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Liability Driven Investments under a Benchmark Based Approach
Baldeaux, Jan; Platen, Eckhard - Finance Discipline Group, Business School - 2013
In this paper, we present an alternative approach as a suitable framework under which liability driven investments can be valued and hedged. This benchmark approach values both assets and liabilities consistently under the real world probability measure using the best performing portfolio, the...
Persistent link: https://www.econbiz.de/10010883496
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Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500
Chiarella, Carl; He, Xue-Zhong; Zwinkels, Remco C.J. - Finance Discipline Group, Business School - 2014
This paper empirically assesses heterogeneous expectations in asset pricing. We use a maximum likelihood approach on S&P500 data to estimate a structural model. Our empirical results are consistent with a market populated with fundamentalists and chartists. In addition, agents switch between...
Persistent link: https://www.econbiz.de/10010883504
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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - Deutsche Bundesbank - 2013
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...
Persistent link: https://www.econbiz.de/10010957121
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Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - Deutsche Bundesbank - 2009
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10005082768
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The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?
Bird, Ron; Reddy, Krishna; Yeung, Danny - Finance Discipline Group, Business School - 2011
Numerous empirical studies dating back to Ball and Brown (1968) have investigated how markets react to the receipt of new information. However, it is only recently that authors have focussed on differentiating between, and learning from, how investors react to good and bad news. In this paper we...
Persistent link: https://www.econbiz.de/10009493157
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The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany
Fecht, Falko; Wedow, Michael - Deutsche Bundesbank - 2009
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...
Persistent link: https://www.econbiz.de/10008533497
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Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - Finance Discipline Group, Business School - 2005
Following the framework of a one risky - one riskless asset model developed by Brock and Hommes (1998), this paper considers a discrete-time model of a financial market where heterogeneous groups of agents allocate their wealth amongst multiple risky assets and a riskless asset. Agents follow...
Persistent link: https://www.econbiz.de/10004984536
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Hedging for the Long Run
Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008
fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that … illustrating and clarifying several points on asset price bubbles and the economics of arbitrage. …
Persistent link: https://www.econbiz.de/10004984487
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Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model
Heath, David; Platen, Eckhard - Finance Discipline Group, Business School - 2001
, payoffs can be perfectly hedged using self-financing strategies and a form of arbitrage still exists. This is illustrated by …
Persistent link: https://www.econbiz.de/10004984588
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Do Ex-Dividend Drop-Offs Differ Across Markets? Evidence from Internationally Traded (ADR) Stocks
Alaganar, VT; Partington, Graham; Stevenson, Max - Finance Discipline Group, Business School - 1999
availability of imputation tax credits to Australian resident investors. Valuation differences across markets present an arbitrage … opportunity, but we hypothesize that transactions costs and risk will inhibit arbitrage and that the valuation difference will … underlying Australian stocks. An expected source of difference in the valuation of dividends, and hence in the drop-offs, is the …
Persistent link: https://www.econbiz.de/10005027644