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Hidden Liquidity: Determinants and Impact
Cebiroglu, Gökhan; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock’s hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10009652363
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Recursive Portfolio Selection with Decision Trees
Andriyashin, Anton; Härdle, Wolfgang; Timofeev, Roman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
so-called decision trees and applying them to XETRA DAX stocks. Using a set of fundamental and technical variables …
Persistent link: https://www.econbiz.de/10005652774
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Duality theory for optimal investments under model uncertainty
Schied, Alexander; Wu, Ching-Tang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
lead to new effects such as the existence of arbitrage strategies under the least favorable model. …
Persistent link: https://www.econbiz.de/10005784851
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LONG-TERM ORIENTATION IN FAMILY AND NON-FAMILY FIRMS: A BAYESIAN ANALYSIS
Block, Jörn Hendrich; Thams, Andreas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
A stronger long-term orientation is considered a competitive advantage of family firms relative to non-family firms. In this study, we use panel data of U.S. firms and analyze this proposition. Our findings are surprising. Only in when the family is involved in the management of the firm is the...
Persistent link: https://www.econbiz.de/10005678047
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The Conglomerate Discount in Germany and the Relationship to Corporate Governance
Weiner, Christian - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
of valuation. Finally, I document that corporate governance behavior affects the conglomerate discount. …
Persistent link: https://www.econbiz.de/10005652748
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Bank Lending Relationships and the Use of Performance-Sensitive Debt
Adam, Tim R.; Streitz, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
We show that performance-sensitive debt (PSD) is used to reduce hold-up problems in repeated lending relationships. Using a large sample of bank loans, we find a more frequent use of PSD if hold-up is more likely, e.g. if a longterm lending relationship exists and the borrower has fewer outside...
Persistent link: https://www.econbiz.de/10010659439
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Loss Potential and Disclosures Related to Credit Derivatives – A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
Gałkiewicz, Dominika Paula - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10011212948
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The Aging Investor: Insights from Neuroeconomics
Mohr, Peter N. C.; Heekeren, Hauke R. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
decisions. This review brings together research on behavioral and neural aspects of financial decision making and aging to … advance knowledge on age-related changes in financial decision making. The dopaminergic system plays a key role in financial … decision making, both in financial decisions from description and financial decisions from experience. Importantly, both …
Persistent link: https://www.econbiz.de/10011277285
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CDO Surfaces Dynamics
Choroś-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by...
Persistent link: https://www.econbiz.de/10011277297
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...
Persistent link: https://www.econbiz.de/10005207941