Symposia

WU Gutmann Center Symposia

WU Gutmann Center Symposium 2011

LIQUIDITY AND ASSET MANAGEMENT

June 15, 2011

While several factors (housing bubble, credit boom, etc.) are considered as the main causes for the recent financial crisis, liquidity (actually, the lack of liquidity) can be viewed as one of the key factors which amplified the consequences and contributed to the widespread impact on financial markets, the investment industry and the real economy.

The main purpose of the WU Gutmann Symposium 2011 is to discuss various dimensions of liquidity and its implications for asset management. More specifically, the presentations will cover liquidity issues related to delegated portfolio choice, hedge funds, corporate bonds, and investor behavior.

We are proud to welcome international highly renowned experts who will present their state-of-the-art research in the field and cordially invite you to join our WU Gutmann Center Symposium 2011.

Location:	WU (Vienna University of Economics and Business) Festsaal, UZA 1, Augasse 2-6, 1090 Vienna
Registration:	Participation is free of charge, but registration is required. Registration deadline: June 8, 2011

	PROGRAM	FILES
08:30	Registration
09:00-09:15	Welcome Alois Geyer, Speaker WU Gutmann Center Barbara Sporn, Vice-Rector, Research, International Affairs and External Relations, WU Friedrich Strasser, Member of the Board and CIO, Bank Gutmann AG	Invitation Program

09:15-10:45	Session I Chair: William F. Sharpe, Stanford University
	How Does Illiquidity Affect Delegated Portfolio Choice? Luis Goncalves-Pinto, National University of Singapore Discussant: Neal Stoughton, UNSW Sydney	Paper Presentation Discussion
	The Diminishing Liquidity Premium Azi Ben-Rephael, Tel Aviv University (joint with Ohad Kadan and Avi Wohl) Discussant: Yong Chen, Virginia Tech	Paper Presentation Discussion
	Evaporating Liquidity Stefan Nagel, Stanford University Discussant: Miguel A. Ferreira, Universidade Nova de Lisboa	Paper Presentation Discussion
10:45-11:15	Coffee Break

11:15-12:45	Session II Chair: Alexander Mürmann, WU
	Econometric Measures of Systemic Risk in the Finance and Insurance Sectors Mila Getmansky Sherman, University of Massachusetts (joint with Monica Billio, Andrew Lo and Loriana Pelizzon) Discussant: Joost Driessen, Tilburg University	Paper Presentation Discussion
	Can Hedge Funds Time Market Liquidity? Yong Chen, Virginia Tech (joint with Charles Cao, Bing Liang and Andrew Lo) Discussant: Azi Ben-Rephael, Tel Aviv University	Paper Presentation Discussion
	Hedge Fund Stock Trading in the Financial Crisis of 2007-2008 Francesco Franzoni, University of Lugano (joint with Itzhak Ben-David and Rabih Moussawi) Discussant: Stefan Nagel, Stanford University	Paper Presentation Discussion
12:45-13:45	Lunch Break

13:45-15:15	Session III Chair: Thomas Gehrig, University of Vienna
	Money and Liquidity in Financial Markets Kjell G. Nyborg, University of Zürich (joint with Per Östberg) Discussant: Loriana Pelizzon, Università Ca'Foscari di Venezia	Paper Presentation Discussion
	An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets Joost Driessen, Tilburg University (joint with Dion Bongaerts and Frank de Jong) Discussant: Lubos Pastor, University of Chicago	Paper Presentation Discussion
	Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises Rainer Jankowitsch, WU (joint with Nils Friewald and Marti G. Subrahmanyam) Discussant: Robert Korajczyk, Northwestern University	Paper Presentation Discussion
15:15-15:45	Coffee Break

15:45-17:15	Session IV Chair: Terrance Odean, University of California, Berkeley
	The Geography of Mutual Funds: The Advantage of Distant Investors Miguel A. Ferreira, Universidade Nova de Lisboa (joint with Massimo Massa and Pedro Matos) Discussant: Susan Christoffersen, University of Toronto	Paper Presentation Discussion
	Investors’ Horizons and the Amplification of Market Shocks Cristina Cella, Stockholm School of Economics (joint with Andrew Ellul and Mariassunta Giannetti) Discussant: Luis Goncalves-Pinto, University of Southern California	Paper Presentation Discussion
	Money Fund Runs Russ Wermers, University of Maryland Discussant: Thomas Dangl, Vienna University of Technology	Paper Presentation Discussion
17:15	Concluding Remarks and Refreshments

► Past Gutmann Center Symposia