Josef Zechner
|
o. Univ.Prof. Dr. Dr.h.c. Josef Zechner Institute for Finance, Banking and Insurance |
Josef Zechner is Professor of Finance at the Vienna University of
Economics and Business. He is Director of the PhD
Program Vienna
Graduate School of Finance (VGSF). He is also Managing Editor of the Review
of Finance (joint with Marco Pagano) and past president of the European
Finance Association and the German Finance Association. Josef Zechner is a full
member of the Austrian Academy of Sciences, a CEPR
Research Fellow, and a member of the Financial Economists Round Table. Before
joining the University of Vienna, he was a faculty member of the University of Vienna and at the University of British Columbia.
His research has contributed to unify asset pricing theory with corporate
finance. Several of his papers derive valuation models for corporate claims in
the presence of default risk. He has developed (jointly with Robert Heinkel and
Edwin Fischer) a corporate bond pricing model which explicitly allows firms to
adjust their capital structure or to default on their debt at any point in
time. This model has become one of the standard references in the capital
structure and bond valuation literature. More recently he has extended
corporate bond pricing to relate the valuation models to standard credit risk
measures, such as expected default frequencies (EDFs) and Value-at-Risk, and to
derive a theory of optimal debt maturity (jointly with Thomas Dangl).
In another series of papers, he has derived asset pricing models which account
for the fact that firm's ownership structures influence their corporate
governance and therefore their fundamental values. In particular shareholder
activism will depend on ownership concentration. Thus, the portfolio decisions
of investors generally affect securities prices. The implications for
equilibrium pricing, portfolio holdings and the degree of shareholder activism
have been derived in a paper joint with Anat Admati and Paul Pfleiderer. The
implications of shareholder activism and ownership structure on IPO design and
IPO pricing have been explored in a paper joint with Neal Stoughton.
A third major strand of research focuses on the effects of governance in the
asset management industry. The traditional asset pricing literature does not
consider the fact that individual securities are frequently not held directly
by individual investors but via institutions such as mutual funds or closed-end
funds. In many instances investment decisions are therefore delegated to a
portfolio manager who is in turn chosen by a portfolio management company. In a
paper (joint with Thomas Dangl and Youchang Wu), he explores the management
companies' incentives to replace portfolio managers, to choose particular
portfolio risk levels, to decide how actively a fund should be managed and what
management fee should be charged. In an empirical study (joint with Russ
Wermers and Youchang Wu) he analyses the effect of governance on closed end
fund discounts.
The above papers have been published in leading finance and economics journals
such as the Journal of Finance, the Journal of Financial Economics, the Journal
of Political Economy, the Review of Financial Studies and the Journal of
Business.
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