Dominic Klemmer (The Boston Consulting Group), Bernhard Schwetzler (HHL - Leipzig Graduate School of Management, Germany), Marco Sperling (HHL - Leipzig Graduate School of Management, Germany) | |
| An anatomy of serial acquirers, M&A learning, and the role of post-merger integration | |
| discussant: Gregor Weiß | |
| Denefa Bostandzic (Ruhr University Bochum, Germany), Sascha Neumann (Ruhr University Bochum, Germany), Gregor Weiß (TU Dortmund University, Germany) | |
| Systematic, default and systemic risk e%uFB00ects of international bank mergers - Empirical evidence | |
| discussant: Marc Martos-Vila | |
Mutual Funds
| David Downs (Virginia Commonwealth University, United States), Steffen Sebastian(Centre for European Economic Research, Germany), René-Ojas Woltering (University of Regensburg) | |
| Determinants of fund openings and closings | |
| discussant: Timotheos Angelidis | |
| Timotheos Angelidis (University of Peleponnese, Greece), Daniel Giamouridis (Athens University, Greece), Nikolaos Tessaromatis (ALBA Graduate Business School, Greece) | |
| Revisiting Mutual Fund Performance Evaluation | |
| discussant: René-Ojas Woltering | |
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Market Microstructure
| Björn Hagströmer (Stockholm University School of Business, Sweden), Lars Nordén (Stockholm University School of Business, Sweden) | |
| Closing Call Auctions at the Index Futures Market | |
| discussant: Hao Zhang | |
| Stewart Hodges (Cass Business School, United Kingdom), Hao Zhang (Cass Business School, United Kingdom) | |
| An Extended Model of Effective Bid-ask Spread | |
| discussant: Timm Kruse | |
| Timm Kruse (Karlsruhe Institute of Technology, Germany), Edward Sun (Karlsruhe Institute of Technology, Germany) | |
| Optimal Liquidation of Trading Strategy in Limit Order Books for Financial Institutions | |
| discussant: Björn Hagströmer | |
Portfolio Management
| Ji Cao (University of Trier, Germany), Marcel Fischli (UBS AG), Marc Rieger (University of Trier, Germany) | |
| Should Your Bank Invest for You? Evidence from Private Banking Accounts | |
| discussant: Philipp Kaufmann | |
| Marc-Gregor Czaja (Allianz Investment Management), Philipp Kaufmann (University of Münster, Germany), Hendrik Scholz (University of Erlangen-Nuremberg, Germany) | |
| Enhancing the Profitability of Earnings Momentum Strategies: The Role of Price Momentum, Information Diffusion and Earnings Uncertainty | |
| discussant: Yuliya Plyakha | |
| Yuliya Plyakha (Goethe University Frankfurt, Germany), Raman Uppal (Edhec Business School, United Kingdom), Grigory Vilkov (Goethe University Frankfurt, Germany) | |
| Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? | |
| discussant: Ji Cao | |
Risk
| Juliana Malagon (Charles III University of Madrid, Spain), David Moreno (Charles III University of Madrid, Spain), Rosa Rodríguez (Charles III University of Madrid, Spain) | |
| Time Horizon Trading and The Idiosyncratic Risk Puzzle | |
| discussant: Tobias Berg | |
| Tobias Berg (Humboldt University of Berlin, Germany), Andreas Neuhierl (Kellog School of Management, United States) | |
| Survival Bias and Equity Returns: The Effects of the Risk Channel | |
| discussant: Julia Schaumburg | |
| Nikolaus Hautsch (Humboldt University of Berlin, Germany), Julia Schaumburg (Humboldt University of Berlin, Germany), Melanie Schiele (Humboldt University of Berlin, Germany) | |
| Financial Network Systemic Risk Contributions | |
| discussant: Juliana Malagón | |
