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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010986365
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Cash flow and discount rate risk in up and down markets: What is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - Center for Financial Studies - 2010
extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …
Persistent link: https://www.econbiz.de/10010986418
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Revisiting the home bias puzzle: Downside equity risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint …. In this paper we empirically observe the international equity allocation for the downside risk investor using 9 … globally, but instead act locally, due to greater downside risk. The results provide an alternative view of the home bias …
Persistent link: https://www.econbiz.de/10010986470
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Who are the value and growth investors?
Betermier, Sebastien; Calvet, Laurent E.; Sodini, Paolo - Center for Financial Studies - 2014
income risk, lower human capital, and are more likely to be female than the average growth investor. Households actively …
Persistent link: https://www.econbiz.de/10010958609
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Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models
Grammig, Joachim; Schaub, Eva-Maria - Center for Financial Studies - 2014
The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …
Persistent link: https://www.econbiz.de/10010958629
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Revisiting the Home Bias Puzzle. Downside Equity Risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint …. In this paper we empirically observe the international equity allocation for the downside risk investor using 9 … globally, but instead act locally, due to greater downside risk. The results provide an alternative view of the home bias …
Persistent link: https://www.econbiz.de/10005600445
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Blockholder dispersion and firm value
Konijn, Sander J. J.; Kräussl, Roman; Lucas, André - Center for Financial Studies - 2010
This paper analyzes the impact of blockownership dispersion on firm value. Blockholdings by multiple blockholders is a widespread phenomenon in the U.S. market. It is not clear, however, whether dispersion among blockholder is preferable to having a more concentrated ownership structure. To test...
Persistent link: https://www.econbiz.de/10010986382
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - Center for Financial Studies - 2011
This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...
Persistent link: https://www.econbiz.de/10010986383
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Risk and expected returns of private equity investments: Evidence based on market prices
Jegadeesh, Narasimhan; Kräussl, Roman; Pollet, Joshua - Center for Financial Studies - 2010
We estimate the risk and expected returns of private equity investments based on the market prices of exchange traded …
Persistent link: https://www.econbiz.de/10010986405
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Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns
Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2007
This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997...
Persistent link: https://www.econbiz.de/10010986493