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A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
Alvarez, Luis H. R.; Rakkolainen, Teppo A. - 2006
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a connection between the considered problem and a stopping...
Persistent link: https://www.econbiz.de/10012502963
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Do Standard Real Option Models Overestimate the Required Rate of Return of Real Estate Investment Opportunities?
Alvarez, Luis H. R.; Lempa, Jukka; Oikarinen, Elias - 2009
We consider how the inter-temporal discreteness of the revenue and cost processes affect the optimal timing of a real estate investment opportunity in comparison with the investment timing strategy obtained by relying on the traditional continuous real option model. We characterize both optimal...
Persistent link: https://www.econbiz.de/10012503006
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Momentum and mean reversion in regional housing markets: Evidence from variance ratio tests
Oikarinen, Elias - 2010
markets. These differences influence the optimal housing portfolio allocation and highlight one more reason why it is … complicated to use country level housing price data when analyzing the optimal portfolio allocation or housing price dynamics. …
Persistent link: https://www.econbiz.de/10012503015
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Herding of institutional traders : new evidence from daily data
Kremer, Stephanie - 2010
This paper sheds new light on herding of institutional investors by using a unique database that identifies every transaction made by financial institutions in the German stock market. First, the analysis reveals that herding behavior of institutions occurs daily. Second, replication of the...
Persistent link: https://www.econbiz.de/10008665444
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Bank regulation and stability : an examination of the Basel market risk framework
Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - 2012
In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....
Persistent link: https://www.econbiz.de/10009528885
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Is the willingness to take financial risk a sex-linked trait? : evidence from national surveys of household finance
Barasinska, Nataliya; Schäfer, Dorothea - 2013
portfolio of financial assets are analyzed. For the first-stage decision of whether to invest in risky assets in the first place …
Persistent link: https://www.econbiz.de/10009720879
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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common … risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …
Persistent link: https://www.econbiz.de/10010233376
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Cash holdings of German open-end equity funds : does ownership matter?
Dötz, Niko; Weth, Mark - 2013
. Conditional on poor portfolio liquidity, we find that managers of permanently retail-oriented funds tend to move towards higher … when the portfolio liquidity of retail-based funds is higher. The striking effort undertaken by poorly liquid funds with a …
Persistent link: https://www.econbiz.de/10010202775
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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2013
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...
Persistent link: https://www.econbiz.de/10010203684
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Banks and sovereign risk : a granular view
Buch, Claudia M.; Koetter, Michael; Ohls, Jana - 2013
In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across...
Persistent link: https://www.econbiz.de/10009787584