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More Hedging Instruments may destablize Markets
Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Instituut - 2006
. 1912-1928.<P> This paper formalizes the idea that more hedging instruments may destabilize markets when traders are …
Persistent link: https://www.econbiz.de/10011255525
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - Tinbergen Instituut - 2013
papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk …, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10011256696
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A Real Options Perspective on R&D Portfolio Diversification
Bekkum, Sjoerd van; Pennings, Enrico; Smit, Han - Tinbergen Instituut - 2007
This paper shows that the presence of conditional staging in R&D (Research & Development) has a critical impact on portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option-like characteristics, correlation between projects plays a...
Persistent link: https://www.econbiz.de/10011257428
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …
Persistent link: https://www.econbiz.de/10011256871
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Forecasting Earnings Forecasts
Bruijn, Bert de; Franses, Philip Hans - Tinbergen Instituut - 2013
We analyze earnings forecasts retrieved from the I/B/E/S database concerning 596 firms for the sample 1995 to 2011, with a specific focus on whether these earnings forecasts can be predicted from available data. Our main result is that earnings forecasts can be predicted quite accurately using...
Persistent link: https://www.econbiz.de/10011255828
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Are CEOs incentivized to avoid Corporate Taxes? - Empirical Evidence on Managerial Bonus Contracts
Schmittdiel, Heiner - Tinbergen Instituut - 2014
In this paper, we test empirically whether there is a relationship between corporate income taxes and CEO bonus payments. Using Compustat and ExecuComp data from 1992 to 2010, we find mixed results. Looking at the whole sample, the average bonus contract rewards tax savings excessively in...
Persistent link: https://www.econbiz.de/10011256064
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How Informative are the Unpredictable Components of Earnings Forecasts?
Bruijn, Bert de; Franses, Philip Hans - Tinbergen Instituut - 2015
An analysis of about 300000 earnings forecasts, created by 18000 individual forecasters for earnings of over 300 S&P listed firms, shows that these forecasts are predictable to a large extent using a statistical model that includes publicly available information. When we focus on the...
Persistent link: https://www.econbiz.de/10011256066
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The Degradation of Distorted Performance Measures
Sloof, Randolph; Praag, Mirjam van - Tinbergen Instituut - 2008
Baker (2002) has demonstrated theoretically that the quality of performance measures used in compensation contracts hinges on two characteristics: noise and distortion. These criteria, though, will only be useful in practice as long as the noise and distortion of a performance measure can be...
Persistent link: https://www.econbiz.de/10011256322
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What drives the Quotes of Earnings Forecasters?
Bruijn, Bert de; Franses, Philip Hans - Tinbergen Instituut - 2012
Earnings forecasts can be useful for investment decisions. Research on earnings forecasts has focused on forecast performance in relation to firm characteristics, on categorizing the analysts into groups with similar behaviour and on the effect of an earnings announcement by thefirm on future...
Persistent link: https://www.econbiz.de/10011257426
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Volatility Smirk as an Externality of Agency Conflict and Growing Debt
Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013
Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect … from other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …
Persistent link: https://www.econbiz.de/10011268659