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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

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

Persistent link: https://www.econbiz.de/10011855295

Accounting for stock-based compensation : an extended clean surplus relation

Hess, Dieter - 2001

Residual income valuation is based on the assumption that the clean surplus relation holds. As pointed out by Ohlson (2000), among others, the standard clean surplus relation is frequently violated. Moreover, standard residual income valuation models rest on the implicit assumption that future...

Persistent link: https://www.econbiz.de/10013428422

Return differences between DAX ETFs and the benchmark DAX

Schmidhammer, Christoph - 2021

For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...

Persistent link: https://www.econbiz.de/10012607112

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

Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors

Schröder, Michael - 2000

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Persistent link: https://www.econbiz.de/10013428350

What moves markets?

Kerssenfischer, Mark; Schmeling, Maik - 2022

What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events. We find that news account for about 50% of all bond and stock price movements in the United States and euro area since 2002,...

Persistent link: https://www.econbiz.de/10013202601

Securities lending and information acquisition

Greppmair, Stefan; Jank, Stephan; Saffi, Pedro A. C.; … - 2024

Using microdata on stock-level lending positions from German mutual funds, we show that active funds use the equity lending market to obtain information about short sale demand. Funds reduce long positions in response to these demand signals, which allows fund managers to front-run public...

Persistent link: https://www.econbiz.de/10014501098

High-frequency trading in the Bund futures market

Schlepper, Kathi - 2016

volatility and amplify the risk of market disruptions in fixed income markets. …

Persistent link: https://www.econbiz.de/10011483067

Listening to the noise : on price efficiency with dynamic trading

Arnold, Lutz; Russ, David - 2024

This paper shows that, in the canonical dynamic rational expectations equilibrium model, public information about future noise trading is potentially detrimental to contemporaneous price efficiency. Our result supports concerns that social sentiment investing, sparked by growing availability of...

Persistent link: https://www.econbiz.de/10014559283