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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
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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
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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
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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
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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