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The perils of performance measurement in the German mutual-fund industry
Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013
We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany … infer each fund's NAV closing time from the best-fit market model using both maximum likelihood and Bayesian estimation. The … results of both approaches coincide perfectly and show that all but one of the funds domiciled in Germany report intraday NAVs …
Persistent link: https://www.econbiz.de/10009751161
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353
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Arbitraging the Basel Securitization Framework : evidence from German ABS investment
Efing, Matthias - 2014
If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital...
Persistent link: https://www.econbiz.de/10011293796
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Sources of firm life-cycle dynamics : size vs. age effects
Küng, Lorenz; Yang, Mu-Jeung; Hong, Bryan - 2017
innovation we establish three key sets of stylized facts to inform recent theories of firm life-cycles. First, life-cycle effects … are driven by startups, not by new establishments of existing firms. Second, organizational restructuring and innovation … dynamics. Third, there are important sectoral differences in innovation activities which are monotonically increasing in firm …
Persistent link: https://www.econbiz.de/10012219335
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Luck and entrepreneurial success
Liechti, Diego; Loderer, Claudio; Peyer, Urs C. - 2014
How much of entrepreneurial performance is sheer luck compared to talent, experience, education, and hard work? We define luck as unexpected performance and look for an answer in a large survey of entrepreneurs. Accordingly, luck ranks last in importance among various success factors and...
Persistent link: https://www.econbiz.de/10010443047
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Management practices and M&A success
Delēs, Manthos D.; Iosifidi, Maria; Kazakis, Pantelis; … - 2021
We study whether management practices determine merger and acquisition (M&A) success. We model management as an unobserved (latent) variable in a standard microeconomic model of the firm and derive firm-year management estimates. We validate these estimates against benchmark survey data on...
Persistent link: https://www.econbiz.de/10013229949
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"Crime and Punishment"? How Russian Banks Anticipated and Dealt with Global Financial Sanctions
Mamonov, Mikhail; Pestova, A. A.; Ongena, Steven - 2022
We study the impact of global financial sanctions on the Russian banks and economy. Financial sanctions were consecutively imposed between 2014 and 2019, allowing potentially-targeted (but not yet sanctioned) banks to adjust their international and domestic exposures. Compared to similar other...
Persistent link: https://www.econbiz.de/10013404838
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Cross-Selling in Bank Household Relationships. Implications for Deposit Pricing, Loan Pricing, and Monetary Policy
Basten, Christoph; Juelsrud, Ragnar Enger - 2022
Using administrative data on deposits and loans of every Norwegian with every Norwegian bank, we show that an existing deposit account makes a household more likely to hold deposits at the same bank later despite better alternatives and more likely to borrow there. Consistent with this, banks...
Persistent link: https://www.econbiz.de/10013492246
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Density and Risk Prediction with Non-Gaussian COMFORT Models
Paolella, Marc S.; Polak, Pawel - 2022
generalized hyperbolic innovations. The novelty of the model is that parameter estimation is conducted by joint maximum likelihood …
Persistent link: https://www.econbiz.de/10014236254
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Can Time-Varying Currency Risk Hedging Explain Exchange Rates?
Bräuer, Leonie; Hau, Harald - 2022
Over the last decade foreign bond portfolio positions in US dollar assets have risen above the reciprocal US investor positions in foreign currencies. In periods of increased economic uncertainty, institutional investors hedge their international bond positions, which creates a net hedging...
Persistent link: https://www.econbiz.de/10014236684