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Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

Is local bias a cross-border phenomenon? : evidence from individual investors’ international asset allocation

Baltzer, Markus; Stolper, Oscar; Walter, Andreas - 2013

Extant literature consistently documents that investors tilt their domestic equity portfolios towards regionally close stocks (local bias). We hypothesize that individual investors’ local bias is not limited to the domestic sphere but instead also determines their international investment...

Persistent link: https://www.econbiz.de/10009740268

The higher the better? : hedging and investment strategies in cryptocurrency markets : insights from higher moment spillovers

He, Xie; Hamori, Shigeyuki - 2023

Persistent link: https://www.econbiz.de/10014364726

Risk-taking behavior during downturn : evidence of loss-chasing and realization effect in the cryptocurrency market

Voraprapa Nakavacharaa; Roongkiat Ratanabanchuen; Kanis … - 2023

Persistent link: https://www.econbiz.de/10014320231

The nonsense of bitcoin 1n portfolio analysis

Shalit, Haim - 2024

Persistent link: https://www.econbiz.de/10014486908

Dynamics of probabilities of default

Bednarek, Peter; Franke, Günter - 2024

Probabilities of default (PDs) of loans are of central importance for financial stability. We analyze the PDs, reported quarterly by German financial institutions to Deutsche Bundesbank. The development of PDs is modelled as an AR process of PD changes and an initial PD. Panel regressions show...

Persistent link: https://www.econbiz.de/10015048451

Monetary policy and Bitcoin

Karau, Sören - 2021

Bitcoin was conceptualized in response to perceived shortcomings in the monetary and financialsystem, not only related to large financial institutions but also to discretionary decision makingin monetary policy. Using high-frequency data and a weekly proxy VAR model, I study theimpact of...

Persistent link: https://www.econbiz.de/10012671254

The value of decentralization using the blockchain

Reuter, Marco - 2022

Although blockchain technology and cryptocurrencies have grown in popularity over the past years, there does not seem … blockchain provides is commitment. I develop a model of an entrepreneur, who can create a network for her users. She can decide … network with a decentralized implementation through the blockchain. Users that join the network are subject to a locked …

Persistent link: https://www.econbiz.de/10013460355

Stress testing the German mortgage market

Barasinska, Nataliya; Haenle, Philipp; Koban, Anne; … - 2019

This paper presents a framework for estimating losses in the residential real estate mortgage portfolios of German banks. We develop an EL model where LGD estimates are based on current collateral values and PD dynamics are estimated using a structural PVAR approach. We confirm empirically that...

Persistent link: https://www.econbiz.de/10012012997

Regulated correlations : climate policy and investment risks

Neupert-Zhuang, Menglu; Schenker, Oliver - 2024

Investments in energy technologies are substantially governed by climate policy. We demonstrate analytically that price-based instruments, such as carbon-taxes, and quantity-based regulations, like emission trading systems, have distinct effects on the (co-)variance of power plant profits. If...

Persistent link: https://www.econbiz.de/10015271324