EFM Symposium Asset Management in Hamburg
Vom 12. bis 14. April 2012 fand in Hamburg das European Financial Management (EFM) Symposium zum Thema Entwicklungen im Asset Management statt, die von Absolut Research als Sponsor und MEdienpartner begleitet wurde. Auf der von Prof. Dr. Wolfgang Drobetz (Universität Hamburg), Prof. Dr. Wolfgang Bessler (Universität Giessen) und Dr. John Doukas (Old Dominion University) organisierten Konferenz wurden von Wissenschaftlern aus der ganzen Welt aktuelle Forschungsarbeiten zum Asset Management vorgestellt und diskutiert.
Schwerpunkte der Präsentationen und Diskussionsrunden waren u.a.: Hedgefonds und Investmentfonds, Performance Messung, Asset Pricing, verschiedene Handelsstrategien, internationale Investments usw. Als Keynote Speaker traten die Professoren Elroy Dimson, Wayne Ferson und Laura Starks auf.
Das Programm erhalten sie hier.
Die komplette Paper-Sammlung können Sie hier herunterladen.
Die behandelten Themen und Arbeiten waren:
Asset Pricing
"Extreme Dependence Structures and the Cross-Section of Expected Stock Returns"
"Time-Varying Asset Valuations and Macroeconomic Uncertainty"
"Are order imbalances related to information?"
"Treasury Liquidity and Funding Liquidity: Evidence from Mutual Fund Returns"
"Analysts’ Optimism in Earnings Forecasts and Biases in Estimates of Implied Cost of Equity Capital and Long-run Growth Rate"
"Short Sale Constraints and the Likelihood of Crashes and Bubbles"
Bonds and Balanced Strategies
"Bond fund disappearance: What’s Return got to do with it?"
"Testing Rebalancing Strategies for Stock-Bond Portfolios: Where Is the Value Added of Rebalancing?"
"Common factors in the performance of European corporate bonds – evidence before and after financial crisis"
Hedge Funds
"Higher-moment risk exposures in Hedge Funds"
"The Valuation of Hedge Funds' Equity Positions"
"Flows, Price Pressure, and Hedge Fund Returns"
Hedge Funds and Style Analysis
"Where do Hedge Fund Managers Come from? Past Employment Experience and Managerial Performance"
"Complementary or Contradictory? Combining Returns Based & Characteristics Based Investment Style Analysis"
"Hedge Fund Liquidity and Performance: Evidence from the Financial Crisis"
International Investments
"The Determinants of International Commercial Real Estate Investments"
"Legality and the Spread of Voluntary Investor Protection"
"Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches"
Mutual Funds
"Sex Matters: Gender and Prejudice in the Mutual Fund Industry"
"Explaining Differences in Mutual Fund Performance Persistence"
"US Mutual Fund M&As"
"Front-running of mutual fund re-sales"
"What Style-Timing Skills do Mutual Fund “Stars” Possess?"
"Capacity Effects and Winner Fund Performance The Relevance and Interactions of Fund and Family Characteristics"
Performance Measurement
"The Performance of Small Cap Mutual Funds: Evidence for the UK"
"A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors"
"Individual Investor Activity and Performance"
"Evaluating Mutual Fund's Alpha via Alternative Frameworks: Some New Evidence and Insights"
"Can Large Pension Funds Beat the Market? Asset Allocation, Market Timing, Security Selection, and the Limits of Liquidity"
"On the Precision of Public Information and Mutual Fund Performance"
Portfolio Choice
"What drives the herding behavior of individual investors?"
"Portfolio Optimization Using Forward-Looking Information"
"Geographic Investment Focus and its Impact on Herd Behavior – Evidence from the German Equity Fund Market"
"A Jackknife-Type Estimator for Portfolio Revision"
"Risk aversion vs. individualism: What drives risk taking in household finance?"
"Approximations for Large Scale Dynamic Optimal Portfolios Policies and Applications"
Trading Strategies
"Losing sight of the trees for the forest? Pairs trading and attention shifts"
"Diversifying Risk Parity"
"Northern Exposure: How Canadian Small Stock Investments Can Benefit Investors"
"Short-Term Residual Reversal"
"Trading Behavior of Style and Multi-Style Investors"
"The SEC’s Publication of an Online Tool for Detecting Firms Doing Business in Countries Designated as State Sponsors of Terrorism Short-term Investor Reaction and Long-Term Consequences "
