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Valuation in Over-the-Counter Markets
Duffie, Darrell; Gârleanu, Nicolae; Pedersen, Lasse Heje - 2004
bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are …
Persistent link: https://www.econbiz.de/10005846988
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Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices
Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …
Persistent link: https://www.econbiz.de/10005857785
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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010
In a Lucas orchard with heterogeneous beliefs, we study the link between market-wide uncertainty, difference of opinionsand co-movement of stock returns. We show that this link plays an important role in explaining the dynamics of equilibriumvolatility and correlation risk premia. In our...
Persistent link: https://www.econbiz.de/10009305103
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Anreizwirkungen und Bewertung von Erfolgsbeteiligungen im Portefeuillemanagement
Gillenkirch, Robert M. - Universität <Frankfurt, Main> / Fachbereich … - 1997
Performance fees for portfolio managers are designed to align the managers' goals withthose of the investors and to motivate managers to aquire "superior" information and tomake better investment decisions. A part of the literature analyzes performance fees on thebasis of market valuation. In...
Persistent link: https://www.econbiz.de/10005840405
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Long-run stock performance of German initial public offerings and seasoned equity issues
Stehle, Richard; Ehrhardt, Olaf; Przyborowsky, René - 2000
This paper deals with the long-run stock performance after initial public offerings (IPOs) in the German capital market with a larger sample than prior studies and alternative benchmarks (the equally and the value-weighted market portfolio, size portfolios and matching stocks).
Persistent link: https://www.econbiz.de/10005840912
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Recovery Risk in Stock Returns
Akgun, Aydin; Gibson, Rajna - 1999
This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.
Persistent link: https://www.econbiz.de/10005843147
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Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Bajgrowicz, Pierre; Scaillet, Olivier - National Centre of Competence in Research - Financial … - 2011
We propose a technique to avoid spurious detections of jumps in highfrequencydata via an explicit thresholding on available test statistics. Weprove that it eliminates asymptotically all spurious detections. MonteCarlo results show that it performs also well in finite samples. In DowJones...
Persistent link: https://www.econbiz.de/10009486851
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Alternative Tests for Monotonicity in Expected Asset Returns
Romano, Joseph P.; Wolf, Michael - National Centre of Competence in Research - Financial … - 2011
Many postulated relations in finance imply that expected asset returns should monotonicallyincrease in a certain characteristic. To examine the validity of such a claim, onetypically considers a finite number of return categories, ordered according to the underlyingcharacteristic. A standard...
Persistent link: https://www.econbiz.de/10009486852
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Is the Price Kernel Monotone?
Barone-Adesi, Giovanni; Dallo, Hakim - National Centre of Competence in Research - Financial … - 2010
We provide a new method to derive the state price density per unit probabilitybased on option prices and GARCH model. We derive the risk neutraldistribution using the result in Breeden and Litzenberger (1978) and thehistorical density adapting the GARCH model of Barone-Adesi, Engle, andMancini...
Persistent link: https://www.econbiz.de/10009522186
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Tranching and Rating
Brennan, Michael; Hein, Julia; Poon, Ser-Huang - Manchester Business School - 2008
In this paper we analyze the source and magnitude of marketing gains from selling structured debtsecurities at yields that reflect only their credit ratings, or specifically at yields on equivalently ratedcorporate bonds. We distinguish between credit ratings that are based on probabilities of...
Persistent link: https://www.econbiz.de/10005870670