Professor Michael Brennan presents wake up call on stock return bias

Early risers in Zurich were treated to an impressive research presentation by Professor Michael Brennan (left) this morning entitled "The Mispricing Return Premium".

The substantial size of the positive bias in stock prices estimated by Brennan's empirical study of NYSE, AMEX and Nasdaq data was all the more startling for the audience given the time-slot of the event: 7am at Zuercher Kantonalbank's gleaming offices in Zurich West.

Professor Emeritus at UCLA Anderson School and London Business School, Michael Brennan's research covers a broad topic range in finance and the Institute will see another facet of his current work when he presents on agency and asset pricing at our Annual Meeting in November.

The next seminar in the Swiss Finance Industry Seminar series, held on October 28th at 7am, will be given by Thomas Jordan, Member of the Governing Board of the Swiss National Bank and University of Berne. Professor Jordan's presentation is entitled Geldpolitik und Liquiditaet. Click here to register.

Also pictured: Didier Sornette (middle) and Paolo Vanini (right). Professor Vanini is director of knowledge transfer at the Swiss Finance Institute. The presentation was followed by a lively discussion from the assembled experts in banking and finance.

Zurich credit crisis conference assembles researchers from Europe, US and Asia

Lending behaviour, securitization and credit rating practices will be the focus of an upcoming conference organized by the BSI Gamma Foundation in Zurich. "The Credit Crisis: Causes, effects and lessons", September 2nd, is jointly organized with Finrisk and the SFI and will be hosted at the Swiss Exchange convention center.

Researchers from the IMF, University of Chicago, Hong Kong University and the Bank of England will present their findings on the crisis that initially, or at least officially, started in 2007 as a problem in the US subprime mortgage market.

The picture shows the results of a google trends search for the terms "credit crisis" and "easy credit". I offer this picture lightly, of course. But it acts as a nice heuristic for the relatively recent recognition of the crisis, and even suggests a weak anti-correlation between the two terms. For a more substantial SFI posting on the credit crisis click here.

Click here to register for the conference (deadline is next Monday, August 25th). I will post a report shortly after the event. Note that the conference academic director René Stulz will stay on in Switzerland the following week to teach a week-long course in integrated risk management in Geneva.