A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...

A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)

[...]In this study, we use recent historical evidence toexplore one dimension of the broad relationship betweenmarket returns and mutual fund flows: the effect of shorttermmarket returns on mutual fund flows. Research onthis issue has already confirmed high correlations betweenmarket returns and...

Model risk as part of the operational risk is a serious problem for financial institutions.As the pricing of derivatives as well as the computation of the marketor credit risk of an institution depend on statistical models the application of awrong model can lead to a serious over- or...

In Unternehmungen werden regelmäßig Entscheidungen über IT-Projekte getroffenmit dem Ziel, den Nutzen dieser Investitionen zu maximieren. Vor dem Hintergrund,dass rund zwei Drittel der IT-Projekte den prognostizierten Nutzen nicht erreichen,wird die Notwendigkeit einer ex ante Bewertung von...

This paper examines the impact of agency conicts on corporate nancing decisions. Werst build a dynamic contingent claims model in which nancing policy results from a trade-obetween tax benets, contracting frictions, and agency conicts. In our setting, partially-entrenched managers set the rms'...

We present the asymptotic properties of double-stage quantile regressionestimators with random regressors, where the first stage is based on quantile regressionswith the same quantile as in the second stage, which ensures robustness of the estimationprocedure. We derive invariance properties...

This paper shows that preferences alone cannot explain the patterns reported in the literature.

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure.