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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
internationalization and a higher free float. In this paper, we investigate to what extent these changes influenced the well-known risk … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …
Persistent link: https://www.econbiz.de/10010307494
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Quantifizierung des Pull-to-Par-Effekts für Anleiheportfolios deutscher Banken
Strobel, Lena - 2023
losses also point to reduced profitability and, in the medium term, indicate the risk of further losses arising if unrealised …
Persistent link: https://www.econbiz.de/10014476327
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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011
internationalization and a higher free float. In this paper, we investigate to what extent these changes influenced the well-known risk … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …
Persistent link: https://www.econbiz.de/10009372405
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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2001
Persistent link: https://www.econbiz.de/10005562304
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Modellrisiko
Stahl, Gerhard; Sibbertsen, Philipp; Bertram, Philip - 2011
Als Teil des operationellen Risikos stellt das Modellrisiko eine wichtige Komponente für die Risikoermittlung bei Finanzinstitutionen dar. Da letztere z.B. bei der Tarifierung und Bepreisung von Derivaten bzw. Portfolien oder bei der Markt- und Kreditrisikoberechnung auf stochastische Modelle...
Persistent link: https://www.econbiz.de/10008909540
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Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt
Oehler, Andreas; Häcker, Mirko - 2003
26 Aktien des Deutschen Aktienindex DAX mit 71% Marktkapitalisierung und 84% Anteil am Gesamtumsatz werden über 249 Handelstage des Jahres 1997 auf den Kurseinfluss der Transaktionsgröße hin analysiert. Der verwendete Satz hochfrequenter Transaktionsdaten erlaubt in dieser Form erstmals für...
Persistent link: https://www.econbiz.de/10010296587
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Die Fehlbewertung durch das Stuttgarter Verfahren: eine Sensitivitätsanalyse der Werttreiber von Steuer- und Marktwerten
Müller, Jens - 2007
This paper focuses on firm valuation for tax purposes of non-listed company shares and its sensitivity towards different market conditions. Since the value of a private company cannot be observed on the stock market the value has to be estimated. Due to uncertainty, expected future profits may...
Persistent link: https://www.econbiz.de/10010298469
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Investitionen in Collateralized Debt Obligations
Heidorn, Thomas; König, Lars - 2003
The paper deals with the evaluation of Collateralized Debt Obligations for investment purposes. CDOs are classified in the asset backed environment. Its specific risks (market, timing, recovery, agency) are discussed. To understand the portfolio aspect, the concept of the diversity score is...
Persistent link: https://www.econbiz.de/10010298883
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Investitionen und Emissionen von Convertible Bonds (Wandelanleihen)
Heidorn, Thomas; Gerhold, Mirko - 2004
Convertible bond issues increase considerably since 1990. The paper shows that these issues are more than just the combination of a bond and an option. The pricing depends on the share price, the shares volatility, the interest rate, and the interest volatility , the credit spread, and the...
Persistent link: https://www.econbiz.de/10010298889
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Die Anwendbarkeit der Behavioral Finance im Devisenmarkt
Heidorn, Thomas; Siragusano, Tindaro - 2004
Behavioral finance theory is used for the foreign exchange market to show, that the profit of a typical trader is mainly due to the higher number of correct positions. Using behavioral finance the amount of loss trades is larger than 60%, however the individual gains are larger than the losses...
Persistent link: https://www.econbiz.de/10010298891