Program of the 12th Symposium on Finance, Banking, and Insurance
You can download the final version of the short program overview (two pages) here.
You can download the final version of the program here.
| Title | Author(s) | Discussant |
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| Wednesday, December 14, 2011 | |||||
| 18.30h: |
Inofficial Get Together and Registration kap Kapellenstraße 68 76131 Karlsruhe
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| Thursday, December 15, 2011 | |||||
| 8.00h-19.00h: | Registration | ||||
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Please note: If you would like to register prior to the keynote speech, please allow ten minutes to walk from the Conference Office to Building 11.40 (Tulla). |
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| 9.00-10.30h: |
Welcome Address and Academic Keynote Speech
"Rating Agencies in the Face of Regulation."
delivered by Prof. Milton Harris
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| 11.00-13.00h | Panel A |
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| Session 1 | Economics of Banking | ||||
| Competition, efficiency, and soundness in banking: An industrial organization perspective | Schaeck, Klaus Cihak, Martin |
Scalia, Antonio | |||
| Fair Value Accounting and the Business Model of Banks | Daske, Holger Gebhardt, Günther Bischof, Jannis |
Ruprecht, Benedikt | |||
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Sahel, Benjamin Scalia, Antonio |
Haselmann, Rainer | |||
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Entrop, Oliver Memmel, Christoph Ruprecht, Benedikt Wilkens, Marco |
Vorgrimler, Stephan | |||
| Session 2 | Asset Pricing I |
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Branger, Nicole Dumitrescu, Ioana Ivanova, Vesela Schlag, Christian |
Eraker, Bjorn | |||
| The Role of Volatility Shocks and Rare Events on Long-Run Risk Models | Branger, Nicole Rodrigues, Paulo Schlag, Christian |
Rieger, Marc Oliver | |||
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Eraker, Bjorn Wang, Wenyu |
Halling, Michael | |||
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Halling, Michael Cremers, Martijn Weinbaum, David |
Branger, Nicole | |||
| Session 3 | Mathem. Issues in Banking and Insurance |
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| Capital Adequacy of Financial Enterprises | Madan, Dilip B. | Franke, Günter | |||
| Multiperiod top-down models for banking supervision | Artzner, Philippe Eisele, Karl-Theodor |
Madan, Dilip B. | |||
| Exploring the Sources of Default Clustering | Giesecke, Kay Schwenkler, Gustavo Azizpour, Shahriar |
Becker, Christoph | |||
| Stressed Correlations and Volatilities – How to Fulfill Requirements of the Basel Committee | Becker, Christoph Schmidt, Wolfgang M. |
Schwenkler, Gustavo | |||
| Session 4 | Governance | ||||
| Institutional Investment Horizon, Corporate Governance, and the Cost of Equity Capital | Attig, Najah Cleary, Sean El Ghoul, Sadok Guedhami, Omrane |
Walther, Tobias | |||
| Bad Corporate Governance: When Incentive-Based Compensation Identifies Dangerous CEOs | Bechmann, Ken L. Raaballe, Johannes |
Schneider, Christoph | |||
| Is it better to say goodbye? When (former) executives set executive pay | Andres, Christian Fernau, Erik Theissen, Erik |
Guedhami, Omrane | |||
| Which form of venture capital is best-suited for innovation? | Bertoni, Fabio Tykvova, Tereza |
Strych, Jan‐Oliver | |||
| Session 5 | Retail Investments | ||||
| How Severe Was the Impact of the Financial Crisis on Individual Investor Perceptions and Behavior? |
Hoffmann, Arvid Pennings, Joost M. Post, Thomas |
Schmid, Markus | |||
| A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors | Schmid, Markus Hoechle, Daniel Zimmermann, Heinz |
Höchstötter, Markus | |||
| Is proprietary trading detrimental to retail investors? | Karabulut, Yigitcan Fecht, Falko Hackethal, Andreas |
Post, Thomas | |||
| 13.00-14.30h | Lunch | ||||
| 14.30-16.00h | Panel B | ||||
| Session 6 | Systemic Risk & Contagion | ||||
| Interbank Lending and the Spread of Bank Failures: A Network Model of Systemic Risk |
Giansante, Simone Krause, Andreas |
Lehar, Alfred | |||
| International propagation of the credit crisis | Brealey,Richard A. Cooper, Ian Anthony Kaplanis, Evi |
Raupach, Peter | |||
| Robustness and informativeness of systemic risk measures | Löffler, Gunter Raupach, Peter |
Packham, Natalie | |||
| Session 7 | Asset Pricing II |
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| Creative Destruction and Asset Prices | Grammig, Joachim Jank, Stephan |
Faias, José |
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| New Insights on Asset Pricing and Illiquidity | Buchner, Axel | Schlag, Christian |
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| Does Institutional Ownership Matter for International Stock Return Comovement? | Faias, José Ferreira, Miguel Matos, Pedro Santa-Clara, Pedro |
Buchner, Axel |
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| Session 8 | Insurance and Information |
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| Asymmetric Information in the Home Insurance Market | Aarbu, Karl Ove | Berg, Tobias | |||
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| Safe Today or Sorry Tomorrow? The Impact of Time‐Structure on Optimal Loss Prevention |
Peter, Richard Hofmann, Annette |
Aarbu, Karl Ove | |||
| Information Exchange in the Insurance Industry: A Procompetitive or Anticompetitive Device? |
Jansen, Jos Stenbacka, Rune |
Hirth, Stefan | |||
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| Session 9 | Focus Session: Minimum Variance Portfolio | ||||
| A practitioner’s view Comparing Alternative Beta Equity Strategies |
Kieselstein, Thomas (QUONIAM) | ||||
| An academic’s view A Fully Implied Approach to Find the Global Minimum Variance Portfolio |
Kempf, Alexander Korn, Olaf Saßning, Sven |
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| Session 10 | News | ||||
| When Does Company Specific News Matter? Determinants of News‐related Stock Returns. |
Dzielinski, Michal | Graf, Ferdinand | |||
| Do Newspaper Articles Predict Aggregate Stock Returns? |
Ammann, Manuel Frey, Roman |
Dzielinski, Michal |
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| Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets | Graf, Ferdinand | Frey, Roman | |||
| 16.30-18.00h | Panel C | ||||
| Session 11 | Banking: Regulation |
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| Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking | Gamba, Andrea De Nicolò, Gianni Lucchetta, Marcella |
Fecht, Falko |
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| Competition, bonuses, and risk-taking in the banking industry | Bannier, Christina E. Feess, Eberhard Packham, Natalie |
Gamba, Andrea |
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| Does contingent capital induce excessive risk-taking and prevent an efficient recapitalization of banks? | Berg, Tobias Kaserer, Christoph |
Stenbacka, Rune |
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| Session 12 | Portfolio Selection |
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| Asset allocation of defined-benefit pension plans in the absence of agency conflicts | Ley, Patrick Rieger, Marc Oliver Wagner, Alexander |
Korn, Olaf |
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| Risk-Taking-Neutral Background Risk | Schlesinger, Harris Franke, Guenter Stapleton, Richard |
Brandtner, Mario |
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| On the (Mis)Use of Conditional Value‐at‐Risk and Spectral Risk Measures for Portfolio Selection – a Comparison with Mean‐ Variance‐Analysis |
Brandtner, Mario | Peter, Richard |
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| Session 13 | Annuities |
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| Variable Annuities and the Option to seek Risk: Why should you diversify? |
Schneider, Judith Christiane Mahayni, Antje |
Moenig, Thorsten |
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| Revisiting the Risk‐Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities |
Bauer, Daniel Moenig, Thorsten |
Kraut, Gunther Arno | |||
| On the Propensity to Surrender a Variable Annuity Contract | Knoller, Christian Kraut, Gunther Schoenmaekers, Pascal |
Schneider, Judith | |||
| Session 14 | Government and Corporate Finance | ||||
| Corporate Risk-Taking in Privatized Firms: International Evidence on the Role of State and Foreign Owners | Boubakri, Narjess Cosset, Jean-Claude Saffar, Walid |
Tykvova, Tereza | |||
| Political Reforms and the Causal Impact of Blood-Related Politicians on Corporate Performance | Amore, Mario Daniele Bennedsen, Morten |
Saffar, Walid | |||
| Default Risk, Stock Returns and the Bankruptcy Reform Act of 1978 | Hackbarth, Dirk Haselmann, Rainer Schoenherr, David |
Andres, Christian |
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| Session 15 | Institutional Trading | ||||
| Selection, timing and total performance of equity funds: Wasting time measuring timing | Krimm, Sebastian Scholz, Hendrik Wilkens, Marco |
Porras Prado, Melissa | |||
| The Economic Value of Market Transparency and the Determinants of the Information Content of Order Flow: An Asset Allocation Perspective |
Nolte, Ingmar Payne, Richard Vasios, Michalis |
Scholz, Hendrik | |||
| The Price of Prospective Lending: Evidence from Short Sale Constraints | Porras Prado, Melissa | Vasios, Michalis | |||
| 19.00h: |
Conference Dinner Karlsruher Messe- und Kongress GmbH Kongresszentrum Karlsruhe - Konzerthaus Festplatz 9 76137 Karlsruhe www.messe-karlsruhe.de/messe_karlsruhe/veranstaltungsorte/kongresszentrum/konzerthaus.php |
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| Friday 16.12.2011 | |||||
| 9.00-10.30h: | Panel D |
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| Session 16 | Commodity & Energy Finance |
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| An Empirical Study of the Information Premium on Electricity Markets | Biegler-König, Richard Benth,Fred Espen Kiesel, Rüdiger |
Stoll, Sven‐Olaf | |||
| What Can We Learn from the EU ETS Experience? Recommendations for Effective Trading and Market Design. |
Mnif, Walid Davison, Matt |
Kiesel, Rüdiger | |||
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| News Analytics for Energy Futures | Borovkova, Svetlana |
Davison, Matt | |||
| Session 17 | Delega. Portfolio Management & Mutual Funds | ||||
| The expertise of mutual fund managers | De Bondt, Werner F. M. Xu, Wei |
Mählmann, Thomas |
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| Fee dispersion and persistence in the mutual fund industry | Cooper, Michael Halling, Michael Lemmon, Michael |
Jank, Stephan |
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| Equity friendly or noteholder friendly? The role of collateral asset managers in the collapse of the market for ABS-CDOs | Mählmann, Thomas | Daske, Holger |
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| Session 18 | Contemporary Issues in Insurance | ||||
| Coherent Projections of Age, Period, and Cohort Dependent Mortality Improvements | Aleksic, Marie-Christine Börger, Matthias |
Wesker, Hannah | |||
| Financial Planning and Risk-return Profiles | Graf, Stefan Kling, Alexander Ruß, Jochen |
Schiller, Jörg |
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| Contract Design and Insurance Fraud: an Experimental Investigation |
Schiller, Jörg Lammers, Frauke |
Gründl, Helmut | |||
| Session 19 | Debt Financing |
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| Banks’ Use of Credit Derivatives and the Pricing of Loans: What Is the Channel and Does It Persist Under Adverse Economic Conditions? | Norden, Lars Silva Buston, Consuelo Wagner, Wolf |
Düllmann, Klaus |
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| Certification and Reputation Milking: Comprehensive Evidence from Corporate Bonds | Andres, Christian Betzer, André Limbach, Peter |
Norden, Lars | |||
| The Credit Ratings Game - revisited | Hirth, Stefan | Thabe, Tim | |||
| Session 20 | Market Microstructure |
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| Do we need a European "National Market System''? Competition, arbitrage, and suboptimal executions | Wagener, Martin Storkenmaier, Andreas |
Colliard, Jean‐Edouard | |||
| Trading Fees and Efficiency in Limit Order Markets | Colliard, Jean-Edouard Foucault, Thierry |
Sojli, Elvira | |||
| Sunshine trading: Flashes of trading intent at the NASDAQ | Skjeltorp, Johannes A. Sojli, Elvira Tham, Wing Wah |
Wagener, Martin | |||
| 11.00-12.00h: |
Practitioners´ Keynote Speech
"Euroland´s hidden balance-of-payment crisis"
delivered by Dr. Thomas Mayer |
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| 12.00-13.15h: | Lunch | ||||
| 13.15-14.45h: | Panel E |
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| Session 21 | Credit Risk |
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| Risk Decomposition of Credit Spreads | Fuess, Roland Gehrig, Thomas Rindler, Philipp |
Trapp, Monika | |||
| Volatility patterns of CDS, bond and stock markets before and during the financial crisis: Evidence from major financial institutions |
Belke, Ansgar |
Füss, Roland | |||
| Credit Risk and the Macro Economy in an Affine Term Structure Model | Speck, Christian | Belke, Ansgar | |||
| Session 22 | Banking: Empirical |
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| Stress testing German banks against a global credit crunch | Düllmann, Klaus Kick, Thomas K |
Krause, Andreas | |||
| Bank risk taking and liquidity creation following regulatory interventions and capital support | Berger, Allen Bouwman, Christa Schaeck, Klaus Kick, Thomas |
Schmitt, Claus | |||
| Government Guarantees and Bank Risk Taking Incentives | Fischer, Markus Jens Hainz, Christa Rocholl, Joerg Steffen, Sascha |
Schaeck, Klaus | |||
| Session 23 | Insurance and Risk Managment |
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| Risk management of implicit options in life insurance contracts under estimation uncertainty | Körbitz, Paul Löffler, Gunter |
Gatzert, Nadine | |||
| Mortality Risk and its Effect on Shortfall and Risk Management in Life Insurance | Gatzert, Nadine Wesker, Hannah |
Bauer, Daniel | |||
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| Price-Default Risk-Demand-Curves and the Optimal Corporate Risk Strategy of Insurers: A Behavioral Approach | Gründl, Helmut Schade, Christian Zimmer, Anja |
Körbitz, Paul | |||
| Session 24 | Empirical Corporate Finance | ||||
| Financial Constraints and the International Zero-Leverage Phenomenon | Bessler, Wolfgang Drobetz, Wolfgang Haller, Rebekka Meier, Iwan |
Hofbaur, Ulrich | |||
| Does Institutional Environment matter in Executive Compensation? A multinational Analysis | Hüttenbrink, Alexander Rapp, Marc Steffen Wolff, Michael |
Schneider, Christoph | |||
| Acquisitions as Lotteries: Do Managerial Gambling Attitudes Influence Takeover Decisions? | Schneider, Christoph Spalt, Oliver |
Drobetz, Wolfgang |
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| Session 25 | Empirical Finance |
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| Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects |
Fricke, Christoph | Bestelmeyer, Georg |
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| Implied Risk Premium and the Business Cycle: You Can´t Always Get What You Want |
Bestelmeyer, Georg |
Kinateder, Harald | |||
| Market Risk Prediction under Long Memory: When VaR is Higher than Expected | Kinateder, Harald Wagner, Niklas |
Fricke, Christoph |
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| 14.45h: | Farewell | ||||
