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Risk Transfer with CDOs and Systemic Risk in Banking

Krahnen, Jan Pieter; Wilde, Christian - C.E.P.R. Discussion Papers - 2006

the correlation properties both within and across risk classes. We then determine the effect of securitization on the …

Persistent link: https://www.econbiz.de/10005123936

The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies

Bansal, Ravi; Dahlquist, Magnus - C.E.P.R. Discussion Papers - 1999

In this paper we document new results regarding the forward premium puzzle. The often found negative correlation …

Persistent link: https://www.econbiz.de/10005504460

Credit Risk and Disaster Risk

Gourio, François - C.E.P.R. Discussion Papers - 2011

Macroeconomic models with financial frictions typically imply that the excess return on a well-diversified portfolio of corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in the corporate bond market (the "credit spread...

Persistent link: https://www.econbiz.de/10008854475

Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence

Albuquerque, Rui; Durnev, Artyom; Koskinen, Yrjö - C.E.P.R. Discussion Papers - 2013

This paper presents an industry equilibrium model where firms can choose to engage in corporate social responsibility (CSR) activities. We model CSR activities as an investment in customer loyalty and show that CSR decreases systematic risk and increases firm value. These effects are stronger...

Persistent link: https://www.econbiz.de/10011083749

Risk-Adjusting the Returns to Venture Capital

Korteweg, Arthur; Nagel, Stefan - C.E.P.R. Discussion Papers - 2013

Performance evaluation of venture-capital (VC) payoffs is challenging because payoffs are infrequent, skewed, realized over endogenously varying time horizons, and cross- sectionally dependent. We show that standard stochastic discount factor (SDF) methods can be adapted to handle these issues....

Persistent link: https://www.econbiz.de/10011084553

Riding the South Sea Bubble

Temin, Peter; Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2004

The efficient markets hypothesis implies that, in the presence of rational investors, bubbles cannot develop. We analyse the trading behaviour of a sophisticated investor, a London goldsmith bank, during the South Sea bubble in 1720. The bank believed the stock to be overvalued, yet found it...

Persistent link: https://www.econbiz.de/10005136583

Investor Sentiment and Pre-Issue Markets

Cornelli, Francesca; Goldreich, David; Ljungqvist, … - C.E.P.R. Discussion Papers - 2004

What role do sentiment investors play in the pricing of newly listed stocks? We derive conditions under which we can distinguish between sentiment and rational pricing behaviour and test for the rationality of small investors’ demand for new stock issues using data from pre-issue (or...

Persistent link: https://www.econbiz.de/10005504464

Skewness Risk Premium: Theory and Empirical Evidence

Lehnert, Thorsten; Lin, Yuehao; Wolff, Christian C - C.E.P.R. Discussion Papers - 2013

Using an equilibrium asset and option pricing model in a production economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the difference between the physical and the risk-neutral...

Persistent link: https://www.econbiz.de/10011084225

Local Bias and Stock Market Conditions

Giannetti, Mariassunta; Laeven, Luc - C.E.P.R. Discussion Papers - 2012

We show that the local bias in U.S. mutual fund portfolios varies significantly over time and is more pronounced at times of heightened market uncertainty, such as during financial crises. Similarly, the local bias is less pronounced in periods when market sentiment is strong. These results do...

Persistent link: https://www.econbiz.de/10011084583

Increased Correlation in Bear markets: A Downside Risk Perspective

Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …

Persistent link: https://www.econbiz.de/10005124110