| Date: |
Wednesday, August 21, 08:50 - 16:20 |
| Place: |
Max Liebermann Haus of the Bankgesellschaft Berlin,
Pariser Platz 7, Berlin. |
| Organizers: |
Rajna Gibson (University of Zurich)
Wolfgang Bühler (Universität Mannheim) |
Preliminary Agenda |
08:50 |
Welcome the Participants by the Organizers of the Tutorial |
09:00 – 10:20 |
Session 1 - Market Microstructure |
Haakon Solheim,
Geir Hoidal Bjonnes,
Dagfinn Rime |
Volume, Order Flow and the FX market: Does it Matter who you are?
Discussant: Duane Seppi |
| Catherine D’Hondt |
Hidden Orders: an Empirical Study on the French Segment of Euro.NM
Discussant: Duane Seppi |
10:40 – 12:00 |
Session 2 - Investments |
| Laurens Swinkels |
Return-Based Style Analysis with Time-Varying Exposures
Discussant: Frans de Roon |
| Geert Van Campenhout |
Style Breaks in Return-Based Style Analysis
Discussant: Frans de Roon |
12:20 – 13:00 |
Session 3 - Asset Pricing |
| Angelika Esser |
Modelling Feedback Effects with Stochastic Liquidity
Discussant: Rüdiger Frey |
 |
13:00 – 14:00 |
Lunch Break |
14:00 – 15:20 |
Session 4 - Asset Returns as Predictors |
| Loredana Ureche-Rangau |
Is the Stock Exchange Market Able to Anticipate the Default of a Sovereign Debtor?
Discussant: Rajna Gibson |
| Astrid Van Landschoot |
How does a Banks’ Risk Profile Influence the Effect of Interest Rate Risk and Credit Risk? Evidence from Bank Stock Market Returns
Discussant: Lawrence Goldberg |
15:40 – 16:20 |
Session 5 - Corporate Finance and Market Integration |
An Buysschaert,
Marc Deloof,
Marc Jegers |
Equity Sales in Belgian Corporate Groups: Expropriation of Minority Shareholders?
Discussant: Ernst Maug |
