Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel Am 21. Januar 2008 ist der DAX als Folge der Fehlspekulation des Aktienhändlers Jérôme Kerviel bei der Société Générale über 7% eingebrochen. Seit Auflegung der ersten...

The market for the leading German equity index DAX comprises electronically traded futures contracts, fully replicated and swap-based exchange traded funds (ETFs), and certificates. This paper reveals that DAX futures contracts contribute an economically and statistically significant proportion...

In this study, we augment seminal models based on Ohlson (1995) by integrating the value impact of ratings related to three different extra-financial categories, i. e. corporate governance, human capital, and innovation capital. For a sample of large European public firms, we find that a model...

It is widely recognized in the field of corporate finance, when valuing a levered project or firm, that the debt tax shield adds value to the unlevered project or firm. However, the value of the tax shield remains subject of debate as Luehrman (1997) points out. Research studies have tended to...

In this paper, we provide the first empirical evidence of fairness opinions in Europe. Legal requirements concerning the use of fairness opinions in mergers and acquisitions are significantly different in Germany, Switzerland, and Austria. We examine the determinants of target fairness opinions...

The British Premium Bond, which offers a monthly uncertain return solely based on a lottery, is an immense success. Why? We find that the bond bears relatively low risk in terms of CARA and CRRA utility. Since prizes are tax-free, the higher an individual's tax bracket, the more it pays to...

Perpetuity growth models are very popular throughout academia and practice. Given their parsimonious nature and their often implicit assumptions, it is not surprising that they can yield rather different results. First, the Miller and Modigliani (1961) model, coined as the investment opportunity...

In this paper, we empirically test the extent to which a portfolio of socially not responsible firms screened out of a market portfolio will trade at a discount. We create a set of global and domestic sin indexes consisting of a large number of publicly traded socially not responsible stocks...

This paper offers out-of-sample evidence of subsequent short-term abnormal returns for stocks experiencing a price change of ten percent or more in either direction on the German stock market between 1988 and 2007. First, we find significant evidence of overreaction which is not exclusively...