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The term structure of bond market liquidity conditional on the economic environment : an analysis of government guaranteed bonds
Schuster, Philipp; Uhrig-Homburg, Marliese - 2012
We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...
Persistent link: https://www.econbiz.de/10009667173
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Temporäre Marktungleichgewichte auf Bondmärkten : aktive Handelsstrategien auf Basis geschätzter Zinsstrukturkurven
Kellerhals, Boris Philipp; Uhrig-Homburg, Marliese - 1997
Auf Anleihemärkten versuchen Investoren mit aktiven Handelsstrategien eine über der risikoadäquaten Marktverzinsung liegende Rendite zu erwirtschaften. Dabei kommen prognoseorientierte Strategien wie auch Anlagepolitiken zur Verwendung, die zeitweilige Marktungleichgewichte zu nutzen...
Persistent link: https://www.econbiz.de/10010405335
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Modellierung von Zinsstrukturkurven
Hewicker, Harald; Cremers, Heinz - 2011
Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...
Persistent link: https://www.econbiz.de/10009231941
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Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates
Fendel, Ralf - 2016
Persistent link: https://www.econbiz.de/10012991346
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Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS
Forte, Santiago - 2012
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...
Persistent link: https://www.econbiz.de/10012755686
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Extended Libor market models with affine and quadratic volatility
Zühlsdorff, Christian - 2002
Persistent link: https://www.econbiz.de/10001667067
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Extended Libor market models with affine and quadratic volatility
Zühlsdorff, Christian - 2002
The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...
Persistent link: https://www.econbiz.de/10011538865
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Stock-market behavior on ex-dates : new insights from German stocks with tax-free dividend
Kreidl, Felix - In: International Journal of Financial Studies : open … 8 (2020) 3/58, pp. 1-21
We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax …-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our … empirical results indicate that ex-date prices decline, on average, by the amount of the dividend. We do not find a significant …
Persistent link: https://www.econbiz.de/10012291925
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Payout Policy Tax Clienteles, Ex-Dividend Day Stock Prices and Trading Behavior in Germany : The Case of the 2001 Tax Reform
Haesner, Christian - 2012
classical system. Theory suggests that both price drop ratios and trading volume decrease following the reform. We document a … signi cant reduction in the valuation of net dividends - in particular for high dividend yield stocks - and weakening payout … policy tax clienteles. Ex-dividend day returns are likely to be driven by short-term traders. Though the reform removed …
Persistent link: https://www.econbiz.de/10013114888
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Stock-Market Behavior on Ex-Dates : New Insights from German Stocks with Tax-Free Dividend
Kreidl, Felix - 2020
We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax …-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our … empirical results indicate that ex-date prices decline, on average, by the amount of the dividend. We do not find a significant …
Persistent link: https://www.econbiz.de/10012842206