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Foreign vs. domestic listing: an entrepreneurial decision
Ding, Yuan; Nowak, Eric; Zhang, Hua - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper, we use a unique hand-collected dataset to analyze stock listing as an entrepreneurial decision. By comparing mainland Chinese entrepreneurial firmslisted in Hong Kong with the same type of firms opting for a domestic listing on the Shenzhen second board market, we argue that the...
Persistent link: https://www.econbiz.de/10005857778
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Director independence as strategic behavior
Wagner, Alexander F. - Institut für Schweizerisches Bankwesen <Zürich> - 2007
obtain from a less competent board. Themodel implies that shareholders face a tradeoff between higher CEO pay and more …
Persistent link: https://www.econbiz.de/10005858055
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The (Ir)relevance of Disclosure of Compliance with Corporate Governance Codes-Evidence from the German Stock Market
Nowak, Eric; Rott, Roland; Mahr, Till G. - Institut für Schweizerisches Bankwesen <Zürich> - 2006
This paper studies the short- and long-run announcement effects of declaring compliance with the German Corporate Governance Code (the Code). We examine a unique, hand-collected data set of 317 German listed firms from 2002-2005. First, we present evidence from an analysis of firms compliance...
Persistent link: https://www.econbiz.de/10005858374
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Ein Corporate Governance Ratingfür deutsche Publikumsgesellschaft
Drobetz, Wolfgang; Schillhofer, Andreas; Zimmermann, Heinz - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
Die aktuelle Corporate Governance Literatur stützt die verbreitete Hypothe-se, dass sicht „gute“ Corporate Governance durch eine höhere Unterneh-mensbewertung manifestiert. Die Mehrzahl der empirischen Studien unter-sucht jedoch nur ausgewählte Corporate Governance Mechanismen...
Persistent link: https://www.econbiz.de/10005858711
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The Political Economy of Bank- and Market Dominance
Thadden, Ernst-Ludwig von; Perotti, Enrico C. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
environment even when this reduces profits, as labor rents are exposed to undiversifiable firm-specific risk. In general, labor … and lenders prefer less corporate risk, since their claims are a concave function of firm profitability. This congruence …
Persistent link: https://www.econbiz.de/10005858758
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Explaining Asymmetric Volatility around the World
Talpsepp, Tonn; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009
Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …
Persistent link: https://www.econbiz.de/10009022138
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Exponential utility indifference valuation in two Brownian settings with stochastic correlation
Frei, Christoph; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...
Persistent link: https://www.econbiz.de/10005857735
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008
individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …
Persistent link: https://www.econbiz.de/10005857736
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Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - Institut für Schweizerisches Bankwesen <Zürich> - 2007
price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two … overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational investors … bonds are an essential accompaniment of equity investment, as they serve to hedge this “sentiment risk.” …
Persistent link: https://www.econbiz.de/10005857774
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Arbitrage in Stationary Markets
Evstigneev, Igor; Kapoor, Dhruv - Institut für Schweizerisches Bankwesen <Zürich> - 2007
discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …
Persistent link: https://www.econbiz.de/10005857775