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Why Ratings Matter: Evidence from Lehman’s IndexRating Rule Change

Chen, Zhihua; Lookman, Aziz A.; Schürhoff, Norman; … - Swiss National Centre of Competence in Research North … - 2010

This paper examines the role of bond ratings and the effects of rating-based regulations in thecorporate bond market …. Exploiting an unanticipated mechanical change in how the benchmarkLehman bond indices are constructed in 2005, we show that … rating-induced market segmentationof the bond market into investment-grade and high-yield sectors has a first-order impact on …

Persistent link: https://www.econbiz.de/10009248846

Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets

Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Bank für Internationalen Zahlungsausgleich <Basel> - 2008

without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days …

Persistent link: https://www.econbiz.de/10009305112

Revealed and Stated Investment Decisions Concerning Structured Products

Vanini, Paolo; Döbeli, Barbara - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We analyze the investment behavior of private clients concerning structured products. To ascertain their stated and revealed preferences, we use a questionnaire and a field experiment, respectively. The real product issued in the field experiment is comparable to one product in the questionnaire...

Persistent link: https://www.econbiz.de/10005858052

The War Puzzle: Contradictory Effects of International Conflicts on Stock Markets

Brune, Amelie; Hens, Thorsten; Rieger, Marc Oliver; … - National Centre of Competence in Research - Financial … - 2011

We study a number of large international military conflicts sinceWorld War II where we establish a news analysis as a proxy for theestimated likelihood that the conflict will result in a war. We findthat in cases when there is a pre-war phase, an increase in the warlikelihood tends to decrease...

Persistent link: https://www.econbiz.de/10009486848

Nomen est Omen : How Company Names Influence Short- and Long-Run Stock Market Performance

Pensa, Pascal - Wirtschaftswissenschaftliches Zentrum <Basel> - 2006

I use a survey methodology to obtain consensus ratings of 64 Swiss company names. The survey evidence suggests that simple cognitive company name characteristics do affect the buy and sell decision of respondents. Furthermore, I find that respondents attribute positive stock performance rather...

Persistent link: https://www.econbiz.de/10005862886

Performance of Initial Public Offerings : The Evidence for Switzerland

Drobetz, Wolfgang; Kammermann, Matthias; Wälchli, Urs - Wirtschaftswissenschaftliches Zentrum <Basel>

We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signallinghypothesis and, to some extent, the market cyclicality hypothesis...

Persistent link: https://www.econbiz.de/10005863001

Long-run stock performance after intial public offerings and seasoned equity issues in the German capital market

Stehle, Richard; Erhardt, Olaf; Przyborowsky, René - Universität <Berlin, Humboldt-Universität> / … - 2000

We estimate the long-run stock performance after intial 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 portfolio and matching stocks). In addition we present the...

Persistent link: https://www.econbiz.de/10005863243

The reception of public signals in financial marketswhat if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - European Central Bank - 2009

How do financial markets price new information? This paper analyzes price setting atthe intersection of private and public information, by testing whether and how thereaction of financial markets to public signals depends on the relative importance ofprivate information in agents’ information...

Persistent link: https://www.econbiz.de/10005866483

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - European Central Bank - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of indices, which have become a key barometer of mortgage marketconditions during the recent financial crisis. After an introduction into ABX index mechanicsand a discussion of...

Persistent link: https://www.econbiz.de/10005866585

Conditional Asset Pricing in Emerging Stock Markets

Drobetz, Wolfgang; Stürmer, Susanne; Zimmermann, Heinz - 2001

Stock returns in emerging markets are to some extent predictable onthe basis of proper instrument variables. We show that local informationis more important than global information to capture emergingstock market returns. This is an indication for at least partial segmentationof emerging stock...

Persistent link: https://www.econbiz.de/10005866748