Mutual funds and other institutional investors

Instructor

Prof. Dr. Andre Guettler

 

General description

The seminar "Mutual funds and other institutional investors" is only for Bachelor students. There will be a maximum of participants. Students will form groups of two. Students may provide grouping and topic preferences but there are no guarantees. Each group is assigned a topic. Practical tasks will concentrate on replicating existing academic papers. Most of the data will be provided.

The topics available deal with the issues of predicting corporate bond and ETF yields. Research specifically concentrated on enhancing methods to be able to predict out-of-sample as well as methods to combine forecasted time series. In this respect, our topics not only cover recent research but also have the aim to evaluate whether lately developed methods can be applied to an ETF framework as well.

 

Language

The seminar language (seminar thesis, presentation, discussion etc.) is English.

 

Grading

-          50 %: seminar thesis (15 to 20 pages, please follow the guidelines provided by the Institute of Finance)

-          50 %: presentation (30 minutes)

-        Grading of these two components is per group. Both components need to be passed, i. e., a fail grade in (at least) one of the two components will trigger a fail grade for the seminar overall. The presentations need to be send by e-mail to both instructors the day before the presentation.

 

Registration

Deadline for registration is Thursday, 28th February! Please send an e-mail to Patrick Launhardt and state your three preferred topics. You also might state whether you want to collaborate with a specific fellow student, otherwise we will align groups ourselves. If the amount of students exceeds our capabilities, there will be a waiting list.

 

Assignment to seminar topics and formal registration

Participants are requested to register in the HIS Online-Portal / university portal until 30th April 2015. Otherwise no participation is possible.

 

Seminar topics

 

1. Understanding Changes in Corporate Credit Spreads (already assigned)

› Avramov et al. (2007): "Understanding Changes in Corporate Credit Spreads", Financial Analysts Journal

2. International Bond Return Predictability (already assigned)

› Rapach et al. (2013): "International Stock Return Predictability: What is the Role of the United States?", Journal of Finance