This study examines whether shocks from macroeconomic variables or asymmetric effects are more suitable for explaining the time-varying volatility in the dry bulk and tanker freight markets or whether both effects should be incorporated simultaneously. Using Baltic Exchange indices during the...

Despite their high economic importance, academic research has granted KG funds only marginal attention. A main reason is the lack of reliable performance data due to non-observable market prices during the lifetime of a KG fund. In order to measure the performance of KG funds, we construct an...

This study compares the performance of different rebalancing strategies under realistic market conditions by reporting statistical significance levels. Our analysis is based on historical data from the United States, the United Kingdom, and Germany and comprises three different classes of...

This study examines whether the “Sell in May and Go Away” (or Halloween) trading strategy still offers an opportunity to earn abnormal returns. In contrast to prior studies, we consider sample periods during which adequate investment instruments were available for an effective implementation...

This paper focuses on mean reversion on international stock markets and explores whether this empirical observation is compatible with a rational, general equilibrium asset pricing model. We consider a simple time series model with switching regimes for the consumption process in the G-7...

Im vorliegenden Beitrag werden die Ergebnisse einer Fragebogenuntersuchung unter deutschen, schweizerischen und österreichischen Unternehmen über die Motive zur Emission von Wandelanleihen vorgestellt. Die Interpretation der Antworten der befragten Unternehmen bestätigt die...

The knowledge of risk factors that determine an industry's expected stock returns is important to assess whether this industry serves as a separate asset class. This study analyses the macroeconomic risk factors that drive expected stock returns in the shipping industry and its three sectors:...

This study examines the empirical relationship between the volatility indices VDAX as well as VDAX-New and the stock market index DAX. Extending prior international evidence, we document a negative relationship between the implied volatility indexes and the stock market index for the German...

We analyze the heterogeneity in asset allocation decisions of different investor groups in response to changes in the macroeconomic environment. Using a new data set that includes the monthly portfolio holdings of private, commercial, and institutional investors deposited with Swiss banks, we...