Narrow search
Showing 1 - 10 of 76
Cover Image
What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...
Persistent link: https://www.econbiz.de/10009764762
Cover Image
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
Cover Image
Optimal portfolios with stochastic interest rates and defaultable assets
Kraft, Holger - 2004
Persistent link: https://www.econbiz.de/10002018962
Cover Image
Growth options and firm valuation
Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina - 2017 - This version: April 12, 2017
(average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, which have more growth … options than non-R&D firms. By decomposing firm-level volatility into its systematic and unsystematic part, we document that … only idiosyncratic volatility has a significant effect on valuation. Second, we analyze the relation of stock returns to …
Persistent link: https://www.econbiz.de/10012060951
Cover Image
Growth options and firm valuation
Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina - 2013 - This version: February 5, 2013
(average) Tobin's Q increases with firm-level volatility. However, the significance mainly comes from R&D firms, which have … more growth options than non-R&D firms. By decomposing firm-level volatility into its systematic and unsystematic part, we … also document that only idiosyncratic volatility (ivol) has a significant effect on valuation. Second, we analyze the …
Persistent link: https://www.econbiz.de/10010226082
Cover Image
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
Cover Image
Growth options and firm valuation
Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina - 2013
Persistent link: https://www.econbiz.de/10009727743
Cover Image
Growth Options and Firm Valuation
Kraft, Holger - 2017
(average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, which have more growth … options than non-R&D firms. By decomposing firm-level volatility into its systematic and unsystematic part, we document that … only idiosyncratic volatility has a significant effect on valuation. Second, we analyze the relation of stock returns to …
Persistent link: https://www.econbiz.de/10012974640
Cover Image
Growth Options and Firm Valuation
Kraft, Holger - 2013
(average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, which have more growth … options than non-R&D firms. By decomposing firm-level volatility into its systematic and unsystematic part, we document that … only idiosyncratic volatility has a significant effect on valuation. Second, we analyze the relation of stock returns to …
Persistent link: https://www.econbiz.de/10012459825
Cover Image
Growth options and firm valuation
Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina - In: Essays on empirical asset pricing and …, (pp. 17-49). 2017
(average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, which have more growth … options than non-R&D firms. By decomposing firm-level volatility into its systematic and unsystematic part, we document that … only idiosyncratic volatility has a significant effect on valuation. Second, we analyze the relation of stock returns to …
Persistent link: https://www.econbiz.de/10012306051