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Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - National Centre of Competence in Research - Financial … - 2011
We develop an econometric methodology to infer the path of risk premia from large unbalancedpanel of individual stock … returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models where the conditioning … 2009 shows that conditional risk premia are large andvolatile in crisis periods. They exhibit large positive and negative …
Persistent link: https://www.econbiz.de/10009418989
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A semiparametric factor model for electricity forwardcurve dynamics
Borak, Szymon; Weron, Rafał - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth,seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...
Persistent link: https://www.econbiz.de/10005860496
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Corporate Governance and Expected Stock Returns : Evidence from Germany
Drobetz, Wolfgang; Schillhofer, Andreas; Zimmermann, Heinz - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
Recent empirical work shows that a better legal environment leads to lowerexpected rates of return in an international cross-section of countries. Thispaper investigates whether differences in firm-specific corporate governancealso help to explain expected returns in a cross-section of firms...
Persistent link: https://www.econbiz.de/10005858708
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Ein Corporate Governance Ratingfür deutsche Publikumsgesellschaft
Drobetz, Wolfgang; Schillhofer, Andreas; Zimmermann, Heinz - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
Die aktuelle Corporate Governance Literatur stützt die verbreitete Hypothe-se, dass sicht „gute“ Corporate Governance durch eine höhere Unterneh-mensbewertung manifestiert. Die Mehrzahl der empirischen Studien unter-sucht jedoch nur ausgewählte Corporate Governance Mechanismen...
Persistent link: https://www.econbiz.de/10005858711
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Is Board Size an Independent Corporate Governance Mechanism?
Beiner, Stefan; Drobetz, Wolfgang; Schmid, Frank; … - Institut für Schweizerisches Bankwesen <Zürich>; …
Using a comprehensive set of listed Swiss companies, our findings suggestthat the size of the board of directors is an independent control mechanism.However, in contrast to previous studies, we do not find a significant rela-tionship between board size and firm performance. This suggests that...
Persistent link: https://www.econbiz.de/10005858712
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Corporate Governance, Unternehmensbewertung und Wettbewerb - eine Untersuchung für die Schweiz
Beiner, Stefan; Drobetz, Wolfgang; Schmid, Markus M.; … - Wirtschaftswissenschaftliches Zentrum <Basel> - 2004
Einleitung: In der zweiten Hälfte der neunziger Jahre ist die Verbesserung der CorporateGovernance börsennotierter Gesellschaften zu einem intensiv diskutiertenThema geworden. Im Unterschied zu früheren Debatten, wie sie vor etwazwanzig Jahren anlässlich der Arbeit von Jensen/Meckling (1976)...
Persistent link: https://www.econbiz.de/10005862982
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Corporate Governance and Expected Stock Returns : Evidence from Germany
Drobetz, Wolfgang; Schillhofer, Andreas; Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum <Basel> - 2003
Recent empirical work shows that a better legal environment leads to lowerexpected rates of return in an international cross-section of countries. Thispaper investigates whether differences in firm-specific corporate governancealso help to explain expected returns in a cross-section of firms...
Persistent link: https://www.econbiz.de/10005863002
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The Determinants of theGerman Corporate Governance Rating
Drobetz, Wolfgang; Gugler, Klaus; Hirschvogl, Simone - Wirtschaftswissenschaftliches Zentrum <Basel>
This paper analyzes the determinants of the German corporate governance ratingrecently developed by Drobetz, Schillhofer, and Zimmermann (2004). We find anon- linear relationship between ownership concentration and the quality of firmlevelcorporate governance as measured by the rating. Firms...
Persistent link: https://www.econbiz.de/10005867961
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Private Equity Performance and Liquidity Risk
Franzoni, Francesco; Nowak, Eric; Phalippou, Ludovic - National Centre of Competence in Research - Financial … - 2010
This is the first study to show evidence of liquidity risk in private equity returns.Our data contains cash flows for 4 … Stambaugh (2003) traded liquidity factor, theliquidity risk premium in private equity is about 3% annually, the total risk …
Persistent link: https://www.econbiz.de/10009487002
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Building a Consistent Pricing Model from Observed Option Prices
Leisen, Dietmar; Laurent, Jean-Paul - Sonderforschungsbereich Information und die … - 1998
This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is general and allows for state dependent volatility and jumps....
Persistent link: https://www.econbiz.de/10009138375