We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (~1%). Key features...

Specific functional forms are often used in economic models of distributions;goodness-of-fit measures are used to assess whether a functional form is appropriatein the light of real-world data. Standard approaches use a distance criterion based onthe EDF, an aggregation of differences in...

This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure.

Vorgestellt wird eine empirische Studie, welche den Zusammenhang zwischen Rendite und Risiko für ein Sample deutscher Versicherungsaktien im Zeitraum 1975-1998 untersucht. Als Methode wurde ein Multifaktorenmodell mit makroökonomischen Faktoren verwendet. Je nach Untersuchungszeitraum beläuft...

Traditional tests of the CAPM following the Fama / MacBeth (1973) procedure are tests of thejoint hypotheses that there is a relationship between beta and realized return and that the marketrisk premium is positive. The conditional test procedure developed by Pettengill / Sundaram/ Mathur (1995)...

Der mit der Frage nach der Existenz von Zeithorizonteffekten im Rahmen einer Aktienanlage verbundene Themenkomplex ist anhaltender Gegenstand einer intensiven und kontroversen Debatte sowohl innerhalb der Investmenttheorie als auch der Investmentpraxis. ...

This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...

The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...

The 2007-2008 financial crises has made it painfully obvious that markets may quickly turn illiquid.Moreover, recent experience has shown that distress and lack of active trading can jump “around”between seemingly unconnected parts of the financial system contributing to transforming...