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Analysts' dividend forecasts as a basis for portfolio selection and for the calculation of market risk premia
Becker, Franziska; Breuer, Wolfgang; Gürtler, Marc - In: Stock returns : cyclicity, prediction and economic …, (pp. 69-90). 2009
Persistent link: https://www.econbiz.de/10003944995
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Default risk in bond and credit derivatives markets
Benkert, Christoph - 2004
Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...
Persistent link: https://www.econbiz.de/10002146228
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Default Risk in Bond and Credit Derivatives Markets
Benkert, Christoph - 2004
Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...
Persistent link: https://www.econbiz.de/10013519782
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The relationship between day-ahead and futures prices in the electricity markets : an empirical analysis on Italy, France, Germany and Switzerland
Bonaldo, Cinzia; Caporin, Massimiliano; Fontini, Fulvio - 2021
Persistent link: https://www.econbiz.de/10013256293
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Exploiting the Dividend Month Premium : Evidence from Germany
Kreidl, Felix - 2020
Dividend payments are firm events on a recurring and predictable basis. High returns in the period between announcement …-date and ex-dividend date are the main driver for the so-called dividend month premium, which are positive abnormal returns in … months in which corporations are predicted to issue dividend payments. In our empirical analysis of the German stock market …
Persistent link: https://www.econbiz.de/10012843226
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Exploiting the dividend month premium : evidence from Germany
Kreidl, Felix; Scholz, Hendrik - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 253-266
Persistent link: https://www.econbiz.de/10012581619
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Implied market price of weather risk
Härdle, Wolfgang; López Cabrera, Brenda - 2009
. The weather derivative market is therefore incomplete. This paper implements a pricing methodology for weather derivatives …
Persistent link: https://www.econbiz.de/10003796146
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Risk premia in the German electricity futures market
Pietz, Matthäus - 2009
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...
Persistent link: https://www.econbiz.de/10003858199
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Interpreting implied risk-neutral densities : the role of risk premia
Hördahl, Peter; Vestin, David - In: Review of finance : journal of the European Finance … 9 (2005) 1, pp. 97-137
Persistent link: https://www.econbiz.de/10002866906
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Pricing credit linked financial instruments : theory and empirical evidence
Schmid, Bernd - 2002
Persistent link: https://www.econbiz.de/10001632772