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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …
Persistent link: https://www.econbiz.de/10003919401
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CEO Compensation and Credit Default Swaps : Evidence from the U.S. And Germany
Chiu, Hsin-Hui - 2017
Executive compensation is designed to create incentives for CEOs to act in the best interest of shareholders. Short-term (bonus) and equity-based incentives induce risk taking behaviors of the CEO that could further change a firm's risk exposure. This article examines the linkage between...
Persistent link: https://www.econbiz.de/10012974940
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Star-Analysts’ Forecast Accuracy and the Role of Corporate Governance
Kerl, Alexander Gabriel - 2014
This paper examines whether star-analysts have better forecasting abilities than non-star-analysts. Our results reveal that star-analysts' earnings forecasts outperform their peers' forecasts. Because the level of corporate governance plays an important role for the general level of forecast...
Persistent link: https://www.econbiz.de/10013064810
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Sooner or later: delays in trade reporting by corporate insiders
Betzer, André (contributor); Theissen, Erik (contributor) - 2008
managers of these firms are less responsive to the informational requirements of the capital market. We further find that …
Persistent link: https://www.econbiz.de/10003761182
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Long-Run Stock Performance of German Initial Public Offerings : Survey and Update
Pryshchepa, Oksana - 2012
Previous estimates of the mean 3-year buy-and hold abnormal returns of German IPO stocks range from -52.20% to 1.66%. It is difficult to justify this significant variation in abnormal returns, given the almost identical calculation procedures and the large overlap in sample periods. We argue...
Persistent link: https://www.econbiz.de/10013107674
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Spillover Effects from the Volkswagen Emissions Scandal : An Analysis of Stock, Corporate Bond, and Credit Default Swap Markets
Barth, Florian - 2019
The Volkswagen emissions scandal is by far the largest case of emissions cheating in automotive history and had wide-reaching consequences for the industry throughout the world. This study examines the spillover effects to competitors and suppliers following Volkswagen's public admission of...
Persistent link: https://www.econbiz.de/10012900398
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Smile in Motion : An Intraday Analysis of Asymmetric Implied Volatility
Wallmeier, Martin - 2015
We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in high-frequency data. Using transaction data for EuroStoxx 50 options from 2000 to 2011 and DAX...
Persistent link: https://www.econbiz.de/10013037094
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The Skew Pattern of Implied Volatility in the DAX Index Options Market
Muzzioli, Silvia - 2012
The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of implied volatility is examined for the most...
Persistent link: https://www.econbiz.de/10013110064
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Manipulation des Börsenkurses durch gezielte Informationspolitik im Rahmen von Squeeze-Outs? : eine empirische Untersuchung am deutschen Kapitalmarkt
Daske, Holger; Bassemir, Moritz; Fischer, Felix F. - 2009
Der vorliegende Beitrag untersucht, ob der Mehrheitsaktionär einer Gesellschaft im Vorfeld eines Zwangsausschlusses von Minderheitsaktionären (sog. Squeeze-Out) versucht, die Kapitalmarkterwartungen negativ zu beeinflussen. Ein solches "manipulatives" Verhalten wird häufig in der juristischen...
Persistent link: https://www.econbiz.de/10003838445
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003952800