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Performance of maturity transformation strategies
Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020
. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where …
Persistent link: https://www.econbiz.de/10012313784
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Financial conditions, macroeconomic factors and (un)expected bond excess returns
Fricke, Christoph; Menkhoff, Lukas - 2014
Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …
Persistent link: https://www.econbiz.de/10010436625
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014
in price dispersion. TRACE-associated decreases in crossfund bond mark dispersion provide indirect support for …
Persistent link: https://www.econbiz.de/10010373710
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could …-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging …
Persistent link: https://www.econbiz.de/10011855295
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Updating the option implied probability of default methodology
Vilsmeier, Johannes - 2014
In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...
Persistent link: https://www.econbiz.de/10010471968
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The effect of self-control on borrowing : experimental evidence
Grohmann, Antonia; Hamdan, Jana S. - 2020
This paper examines the effect of reduced self-control on debt-taking in a laboratory experiment. We manipulate self-control using an ego depletion task and show that it is effective. Following the ego depletion task, participants can anonymously buy hot drinks on credit. We find no significant...
Persistent link: https://www.econbiz.de/10012500130
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Signaling motives in lying games
Fries, Tilman - 2021
This paper studies the implications of agents signaling their moral type in a lying game. In the theoretical analysis, a signaling motive emerges where agents dislike being suspected of lying and where some types of liars are more stigmatized than others. The equilibrium prediction of the model...
Persistent link: https://www.econbiz.de/10012500269
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Teams and individuals in standard auction formats : decisions and emotions
Karmeliuk, Maria; Kocher, Martin - 2021
Our study compares individual and team bidding in standard auction formats: first-price, second-price and ascending-price (English) auctions with independent private values. In a laboratory experiment, we find that individuals overbid more than teams in first-price auctions and deviate more from...
Persistent link: https://www.econbiz.de/10012500699
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Incentives and intertemporal behavioral spillovers : a two-period experiment on charitable giving
Alt, Marius; Gallier, Carlo - 2021 - This version: January, 2021
We test whether and, if so, how incentives to promote pro-social behavior affect the extent to which it spills over to subsequent charitable giving. To do so, we conduct a two-period artefactual field experiment to study repeated donation decisions of more than 700 participants. We vary how...
Persistent link: https://www.econbiz.de/10012430934
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Monetary incentives and the contagion of unethical behavior
Le Maux, Benoît; Masclet, David; Necker, Sarah - 2021
We analyze both theoretically and empirically how monetary incentives and information about others’ behavior affect dishonesty. We run a laboratory experiment with 560 participants, each of whom observes a number from one to six with there being a payoff associated with each number. They can...
Persistent link: https://www.econbiz.de/10012438251