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Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, B. - Tilburg University, Center for Economic Research - 2011

consumption growth process. The hidden states di¤er both for the mean and the volatility. We show that the ambiguity …-averse investor downweights high-mean states in favor of low-mean ones. However, such distortion appears much stronger in low-volatility … regimes: high volatility attenuates the distortion due to ambiguity concerns. It follows that (i) ambiguity aversion always …

Persistent link: https://www.econbiz.de/10011090768

Volatility Spillover Effects in European Equity Markets

Baele, Lieven - Tilburg University, Center for Economic Research - 2003

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU … volatility. …

Persistent link: https://www.econbiz.de/10011091647

Do Macroeconomic Announcements Cause Asymmetric Volatility

de Goeij, Peter; Marquering, W. - Tilburg University, Center for Economic Research - 2003

Persistent link: https://www.econbiz.de/10011091651

Corporate Restructuring and Bondholder Wealth

Renneboog, Luc; Szilagyi, P.G. - Tilburg University, Center for Economic Research - 2006

This paper provides an overview of existing research on how corporate restructuring affects the wealth of creditors.Restructuring is defined as any transaction that affects the firm's underlying capital structure.Thus, it reaches well beyond asset restructuring and includes transactions such as...

Persistent link: https://www.econbiz.de/10011090388

Analytic American Option Pricing and Applications

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

I use a convenient value breakdown in order to obtain analytic solutions for finitematurity American option prices.Such a barrier-option-based breakdown yields an analytic lower bound for the American option price, which is as price-tight as the Barone-Adesi and Whaley (1987) analytic value...

Persistent link: https://www.econbiz.de/10011090493

Close-Form Pricing of Benchmark Equity Default Swaps Under the CEV Assumption

Campi, L.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2005

Equity Default Swaps are new equity derivatives designed as a product for credit investors.Equipped with a novel pricing result, we provide closedform values that give an analytic contribution to the viability of cross-asset trading related to credit risk.

Persistent link: https://www.econbiz.de/10011090550

Preferences, Consumption Smoothing and Risk Premia

Lettau, M.; Uhlig, H.F.H.V.S. - Tilburg University, Center for Economic Research - 1997

Risk premia in the consumption capital asset pricing model depend on preferences and dividend. We develop a decomposition which allows a separate treatment of both components. We show that preferences alone determine the risk-return tradeoff measured by the Sharpe-ratio. In general, the...

Persistent link: https://www.econbiz.de/10011090587

The Value of Fighting Irreversible Demise by Softening the Irreversible Cost

Magis, P.; Sbuelz, A. - Tilburg University, Center for Economic Research - 2005

We study a novel issue in the real-options-based technology innovation literature by means of double barrier contingent claims analysis.We show how much a ¯rm with the monopoly over a project is willing to spend in investment technology innovation that softens the irreversible cost of accessing...

Persistent link: https://www.econbiz.de/10011090631

How do Mergers and Acquisitions Affect Bondholders in Europe? Evidence on the Impact and Spillover of Governance and Legal Standards

Renneboog, Luc; Szilagyi, P.G. - Tilburg University, Center for Economic Research - 2006

This paper contributes to the comparative corporate governance literature by showing how cross-country differences in governance and legal standards affect the bondholder wealth effects of European merger and acquisitions (M&As).Using investment-grade Eurobonds, we find some remarkable...

Persistent link: https://www.econbiz.de/10011090642

The Price of Ethics : Evidence from Socially Responsible Mutual Funds

Renneboog, Luc; ter Horst, Jenke; Zhang, C. - Tilburg University, Center for Economic Research - 2007

This paper estimates the price of ethics by studying the risk-return relation in socially responsible investment (SRI) funds. Consistent with investors paying a price for ethics, SRI funds in many European and Asia-Pacific countries strongly underperform domestic benchmark portfolios by about 5%...

Persistent link: https://www.econbiz.de/10011090741