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Put Options Are Not Too Expensive— An Analysis of Path Peso Problems —
Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2005
The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …
Persistent link: https://www.econbiz.de/10005867630
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Mutual fund flows, expected returns, and the real economy
Jank, Stephan - Centre for Financial Research <Köln> - 2011
The paper explores whether the co-movement of market returns and equity fundflows can be explained by a common response to macroeconomic news. I findthat variables that predict the real economy as well as the equity premium arerelated to mutual fund flows. Changes in dividend-price ratio explain...
Persistent link: https://www.econbiz.de/10009302606
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Sturm und Drang in Money Market Funds:When Money Market Funds Cease to BeNarrow
Jank, Stephan; Wedow, Michael - Centre for Financial Research <Köln> - 2010
This paper investigates the returns and °ows of German money marketfunds before and during the liquidity crisis of 2007/2008. The main¯ndings of this paper are: in liquid times, money market funds en-hanced their returns by investing in less liquid papers. By doing sothey outperformed other...
Persistent link: https://www.econbiz.de/10009302620
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The Cross-Section of German StockReturns: New Data and New Evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander - Centre for Financial Research <Köln> - 2011
-to-market, and momentum.Second, we use this data set to perform asset pricing tests for the German equity market.Specifically, we … that the results of asset pricing tests are sensitive to the choice of test assets. …
Persistent link: https://www.econbiz.de/10009302626
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The Impact of Investor Sentiment on the German Stock Market
Finter, Philipp; Ruenzi, Stefan - Centre for Financial Research <Köln> - 2010
This paper investigates whether investor sentiment can explain stock returns on theGerman stock market. Based on a principal component analysis, we construct a senti-ment indicator that condenses information of several well-known sentiment proxies. Weshow that this indicator explains the return...
Persistent link: https://www.econbiz.de/10009302647
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Determinants of Expected Stock Returns: Large Sample Evidence fromthe German Market
Artmann, Sabine; Finter, Philipp; Kempf, Alexander - Centre for Financial Research <Köln> - 2011
This paper conducts a comprehensive asset pricing study based on a unique dataset for theGerman stock market. For the … competing asset pricing models the Fama-French 3-factor model does a poor job inexplaining average stock returns. The Carhart 4 …
Persistent link: https://www.econbiz.de/10009302649
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Investitionen in Collateralized Debt Obligations
Heidorn, Thomas; König, Lars - Frankfurt School of Finance & Management - 2003
The paper deals with the evaluation of Collateralized Debt Obligations forinvestment purposes. CDOs are classified in the asset backed environment. Itsspecific risks (market, timing, recovery, agency) are discussed. To understand theportfolio aspect, the concept of the diversity score is...
Persistent link: https://www.econbiz.de/10005865826
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Modeling Default Dependence with Threshold Models
Overbeck, Ludger; Schmidt, Wolfgang - Frankfurt School of Finance & Management - 2003
We investigate the problem of modeling defaults of dependent credits.In the framework of the class of structural default models we studythreshold models where for each credit the underling ability-to-payprocess is a transformation of a Wiener processes. We propose a modelfor dependent defaults...
Persistent link: https://www.econbiz.de/10005865832
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Derivatives Trading in a General Equilibrium Modelwith Stochastic Volatility and Jumps
Branger, Nicole; Schlag, Christian; Schneider, Eva - Universität <Münster, Westfalen> / Lehrstuhl für … - 2007
We perform a general equilibrium analysis in a complete markets economy whenthe dividend follows a jump-diffusion process with stochastic volatility. Agents haveCRRA utility, but differ with respect to their degree of risk aversion. The keyoutput of our analysis is the structure of the...
Persistent link: https://www.econbiz.de/10005867617
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Pricing Two Trees:When Trees and Investors are Heterogeneous
Branger, Nicole; Schlag, Christian; Wu, Lue - Universität <Münster, Westfalen> / Lehrstuhl für … - 2007
We consider an exchange economy with two heterogeneous stocks and twogroups of investors. Dividends follow diusion processes, with a constant expectedgrowth rate for one stock and a stochastic drift for the other. 'Rationalinvestors' can either observe this stochastic drift without error or...
Persistent link: https://www.econbiz.de/10005867619