market pricing - Lehrstuhl für Bankwirtschaft - Universität Hohenheim
market pricing - Lehrstuhl für Bankwirtschaft - Universität Hohenheim
market pricing - Lehrstuhl für Bankwirtschaft - Universität Hohenheim
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UNIVERSITÄT HOHENHEIM<br />
INSTITUT FÜR BETRIEBSWIRTSCHAFTSLEHRE<br />
LEHRSTUHL FÜR BANKWIRTSCHAFT UND<br />
FINANZDIENSTLEISTUNGEN<br />
PROF. DR. HANS-PETER BURGHOF<br />
Seminar zur <strong>Bankwirtschaft</strong> im Sommersemester 2011<br />
(Diplom/Master)<br />
Thema I: Information Efficiency<br />
MARKET PRICING<br />
• Fama (1970): Efficient Capital Markets: A Review of Theory and Empirical Work, Jour‐<br />
nal of Finance, Vol.25, No.2, pp.383‐417.<br />
http://www.jstor.org/stable/pdfplus/2325486.pdf?acceptTC=true<br />
• Fama(1965): The behavior of Stock‐Market Prices, The Journal of Business, Vol.38,<br />
No.1, pp.34‐105.<br />
http://www.jstor.org/stable/2350752<br />
• Malkiel (2003): A random walk down Wall Street: The time‐tested strategy for suc‐<br />
cessful investing, W.W. Norton & Company, New York.<br />
Thema II: Insider Trading<br />
• Utpal Bhattacharya, Hazem Daouk: The world price of insider trading, Journal of<br />
Finance (53), 2002, S. 75‐108, http://www.jstor.org/stable/2697834<br />
• Lisa K. Meulbroek: An Empirical Analysis of Illegal Insider Trading, Journal of Finance<br />
(47), 1992, S. 1661‐1699, http://www.jstor.org/stable/2328992<br />
• H. Leland: Insider Trading: Should it be prohibited?, Journal of Political Economy<br />
(100), 1992, S. 859‐887, http://www.jstor.org/stable/2138691<br />
Betreuung<br />
Wengner<br />
Betreuung<br />
Nau
Thema III: How to Measure Informed Trading<br />
• Easley, David et al. (1996): Liquidity, Information, and Infrequently Traded Stocks, in<br />
Journal of Finance, Vol.51, No.4, pp. 1405-1436.<br />
http://www.jstor.org/stable/pdfplus/2329399.pdf?acceptTC=true<br />
• Van Ness, Bonnie F.; Van Ness, Robert A.; Warr, Richard S. (2001): How Well Do<br />
Adverse Selection Components Measure Adverse Selection?, in: Financial Management,<br />
Vol.30, No.3, pp.77-98.<br />
http://www.jstor.org/stable/pdfplus/3666377.pdf<br />
Thema IV: Market Manipulation<br />
• Goldstein, Itay; Guembel, Alexander (2008): Manipulation and the Allocational Role of<br />
Prices, Review of Economic Studies, Vol.75, No.1, pp.133‐164.<br />
http://restud.oxfordjournals.org/content/75/1/133.full.pdf+html<br />
• Jiang, Guolin; Mahoney, Paul G.; Mei, Jianping (2005): Market Manipulation: A com‐<br />
prehensive study of stock pools. Journal of Financial Economics, Vol.77, No.1, pp.147‐<br />
170. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=663513<br />
• Comerton‐Forde, Carole; Putnins, Talis J. (2010): Measuring closing price manipula‐<br />
tion, Journal of Financial Intermediation, forthcoming.<br />
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1009001<br />
Betreuung<br />
Spankowski<br />
Betreuung<br />
Burghof
Thema V: Stabilization Activities after IPOs<br />
• Aggarwal, Reena (2000): Stabilization Activities by Underwriters after Initial Public Of‐<br />
ferings, in: Journal of Finance, Vol. LV, No.3, p.1075‐1103.<br />
http://faculty.msb.edu/aggarwal/jfstab.pdf<br />
• Lewellen, Katharina (2006): Risk, Reputation, and IPO Price Support, in: Journal of<br />
Finance, pp.613‐653<br />
http://onlinelibrary.wiley.com/doi/10.1111/j.1540‐6261.2006.00850.x/pdf<br />
Thema VI: Speculation and Bubbles<br />
• Tirole, Jean (1982): On the possibility of speculation under rational expectations,<br />
Econometrica, 50(5), pp. 1163‐1181.<br />
http://www.math.mcmaster.ca/~grasselli/Tirole82.pdf<br />
• Westerhoff, F.H. (2008) The use of agent‐based financial <strong>market</strong> models to test<br />
the effectiveness of regulatory policies, Jahrbücher f. Nationalökonomie u. Statis‐<br />
tik, Lucius&Lucius, Stuttgart.<br />
Thema VII: Behavioral Effects on Market Prices<br />
• Barberis, Nicholas and Richard Thaler (2003): A Survey of Behavioral Finance, in: G. M.<br />
Constantinides, M. Harris and R. Stulz (Ed.): Handbook of the Economics of Finance,<br />
pp. 1051‐1121.<br />
http://www.kmf.bwl.uni‐<br />
muenchen.de/aktuelles/aktuell_kmf/ws_10_11/bf_einstiegslit.pdf<br />
• Barberis, Nicholas, Andrei Shleifer and Robert Vishny (1998): A Model of Investor Sen‐<br />
timent, in: Journal of Financial Economics, 49, pp. 307‐343.<br />
http://www.lingnan.org/cferm/files/amodelofinvestorsentiment.pdf<br />
• De Long, Bradford J., Andrei Shleifer, Lawrence H. Summers und Robert J. Waldmann<br />
(1990): Positive Feedback Investment Strategies and Destabilizing Rational Specula‐<br />
tion, in: The Journal of Finance, 45(2), pp. 379‐295.<br />
http://www.jstor.org/stable/2328662<br />
Betreuung<br />
Flaig<br />
Betreuung<br />
Breuer<br />
Betreuung<br />
Kirsch
Betreuer:<br />
Prof. Dr. Hans-Peter Burghof Tel. 459-22900, burghof@uni-hohenheim.de<br />
Arne Breuer Tel. 459-22903, arne.breuer@uni-hohenheim.de<br />
Barbara Flaig Tel. 459-23283, barbara.flaig@uni-hohenheim.de<br />
Steffen Kirsch Tel. 459-22756, skirsch@uni-hohenheim.de<br />
Katharina Nau Tel. 459-23164, katharina.nau@uni-hohenheim.de<br />
Ulli Spankowski ulli.spankowski@uni-hohenheim.de<br />
Andreas Wengner Tel. 459-22983, andreas.wengner@uni-hohenheim.de<br />
Termine:<br />
Anmeldedatum: Vorbesprechung und Ausgabe der Anmelde- und Leistungsscheine am<br />
10.02.2011 um 08.00 Uhr in Hörsaal 7. Diese Veranstaltung ist <strong>für</strong> alle Interessenten<br />
verbindlich. Abgabe der Scheine bis spätestens 22.02.2011 bis<br />
12 Uhr im <strong>Lehrstuhl</strong>sekretariat.<br />
Themenzuteilung: 01.03.2011, Abgabe des Abstracts 01.04.2011<br />
Abgabedatum: 13.05.2011 bis 12 Uhr im Sekretariat<br />
Seminartermin: voraussichtlich Anfang Juli 2011<br />
______________________________________________________<br />
UNIVERSITÄT HOHENHEIM<br />
<strong>Lehrstuhl</strong> <strong>für</strong> <strong>Bankwirtschaft</strong> und Finanzdienstleistungen<br />
Andreas Wengner<br />
Tel. (0711) 459-22983<br />
Fax. (0711) 459-23448<br />
Email: andreas.wengner@uni-hohenheim.de<br />
Internet: www.bank.uni-hohenheim.de
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