Similar Search Results

When no news is good news : multidimensional heterogeneous beliefs in financial markets

Gao, Can; Han, Brandon Yueyang - 2025

its joint impact with heterogeneous beliefs about news content. Investors trade volatility derivatives against each other … positions. When disagreement about news arrival frequency is low, volatility exhibits mean reversion because extreme optimists … arrival rate leads to volatility persistence. When news is absent in such environments, volatility sellers dominate, and …

Persistent link: https://www.econbiz.de/10015420719

Coinvestment and risk taking in private equity funds

Bienz, Carsten; Thorburn, Karin; Walz, Uwe - 2016

Private equity fund managers are typically required to invest their own money alongside the fund. We examine how this coinvestment affects the acquisition strategy of leveraged buyout funds. In a simple model, where the investment and capital structure decisions are made simultaneously, we show...

Persistent link: https://www.econbiz.de/10011436066

Ownership, wealth, and risk taking : evidence on private equity fund managers

Bienz, Carsten; Thorburn, Karin S.; Walz, Uwe - 2020

We examine the incentive effects of private equity (PE) professionals' ownership in the funds they manage. In a simple model, we show that managers select less risky firms and use more debt financing the higher their ownership. We test these predictions for a sample of PE funds in Norway, where...

Persistent link: https://www.econbiz.de/10012303223

Leverage and risk-taking in a dynamic model

Berg, Tobias; Heider, Florian - 2024

This paper examines the dynamic relationship between firm leverage and risktaking. We embed the traditional agency problem of asset substitution within a multi-period model, revealing a U-shaped relationship between leverage and risktaking, evident in data from both the U.S. and Europe. Firms...

Persistent link: https://www.econbiz.de/10014584403

The long-run real effects of banking crises : firm-level investment dynamics and the role of wage rigidity

Wix, Carlo - 2017

This paper studies the long-run effects of credit market disruptions on real firm outcomes and how these effects depend on nominal wage rigidities at the firm level. I trace out the long-run investment and growth trajectories of firms which are more adversely affected by a transitory shock to...

Persistent link: https://www.econbiz.de/10011755238

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013465942

When do jumps matter for portfolio optimization?

Ascheberg, Marius; Branger, Nicole; Kraft, Holger - 2013 - This version: April 29, 2013

We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a diffusion state variable. We propose an approximation method that replaces...

Persistent link: https://www.econbiz.de/10010225880

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Systemic risk in the financial sector : what can we learn from option markets?

Kraft, Holger; Schmidt, Alexander - 2013 - Current version: July 12, 2013

In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all US financial companies with publicly traded equity options, we extract their option-implied value-at-risks (VaRs) and measure the spillover effects between individual company...

Persistent link: https://www.econbiz.de/10010226884

Accounting for financial stability : lessons from the financial crisis and future challenges

Bischof, Jannis; Laux, Christian; Leuz, Christian - 2020

This paper examines banks' disclosures and loss recognition in the financial crisis and identifies several core issues for the link between accounting and financial stability. Our analysis suggests that, going into the financial crisis, banks' disclosures about relevant risk exposures were...

Persistent link: https://www.econbiz.de/10012241734