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10th Symposium on Finance, Banking, and
Insurance
Universität Karlsruhe (TH), December 14 – 16, 2005
Program
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Förderverein “Finanzwirtschaft und Banken” an der Universität Karlsruhe e.V. Forschungsgesellschaft „Geld – Banken – Bausparkassen – Versicherungen“ an der Universität Karlsruhe e.V.
10th Symposium on Finance, Banking, and Insurance
Under the patronage of Günther H. Oettinger, Minister President of Baden-Württemberg
Ladies and Gentlemen, Welcome to the 10th Symposium on Finance, Banking, and Insurance at the University of Karlsruhe (TH). The conference is aimed at giving an overview of the current developments in the fields of finance, banking, and insurance. It offers a platform for an exchange of ideas between academia and industry. Please use this brochure as a conference guide.
We are convinced that you will have interesting and enjoyable days in Karlsruhe. Sincerely yours
Board
U. Brixner (Frankfurt a.M.) • W. Eichhorn (Karlsruhe) • G. Franke (Konstanz) • J. Franke (Berlin) H. Göppl (Karlsruhe) • W.-R. Heilmann (München) • C. Hipp (Karlsruhe)
H. Kleiner (Karlsruhe) • M. Meier-Preschany (Frankfurt a.M.) • R. Roll (Los Angeles) S. Ross (Boston) • B. Schareck (Karlsruhe) • M. Uhrig-Homburg (Karlsruhe)
I. Welch (Providence) • A. Zink (Karlsruhe)
Hermann Göppl Marliese Uhrig-Homburg Christian Hipp
Information for Participants
Abstracts
Website: http://symposium.fbv.uni-karlsruhe.de An abstract booklet will be provided
Location: Building 20.13
2
Bookdisplay
We will provide free coffee, tea, and softdrinks
Cafeteria during the conference in building 20.13Conference Office
Location: Building 20.13 Opening hours:
Wed, Dec. 14, 2:30 pm to 6:30 pm (Bldg. 30.95) Thu, Dec. 15, 8:30 am to 6:30 pm Fri, Dec. 16, 8:30 am to 3:30 pm
Conference Rooms
Plenary Sessions: Building 30.95 Sessions: Building 20.12, 20.13, 20.14
See pages 5 to 21
Contact
Prof. Dr. Hermann Göppl (Finance and Banking) Prof. Dr. Christian Hipp (Insurance) Prof. Dr. Marliese Uhrig-Homburg (Derivatives)
Universität Karlsruhe (TH) 76128 Karlsruhe, Germany Phone: +49 (0)721 608 – 19900 Fax: +49 (0)721 608 – 19901 Email: [email protected] URL: http://symposium.fbv.uni-karlsruhe.de
Parkhaus am Schlossplatz Opening hours: 6:30 am to 9:00 pm Parking Fee: 1,20 € per hour; 12,00 € per day
Waldparkplatz Opening hours: 24 h Parking Fee: free
Parking
Internet
Free Internet access at building 20.14 Free W-LAN access available
Login and password will be provided at the conference
Page Contents Keynote Speakers 4 Program Summary Wednesday, December 14, 2005 5 Program Summary Thursday, December 15, 2005 6 Program Summary Friday, December 16, 2005 8 Detailed Information on Sections Thursday, December 15, 2005 10 Detailed Information on Sections Friday, December 16, 2005 18 Acknowledgements 21 Glossary of Names 22 Restaurant & Café List 25 Map of Conference Locations on the Campus 26
Sponsored by
Allianz Lebensversicherung – DZ Bank AG – Karlsruher Lebensversicherung Stadt Karlsruhe – State Street Bank – Universität Karlsruhe (TH)
Union PanAgora Asset Management GmbH
Förderverein “Finanzwirtschaft und Banken” an der Universität Karlsruhe e.V. Forschungsgesellschaft “Geld – Banken – Bausparkassen – Versicherungen” an der Universität
Karlsruhe e.V.
Medienpartner: dpa-AFX Wirtschaftsnachrichten GmbH
3
Keynote Speakers
Prof. Darrell Duffie Stanford University Factors Explaining Corporate Default Risk: What are we Missing? (Fri., 16.12., 11:30 am, Forum)
Dr. Jürgen Förterer CEO, R+V Versicherung Kapitalanlagepolitik von Lebensversicherungsunternehmen im Wandel der Zeit (Wed., 14.12., 4:00 pm, Forum)
Heinz Hilgert
Member of the Board, DZ BANK Transfer of Corporate Credit Risk within the Cooperative Bank Network (Thu., 15.12., 10:30 am, Forum)
Prof. Richard Roll University of California Recent Research about Liquidity (Wed., 14.12., 4:00 pm, Forum)
Jean-Claude Trichet President, European Central Bank European Financial Integration
(Fri., 16.12., 2:00 pm, Forum)
4
Program Summary
W e d n e s d a y - D e c e m b e r 1 4 , 2 0 0 5 4:00 pm - 6:00 pm
Prof. Richard Roll University of California
Recent Research about Liquidity
Location: Hörsaal am Forum (Building 30.95)
6:30 pm
Dr. Jürgen Förterer CEO, R+V Versicherung
Kapitalanlagepolitik von Lebensversicherungsunternehmen
im Wandel der Zeit
Evening Reception on behalf of the Government of
Baden-Württemberg Sponsored by Karlsruher Lebensversicherung
Gerhard Stratthaus
Minister of Finance of Baden-Württemberg Manfred Groh
Mayor of Karlsruhe Dr. Bernhard Schareck
Chairman, Karlsruher Lebensversicherung
Location: Karlsruhe Castle
Chair: Prof. Dr. Hermann Göppl
Opening and Welcome
Prof. Dr. sc. Tech. Horst Hippler Rektor, Universität Karlsruhe (TH)
Prof. Dr. Wolffried Stucky Dekan, Fakultät für Wirtschaftswissenschaften
5
Program Summary
T h u r s d a y - D e c e m b e r 1 5 , 2 0 0 5
08:30 am – 10:00 am
10:30 am – 11:30 am
1:00 pm – 2:30 pm
Lunch break
Energy Risk
Location: 20.13 109
Liquidity and
Trading Costs
Location:
20.14 103.1
Corporate
Governance
Location: 20.13 111
Fund
Manage-ment
Location: 20.12 214
Banking I
Location: 20.13 001
IPOs/SEOs
Location: 20.14 103.2
Chair: Prof. Dr. Marliese Uhrig-Homburg
Heinz Hilgert Member of the Board, DZ BANK
Transfer of Corporate Credit Risk within the Cooperative Bank Network
Location: Hörsaal am Forum (Building 30.95)
Asset
Allocation
Location: 20.13 006
Fixed
Income
Location: 20.13 009
Information in Financial
Markets
Location: 20.14 103.1
Empirical Studies in Insurance
Location: 20.13 111
Hedge Funds/ Private Equity
Location: 20.12 214
Banking II
Location: 20.13 001
Venture Capital
Location: 20.14 103.2
Econometric
Modelling
Location: 20.13 006
Coffee break
Mathematical Finance
Location: 20.13 006
Credit Risk I
Location: 20.13 109
Inter-Market
Linkages
Location: 20.14 103.1
Insurance Modelling
Location: 20.13 111
PF-
Selection/ PF-Manage-
ment Location: 20.12 214
Bank
Financing
Location: 20.13 001
Compen-
sation, Agency
Location:
20.14 103.2
3:00 pm – 4:30 pm
6
Program Summary
5:00 pm – 6:30 pm
Guided Tour at the ZKM
(7:00 pm – 8:00 pm)
Dinner Reception Sponsored by Union PanAgora Asset Management, Stadt Karlsruhe
Location: Karlsruhe Centre for Art and Media (ZKM) (shuttle buses will be available)
7:00 pm – 11:00 pm
Derivatives
I
Location: 20.13 006
Credit Risk II
Location: 20.13 109
Strategic Trading in Financial Markets Location:
20.14 103.1
Insurance Markets
Location: 20.13 111
Agency & Contract Theory
Location: 20.12 214
M&A
Location: 20.13 001
Going Private
Location: 20.14 103.2
4:30 pm – 5:00 pm
Poster-Section, Coffee break
7
Program Summary
F r i d a y - D e c e m b e r 1 6 , 2 0 0 5 8:30 am – 9:00 am
9:00 am – 11:00 am
Derivatives II
Location: 20.13 006
Credit Risk III
Location: 20.13 109
Information
and the Market
Location: 20.13 001
Insurance Products
Location: 20.13 111
E-Finance
Location: 20.12 002
Social Responsible Investment and New Products Location:
20.14 103.1
Corporate Finance
Location: 20.14 103.2
Poster Section
Interview possibility with the presenting author
Location: 20.14
2:00 pm – 3:00 pm
Chair: Prof. Dr. Günter Franke
Jean-Claude Trichet President, European Central Bank
European Financial Integration
Location: Hörsaal am Forum (Building 30.95)
Chair: Prof. Dr. Marliese Uhrig-Homburg
Prof. Darrell Duffie Stanford University
Factors Explaining Corporate Default Risk: What are we Missing?
Location: Hörsaal am Forum (Building 30.95)
Lunch break
11:30 am – 12:30 pm
afterwards
8
Farewell get-together Sponsored by DZ BANK
Poster Section Location: Bldg. 20.14
Presenting Authors in the Poster Session
Silke Ber; A. Kempf; S. Ruenzi- University of Cologne and Centre for Financial Research (CFR) Cologne, Germany Determinanten der Mittelzuflüsse bei deutschen Aktienfonds Jedrzej Bialkowski; S. Darolles; G. Le Fol - Auckland University of Technology, New Zealand Decomposing volume for VWAP strategies Uwe-Wilhelm Bloos - Goethe University Frankfurt, Germany On the Organization of Risk Management Jens Grunert; M. Weber- Lehrstuhl für Bankbetriebslehre, Germany Recovery Rates of Bank Loans: Empirical Evidence from Germany Eric Hillebrand; D. Chance; J. Hilliard - Louisiana State University, USA Pricing an Option on a Non-Decreasing Asset Value: An Application to MovieRevenue Christian Laux; S. Brandts - Goethe University Frankfurt, Germany ART versus reinsurance: the disciplining effect of information insensitivity Juho Mäkiö; T.Nguyen - University Karlsruhe (TH), Germany Modelling Best Execution Systems with Market Modelling Language Volker Meier; F. Baumann; M. Werding - Ifo Institute for Economic Research, Germany Transferable Ageing Provisions in Individual Health Insurance Contracts Randi Næs; J. Skjeltorp - Norges Bank, Norway Order Book Characteristics and the Volume-Volatility Relation: Empirical Evidence from a Limit Order Market Lars Norden; M. Weber - University of Mannheim, Germany Funding modes of German banks: structural changes and its implications Sachi Purcal; T. Wang - University of New South Wales, Australia Optimal consumer behaviour in a jump-diffusion environment Marco Rummer; A. Oehler; P. Smith - University of Bamberg, Germany IPO Pricing and the Relative Importance of Investor Sentiment - Evidence from Germany Ingo Schäl; I. Reif; A. Weingessel - Universität Karlsruhe, Germany Abgrenzung von Kreditrisiken und operationellen Risiken im Rahmen der Gesamtbanksteuerung Roman Schulze; H. Gründl; T. Post - Humboldt-Universität zu Berlin, School of Business and Economics, Germany To Hedge or Not to Hedge: Managing Demographic Risk in Life Insurance Companies Xia Su - University of Bonn, Germany Hedging Basket Options by Using a Subset of Underlying Assets Michael Suchanecki; A. Mahayni - University of Bonn, Germany Produktdesign und semi-statische Absicherung von Turbo-Zertifikaten Rafael Weißbach; C. von Lieres und Wilkau - University of Dortmund, Germany On partial defaults in portfolio credit risk Chris Yung - University of Colorado, USA Time-Varying Adverse Selection in Credit Markets
9
8:30 am – 10:00 am Session Thursda 005
Econometric Modelling
• Wolfgang Aussenegg; T. Miazhynskaia - Vienna University of Technology, Austria Uncertainty in Value-at-Risk Estimates under Parametric and Non-parametric Modeling
• Michael Halling; T. Dangl; O. Randl - University of Vienna, Austria Equity Return Prediction: Are Coefficients Time Varying?
• Discussants: Michael Halling - University of Vienna, Austria Zari Rachev – University of Karlsruhe, Germany
• ReikA Tw
• SteiFlex
• GerA Re
• Disc
Energ
Liquid
• AsaInte
• DanCom
• FreTim
• Disc
Corpo
• OmOwnand
• JanCor
• StefUnt
• Disc
10
Börger; R. Kiesel; G. Schindlmayer – University of Ulm, Germany o-Factor Model for the Electricity Forward Market
n-Erik Fleten; E. Näsäkkälä - NTNU Norway, Norway ibility and Technology Choice in Gas Fired Power Plant Investments o Schindlmayr - EnBW Trading GmbH, Germany gime-Switching Model for Electricity Spot Prices ussants: Jan Seifert – University of Karlsruhe, Germany Gero Schindlmayr - EnBW Trading GmbH, Germany Stein-Erik Fleten - NTNU Norway, Norway
Chair: Gero Schy Risk
ity and Trading Costs
ni Sarkar; R. Schwartz; A. Wolf - Research Depar-Temporal Trade Clustering and Two-Sided Markiel Mayston; A. Kempf - University of Cologne, Gmonalities in the Liquidity of a Limit Order Book
drik Berchtold - Stockholm University School of e varying decomposition of posted bid-ask spreadsussants: Tomasz Piotr Wisniewski - Auckland
Asani Sarkar - Research DepartmentOliver Wünsche - University of Tübi
rate Governance
rane Guedhami; J. Pittman - Memorial Universityership Concentration in Privatized Firms: The Ro
Auditing Infrastructure Mahrt-Smith; A. Dittmar - Rotman School of Maporate Governance and the Value of Cash Holdingan Prigge; A. Bassen; M. Kleinschmidt; C. Zöllneernehmenserfolg – Empirische Befunde zur Wirkunussants: Jochen Bigus - University of Osnabrü
Stefan Prigge – University of HambuChristian Diller - Technical Universi
y – December 15, 2Location: Bldg. 20.13 Room 006 Chair: Zari Rachev
Location: Bldg. 20.13 Room 109 indlmayr
Location: Bldg. 20.14 Room 103.1 Chair: Torsten Lüdecke
rtment, USA ets ermany
Business, Sweden University of Technology, New Zealand
, USA ngen, Germany
Location: Bldg. 20.13 Room 111 Chair: Andreas Loeffler
of Newfoundland, Canada le of Disclosure Standards, Auditor Choice,
nagement, University of Toronto, Canada s r – University of Hamburg, Germany g des Deutschen Corporate Governance Kodex ck, Germany rg, Germany ty of Munich, Germany
Thursday – December 15, 2005
8:30 am – 10:00 am
Session Fund Management
• Stefan Ruenzi; A. Kempf - University of Cologn(CFR) Cologne, Germany Tournaments in Mutual Fund Families
• Marie-Hélène Broihanne - University Louis PasFunds Tournament and Equity Portfolio Manage
• Thomas Burkhardt – University of Koblenz, GeEfficiency of Cost-Averaging as an investment strorder stochastic dominance
• Discussants: Thomas Burkhardt – University Christian Schmitt – risklab germ
Martin Eling – University of St.
IPOs/SEOs
• Antoine Biard - University Paris Dauphine, FranRegulation of Guru Analysts´ Conflicts of InteresOvervaluation
• Evgeny Lyandres - Jones Graduate School of MTarget leverage and the costs of issuing seasoned
• Pierre Giot; A. Schwienbacher - University of NIPOs, trade sales and liquidations: modelling ven
• Discussants: Xing Li - University of Miami, UAntoine Biard - University ParisEvgeny Lyandres - Jones GraduUniversity, USA
• Evelyn Hayden; D. Porath; N. v. Westernhagen-Does Diversification Improve the Performance ofBank Loan Portfolios
• Andreas Kamp; A. Pfingsten; D. Porath - UniveDo Banks Diversify Loan Portfolios? A TentativePortfolios
• Oliver Burkart - BaFin, Germany The evolution of volatility and extreme risk in Eur
• Discussants: Peiyi Yu - University of WolverLars Norden - University of MaTimo Baas - DIW-Berlin / Unive
Banking I
Location: Bldg. 20.12 Room 110 Chair: Stefan Ruenzi
e and Centre for Financial Research
teur, France rs Risk-Taking rmany ategy – An analysis based on second
of Koblenz, Germany any GmbH, Germany
Gallen, Switzerland
Location: Bldg. 20.14 Room 103.2 Chair: Oskar Kowalewski
ce t and IPOs´ Underpricing via
anagement, Rice University, USA equity amur, Belgium ture capital exits using survival analysis SA Dauphine, France ate School of Management, Rice
Location: Bldg. 20.13 Room 001 Chair: Christian Koziol
Österreichische Nationalbank, Austria German Banks? Evidence from Individual
rsity of Münster, Germany Answer Based on Individual Bank Loan
opean banking hampton, United Kingdom nnheim, Germany rsity of Potsdam, Germany
11
1:00 pm – 2:30 pm Session Thurs , 2005
12
•
•
•
•
Asset Allocation
• Erik Kole; K. Koedijk; M. Verbeek - RSM Erasmus University, The Netherlands Portfolio Implications of Systemic Crises
• Claus Munk; C. Sørensen - University of Southern Denmark, Denmark Dynamic Asset Allocation with Stochastic Income and Interest Rates
• Harris Schlesinger; G. Franke; R. Stapleton - University of Alabama, USA Asset Allocation Given Non-market Wealth and Rollover Risk
• Discussants: Harris Schlesinger - University of Alabama, USA Erik Kole - RSM Erasmus University, The Netherlands Claus Munk - University of Southern Denmark
Em
• Xi Li; H. Heidle - University of Notre Dame, USA Information leakage and opportunistic behavior before analyst recommendations: An analysis of the quoting behavior of Nasdaq market makers
• Dieter Hess; N. Hautsch – University of Cologne, Germany Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery
• Tomasz Piotr Wisniewski; A. Gilbert; A. Tourani-Rad - Auckland University of Technology, New Zealand Do Insiders Crowd out Analysts
• Discussants: Randi Naes - Norges Nank, Norway Christoph Heumann - University of Mannheim, Germany Daniel Mayston - University of Cologne, Germany
Information in Financial Markets
• Olaf Korn; C. Koziol - WHU - Otto Beisheim Hochschule, Germany Bond Portfolio Optimization: A Risk-Return Approach
• Tobias Linder; S. Trautmann, S. – University of Mainz, Germany Warrant Exercise and Bond Conversion in Large Trader Economies
• Georg Mosburger; P. Schneider - University of Vienna, Austria Modelling International Bond Markets with Affine Term Structure Models
• Discussants: Georg Mosburger - University of Vienna, Dep. of Finance, Austria Christian Koziol - University of Mannheim, Germany Manuel Ammann - University of St. Gallen, Switzerland
Location: Bldg. 20.13 Room 109 Chair: Siegfried Trautmann
Fixed Income
Thomas Berry-Stölzle - University of Cologne, Germany The Impact of Illiquidity on the Asset Management of Insurance Companies David Cummins; X. Xiaoying - University of Pennsylvania, USA Efficiency and Value Creation in Acquisitions and Divestitures: Evidence from the US Property-Liability Insurance Industry Richard Phillips; J. Cummins; Y. Lin - Georgia State University, USA An Empirical Investigation of the Pricing of Financially Intermediated Risks with Costly External Finance Discussants: Rüdiger Kiesel – University of Ulm, Germany
Chair: Alexander Mupirical Studies in Insurance
Belén Diaz - University of Cantabria, Spain Evelyn Hayden - Österreichische Nationalbank, Austria
day – December 15Location: Bldg. 20.13 Room 006 Chair: Günter Franke
Location: Bldg. 20.14 Room 103.1 Chair: Karl Ludwig Keiber
Location: Bldg. 20.13 Room 111 ermann
Thursday –
Hedge Funds/• Martin Eling - In
Does the choice ofunds?
• Oliver GottschalRisk-Adjusted Per
• Christian Diller;Drives European
• Discussants: NSO
• Timo Baas; M. SRelationship Ban
• Evgeny LyandreThe size of ventur
• Jörg Rocholl; MAre all retail inveunderwriting
• Discussants: CNW
Venture Capita
• Peiyi Yu; W. NeuMarket Structure,
• Elena Carletti; FCredit Market Co
• Andreas PfingsteCompetition in thcommercial loan
• Discussants: ASM
Banking II
1:00 pm – 2:30 pm
December 15, 2005 Session Private Equity stitute of Insurance Economicsf the performance measure hav
g; A. Groh - HEC School of Maformance of Private Equity Inv C. Kaserer - Technical UniversPrivate Equity Returns? - Fund.N. tefan Pichler – WU Wien, Auliver Gottschalg - HEC Schoo
chrooten - DIW-Berlin / Univking and SMEs - A Theoretical s - Jones Graduate School of Me capitalists' portfolios . Puri - University of North Carstors equal? The importance of
hristina Bannier - Goethe-Un.N. olfgang Bessler - Justus-Lieb
l
s - University of Wolverhamp Scale Efffciency and Risk as D. Allen; R. Marquez - Center fompetition and Capital Regulatin; K. Rudolph – University of
e German banking sector: An eorigination ndreas Kamp - University of Manjay Banerji - McGill Univerartin Ruckes - University of W
Location: Bldg. 20.12 Room 110 Chair: Christian Diller
, University of St. Gallen, Switzerland e an influence on the evaluation of hedge
nagement, Paris, France estments ity of Munich, Germany Inflows, Skilled GPs and/or Risk?
stria l of Management, Paris, France
er ny sity of Potsdam, GermaLocation: Bldg. 20.14 Room 103.2 Chair: Jochen Bigus
Analysis anagement, Rice University, USAolina at Chapel Hill, USA depositor base in commercial bank
iversity Frankfurt, Germany
ig-University Giessen, Germany
ton, United Kingdom Location: Bldg. 20.13 Room 001 Chair: Martin Ruckes
eterminants of German Banking Profitability r Financial Studies, Germany on Münster, Germany mpirical analysis of the concentration of
ünster, Germany sity, Canada
isconsin-Madison, USA
13
Thurs , 2005
3:00 pm – 4:30 pm Session
• Michael Genser - Universität St. Gallen/NHH BergenA Kalman Filter Approach for Structural Firm Value M
• Thomas Mählmann - University of Cologne, GermanEstimation of rating class transition probabilities with
• Nikola Tarashev - Bank for International Settlements,An Empirical Evaluation of Structural Credit Risk Mod
• Discussants: Klaus Duellmann - Deutsche BundesNikola Tarashev - Bank for InternatioPeter Posch – University of Ulm, Ger
Credit Risk I
Mathematical Finance
• Erik Kole; K. Koedijk; M. Verbeek - RSM Erasmus UTesting copulas to model financial dependence
• Ryle Perera - Macquarie University, Australia Pricing a Foreign Equity Call Struck in Domestic Curr
• Dietmar Leisen; F. Chabi-Yo; E. Renault - UniversityImplications of Asymmetry Risk for Portfolio Analysis
• Discussants: Olaf Korn - WHU - Otto Beisheim HAntje Mahayni - University of Bonn,Ryle Perera - Macquarie University,
• Dieter Denneberg; S. Maaß – University of Bremen, FContribution values for allocation of risk capital and f
• Rüdiger Kiesel; T. Liebmann; S. Kassberger – UniverFair Valuation of Insurance Contracts under Lévy Pro
• Discussants: Alexander Muermann - The WhartoSiegfried Trautmann – University of
Insurance Modelling
Inter-Market Linkages
• Jedrzej Bialkowski; M. Bohl; D. Serwa - Auckland UTesting for Financial Spillovers in Calm and Turmoil P
• Michael Flad; R. Jung - Goethe-University Frankfurt/A common factor analysis for the US and the German
• Discussants: Fredrik Brechtold - Stockholm UnivLudwig Keiber - WHU Otto Beisheim
14
day – December 15Location: Bldg. 20.13 Room 006 Chair: Stefan Pichler
niversity, The Netherlands
ency via the Principle of Equivalent Utility of Mainz, Germany and Asset Pricing ochschule, Germany Germany
Location: Bldg. 20.13 Room 109 Chair: Klaus Duellmann
Australia
, Norway odels
y incomplete data Switzerland els
bank, Germany nal Settlements, Switzerland
many
Location: Bldg. 20.14 Room 103.1 Chair: Christoph Heumann
niversity of Technology, New Zealand eriods
Main, Germany stock market during overlapping trading hours ersity School of Business, Sweden
Graduate School of Management, Germany
Location: Bldg. 20.13 Room 111 Chair: David Cummins
B 03, Germany or premium calculation sity of Ulm, Germany cess Specifications n School, University of Pennsylvania, USA Mainz, Germany
Thursday – December 15, 2005
3:00 pm – 4:30 pm
Session
PF-Selection/PF-Management
• Holger Kraft; R. Korn - University of KaiserslauContinuous-time Delegated Portfolio Managemenan Agency Conflict Be Avoided?
• Benoît Sévi; O. Rousse – University of MontpelliBehavioral Heterogeneity in the US Sulfur Dioxid
• Michael Verhofen – University of St. Gallen, SwThe Effect of Market Regimes on Style Allocation
• Discussants: Uwe-Wilhelm Bloos - Goethe USilvia Elsland – University of MPierre Giot - University of Namu
Compensation, Agency
• Christian Riis Flor; H. Frimor; C. Munk - UniveOptimal Compensation with Induced Moral Haza
• Ingolf Dittmann; E. Maug - Humboldt-UniversitLower Salaries and No Options? On the Optimal
• Sanjay Banerji; P. Bose - McGill University, CaCEO Compensations and Optimal Structure of DeInformation
• Discussants: Ernst Maug – Humboldt-UniverGünter Franke – University of KIngolf Dittmann - Humbolt-Univ
Bank Financing
• Christina Bannier - Goethe-University FrankfurHeterogeneous Multiple Bank Financing, Optima
• Jochen Bigus - University of Osnabrück, GermanBenefits and costs of having bank and trade credi
• Christian Koziol - University of Mannheim, GerDo Good or Bad Borrowers Pledge More Collate
• Discussants: Elena Carletti – Center for FinanOliver Burkart – BaFin, GermanStefan Hirth – University of Kar
Location: Bldg. 20.12 Room 110 Chair: Benoît Sévi
tern, Germany t with Homogeneous Expectations: Can
er I, France e Emissions Allowance Trading Program itzerland
niversity Frankfurt, Germany annheim, Germany r, Belgium
rrySn
s
t,lytmr
l
Location: Bldg. 20.14 Room 103.2 Chair: Annette Kirstein
sity of Southern Denmark, Denmark d in Investment of Berlin, Germany tructure of Executive Pay ada bt Under Moral Hazard and Asymmetric
ity of Berlin, Germany onstanz, Germany ersity of Berlin, Germany
Location: Bldg. 20.13 Room 001 Chair: Andreas Pfingsten
Germany Business Risk and Information Disclosure
simultaneously any al? cial Studies, Germany y sruhe (TH), Germany
15
5:00 p Session
•
•
•
Str
Credit Risk II
Derivatives I
• Nicole Branger; C. Schlag - Goethe UPut Options Are Not Too Expensive - A
• Michael Genser – University of St. GaExplaining Volatility Smiles of Equity O
• Grigory Vilkov; J. Driessen; P. MaenhOption-Implied Correlations and the P
• Discussants: Grigory Vilkov - INSELeonardo Nogueira - Dietmar Leisen - Univ
• Klaus Duellmann - Deutsche BundesbMeasuring Business Sector Concentrat
• Thomas Parnitzke - University of St. GCredit scoring and the sample selection
• Zari Rachev; S. Trück – University ofCredit Portfolio Risk and PD Confiden
• Discussants: Daniel Rösch - UniverJens Grunert - UniverThomas Mählmann -
Insurance Markets
• Christian Laux; A. Muermann - GoethMutual versus Stock Insurers: Fair Pre
• Alexander Muermann; N. Doherty - TInsuring the Uninsurable: Brokers and
• Thomas Post; H. Schmeiser - HumboldLife Annuity Insurance Versus Self-Ann
• Discussants: Alexander Kling - UnDavid Cummins - UnSachi Purcal - Univer
16
m – 6:30 pm
Thursday – December 15, 2005
niversity, Germany n Analysis of Path Peso Problems llen/NHH Bergen, Norway ptions with Capital Structure Models out - INSEAD, France rice of Correlation Risk
AD, France University of Reading, United Kingdom ersity of Mainz
ank, Germany ion by an Infection Model
allen, Switzerland bias
Karlsruhe (TH), Germany ce Sets through the Business Cycle sity of Regensburg, Germany sity of Mannheim, Germany University of Cologne, Germany
Christoph Heumann - University of Mannheim, Germany On the Noncompensation for Illiquidity in Equilibrium Asset Returns Karl Ludwig Keiber - WHU Otto Beisheim Graduate School of Management, Germany Insider Trading Rules and Price Formation in Securities Markets - An Entropy Analysis of Strategic Trading Discussants: Dieter Hess – University of Cologne, Germany
Dieter Denneberg – University of Bremen, Germany
Chair: Dieter Hessategic Trading in Financial Markets
e University Frmium, Capital,he Wharton Sc
Incomplete Inst-University ofuitization: An Aiversity of Ulmiversity of Pennsity of New Sou
Location: Bldg. 20.13 Room 006 Chair: Christian Schlag
ankfurt, and Solvhool, Unurance C Berlin, nalysis
, Germansylvaniath Wale
Location: Bldg. 20.14 Room 103.1
Location: Bldg. 20.13 Room 111 Chair: Christian Hipp
Location: Bldg. 20.13 Room 109 Chair: Alexander Reisz
, Germany
Germany ency iversity of Pennsylvania, USA ontracts
Germany from the Perspective of the Family y , USA s, Australia
5:00 pm – 6:30 pm Thursday – December 15, 2005 Session
Location: Bldg. 20.12 Room 110 Chair: Wolfgang Bessler
Agency & Contract Theory
• Jens Jackwerth; J. Hodder - University of Konstanz, Germany Incentive Contracts and Hedge Fund Management
• Annette Kirstein – University of Karlsruhe (TH), Germany How Mediator Compensation Affects the Conflicting Parties´, and the Mediator´s Behavior. An Economic and Experimental Analysis
• Tereza Tykvova - ZEW Mannheim, Germany Who chooses whom? Syndication, skills and reputation
• Discussants: Annette Kirstein – University of Karlsruhe (TH), Germany Marie-Hélène Broihanne - University Louis Pasteur, France Stefan Ruenzi - University of Cologne and (CFR) Cologne, Germany
Location: Bldg. 20.14 Room 103.2 Chair: Thomas Burkhardt
Going Private
• Silvia Elsland; M. Weber - University of Mannheim, Germany Squeeze-outs in Germany: Determinants of the Announcement Effects
• Oskar Kowalewski; K. Jackowicz - Leon Kozminski Academy of Entrepreneurship and Management, Poland Why companies go private in emerging markets? Evidence from Poland
• Discussants: Oskar Kowalewski – Leon Kozminski Academy of Entrepreneurship and Management, Poland Oleksandr Talavera - DIW - Berlin, Germany
Location: Bldg. 20.13 Room 001 Chair: Oliver Burkart
M&A • Rym Ayadi; G. Pujals - Centre for European Policy Studies, Belgium
Banking mergers and acquisitions in the EU: overview, assessment and prospects • Belén Diaz - University of Cantabria (Spain), Spain
Determinants of Premiums Paid in European Banking Mergers and Acquisitions • Martin Ruckes; A. Mello; W. Margsiri - University of Wisconsin-Madison, USA
A Dynamic Analysis of Growth Via Acquisition • Discussants: Jörg Rocholl - University of North Carolina at Chapel Hill, USA
Rym Ayadi - Centre for European Policy Studies, Belgium Christian Riis Flor - University of Southern Denmark
17
Fri , 2005
9:00 am – 11:00 am Session
•
•
•
•
•
Information and the Market
Credit Risk III
• Rainer Jankowitsch; S. Pichler; W. Schwaiger - Vienna University of Economics and Business Administration, Austria Modelling the economic value of credit rating systems
• Alexander Reisz; C. Perlich-Reisz - Office of the Comptroller of the Currency, USA A Market-Based Approach to Bankruptcy Prediction
• Peter Posch – University of Ulm, Germany Time to Change. Rating Changes and Policy Implications.
• Discussants: Alexander Reisz - Office of the Comptroller of the Currency, USA Thomas Parnitzke - University of St. Gallen, Switzerland Wolfgang Bühler - University of Mannheim, Germany
Derivatives II
• Stefan Rostek; R. Schöbel - Eberhard-Karls-University Tübingen, Germany Risk Preference Based Option Pricing in a Fractional Brownian Market
• Leonardo Nogueira; C. Alexander - University of Reading, United Kingdom Hedging with Stochastic and Local Volatility
• Christian Schlag; N. Branger - Goethe University, Germany An Economic Motivation for Variance Contracts
• Martin Wallmeier; R. Hafner – University of Fribourg, Switzerland An Investor’s Perspective on Volatility as an Asset Class: Evidence from the European Stock Market
• Discussants: Christian Schlag - Goethe University, Germany Nicole Branger - Goethe University, Germany Martin Wallmeier – University of Fribourg, Switzerland Rainer Schöbel - Eberhard-Karls-University Tübingen, Germany
18
Kevin Aretz; S. Bartram; P. Pope - Lancaster University, United Kingdom Macroeconomic Risks and the Fama and French/Carhart Model Wolfgang Bessler; M. Stanzel - Justus-Liebig-University Giessen, Germany Qualität und Effizienz der Gewinnprognosen von Analysten - Eine empirische Untersuchung für den deutschen Kapitalmarkt Lukas Roth; C. Loderer – University of Bern, Switzerland Do cash payouts justify share prices? Evidence from the NYSE, Amex, and NASDA Niklas Wagner; T. Marsh - TU Munich, Germany Surprise Volume and Heteroskedasticity in Equity Market Returns Discussants: Michael Verhofen – University of St. Gallen, Switzerland
Holger Kraft - University of Kaiserslautern, Germany
Chair: Holger Kraft
Kevin Aretz - Lancaster University, United Kingdom Jedrzej Bialkowski - Auckland University of Technology, New Zealand
day – December 16Location: Bldg. 20.13 Room 006 Chair: Rainer Schöbel
Location: Bldg. 20.13 Room 109 Chair: Wolfgang Bühler
Location: Bldg. 20.13 Room 001
9:00 am – 11:00 am Friday – December 16, 2005 Session
• Stefan Hirth; M. Uhrig-Homburg – University oOptimal Investment Timing When External Finan
• Jochen Lawrenz; M. Bank – University of InnsbInformational asymmetry between managers anddecision
• Andreas Loeffler; I. Gläser – University of HanA note on the relation between book value and m
• Oleksandr Talavera; C. Baum; M. Caglayan; AUncertainty Determinants of Corporate Liquidity
• Discussants: N.N. Christian Laux - Goethe UniveJan Mahrt-Smith - Rotman SchWolfgang Aussenegg - Vienna
Corporate Finance
• Patrick Bartels; M. Breitner – University of HanWarrant Pro 1: Market Price Synthesis with a So
• Matthias Kunzelmann; D. Neumann; C. WeinhZwischen Limit und Marktet Order
• Frank Schlottmann; A. Mitschele; D. Seese – UGermany Risk-Return Analysis with an Integrated Perspec
• Michael Stein; J. Branke; H. Schmeck - UniversPortfolio Selection: How to Integrate Complex C
• Discussants: Jürgen Branke – University of Frank Schlottmann – UniversitPatrick Bartels – University of Detlef Seese – University of Kar
• Sven Balder; M. Brandl; A. Mahayni - UniversitEffectiveness of CPPI Strategies under Discrete-
• Alexander Kling; A. Richter; J. Ruß - UniversityThe Interaction of Guarantees, Surplus DistributLife Insurance Policies
• Antje Mahayni; K. Sandmann - University of BReturn Guarantees with Delayed Payment
• Oliver Riedel - University of Giessen, Germany Unisex-Calculation and Secondary Premium Dif
• Discussants: N.N. Thomas Berry-Stölzle - UniverThomas Post - Humboldt-UniveVolker Meier - Ifo Institute for
E-Finance
Insurance Products
Location: Bldg. 20.13 Room 111 Chair: Rüdiger Kiesely of Bonn, Germany Time Trading of Ulm, Germany
ion, and Asset Allocation in with Profit
onn, Germany
ferentiation in Private Health Insurance
sity of Cologne, Germany rsity of Berlin, Germany
Economic Research, GermanyLocation: Bldg. 20.12 Room 002 Chair: Christof Weinhardt
nover, Germany ftware Agent and a Neurosimulator ardt – University of Karlsruhe, Germany
niversity of Karlsruhe (TH)/Gillardon AG,
tive on Market, Credit and Operational Risk ity of Karlsruhe (TH), Germany onstraints Karlsruhe (TH), Germany y of Karlsruhe (TH)/Gillardon AG, Germany Hannover, Germany lsruhe (TH), Germany
Location: Bldg. 20.14 Room 103.2 Chair: Christian Laux
f Karlsruhe (TH), Germany cing Is Costly ruck, Austria
investors in the optimal capital structure
nover, Germany arket value of firms . Stephan - DIW - Berlin, Germany
rsity Frankfurt, Germany ool, University of Toronto, Canada
University of Technology, Austria
19
Session
Social ResponsNew Products • Federica Miglietta
Socially Responsibl• Michael Schröder;
Mannheim, GermanWhat Determines thEuropean Compani
• Padma Kadiyala - Socially Responsibl
• Peter Westerheide Cointegration of RePrice Inflation – an
• David Lorenz; T. LNachhaltigkeitsorie
• Discussants: Pad Fed Mic Joa Pet
20
9:00 am – 11:00 am
Friday – December 16, 2005 ible Investment and
- Bocconi University, Italy e Investments in continental Europ A. Ziegler - Zentrum für Europäisy e Inclusion in a Sustainability Stoces Pace University, USA e Investing: Moral and Optimal? – ZEW Mannheim, Germany al Estate Stocks and REITs with Co International Comparison ützkendorf – University of Karlsru
ntierte Investments im Immobilienbma Kadiyala - Pace University, Uerica Miglietta - Bocconi Univershael Schröder – ZEW Mannheimchim Moser – University of Karlser Westerheide – ZEW Mannheim
Location: Bldg. 20.14 Room 103.1 Chair: Thomas Lützkendorf
e: a multifactor style analysis che Wirtschaftsforschung (ZEW),
k Index? A Panel Data Analysis for
mmon Stocks, Bonds and Consumer
he (TH), Germany ereich - Trends, Theorie und Typologie SA ity, Italy , Germany ruhe (TH), Germany , Germany
Acknowledgements
The organizing committee of the 10th Symposium on Finance, Banking, and Insurance would like to thank the colleagues Söhnke Bartram, Nicole Branger, Hans Heidle, Dieter Hess, Jens Jackwerth, Karl Keiber, Alexander Kempf, Christian Kotziol, Zari Rachev, as well as all the members of the board, and our Karlsruhe colleages for their help in putting together the program. Special thanks go to our fellow colleagues: Christof Weinhardt (Chair for Information Management and Systems), chairing the session « E-Finance », and Thomas Lützkendorf (Chair of Sustainable Management of Housing & Real Estate), chairing the session « Social Responsible Investment and New Products ». We would like to draw your special attention on the fact, that the chair of our colleague Thomas Lützkendorf «Chair of Sustainable Management of Housing & Real Estate», which is endowed by the Schwäbisch Hall foundation “bauen – wohnen – leben”, is celebrating its 5th anniversary. The chair website can be found at http://housing.wiwi.uni-karlsruhe.de.
21
Glossary of Names Alexander 18 Chabi-Yo 14Allen 13 Carletti 13,15Ambrosius 13 Cummins 12,14,16Ammann 12 Dangl 10Aretz 18 Denneberg 14,16Aussenegg 10,19 Diaz 12,17Ayadi 17 Diller 10,13Baas 11,13 Dittmann 15Balder 19 Dittmar 10Banerji 13,15 Doherty 16Bank 19 Driessen 16Bannier 13,15 Duellmann 14,16Bartels 19 Duffie 4,8Bartram 18 Eling 11,13Bassen 10 Elsland 15,17Baum 19 Flad 14Ber 9 Fleten 10Berchtold 10 Flor 15,17Berry-Stölzle 12,19 Förterer 4,5Bessler 13,18 Franke 12,15Bialkowski 9,18 Frimor 15Biard 11 Genser 14,16Bigus 10,13,15 Gilbert 12Bloos 9,15 Giot 11,15Bohl 14 Gläser 19Börger 10 Gottschalg 13Bose 15 Groh 13Brandl 19 Grunert 9Branger 16,18 Guedhami 10Branke 19 Hafner 18Brechtold 14 Halling 10Breitner 19 Hautsch 12Broihanne 11,17 Hayden 11,12Bühler 18 Heidle 12Burkart 15,17 Hess 12,14,16Burkhardt 11,17 Heumann 12,14,16Caglayan 19 Hilgert 4,6
22
Glossary of Names Hillebrand 9 Maaß 14 Hipp 16 Mäkiö 9 Hippler 5 Maenhout 16 Hirth 15,19 Mahayni 14,19 Hodder 17 Mählmann 14,16 Jackowicz 17 Mahrt-Smith 10,19 Jackwerth 17 Margsiri 17 Jankowitsch 18 Marquez 13 Jung 14 Marsh 18 Kadiyala 20 Maug 15 Kamp 11,13 Mayston 10,12 Kaserer 13 Meier 9,19 Kassberger 14 Mello 17 Keiber 12,14,16 Miazhynskaia 10 Kempf 10,11 Miglietta 20 Kiesel 10,12,14,19 Mitschele 19 Kirstein 15,17 Mosburger 12 Kleinschmidt 10 Moser 20 Kling 16,19 Muermann 12,14,16 Koedjik 12,14 Munk 12,15 Kole 12,14 Naes 9,12 Korn 12,14,15 Näsäkkälä 10 Kowalewski 11,17 Neumann 19 Koziol 11,12,15 Neus 13 Kraft 15,18 Nogueira 16,18 Kunzelmann 19 Norden 9,11 Laux 9,16,19 Parnitzke 16,18 Lawrenz 19 Perera 14 Leisen 14,16 Perlich-Reisz 18 Li 11,12 Pfingsten 11,13,15 Liebmann 14 Phillips 12 Linder 12 Pichler 14,18 Loderer 18 Pittman 10 Loeffler 10,19 Pope 18 Lorenz 20 Porath 11 Lützkendorf 20 Posch 14,18 Lyandres 11,13 Post 16,19
23
Glossary of Names Prigge 10 Schwienbacher 11Pujals 17 Seese 19Purcal 9,16 Seifert 10Puri 13 Serwa 14Rachev 10,16 Sévi 15Randl 10 Sørensen 12Reisz 16,18 Stanzel 18Renault 14 Stapleton 12Richter 19 Stein 19Riedel 19 Stucky 5Rocholl 13,17 Talavera 17,19Roll 4,5 Tarashev 14Rostek 18 Touran-Rad 12Roth 18 Trautmann 12,14Rousse 15 Trichet 4,8Ruckes 13,17 Trück 16Rudolph 13 Tykvova 17Ruenzi 11,17 Uhrig-Homburg 19Rummer 9 Verbeek 12,14Ruß 19 Verhofen 15,18Sandmann 19 Vilkov 16Schäl 9 Wagner 18Schindlmayr 10 Weißbach 9Schlag 16,18 Wallmeier 18Schlesinger 12 Weber 17Schlottmann 19 Weinhardt 19Schmeck 19 Westerheide 20Schmeiser 16 Westernhagen, von 11Schmitt 11 Wisniewski 10,12Schneider 12 Wolf 10Schöbel 18 Wünsche 10Schröder 20 Xiaoying 12Schrooten 13 Yu 11,13Schulze 9 Yung 9Su 9 Ziegler 20Suchanecki 9 Schwaiger 18 Schwartz 10
24
Restaurant & Café List
C A F É S
R E S T A U R A N T S
€€€ Exclusive €€ Midrange € BudgetGerman Cuisine Gastdozentenhaus Engesserstr. 3/ Campus €€ Schlosscafé Karlsruhe Castle €€ Bacchus Durlacher Allee 20 € Badische Weinstuben Botanic garden (West of Castle) €€€ Café-Restaurant Feller Am Marktplatz €€ Café Krone Am Marktplatz €€ Harmonie Kaiserstr. 57 € Hotel Kaiserhof Karl-Friedrich-Str. 12 €€€ Kleiner Ketterer Adlerstr. 34 € Litfass Kreuzstr. 10 € Multi-Kulti Schlossplatz 19 € Speisehaus Weinbrenner Am Marktplatz €€€ Update-Mensa Campus near Forum € Vogelbräu Kapellenstr. 50 €
International Cuisine El Taquito Waldstr. 22 €€ Maredo Steakhouse Zähringerstr. 69 €€ Mc Donald´s Waldstr. 30 € Burger King Kaiserstr. 64 € WOK-Man Kaiserstr. 20 € Renaissance-Hotelrestaurant Mendelssohnplatz €€€ Tavern – Der Grieche Kaiserstr. 16 €
Italian Cuisine Il Caminetto Kronenstr. 5 € Weisser Stern Am Künsterhaus 45 € L’incontro Leopoldstr. 3 €€
Café Feller Am Marktplatz €€ Café Krone Am Marktplatz €€ Café am Marktplatz Am Marktplatz €€ Café Wien Fasanenstr. 6 € Schlosscafé Karlsruhe Castle €€ Zero Kaiserstr. 133 €
25
Map of Conference Locations on the Campus
26
Fakultät für Wirtschaftswissenschaften Universität Karlsruhe (TH)
Masterstudiengang
• Informationswirtschaft (ab Oktober 2006)
Weitere Informationen: www.wiwi.uni-karlsruhe.de [email protected]
Diplomstudiengänge
• Wirtschaftsingenieurwesen • Technische Volkswirtschaftlehre
Bachelorstudiengang
• Informationswirtschaft (zusammen mit Fakultät für Informatik)
Zertifikat Risikowissenschaft Die Fakultät bildet bundesweit die meisten Diplom-Wirtschaftsingenieure aus und ist ie einzige universitäre Ausbildungsstätte für Wirtschaftsingenieure in Baden-ürttemberg. Lehre und Forschung sind interdisziplinär und quantitativ-methodisch
usgerichtet.
d W a
Lehr- und Forschungsbereiche
• Betriebswirtschaftslehre • Volkswirtschaftslehre • Operations Research • Angewandte Informatik
Personal: 28 Professoren, 170 Assistenten und wissenschaftliche Mitarbeiter Anzahl Studierende: ca. 3.000 Stiftungslehrstühle
• Entrepreneurship, interfakultativ (SAP) • Financial Engineering und Derivate (DZ Bank) • Informationsdienste und Elektronische Märkte (Schroff-Stiftung) • Ökonomie und Ökologie des Wohnungsbaus (Schwäbisch Hall-Stiftung) • Systemdynamik und Innovation (ISI/FhG)
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