Similar Search Results

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

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

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

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

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

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

"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

Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets

Gagliardini, Patrick - 2018

series dimensions. We address consistent estimation of the asymptotic variance by hard thresholding, and testing for asset …

Persistent link: https://www.econbiz.de/10012940499

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Land leverage and house prices

Bourassa, Steven C.; Hoesli, Martin; Scognamiglio, Donato; … - 2010

A house is a bundle of land and improvements, with the weights of the two components varying both over time and across locations. We capture the land intensity or 'leverage' of a property by measuring the ratio of land to total value. This is accomplished using transactions data for single...

Persistent link: https://www.econbiz.de/10008797756

1
2
3
4
5
6
7
8
9
Next
Last