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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10005083101
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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
load fee this is in line with recent theory arguing that complementarities are mitigated by the involvement of large …
Persistent link: https://www.econbiz.de/10008533497
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Forecasting the price of crude oil via convenience yield predictions
Knetsch, Thomas A. - Deutsche Bundesbank - 2006
The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...
Persistent link: https://www.econbiz.de/10005083300
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A value at risk analysis of credit default swaps
Scheicher, Martin; Raunig, Burkhard - Deutsche Bundesbank - 2008
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...
Persistent link: https://www.econbiz.de/10005082760
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Market conditions, default risk and credit spreads
Tang, Dragon Yongjun; Yan, Hong - Deutsche Bundesbank - 2008
This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are decreasing in GDP growth rate, but increasing...
Persistent link: https://www.econbiz.de/10005082769
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The pricing of correlated default risk: evidence from the credit derivatives market
Zhu, Haibin; Tarashev, Nikola A. - Deutsche Bundesbank - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...
Persistent link: https://www.econbiz.de/10005082786
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Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors
Baltzer, Markus; Stolper, Oscar; Walter, Andreas - Deutsche Bundesbank - 2011
We analyze the effect of geographic proximity on individual investors' portfolio choice. Using a unique data set which covers the common stockholdings of private households at regional banks in Germany, we document strong and consistent overinvestment in geographically close companies. Our...
Persistent link: https://www.econbiz.de/10009372151
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Is local bias a cross-border phenomenon? Evidence from individual investors' international asset allocation
Baltzer, Markus; Stolper, Oscar; Walter, Andreas - Deutsche Bundesbank - 2013
Extant literature consistently documents that investors tilt their domestic equity portfolios towards regionally close stocks (local bias). We hypothesize that individual investors' local bias is not limited to the domestic sphere but instead also determines their international investment...
Persistent link: https://www.econbiz.de/10010957145
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Real-time forecasting and political stock market anomalies: evidence for the U.S.
Bohl, Martin T.; Döpke, Jörg; Pierdzioch, Christian - Deutsche Bundesbank - 2006
Using monthly data for the period 1953-2003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns. Our empirical findings show that political variables, selected on the basis of widely used model...
Persistent link: https://www.econbiz.de/10005083157
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Endogenous credit derivatives and bank behavior
Pausch, Thilo - Deutsche Bundesbank - 2007
Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...
Persistent link: https://www.econbiz.de/10005082815