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15th Colloquium on Financial Markets

The 15th Colloquium on Financial Markets, organised by Prof. Dr. Alexander Kempf, took place in Cologne on April 11th 2016. The discussion at the conference was centered around „Asset Management“. The event was held at Sal. Oppenheim jr. & Cie. AG & Co. KGaA.

Impressions of the Colloquium can be found here.

Papers accepted for presentation at the conference were eligible for the Best Paper Award which carries a cash prize of EUR 2.000.

We want to take the opportunity to thank all those who presented papers, who joined the discussion and all other participants who contributed with their presentations and comments to the success of the Colloquium. In particular we would like to thank Sal. Oppenheim jr. & Cie. AG & Co. KGaA for its support and organization of the Colloquium.

10.00 - 10.15Welcome
10.15 - 10.55Rich Pickings? Risk, Return, and Skill in the Portfolios of the Wealthy
Laurent Bach (Stockholm School of Economics), Laurent Calvet (HEC Paris), Paolo Sodini (Stockholm School of Economics)
Discussant: Florian Weigert (University of St. Gallen)
10.55 - 11.35Tree-Based Conditional Portfolio Sorts: The Relation Between Past and Future Stock Returns
Benjamin Moritz (LMU Munich & Sal. Oppenheim), Tom Zimmermann (Federal Reserve Board)
Discussant: Michael Weber (University of Chicago)
11.35 - 12.00Coffee break
12.00 - 12.40Global Asset Allocation Shifts
Tim A. Kroencke (University of Basel), Maik Schmeling (Cass Business School), Andreas Schrimpf (Bank for International Settlements)
Discussant: Daniel Schmidt (HEC Paris)
12.40 - 13.40Lunch
13.40 - 13.50Announcement of the Best Paper Award 2016
13.50 - 14.30The Term Structure of Equity Returns: Risk or Mispricing?
Michael Weber (University of Chicago)
Discussant: Tim A. Kroencke (University of Basel)
14.30 - 15.45Postersession
Are Anomaly-Separating Methodologies up to Their Designated Task?
Benjamin R. Auer, Frank Schuhmacher (University of Leipzig)
A Sharpe Ratio Neutral Prior for Bayesian Portfolio Selection
Roman Crößmann (LMU Munich)
High-Frequency Trading and Fundamental Price Efficiency
Jasmin Gider (University of Bonn), Simon N. M. Schmickler (Princeton University), Christian Westheide (University of Mannheim)
Ninety Years of Media Coverage and the Cross-Section of Stock Returns
Alexander Hillert, Michael Ungeheuer (University of Mannheim)
Dessecting Short-Sale performance: Evidence from Large Position Disclosures
Stephan Jank (Frankfurt School of Finance & Management), Esad Smajlbegovic (University of Mannheim)
Distracted Institutional Investors
Daniel Schmidt (HEC Paris)
Dynamic Optimization of Asset Allocation Strategies under Downside Risk Control: An Application to Futures Markets
Rainer A. Schüssler (Helmut Schmidt University Hamburg)
15.45 - 16.10Coffee break
16.10 - 16.50Liquidity Provision, Information, and Inventory Management in Limit Order Markets: An Analysis of Order Revisions
Vikas Raman (University of Warwick), Pradeep K. Yadav (University of Oklahoma)
Discussant: Laurent E. Calvet (HEC Paris)
16.50 - 17.30Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings
Vikas Agarwal (Georgia State University), Stefan Ruenzi (University of Mannheim), Florian Weigert (University of St. Gallen)
Discussant: Pradeep K. Yadav (University of Oklahoma)
AfterwardsFarewell Cocktails

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Sponsors CFR Assistant Professorship Sustainable Finance

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