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The Robustness of the CAPM - A Computational Approach

Herings, P.J.J.; Kubler, F. - Tilburg University, Center for Economic Research - 1999

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

Persistent link: https://www.econbiz.de/10011092773

Structural RFV : Recovery Form and Defaultable Debt Analysis

Guha, R.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2003

values.We incorporate RFV into an exogenous boundary structural credit risk model and compare its e ect to more typical … credit risk models.We show that some features of existing structural models are a result of the recovery form assumed in the …

Persistent link: https://www.econbiz.de/10011092403

Bubbles and Trading Frenzies : Evidence from the Art Market

Renneboog, Luc; Penasse, J.N.G. - Tilburg University, Center for Economic Research - 2014

The art market is subject to frequent booms and busts in both prices and volume,<br/>which are difficult to reconcile with models where agents are rational and<br/>hold homogenous beliefs. This paper shows that (i) volume is mainly driven by<br/>speculative transactions; (ii) positive price-volume correlation...

Persistent link: https://www.econbiz.de/10011144431

Model Risk and Regulatory Capital

Melenberg, Bertrand; Schumacher, Johannes M.; Kerkhof, … - Tilburg University, Center for Economic Research - 2002

Persistent link: https://www.econbiz.de/10011092598

Labor Income and the Demand for Long-term Bonds

Nijman, Theo; Werker, Bas J.M.; Koijen, R.S.J. - Tilburg University, Center for Economic Research - 2005

-linked bonds are substantially reduced.We investigate as well the robustness of our results to time-variation in bond risk premia …, the riskiness of labor income, and correlation between labor income risk and financial risks.We find that especially … accounting for time-variation in bond risk premia and correlation between labor income risk and financial risks is important for …

Persistent link: https://www.econbiz.de/10011092730

Stock Price Reactions to Short-Lived Public Information : The Case of Betting Odds

Renneboog, Luc; Palomino, F.A.; Zhang, C. - Tilburg University, Center for Economic Research - 2005

Stock markets and betting markets co-exist for professional soccer clubs listed on the London Stock Exchange.For each firm, two pieces of information are released to the stock market on a weekly basis from August to June: experts expectations about game outcomes through the betting odds, and the...

Persistent link: https://www.econbiz.de/10011092755

Common Factors in International Bond Returns

Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - Tilburg University, Center for Economic Research - 2000

for bond returns that are not hedged for currency risk.Finally, we show how the model can be used to calculate the Value … at Risk for international bond portfolios and to price cross-currency interest rate derivatives, and compare the results …

Persistent link: https://www.econbiz.de/10011092795

The Dutch Grey Market

Renneboog, Luc; Spaenjers, C. - Tilburg University, Center for Economic Research - 2008

When-issued trading concerns transactions in securities that have not yet been issued. This type of trade often takes place in a so-called ‘grey market’, in which all contracts are conditional on the issuance of the security. In this paper, we investigate the Dutch grey market for...

Persistent link: https://www.econbiz.de/10011092801

Back to Basics in Banking? A Micro-Analysis of Banking System Stability

De Jonghe, Olivier - Tilburg University, Center for Economic Research - 2009

’ systemic risk exposures using extreme value analysis. Systemic banking risk is measured as the tail beta, which equals the … correlation between) interest income and the components of non-interest income on this risk measure is assessed. The heterogeneity … in extreme bank risk is attributed to differences in the scope of non-traditional banking activities: non …

Persistent link: https://www.econbiz.de/10011092811

Collateral, Renegotiation and the Value of Diffusely Held Debt

Hege, U.; Mella-Barral, P. - Tilburg University, Center for Economic Research - 1999

a larger debt capacity and bears lower credit risk premia than privately held debt. We derive simple closed …

Persistent link: https://www.econbiz.de/10011092877