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Wojtowicz, Marcin - Tinbergen Instituut - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

Persistent link: https://www.econbiz.de/10011255777

Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility

Cakmakli, Cem; Dijk, Dick van - Tinbergen Instituut - 2010

models improve upon both benchmark models that only include valuation ratios and interest rate related variables, and …

Persistent link: https://www.econbiz.de/10011256330

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

Persistent link: https://www.econbiz.de/10011256871

Need for Speed? Exchange Latency and Liquidity

Menkveld, Albert J.; Zoican, Marius A. - Tinbergen Instituut - 2014

Speeding up the exchange does not necessarily improve liquidity. The price quotes of high-frequency market makers are more likely to meet speculative high-frequency "bandits", thus less likely to meet liquidity traders. The bid-ask spread is raised in response. The recursive dynamic model...

Persistent link: https://www.econbiz.de/10011257025

Pensions, Debt and Inflation Risk in a Monetary Union

Adema, Yvonne - Tinbergen Instituut - 2010

This paper investigates the international spillovers of government debt and the associated risk of inflation within a monetary union when countries have different pension systems. I use a stochastic two-country two-period overlapping-generations model, where one country has PAYG pensions and the...

Persistent link: https://www.econbiz.de/10011257504

Common Risk Factors in Equity Markets

Atanasov, Victoria - Tinbergen Instituut - 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed “the global consumption factor”, to explain the patterns in risk premiums on international equity markets. We identify this factor as...

Persistent link: https://www.econbiz.de/10011257535

Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?

Botshekan, Mahmoud; Kraeussl, Roman; Lucas, Andre - Tinbergen Instituut - 2010

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

Persistent link: https://www.econbiz.de/10011257557

Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies

Zou, Liang - Tinbergen Instituut - 2000

markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are …

Persistent link: https://www.econbiz.de/10011257579

Economic Valuation of Liquidity Timing

Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; Wel, … - Tinbergen Instituut - 2013

This discussion paper resulted in a publication in the 'Journal of Banking and Finance' (2013). Vol. 37, issue 12, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation strategies to evaluate the short-horizon predictive ability of...</p>

Persistent link: https://www.econbiz.de/10011257598

The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns

Atanasov, Victoria; Nitschka, Thomas - Tinbergen Instituut - 2013

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...

Persistent link: https://www.econbiz.de/10011257603

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