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The signal of volatility
Strohsal, Till; Weber, Enzo - 2012
inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to …
Persistent link: https://www.econbiz.de/10010318768
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A call on Art investments
Kraeussl, Roman; Wiehenkamp, Christian - 2010
option on an art index, derived from one of the most comprehensive data sets of art market transactions. The option allows … investors to optimize their exposure to art. For pricing purposes, non-tradability of the art index is acknowledged and option …
Persistent link: https://www.econbiz.de/10010303744
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The news model of asset price determination: An empirical examination of the Danish football club Brøndby IF
Jørgensen, Casper W.; Moritzen, Mark R.; Stadtmann, Georg - 2012
According to the news model of asset price determination, only the unexpected component of an information should drive … price. To disentangle gross news from net news, betting odd information is used to control for the expected match outcome. …
Persistent link: https://www.econbiz.de/10010308119
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Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System
Breig, Christoph; Elsas, Ralf - 2009
In this paper, we address the question whether the impact of default risk on equity returns depends on the financial system firms operate in. Using an implementation of Merton's option-pricing model for the value of equity to estimate firms' default risk, we construct a factor that measures the...
Persistent link: https://www.econbiz.de/10010427776
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Testing for convergence in stock markets: a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10010274513
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10010274514
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Common influences, spillover and integration in Chinese stock markets
Weber, Enzo; Zhang, Yanqun - 2008
overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address …
Persistent link: https://www.econbiz.de/10010263757
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Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - 2009
improvements. The present paper seeks to contribute to this evolution, focusing on the Global Risk Appetite Index (GRAI) class of …
Persistent link: https://www.econbiz.de/10010298784
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The evolution of aggregate stock ownership
Rydqvist, Kristian; Spizman, Joshua; Strebulaev, Ilya - 2011
Since World War II, direct stock ownership by households has largely been replaced by indirect stock ownership by …
Persistent link: https://www.econbiz.de/10010308558
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Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - 2007
We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...
Persistent link: https://www.econbiz.de/10010298351