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17. Kölner Finanzmarktkolloquium Asset Management

Das vom CFR unter der Leitung von Prof. Dr. Alexander Kempf organisierte 17. Kölner Finanzmarktkolloquium fand am 12. März 2018 in den Räumlichkeiten der Talanx Asset Management GmbH 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 Talanx Asset Management GmbH für die Unterstützung bei der Organisation der Tagung.

Impressionen vom Kolloquium finden Sie hier.


9.30Registration
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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