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Morellec, Erwan; Smith Jr, Clifford W. - Institut für Schweizerisches Bankwesen <Zürich> - 2005

This paper analyzes the relation between agency conflicts and risk management in a contingent claims model of the firm … issued. The paper also examines managers risk-shifting incentives and provides an analysis of the benefits associated with … risk management in different economic enviromnents. …

Persistent link: https://www.econbiz.de/10005858789

Migration Correlation: Definition and Efficient Estimation

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2004

The aim of this paper is to explain why cross-sectional estimated migration correlations displayed in the academic and professional literature can be either not consistent, or inefficient, and to discuss alternative approaches. The analysis relies on a model with stochastic migration in which...

Persistent link: https://www.econbiz.de/10005858516

Stochastic Migration Models with Application to Corporate Risk

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich> - 2006

agencies in order to predict the future risk of a set of borrowers. The method is developed following the steps suggested by … model with unobservable dynamic factor is estimated from French data on corporate risk. …

Persistent link: https://www.econbiz.de/10005858518

The Conditional Value of R&D Investments

Damianova, Kremena - Institut für Schweizerisches Bankwesen <Zürich> - 2005

Companies' investments in research and development (R&D) are usually associated with better growth opportunities incorporated in the firms' market valuation. This study focuses on the question how does the firms' market value attributable to R&D investments depend on the firms' ability to employ...

Persistent link: https://www.econbiz.de/10005858881

Dismantling the Global Accrual Anomaly

Leippold, Markus; Lohre, Harald - Institut für Schweizerisches Bankwesen <Zürich> - 2007

International evidence on the accrual anomaly is sparse and conﬂicting. Testing for accrual mispricing in 28 equity markets, we provide statistical evidence for anomalous returns in some countries. However, we question whether this result might have occurred by chance alone and that it might...

Persistent link: https://www.econbiz.de/10005858030

Financial Market Equilibria with Cumulative Prospect Theory

de Giorgio, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009

The paper rst shows that nancial market equilibria need not to exist if agents possesscumulative prospect theory preferences with piecewise-power value functions. This is due tothe boundary behavior of the cumulative prospect theory value function, which might causean innite short-selling...

Persistent link: https://www.econbiz.de/10009354077

Will investors adapt their investment behavior whenfaced with a change in information feedback and investmentflexibility?

Zeisberger, Stefan; Langer, Thomas; Weber, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2011

Assuming investors are loss averse, repeated risky investments are less attractive inmyopic evaluation. A theoretical foundation for this effect is given by the behavioralconcept of myopic loss aversion (MLA). The consequences of MLA have been confirmedin several between-subject experimental...

Persistent link: https://www.econbiz.de/10009354101

The Leverage Effect without Leverage: An Experimental Study

Hens, Thorsten; Steude, Sven C. - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Experimental stock markets are used to add some more evidence that Blacks (1976) leverage effect in financial markets does not necessarily stem from the financial leverage of the firm. We surprisingly find a large number of markets in which the leverage effect is observed although the underlying...

Persistent link: https://www.econbiz.de/10005858378

Intertemporal Mean-Variance Efficiency with a Markovian State Price Density

Zhao, Yonggan; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper extends Mertons continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...

Persistent link: https://www.econbiz.de/10005858416

Expected Life-Time Utility and Hedging Demands In a Partially Observable Economy

Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper analyzes the expected life-time utility and the hedging demands in an exchange only, representative agent general equilibrium under incomplete information. We derive an expression for the investors expected life-time utility, and analyze his hedging demands for intertemporal changes...

Persistent link: https://www.econbiz.de/10005858506