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Asset Pricing with Matrix Jump Diffusions
Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …
Persistent link: https://www.econbiz.de/10009248844
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Price Impact and Portfolio Impact
Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2010
We study survival, price impact and portfolio impact in heterogeneouseconomies. We show that, under the equilibrium risk-neutral measure,long-run price impact is in fact equivalent to survival, whereas longrunportfolio impact is equivalent to survival under an agent-specic,wealth-forward...
Persistent link: https://www.econbiz.de/10009305110
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Three Solutions to the Pricing Kernel Puzzle
Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010
The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …
Persistent link: https://www.econbiz.de/10009305117
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Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneousand Long-Lived Funds
Cvitani, Jaksa; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009
We perform a detailed asymptotic analysis of the equilibrium behavior of the assetprices, wealth size and portfolio weights in complete markets equilibria, with long-livedfunds. In equilibrium, the fund with the (closest to) log preference will dominate theother funds in size, in the long-run,...
Persistent link: https://www.econbiz.de/10005868786
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Why Ratings Matter: Evidence from Lehman’s IndexRating Rule Change
Chen, Zhihua; Lookman, Aziz A.; Schürhoff, Norman; … - Swiss National Centre of Competence in Research North … - 2010
This paper examines the role of bond ratings and the effects of rating-based regulations in thecorporate bond market. Exploiting an unanticipated mechanical change in how the benchmarkLehman bond indices are constructed in 2005, we show that rating-induced market segmentationof the bond market...
Persistent link: https://www.econbiz.de/10009248846
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Credit Supply and Corporate Policies
Morellec, Erwan - Swiss National Centre of Competence in Research North … - 2010
This paper develops a model of corporate investment and financing decisions thatdiffers from previous contributions by recognizing that firms face uncertainty regardingtheir future access to credit markets and may have to search for creditors when raisingdebt financing. We show that accounting...
Persistent link: https://www.econbiz.de/10009305075
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Market Belief, Trading Volume, Price Volatility, andLiquidity
Wang, Songtao - Swiss National Centre of Competence in Research North … - 2010
This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and liquidity of stocks. Following Kurz and Motolese (2008), wepropose a simple theoretical model to show that the equilibrium stock price is linearlyand positively correlated with market...
Persistent link: https://www.econbiz.de/10009305076
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Is shareholders´ strategic default behavior priced?Evidence from the international cross-section of stocks
Favara, Giovanni; Schroth, Enrique; Valta, Philip - Swiss National Centre of Competence in Research North … - 2010
We test whether the …´firms systematic equity risk reflects the shareholders´ incen-tives to default strategically on its debt. We use a standard real options model torelate the shareholders´strategic default behavior to frictions in the debt renegotia-tion procedure. We test its predictions...
Persistent link: https://www.econbiz.de/10009305083
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Efficiency in Large Dynamic Panel Models withCommon Factor
Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2010
insurance contracts, andare recommended in the current regulation in Finance (Basel II and Basel III) and Insurance(Solvency II …
Persistent link: https://www.econbiz.de/10009305085
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Microinformation, Nonlinear Filtering and Granularity
Gagliardini, Patrick; Gourieroux, Christian; Monfort, Alain - Swiss National Centre of Competence in Research North … - 2010
The recursive prediction and filtering formulas of the Kalman filter are difficult to implementin nonlinear state space models. For Gaussian linear state space models, or for models with qualitativestate variables, the recursive formulas of the filter require the updating of a finite number...
Persistent link: https://www.econbiz.de/10009305101