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Asset Bubbles without Dividends - An Experiment
Oechssler, Jörg; Schmidt, Carsten; Schnedler, Wendelin - 2009
bubbles occur pay dividends after each trading day. In this paper we study whether bubbles can occur in markets without … dividends. We investigate the role of two features that are present in real markets. (1) The mere possibility that some traders … without dividends. Surprisingly, communication turns out to be counterproductive for bubble formation, whereas the possibility …
Persistent link: https://www.econbiz.de/10011422145
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Asset bubbles without dividends : an experiment
Oechssler, Joerg - 2007
bubbles occur pay dividends after each trading day. In this paper we study whether bubbles can occur in markets without … dividends. We investigate the role of two features that are present in real markets. (1) The mere possibility that some traders … without dividends. Surprisingly, communication turns out to be counterproductive for bubble formation, whereas the possibility …
Persistent link: https://www.econbiz.de/10003592714
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The information content in contingent convertible bond prices
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017
in prices of CoCos, we introduce models which incorporate most of the characteristics and risks of CoCos. The models …
Persistent link: https://www.econbiz.de/10011761303
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A new approach to modelling banks' equity volatility : adding time-to-maturity jumps
Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017
We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors' perception of the time-to-maturity of the firm's debt....
Persistent link: https://www.econbiz.de/10011740702
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Measuring financial integration in the euro area
Baele, Lieven; Ferrando, Annalisa; Hördahl, Peter; … - 2004
In this paper, we present a set of specific measures to quantify the state and evolution of financial integration in the euro area. Five key markets are considered, namely the money, corporate bond, government bond, credit and equity markets. Building upon the law of one price, we developed two...
Persistent link: https://www.econbiz.de/10011606166
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International equity flows and returns
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004
prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much …
Persistent link: https://www.econbiz.de/10009636533
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Warum ABS schlechte Produkte sein können, aber nicht müssen
Rudolph, Bernd - In: ifo Schnelldienst 67 (2014) 22, pp. 9-14
Bernd Rudolph, Ludwig-Maximilians-Universität München und Steinbeis Hochschule Berlin, zeigt in seinem Kommentar, welche Vor- und Nachteile mit einer Nutzung der ABS-Märkte verbunden sind, wie sie gestaltet und wie sie reguliert sein müssen, damit die genannten Defizite und möglichen...
Persistent link: https://www.econbiz.de/10011693732
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How important is liquidity risk for sovereign bond risk premia? Evidence from the London Stock Exchange
Alquist, Ron - 2008
prices are available to conduct asset-pricing tests. Empirical analysis of these data establishes three new results. First …
Persistent link: https://www.econbiz.de/10010279951
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Price formation and liquidity provision in short-term fixed income markets
D'Souza, Chris; Lo, Ingrid; Sapp, Stephen - 2007
Differences in market structures may affect the manner in which fundamental information is incorporated into prices … ensure that prices are informationally efficient. The relationship between price changes, order flow, relative depth and …
Persistent link: https://www.econbiz.de/10010279998
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How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange
Alquist, Ron (contributor) - 2008
prices are available to conduct asset-pricing tests. Empirical analysis of these data establishes three new results. First …
Persistent link: https://www.econbiz.de/10003790566