In this paper we study the effect of institutional reform on the decision to hold risky assets at the extensive and the intensive margin. We therefore make use of the natural experiment of German Division and Reunification and, based on savings bank customer data from German savings banks, study...

Much research is devoted to the study of the effect of oil on GCC markets. The link is evident, although waning. Little is known about the effect of other commodities, maybe because intuitively they are thought not to impact significantly these markets. However a finding of independence, or...

July 2017, marks the 10th year anniversary of the issuance of the patent entitled “Method of identifying a universe of stocks for inclusion into an investment portfolio.” (Vass, 2007).The abstract of the patent states that it is:A method of identifying a universe of stocks for inclusion into...

We provide an analytic valuation formula for convertible bonds with regime-switching market conditions. We divide the convertible bond into a coupon-bearing bond component and an American-type exchange option component. We develop a new valuation method of the exchange option component by...

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short‐term...

Many currencies, especially those of countries with negative net foreign assets, tend to depreciate during times of financial turbulence. Using a panel of 26 currencies over the period 1/1997-6/2016, I show that the composition of net foreign assets matter for the exchange rate sensitivity to...