Der vorliegende Beitrag beschäftigt sich mit der Aufarbeitung der Hintergründe der Subprime-Krisesowie der nachfolgenden internationalen Banken- und Finanzkrisen. Auf dieser Basis werden Vorschlägediskutiert, wie die erkannten Schwachstellen im Finanzsystem repariert bzw. behoben...

Seit dem Fall des Eisernen Vorhangs im Jahre 1989 befinden sich die zentral-, ost- und süd-osteuropäische Länder in einem Übergang von kommunistischen zu marktwirtschaftlich orientierten Volkswirtschaften. Eng damit verknüpft ist die Entstehung von Börsen für Aktien, die in den letzten...

An empirically well-established finding is that equity portfolios are concentratedin the domestic equity market of the investor. Previous theoreticaland empirical analyses have mainly focused on institutional explanations andlargely neglected individual behavior. In this study we report the...

survey of fund managers reveals home bias for these sophisticated investorsin an unrestricted setting. Proximity, perceived informational advantage andhigher expected returns are confirmed as accompanying factors. In addition, thehome bias of equity managers is also related to institutional,...

This paper studies the impact of EMU on portfolio diversification opportunities.

This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.

This empirical study analyzes market and currency risk premia during financial and political crises within the theoretical framework of the international asset pricing model of Adler and Dumas (1983). The econometric specification extends the multivariate GARCH approach of De Santis and Gerard...

According to the traditional view held in finance returns of assets are determined by complete rationality of decision makers. Rational decisions are defined by a set of axioms that are universal and do not leave room for cultural differences. In this article we show that cultural differences do...

We use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post-war economies and its...

The viability of international diversification involves balancing benefits and costs.This balance hinges on the degree of asset dependence. In light of theoretical researchlinking diversification and dependence, we examine international diversification usingtwo measures of dependence:...