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Detecting Informed Trading Activities in the OptionsMarkets
Chesney, Marc; Crameri, Remo; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2009
This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...
Persistent link: https://www.econbiz.de/10005868704
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International Bond Risk Premia
Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011
We identify local and global factors across international bond markets that arepoorly spanned by the traditional level …, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are … jointly signicant predictors of bond returns, where the global factor isclosely linked to US bond risk premia and …
Persistent link: https://www.econbiz.de/10009305251
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Valuation, Liquidity and Risk in Government Bond Markets
Favero, Carlo; Pagano, Marco; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
We explore the determinants of yield differentials between long-term sovereigen bonds in Europa area. There is a common trend in yield differentials, which is correlated with the measure of tghe international risk factor. In contrast, liquidity differentials display sizeable hetrogeneity and no...
Persistent link: https://www.econbiz.de/10005858005
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Multi-Currency Quadratic Models : Theory and Evidence
Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
time-varying dynamics for conditional variance of bond and currency returns. Furthermore, we propose an m+n model structure …
Persistent link: https://www.econbiz.de/10005858853
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Efficient Portfolios with Endogenous Liabilities
Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We study the optimal policies and mean-variance frontiers (MVF) of a multiperiod mean-variance optimization of assets and liabilities (AL). Our model allows for a contemporaneous optimization of the balance-sheet as a whole. This makes the analysis more challenging than in a setting based on...
Persistent link: https://www.econbiz.de/10005858859
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Beta Regimes for the Yield Curve
Audrino, Francesco; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed form...
Persistent link: https://www.econbiz.de/10005858872
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Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices
Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
The goal of this paper is to assess, for the first time, the empirical impact of "Kaynes' beauty contest", or "higher order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and that heterogeneous expectation asset pricing models...
Persistent link: https://www.econbiz.de/10005857785
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Performance of Initial Public Offerings : The Evidence for Switzerland
Drobetz, Wolfgang; Kammermann, Matthias; Waelchli, Urs - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signal-ling hypothesis and, to some extent, the market cyclicality hypothesis...
Persistent link: https://www.econbiz.de/10005858709
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International Stock-Bond Correlations in a Simple Affine Asset Pricing Model
D'Addona, Stefano; Kind, Axel H. - Institut für Schweizerisches Bankwesen <Zürich> - 2006
correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model … to generate stock-bond correlations that are in line with empirically observed figures. …
Persistent link: https://www.econbiz.de/10005858383
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Nominal and Real Interest Rates during an Optimal Disinflation in New Keynesian Models
Hagedorn, Marcus - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Central bankers’ conventional wisdom suggests that nominal interest rates should be raised to implement a lower inflation target. In contrast, I show that the standard New Keynesian monetary model predicts that nominal interest rates should bedecreased to attain this goal. Real interest rates,...
Persistent link: https://www.econbiz.de/10005857755