16. Kölner Finanzmarktkolloquium Asset Management
Das vom CFR unter der Leitung von Prof. Dr. Alexander Kempf organisierte 16. Kölner Finanzmarktkolloquium fand am 03. April 2017 in den Räumlichkeiten der Sparkasse KölnBonn in Köln statt.
Wir möchten uns an dieser Stelle herzlich bei allen Vortragenden, Diskutanten und sonstigen Teilnehmern bedanken, die durch ihre Präsentationen und Diskussionsbeiträge zu einer gelungenen Tagung beigetragen haben. Unser besonderer Dank gilt der Sparkasse KölnBonn für die Unterstützung bei der Organisation der Tagung.
Impressionen vom Kolloquium finden Sie hier.
| 9.30 | Registration |
| 10.00 - 10.15 | Welcome |
| 10.15 - 10.55 | Saliency Theory and Stock Prices: Empirical Evidence Mathijs Cosemans (Rotterdam School of Management), Rik Frehen (Tilburg University) Discussant: Sebastian Müller (German Graduate School of Management and Law) |
| 10.55 - 11.35 | Implied Volatility Duration and the Early Resolution Premium Christian Schlag, Julian Thimme, Rüdiger Weber (Goethe-University Frankfurt) Discussant: Stephan Jank (Deutsche Bundesbank) |
| 11.35 - 12.00 | Coffee break |
| 12.00 - 12.40 | Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices Stephan Jank, Christoph Roling (Deutsche Bundesbank), Esad Smajlbegovic (Erasmus School of Economics) Discussant: Mathijs Cosemans (Rotterdam School of Management) |
| 12.40 - 13.50 | Lunch |
| 13.50 - 14.30 | Price and Liquidity Spillovers during Fire Sale Episodes Pekka Honkanen, Daniel Schmidt (HEC Paris) Discussant: Vikas Agarwal (Georgia State University) |
| 14.30 - 15.45 | Postersession |
| Idiosyncratic Volatility, its Expected Variation, and the Cross-Section of Stock Returns Nicole Branger, Hendrik Hülsbusch, T. Frederik Middelhoff (Finance Center Münster) | |
| Good Inflation, Bad Inflation, and the Pricing of Real Assets Ilya Dergunov, Christoph Meinerding, Christian Schlag (Goethe-University Frankfurt) | |
| Empirical Asset Pricing with Multi-Period Disasters and Partial Government Defaults Jantje Sönksen (University of Tübingen) | |
| The Best in Town: A Comparative Analysis of Low-Frequency Liquidity Estimators Thomas Johann, Erik Theissen (University of Mannheim) | |
| Fake Alpha Marcel Müller, Tobias Rosenberger, Marliese Uhrig-Homburg (Karlsruhe Institute of Technology) | |
| Surprise in Short Interest Pavel Lesnevski (University of Mannheim), Esad Smajlbegovic (Erasmus School of Economics) | |
| 15.45 - 16.10 | Coffee break |
| 16.10 - 16.50 | … And Nothing Else Matters? On the Dimensionality and Predictability of International Stock Returns Heiko Jacobs (University of Mannheim), Sebastian Müller (German Graduate School of Management and Law) Discussant: Julian Thimme (Goethe-University Frankfurt) |
| 16.50 - 17.30 | Do ETFs Increase the Commonality in Liquidity of Underlying Stocks? Vikas Agarwal (Georgia State University), Paul Hanouna, Rabih Moussawi (Villanova University), Christof Stahel (US Securities and Exchange Commission) Discussant: Daniel Schmidt (HEC Paris) |
| Afterwards | Farewell Cocktails |
