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17th Colloquium on Financial Markets 'Asset Management'

The 17th Colloquium on Financial Markets, organised by Prof. Dr. Alexander Kempf, took place at Talanx Asset Management GmbH in Cologne on March 12th, 2018.

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 Talanx Asset Management GmbH for its support and organization of the Colloquium.

Impressions of the Colloquium can be found here.

10.00 - 10.15Welcome
10.15 - 10.55Do Firm Fixed Effects Matter in Empirical Asset Pricing?
Daniel Hoechle (FHNW School of Business Basel), Markus Schmid (University of St. Gallen), Heinz Zimmermann (University of Basel)
Discussant: Hannes Mohrschladt (University of Münster)
10.55 - 11.35Shock Propagation Through Cross-Learning with Costly Price Acquisition
Jan Schneemeier (Indiana University)
Discussant: Ricardo Barahona (Tilburg University)
11.35 - 12.00Coffee break
12.00 - 12.40Can Unpredictable Risk Exposure be Priced?
Ricardo Barahona, Joost Driessen, Rik Frehen (Tilburg University)
Discussant: Jan Schneemeier (Indiana University)
12.40 - 13.50Lunch
13.50 - 14.30The Idiosyncratic Volatility Puzzle and its Interplay with Sophisticated and Private Investors
Hannes Mohrschladt, Judith C. Schneider (University of Münster)
Discussant: Daniel Hoechle (FHNW School of Business Basel)
14.30 - 15.50Postersession
Altruism versus Egoism in Investment Decisions
Daniel Brodback, Nadja Guenster (University of Münster), David Mezger (KPMG)
ESG Integration: Value, Growth and Momentum
Lars Kaiser (University of Liechtenstein)
Hedging with an Edge: Parametric Currency Overlay
Pedro Barroso (University of New South Wales), Marco J. Menichetti, Jurij-Andrei Reichenecker (University of Liechtenstein)
Knowing Me, Knowing You? Similarity to the CEO and Fund Managers' Investment Decisions
Stefan Jaspersen, Peter Limbach (University of Cologne)
Systematic Risk Premia in EM Bond Markets
Engelbert J. Dockner †, Stephan Kranner, Josef Zechner (Vienna University)
The Absolute Return Wedge: A New Measure that Predicts Hedge Fund Performance
Vikas Agarwal (Georgia State University), Stefan Ruenzi (University of Mannheim), Florian Weigert (University of St. Gallen)
15.50 - 16.10Coffee break
16.10 - 16.50Do Mutual Fund Managers have Risk Factor Timing Skills?
Manuel Ammann, Sebastian Fischer, Florian Weigert (University of St. Gallen)
Discussant: Carsten Rother (Invesco & University of Hamburg)
16.50 - 17.30Optimal Timing and Tilting of Equity Factors
Hubert Dichtl, Wolfgang Drobetz (University of Hamburg), Harald Lohre (Invesco & EMP at Lancaster University Management School), Carsten Rother (Invesco & University of Hamburg), Patrick Vosskamp (Allianz Global Investors)
Discussant: Sebastian Fischer (University of St. Gallen)
AfterwardsFarewell Cocktails

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