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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 equity market, the study develops measures to predict future market …

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

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...

Persistent link: https://www.econbiz.de/10011663407

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10010471006

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

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading …

Persistent link: https://www.econbiz.de/10012250652

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

Synthetic leverage and fund risk-taking

Fricke, Daniel - 2021

activities. For this purpose, I propose a novel measure of synthetic leverage, which can be estimated based on publicly available … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

Persistent link: https://www.econbiz.de/10012489580

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012

-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …

Persistent link: https://www.econbiz.de/10009625556

Analysis of nonlinear comovement of benchmark Thai government bond yields

Rewat Khanthaporn - 2022

Persistent link: https://www.econbiz.de/10013429426

Out of sight, out of mind? : on the risk of sub-custodian structures

Droll, Thomas; Podlich, Natalia; Wedow, Michael - 2015

We analyse sub-custodian chains using a unique data set from a survey. Our key question is whether there is any evidence for moral hazard in the delegation of asset safe-keeping to sub-custodians. Sub-custodian chains can be relatively long and frequently reach across several countries. The risk...

Persistent link: https://www.econbiz.de/10011334614

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