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...

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...

We examine whether consumer confidence – as a proxy for individual investor sentiment –affects expected stock returns internationally in 18 industrialized countries. In line with recentevidence for the U.S., we find that sentiment negatively forecasts aggregate stock marketreturns on average...

Using a new data set on investor sentiment we show that institutional and individualsentiment proxy for smart money and noise trader risk, respectively. First, usingbias-adjusted long-horizon regressions, we document that institutional sentiment forecastsstock market returns at intermediate...

The puzzling evidence of seemingly high momentum returns is related to an understanding ofrisk as a simple covariance. If we consider, however, risk in higher-order statistical moments,momentum returns appear less advantageous.

This paper finds that fund managers do not expect mean reverting returns, as suggested by theory andempirical evidence, but mean averting returns.[...]

This paper investigates the intraday response of T-bond futures pricesto surprises in headline figures of U.S. macroeconomic reports. Analyzing thetime series properties and the information content of the macroeconomic newsflow, the paper seeks an answer to the question, what determines the...