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Optionsmärkte und Risikoallokation : eine computergestützte Analyse

Kaserer, Christoph - 1993

Persistent link: https://www.econbiz.de/10000865441

Determinants of tracking error in German EFTs : the role of market liquidity

Osterhoff, Friedrich; Kaserer, Christoph - In: Managerial finance 42 (2016) 5, pp. 417-437

Persistent link: https://www.econbiz.de/10011570269

Managing inverstment risks of institutional private equity investors - the challenge of illiquidity

Kaserer, Christoph; Wagner, Niklas; Achleitner, Ann-Kristin - In: Risk management : challenge and opportunity ; with 125 …, (pp. 259-277). 2005

Persistent link: https://www.econbiz.de/10002447753

Managing investment risks of institutional private equity investors : the challenge of illiquidity

Kaserer, Christoph; Wagner, Niklas F.; Achleitner, … - 2003 - Version: December 2003

Since private equity investments are not publicly traded, a key issue in measuring investment risks of institutional private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity investments are typically observed at low frequency...

Persistent link: https://www.econbiz.de/10009231549

Inflation hedging : an empirical analysis on inflation nonlinearities, infrastructure, and international equities

Rödel, Maximilian Georg - 2012

This dissertation analyzes how asset performance relates to inflation based on 50 countries and 60 years of data. The three key findings are: a nonlinear behavior of bills, bonds, and equities against inflation, the demystification of listed infrastructure as inflation hedge, and, finally, a...

Persistent link: https://www.econbiz.de/10009741569

Three essays on equity exchange-traded funds

Osterhoff, Friedrich Karl Yorck Henri - 2016

Persistent link: https://www.econbiz.de/10012312909

Measuring market liquidity risk - which model works best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Fakultät für Wirtschaftswissenschaften, Technische … - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10009219901

DAXplus family: Ein Aktienindex zur Darstellung der Performance von Familienunternehmen

Achleitner, Ann-Kristin; Kaserer, Christoph; Kauf, Tobias; … - Fakultät für Wirtschaftswissenschaften, Technische … - 2010

In January 2010 the Deutsche Börse Group introduced two family firm stock indices. Both indices are calculated as price and performance indices and extend the number of investment strategy indices of Deutsche Börse Group. The DAXplus Family is an all-share index whereas the DAXplus Family 30...

Persistent link: https://www.econbiz.de/10009219902

Market efficiency reloaded: why insider trades do not reveal exploitable information

Dickgiesser, Sebastian; Kaserer, Christoph - Fakultät für Wirtschaftswissenschaften, Technische … - 2008

by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs … from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid … mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market …

Persistent link: https://www.econbiz.de/10009219925

Why and how to integrate liquidity risk into a VaR-framework

Stange, Sebastian; Kaserer, Christoph - Fakultät für Wirtschaftswissenschaften, Technische … - 2008

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...

Persistent link: https://www.econbiz.de/10009219930