15th Annual Meeting of the German Finance Association (DGF)

Meeting Agenda

You can download the conference program here.

THURSDAY, October 9th 2008
from 7.00 p.m.	Get-Together at Picasso Museum
FRIDAY, October 10th 2008
9 - 9.15 a.m.	Opening (Room: F1)
9.15 – 10.15 a.m.	KN: Keynote Lecture is held by Prof. Arnoud Boot, University of Amsterdam: Financial Intermediation Theory and the Credit Crisis: What is the Research Agenda? (Room: F1)
10.15 - 10.45 a.m.	Coffee Break
Session Room	1 F1	2 F2	3 F4	4 F5	5 F6
PANEL A 10.45 a.m. - 12.45 p.m.	Derivatives 1	Int. Finance	Portf. Select.	Regulation	Corp. Fin. 1
12.45 - 2 p.m.	Lunch Break
PANEL B 2 - 3.30 p.m.	Derivatives 2	Fin. Products	Retirement Sav. 1	Banking 1	Mark. Mic. 1
3.30 - 4 p.m.	Coffee Break
PANEL C 4 - 5.30 p.m.	Derivatives 3	Asset Val. 1	Retirement Sav. 2	Banking 2	Mark. Mic. 2
5.45 – 6.30 p.m.	GM: General Meeting of the DGF (Room: F1)
6.45 p.m.	Busses leave from Fürstenberghaus
7 - 11 p.m.	Conference Dinner at Mühlenhof
SATURDAY, October 11th 2008
Session Room	1 F1	2 F2	3 F4	4 F5	5 F6
PANEL D 9 - 10.30 a.m.	Risk	Asset Pricing	Beh. Finance 1	Banking 3	Emp. Finance
10.30 - 11.00 a.m.	Coffee Break
PANEL E 11.00 a.m. - 12.30 p.m.	Perf. Measur.	Asset Val. 2	Beh. Finance 2	Credit Risk	Corp. Fin. 2
from 12.30 p.m.	Farewell Snack
This meeting agenda is preliminary. Please note, the organisation team must reserve the right to change the meeting agenda without notification to the registered participants at any time.
Academic program: Panel A: Friday, Oct. 10^th, 10.45 a.m. - 12.45 p.m. Slot 1: Derivatives 1 Portfolio Policies with Stock Options (Plyakha, Yuliya; Vilkov, Grigory) *Discussant assigned: Christian Koziol* Trading Strategies with Partial Access to the Derivatives Market (Muck, Matthias) *Discussant assigned:* *Nicole Branger* Reconciling Smiles for Index and Stock Options (Branger, Nicole; Kraft, Holger; Mahayni, Antje; Schlag, Christian) *Discussant assigned:* *José Da Fonseca* Impact of Imperfect Information on the Optimal Exercise Strategy for Warrants (Koziol, Christian) *Discussant assigned:* *Siegfried Trautmann* back to Meeting Agenda Slot 2: International Finance Risk-premia, carry-trade dynamics, and speculative efficiency of currency markets (Wagner, Christian) *Discussant assigned:* *Maik Schmeling* Multivariate Regime-Switching GARCH with an Application to International Stock Markets (Haas, Markus) *Discussant assigned:* *Leopold Sögner* International Price and Earnings Momentum (Lohre, Harald; Leippold, Markus) *Discussant assigned:* *Christian Westheide* International Stock Return Predictability under Model Uncertainty (Schrimpf, Andreas) *Presentation cancelled* back to Meeting Agenda Slot 3: Portfolio Selection Do Risk Attitude and Household Portfolio Diversification Match? Evidence from German Households' Portfolios (Barasinska, Nataliya; Schäfer, Dorothea; Stephan, Andreas) *Discussant assigned:* *Martin Wallmeier* Optimal Tax-Timing and Asset Allocation when Tax Rebates on Capital Losses are Limited (Marekwica, Marcel) *Discussant assigned: Holger Kraft* Wie diversifiziere ich richtig? - Eine Diskussion alternativer Asset Allocation Ansätze zur Konstruktion eines "Weltportfolios". (Jacobs, Heiko; Müller, Sebastian; Weber, Martin) *Discussant assigned:* *Marcel Marekwica* An Empirical Study on the Cost of Institutional Boundaries and Lacking Financial Sophistication in the Mutual Fund Selection Process (Fischer, René; Hackethal, Andreas; Meyer, Steffen) *Discussant assigned:* *Tatjana* *Puhan* back to Meeting Agenda Slot 4: Regulation Knightian Uncertainty and Insurance Regulation Decision (Chen, An; Su, Xia) *Discussant assigned:* *Oliver Vins* Foreign listings, US equity markets, and the impact of the Sarbanes-Oxley Act (Siegel, Stephan; Duarte, Jefferson; Kong, Katie; Young, Lancy) *Discussant assigned:* *Ingrid Stein* To Use or Not To Use - An Empirical Study of Visible Reserves in Bank Accounting in the Light of Regulatory Requirements and Informational Asymmetries (Bornemann, Sven; Homölle, Susanne; Hubensack, Carsten; Pfingsten, Andreas) *Discussant assigned:* *Karolin Kirschenmann* Looting and Gambling in Banking Crises (Hakenes, Hendrik; Boyd, John H.) *Discussant assigned:* *Rainer Jankowitsch* back to Meeting Agenda Slot 5: Corporate Finance 1 Political Connections and the Allocation of Procurement Contracts (Rocholl, Jörg; Goldman, Eitan; So, Jongil) *Discussant assigned:* *Sebastian Lobe* Fairness Opinions and Capital Markets: Evidence from Germany, Switzerland and Austria (Lobe, Sebastian; Schenk, Nils-Christian) *Discussant assigned:* *Jörg* *Prokop* ECONOMIC CONSEQUENCES OF PRIVATE EQUITY INVESTMENTS ON THE GERMAN STOCK MARKET (Achleitner, Ann-Kristin; Andres, Christian; Betzer, André; Weir, Charlie) *Discussant assigned:* *Jörg* *Rocholl* Evolution of Family Capitalism: A Comparative Study of France, Germany, Italy and the UK (Franks, Julian; Mayer, Colin; Volpin, Paolo; Wagner, Hannes) *Discussant assigned:* *Kristian* *Rydqvist* back to Meeting Agenda Panel B: Friday, Oct. 10^th, 2.00 p.m. - 3.30 p.m. Slot 1: Derivatives 2 Expected Option Returns and the Structure of Jump Risk Premia (Branger, Nicole; Hansis, Alexandra; Schlag, Christian) *Discussant assigned:* *Rainer Schoebel* Pricing and Risk Management of Relax Certificates (Branger, Nicole; Mahayni, Antje; Schneider, Judith Christiane) *Discussant assigned:* *Matthias Muck* Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland (Wallmeier, Martin; Diethelm, Martin) *Discussant assigned:* *Beate Breuer* back to Meeting Agenda Slot 2: Financial Products Optimal Design of Rating-Trigger Step-Up Bonds: Agency Conflicts Versus Asymmetric Information (Koziol, Christian; Lawrenz, Jochen) *Discussant assigned:* *Christian Hirsch* Why are British Premium Bonds so successful? The effect of saving with a thrill (Lobe, Sebastian; Hölzl, Alexander) *Discussant assigned:* *Hendrik* *Scholz* The Impact of an Interest Rate Freeze on Residential Mortgage Backed Securities (Hein, Julia; Weber, Thomas) *Discussant assigned:* *Christian Wagner* back to Meeting Agenda Slot 3: Retirement Savings 1 Annuitization and Retirement Timing Decisions (Shi, Zhen) *Discussant assigned:* *Christine Kaufmann* Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts (Horneff, Wolfram J.; Maurer, Raimond H.; Mitchell, Olivia S.; Stamos, Michael Z.) *Discussant assigned:* *Alex Weissensteiner* How Deep is the Annuity Market Participation Puzzle? (Inkmann, Joachim; Lopes, Paula; Michaelides, Alexander) *Discussant assigned:* *Raimond* *Maurer* back to Meeting Agenda Slot 4: Banking 1 Emergence of Financial Intermediaries on Electronic Markets: The Case of Online P2P Lending (Gleisner, Fabian; Berger, Sven) *Discussant assigned:* *Markus Glaser* Credit Risk Transfer in Banking Markets with Hard and Soft Information (Schnabel, Isabel; Hakenes, Hendrik) *Discussant assigned:* *Dorothea Schäfer* The relation between borrower risk and loan maturity in small business lending (Kirschenmann, Karolin; Norden, Lars) *Discussant assigned:* *Rolf Böve* back to Meeting Agenda Slot 5: Market Microstructure 1 A Dynamic Limit Order Market with Diversity in Trading Horizons (Van Achter, Mark) *Discussant assigned:* The Impact of Hidden Liquidity in Limit Order Books (Frey, Stefan; Sandas, Patrik) *Discussant assigned:* *Tim Adam* Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision (Schöneborn, Torsten; Schied, Alexander) *Discussant assigned:* *Christian Dick* back to Meeting Agenda Panel C: Friday, Oct. 10^th, 4.00 p.m. - 5.30 p.m. Slot 1: Derivatives 3 Hedging (Co)Variance Risk with Variance Swaps (DA FONSECA, JOSE; GRASSELLI, MARTINO; IELPO, FLORIAN) *Discussant assigned:* *Alexandra Hansis* The Optimal Demand for Retail Derivativies (Branger, Nicole; Breuer, Beate) *Discussant assigned: Judith Schneider* The dark side of the moon: structured products from the customer's perspective (Hens, Thorsten; Rieger, Marc Oliver) *Discussant assigned:* *Krzysztof Jajuga* back to Meeting Agenda Slot 2: Asset Valuation 1 Extended Dividend, Cash Flow and Residual Income Valuation Models - Accounting for Deviations from Ideal Conditions (Hess, Dieter; Homburg, Carsten; Lorenz, Michael; Sievers, Soenke) *Discussant assigned:* *Tobias Berg* Vice vs. Virtue Investing (Lobe, Sebastian; Roithmeier, Stefan) *Discussant assigned:* *Dieter Hess* Why Managers Hold Shares of Their Firms: An Empirical Analysis (Ruenzi, Stefan; von Lilienfeld-Toal, Ulf) *Discussant assigned:* *Sven Bornemann* back to Meeting Agenda Slot 3: Retirement Savings 2 The Evolution of Aggregate Stock Ownership---A Unified Explanation (Rydqvist, Kristian) *Discussant assigned:* *Joachim Inkmann* Pension Liability Valuation and Asset Allocation in the Presence of Funding Risk (Inkmann, Joachim; Blake, David) *Discussant assigned:* *An Chen* Optimal Life-Cycle Strategies in the Presence of Interest Rate and Inflation Risk (Maurer, Raimond; Schlag, Christian; Stamos, Michael Z.) *Discussant assigned:* *Nataliya* *Barasinska* back to Meeting Agenda Slot 4: Banking 2 Market Discipline at German savings banks (Pfingsten, Andreas; Sträter, Norbert; Wissing, Daniel) *Discussant assigned:* *Daniel Foos* How Politics influence State-owned Banks - the Case of German Savings Banks (Vins, Oliver) *Discussant assigned:* *Fabian Gleisner* Liberalization, Corporate Governance, and Savings Banks (Illueca, Manuel; Norden, Lars; Udell, Gregory F.) *Discussant assigned:* *Daniel Wissing* back to Meeting Agenda Slot 5: Market Microstructure 2 Learning from counterparties' order flow in electronic trading (Menkhoff, Lukas; Schmeling, Maik) *Discussant assigned:* *Stefan Frey* The Risk Microstructure of Corporate Bonds: A Bayesian Analysis of the German Corporate Bond Market (Sögner, Leopold; Frühwirth, Manfred; Schneider, Paul) *Discussant assigned:* *Christian Schlag* Price Dispersion in OTC Markets: A New Measure of Liquidity (Jankowitsch, Rainer; Nashikkar, Amrut; Subrahmanyam, Marti G.) *Discussant assigned:* *Torsten Schöneborn* back to Meeting Agenda Panel D: Saturday, Oct. 11^th, 9.00 a.m. - 10.30 a.m. Slot 1: Risk Why do firms hedge selectively? Evidence from the gold mining industry (Adam, Tim; Fernando, Chitru; Salas, Jesus) *Discussant assigned:* *Martin Ruckes* Robust Recovery Risk Hedging: Only the First Moment Matters (Trautmann, Siegfried; Müller, Monika) *Discussant assigned:* *Julia Hein* Incorporating the Dynamics of Leverage into Default Prediction (Löffler, Gunter; Maurer, Alina) *Discussant assigned: Jochen Lawrenz* back to Meeting Agenda Slot 2: Asset Pricing The Conditional Relation between Fama-French Betas and Return (Koch, Stefan; Westheide, Christian) *Discussant assigned: Martin Rohleder* Long-Horizon Consumption Risk and the Cross-Section of Expected Returns: A Cross-Country Perspective (Grammig, Joachim; Schrimpf, Andreas; Schuppli, Michael) *Discussant assigned:* *Stephan Siegel* Consumption-Based Asset Pricing: Durable Goods, Adjustment Costs, and Aggregation (Siegel, Stephan) *Discussant assigned:* *Michael Schuppli* back to Meeting Agenda Slot 3: Behavioral Finance 1 Can Prospect Theory Be Used To Predict Investor’s Willingness To Pay? (Erner, Carsten; Klos, Alexander; Langer, Thomas) *Discussant assigned:* *Alen Nosic* Overreaction and Investment Choices: An Experimental Analysis (Biais, Bruno; Nosic, Alen; Weber, Martin) *Discussant assigned:* *Marc Oliver Rieger* Why the Google IPO might stay exotic – An experimental analysis of offering mechanisms (Trauten, Andreas; Langer, Thomas) *Discussant assigned: Mark Van Achter* back to Meeting Agenda Slot 4: Banking 3 Why do specialized banks succeed? An empirical investigation of the credit business of cooperative and savings banks (Böve, Rolf; Andreas, Pfingsten) *Discussant assigned: Lars Norden* The quiet life hypothesis in banking - Evidence from German savings banks (Vins, Oliver; Kötter, Michael; Hackethal, Andreas) *Discussant assigned:* *Christoph Börner* Deposit insurance: An empirical study of private investor's knowledge and perception (Sträter, Norbert; Cornelißen, Markus; Pfingsten, Andreas) *Discussant assigned:* *Jens Grunert* back to Meeting Agenda Slot 5: Empirical Finance When is Bankruptcy Threat Bad News? Risk and Return Analysis of Firms Announcing Bankruptcy in the US and Germany (Vladimirov, Vladimir) *Discussant assigned:* *André Betzer* The Role of Media Coverage in the Information Diffusion Process in the Stock Market (Schmitz, Philipp) *Discussant assigned:* *Stefan Rünzi* Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information (Kaserer, Christoph; Dickgiesser, Sebastian) *Discussant assigned: Heiko Jacobs* back to Meeting Agenda Panel E: Saturday, Oct. 11^th, 11.00 a.m. - 12.30 p.m. Slot 1: Performance Measurement Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences (Rohleder, Martin; Scholz, Hendrik; Wilkens, Marco) *Discussant assigned:* *Steffen Meyer* Are Mutual Funds Doomed to Underperform? Evidence from Managerial Turnover and Fund Flows (Bessler, Wolfgang; Lückoff, Peter; Blake, David; Tonks, Ian) *Discussant assigned:* *Sebastian Müller* Ranking of equity mutual funds: The bias in using survivorship bias-free datasets (Scholz, Hendrik; Schnusenberg, Oliver) *Discussant assigned:* *Peter Lueckoff* back to Meeting Agenda Slot 2: Asset Valuation 2 Linking Credit Risk Premia to the Equity Premium (Berg, Tobias; Kaserer, Christoph) *Discussant assigned:* *Yuliya* *Plyakha* Life-cycle Asset Allocation and Optimal Consumption Using Stochastic Linear Programming (Hanke, Michael; Geyer, Alois; Weissensteiner, Alex) *Discussant assigned:* *Zhen Shi* Asset Allocation and Liquidity Breakdowns: What if Your Broker Does not Answer the Phone? (Diesinger, Peter; Kraft, Holger; Seifried, Frank) *Discussant assigned:* *Engelbert Dockner* back to Meeting Agenda Slot 3: Behavioral Finance 2 Managerial Optimism and Corporate Investment: Is the CEO Alone Responsible for the Relation? (Glaser, Markus; Schäfers, Philipp; Weber, Martin) *Discussant assigned:* *Jens Martin* Is a Team Different From the Sum of Its Parts? Evidence from Mutual Fund Managers (Bär, Michaela; Kempf, Alexander; Ruenzi, Stefan) *Discussant assigned: Markus Haas* The impact of optimistic and pessimistic managers on firm performance and corporate decisions (Martin, Jens) *Discussant assigned:* *Uwe* *Bloos* back to Meeting Agenda Slot 4: Credit Risk The real nature of credit rating transitions (Eisenkopf, Axel) *Discussant assigned:* *Thomas Weber* Tranching and Rating (Hein, Julia; Brennan, Michael J.; Poon, Ser-Huang) *Discussant assigned:* *Axel Eisenkopf* A primer on rating agencies as monitors: an analysis of the watchlist period (Hirsch, Christian; Krahnen, Jan Pieter) *Discussant assigned:* *Alina* *Maurer* back to Meeting Agenda Slot 5: Corporate Finance 2 Managerial Preferences and Competition in Internal Capital Markets (Bloos, Uwe-Wilhelm; Gerhardt, Christian) *Discussant assigned:* *Vladimir Vladimirov* Informed Headquarters and Capital Allocation in Multi-Divisional Firms (Hoang, Daniel; Ruckes, Martin) *Discussant assigned:* *Hendrik* *Hakenes* Do Managers follow the Shareholder Value Principle when applying Capital Budgeting Methods? A Comparison of Theory and Practice based on German Survey Results and Return Data (Lobe, Sebastian; Niermeier, Tobias; Essler, Wolfgang; Röder, Klaus) *Discussant assigned: Christoph Kaserer* back to Meeting Agenda