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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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Capital Structure Arbitrage revisited
Wojtowicz, Marcin - Tinbergen Instituut - 2014
We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …
Persistent link: https://www.econbiz.de/10011255777
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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 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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Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
Cakmakli, Cem; Dijk, Dick van - Tinbergen Instituut - 2010
models improve upon both benchmark models that only include valuation ratios and interest rate related variables, and …
Persistent link: https://www.econbiz.de/10011256330
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10011256871
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Need for Speed? Exchange Latency and Liquidity
Menkveld, Albert J.; Zoican, Marius A. - Tinbergen Instituut - 2014
Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...
Persistent link: https://www.econbiz.de/10011257025
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Pensions, Debt and Inflation Risk in a Monetary Union
Adema, Yvonne - Tinbergen Instituut - 2010
This paper investigates the international spillovers of government debt and the associated risk of inflation within a monetary union when countries have different pension systems. I use a stochastic two-country two-period overlapping-generations model, where one country has PAYG pensions and the...
Persistent link: https://www.econbiz.de/10011257504
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Common Risk Factors in Equity Markets
Atanasov, Victoria - Tinbergen Instituut - 2014
Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed “the global consumption factor”, to explain the patterns in risk premiums on international equity markets. We identify this factor as...
Persistent link: https://www.econbiz.de/10011257535
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Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?
Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - Tinbergen Instituut - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10011257557