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Risk Premia in Electricity Wholesale Spot Markets– Empirical Evidence from Germany

Pietz, Matthäus - Center for Entrepreneurial and Financial Studies <München> - 2009

This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an … months. The hypothesis of a relation between the risk premia and the spot price variance and skewness has to be rejected.[...] …

Persistent link: https://www.econbiz.de/10005870222

Why and How to Integrate Liquidity Risk into a VaR-Framework

Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

find liquidity risk to increase traditionally-measured price risk by over 25%, even at standard 10-day horizons and for … liquid DAX stocks. We also show that the common approach of simply adding liquidity risk to price risk substantially … overestimates total risk because correlation between liquidity and price is neglected. Our results are robust with respect to …

Persistent link: https://www.econbiz.de/10005870380

The impact of the Sarbanes-Oxley Act on theCost of Going Public

Kaserer, Christoph; Mettler, Alfred; Obernberger, Stefan - Center for Entrepreneurial and Financial Studies <München> - 2009

This paper examines the impact of SOX on the total cost and the component cost of going public. First, we document a statistically significant increase in non-underwriting expenses of 0.8 percentage points after the introduction of SOX, which is mostly due to an increase in accounting and legal...

Persistent link: https://www.econbiz.de/10005870383