CFS Research Conference
29.05.2008 - 30.05.2008

Asset Management and International Capital Markets

Organization

Wolfgang Bessler (Justus-Liebig-University Giessen)
Wolfgang Drobetz (University of Hamburg)
Jan Pieter Krahnen (Frankfurt University and Center for Financial Studies)

Information

The objective of the conference is to bring together academics and members of the investment banking community to focus on state-of the-art academic research on asset management and international capital markets in an environment conductive to an exchange of ideas.

Conference Fee

The conference fee is 100 Euro.

There is a reduced fee of 50 Euro for Ph.D students.

Together with the confirmation you will receive an invoice for the payment.

Please note that attendance is by confirmation only. 

Program

May 29-30, 2008

MAY 29  
08:15 a.m. Registration and Welcoming Coffee
09:00 a.m. Opening Remarks:
Jan Pieter Krahnen (CFS and Goethe University Frankfurt)
Wolfgang Bessler (Justus-Liebig University Giessen)
09:15 a.m. KEYNOTE SPEAKERS
Gordon Alexander (University of Minnesota)
FROM MARKOWITZ TO MODERN RISK MANAGEMENT
10:00 a.m. Coffee Break
10:30 a.m. SESSION 1: Investment Models and Asset Pricing
Chair: Richard Stehle (Humboldt University Berlin)

Jesper Rangvid (Copenhagen Business School)
THE LONG-RUN WORLD CONSUMPTION RISK OF INTERNATIONAL STOCK MARKETS
Discussant: Andreas Schrimpf (ZEW)

Alexandros Kostakis (University of York)
PERFORMANCE MEASURES AND INCENTIVES: LOADING NEGATIVE COSKEWNESS TO OUTPERFORM THE CAPM
Discussant: Yvan Lengwiler (University of Basel)
12:30 a.m. Lunch
Dr. Heinz J. Hockmann (Chief Executive Officer, Fortis Investment)
POSITIONING OF ASSET MANAGEMENT FIRMS IN CHANGING CAPITAL MARKETS
02:00 p.m. SESSION 2: Bond Portfolio Management
Chair: Yvan Lengwiler (University of Basel)

Mats Hansson (Swedisch School of Economics, Helsinki)
Eva Liljeblom (Swedisch School of Economics, Helsinki)
Anders Löflund (Swedisch School of Economics, Helsinki)
INTERNATIONAL BOND DIVERSIFICATION STRATEGIES: THE IMPACT OF CURRENCY, COUNTRY AND CREDIT RISK
Discussant: Florinda Silva (University of Minho)

Raimond Maurer (Goethe University Frankfurt)
Marcel Marekwika (University of Regensburg)
HOW UNOBSERVABLE BOND POSITIONS IN RETIREMENT ACCOUNTS AFFECT ASSET ALLOCATION
Discussant: Eva Liljeblom (Swedisch School of Economics, Helsinki)
03:20 p.m. Coffee Break
03:50 p.m. SESSION 3: International Stock Investment
Chair: Martin Weber (University of Mannheim)

Markus Leippold (Imperial College, London)
Harald Lohre (University of Zurich and Union Investment Institutional GmbH)
INTERNATIONAL PRICE AND EARNINGS MOMENTUM
Discussant: Dieter Hess (University of Coglone)

R. David McLean (University of Alberta)
Jeffrey Pontiff (Boston College)
Akiko Watanabe (Univerity of Alberta)
SHARE ISSUANCE AND CROSS-SECTIONAL RETURNS: INTERNATIONAL EVIDENCE
Discussant: Axel Kind (University of Basel)
05:15 p.m. Werner DeBondt (DePaul University, Chicago)
THE SPECULATIVE DYNAMICS OF WORLD EQUITY MARKETS
07:30 p.m. Reception and conference dinner (by invitation only)
DekaBank Deutsche Girozentrale
Location: DekaBank, Frankfurt
   
MAY 30
 
09:00 a.m. Welcoming Remarks
Wolfgang Drobetz
(Hamburg University)
09:15 a.m. KEYNOTE SPEAKER
Yakov Amihud (New York University)
ASSET PRICING AND LIQUIDITY
09:45 a.m. Coffee Break
10:00 a.m. SESSION 4: Performance Measurement
Chair: Hartmut Schmidt (University of Hamburg)

Keith Cuthbertson (City University London)
Dirk Nitzsche (City University London)
Niall O'Sullivan (University College Cork)
UK MUTUAL FUND PERFORMANCE: SKILL OR LUCK?
Discussant: Peter Lückoff (University of Giessen)

Rajesh K. Aggarwal (University of Minnesota)
Phillipe Jorion (University of California at Irvine))
THE PERFORMANCE OF EMERGING HEDGE FUND MANAGERS
Discussant: Iwan Meier (HEC Montreal)

Maria Céu Cortez (University of Minho)
Florinda Silva (University of Minho))
Nelson Areal (University of Minho)
THE PERFORMANCE OF EUROPEAN SOCIALLY RESPONSIBLE FUNDS
Discussant: Thomas Burkhardt (University of Koblenz)
12:00 a.m. Lunch
Rolf W. Banz, Ph.D. (Chief Investment Architect, Pictet Asset Management)
HOW RELEVANT IS FINANCIAL ECONOMICS FOR INVESTORS?
01:30 p.m. PANEL DISCUSSION: Future of International Asset Management

Gordon Alexander (University of Minnesota)
Rolf W. Banz (Pictet Asset Management)
Werner DeBondt (DePaul University)
Heinz Zimmermann (University of Basel)
02.30 p.m. Farewell

Downloadable Papers

 
JESPER RANGVID

Paper: THE LONG-RUN WORLD CONSUMPTION RISK OF INTERNATIONAL STOCK MARKETS

 
WARREN G. DEAN AND ROBERT FAFF

Paper: FEEDBACK TRADING AND THE BEHAVIORAL ICAPM

 
ALEXANDROS KOSTAKIS

Paper: PERFORMANCE MEASURES AND INCENTIVES: LOADING NEGATIVE COSKEWNESS TO OUTPERFORM THE CAPM

 
MATS HANSSON, EVA LILJEBLOM AND ANDERS LÖFLUND

Paper: INTERNATIONAL BOND DIVERSIFICATION STRATEGIES: THE IMPACT OF CURRENCY, COUNTRY AND CREDIT RISK

 
RAIMOND MAURER AND MARCEL MAREKWICA

Paper: HOW UNOBSERVABLE BOND POSITIONS IN RETIREMENT ACCOUNTS AFFECT ASSET ALLOCATION

 
MARKUS LEIPPOLD AND HARALD LOHRE

Paper: INTERNATIONAL PRICE AND EARNINGS MOMENTUM

 
R. DAVID MCLEAN, JEFFREY PONTIFF AND AKIKO WATANABE

Paper: SHARE ISSUANCE AND CROSS-SECTIONAL RETURNS: INTERNATIONAL EVIDENCE

 
KEITH CUTHBERTSON, DIRK NITZSCHE AND NIALL O´SULLIVAN

Paper: UK MUTUAL FUND PERFORMANCE: SKILL OR LUCK?

 
RAJESH K. AGGARWAL AND PHILIPPE JORION

Paper: THE PERFORMANCE OF EMERGING HEDGE FUND MANAGERS

 
MARIA CORTEZ, FLORINDA SILVA AND NELSON AREAL

Paper: THE PERFORMANCE OF EUROPEAN SOCIALLY RESPONSIBLE FUNDS

Registration

Online Registration: Online Anmeldung / Registration

or Fax Registration: Fax Reply Form

Accomodation

Innside Premium Suites Frankfurt Eurotheum 
8 single/double rooms are reserved for the conference participants from 27.-31.05.2008.
The below mentioned conditions are valid for reservations until 27.04.08, the reservation code is “CFS Asset Management conference”.
Rates: single room, € 216 (27.-30.05.08), € 118 (30.-31.05.08) double room, surcharge of € 35 per room per night (27.-30.05.08), € 118 (30.-31.05.08)
All rates are per room per night including VAT of 19%. Breakfast is available for € 22 per day per person.
For reservation please call: +49-(0)69-210 88 210.

Flaming’s Hotel Frankfurt Messe 
32 single/double rooms are reserved for the conference participants from 27.-31.05.2008.
The below mentioned conditions are valid for reservations until 15.04.08 (all rooms), until 29.04.08 (16 rooms), the reservation code is “CFS Asset Management conference”.
Rates: single room, € 171 (27.-31.05.08) - double room, € 187 (27.-31.05.08)
All rates are per room per night including VAT of 19%, breakfast buffet-style, mini bar free of charge.
For reservation please call: +49-(0)69-37003-110 or +49-(0)180-5-3700-30.

Sofitel Frankfurt Savigny 
15 single/double rooms are reserved for the conference participants from 27.-31.05.2008.
The below mentioned conditions are valid for reservations until 29.04.08, the reservation code is  140271 or “CFS Asset Management conference”.
Rates: single room, € 159 (27.-30.05.08), 119 (30.-31.05.08) - double room,   € 159 (27.-30.05.08), 119 (30.-31.05.08)
All rates are per room per night including VAT of 19% and breakfast buffet-style.
For reservation please call: +49-(0)69-7533-0.

Dirazi Guest House 
5 single/double rooms are reserved for the conference participants from 27.-31.05.2008.
The below mentioned conditions are valid for reservations until 28.04.08, the reservation code is “CFS Asset Management conference”.
Rates: single room, € 87, 95 or 105, dependent on the category (27.- 31.05.08) double room, € 125 (27.-31.05.08)
All rates are per room per night including VAT of 19%. Breakfast is available for € 10,50 per day per person.
For reservation please call: +49-(0)69-71034430.

Contact

 

Roberta Ciut

Center for Financial Studies

0700-23773646

Email: ciut@ifk-cfs.de