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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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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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Similarities and Differences between U.S. and German Regulation of the Use of Derivatives and Leverage by Mutual Funds – What Can Regulators Learn from Each Other?
Gałkiewicz, Dominika Paula; Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
This study analyzes current regulation with respect to the use of derivatives and leverage by mutual funds in the U … of flexibility funds have in both countries. I find that funds in the U.S. and Germany face limits on direct leverage … that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using …
Persistent link: https://www.econbiz.de/10011277283
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Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?
Schmeling, Maik; Schrimpf, Andreas - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...
Persistent link: https://www.econbiz.de/10005677986
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Pitfalls and Perils of Financial Innovation: The Use of CDS by Corporate Bond Funds
Adam, Tim; Guettler, Andre - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
We use the financial crisis of 2007–2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use of CDS team-managed funds outperform solo-managed funds. This may be due to...
Persistent link: https://www.econbiz.de/10011199816
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Rethinking stock market integration: Globalization, valuation and convergence
Tam, Pui Sun; Tam, Pui I - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
This paper aims to study the extent of integration among developed and emerg- ing stock markets in the onset of globalization through the formulation of a uni…ed conceptual framework that synthesizes the stock valuation model and the convergence hypothesis. Market integration manifests in the...
Persistent link: https://www.econbiz.de/10011277266
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Implied Basket Correlation Dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from return series, and under the risk neutral measure from...
Persistent link: https://www.econbiz.de/10010607150
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Recursive Portfolio Selection with Decision Trees
Andriyashin, Anton; Härdle, Wolfgang; Timofeev, Roman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10005652774
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Quantile Regression in Risk Calibration
Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, Weining - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...
Persistent link: https://www.econbiz.de/10009651900
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Large Vector Auto Regressions
Song, Song; Bickel, Peter J. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine...
Persistent link: https://www.econbiz.de/10009209822