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The division of spoils in a booming industry

Popov, Alexander - 2022

Between 2000 and 2007, the gender gap in earnings in the US real estate sector increased, especially in local markets where house prices appreciated relatively more. Firm frictions and the presence of small children in the household do not explain the widening of the gender gap, while sorting on...

Persistent link: https://www.econbiz.de/10014278502

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

Persistent link: https://www.econbiz.de/10011605102

The Division of Spoils in a Booming Industry

Popov, Alexander A. - 2022

Persistent link: https://www.econbiz.de/10014078585

The functional form of yield curves

Brousseau, Vincent - 2002

. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible …

Persistent link: https://www.econbiz.de/10011604194

Time variation in the tail behaviour of bunds futures returns

Upper, Christian; Werner, Thomas - 2002

The present paper focuses on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in...

Persistent link: https://www.econbiz.de/10011604245

Modelling the implied probability of stock market movements

Glatzer, Ernst; Scheicher, Martin - 2003

In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001, we implement the mixture of log-normals model...

Persistent link: https://www.econbiz.de/10011604258

Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

Vähämaa, Sami - 2004

This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...

Persistent link: https://www.econbiz.de/10011604361

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...

Persistent link: https://www.econbiz.de/10011604412

Is the corporate bond market forward looking?

Hilscher, Jens - 2007

This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that corporate bond transaction prices contain substantial...

Persistent link: https://www.econbiz.de/10011604846

The pricing of risk in European credit and corporate bond markets

Berndt, Antje; Obreja, Iulian - 2007

spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent … tails. The pricing implications of this new factor are not limited to credit markets only. We find that this common factor … is priced consistently across a broad spectrum of corporate bond portfolios. In addition, our asset pricing tests also …

Persistent link: https://www.econbiz.de/10011604851