Momentum strategies based on continuations in stock prices have become increas-ingly popular among academics, money managers, and investors in recent years. While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties....

Die Forschungsfrage dieser Dissertation ist, ob und in welchem Ausmass die Kostenstruktur eines Unternehmens mit dem Risiko in Beziehung steht, da die Volatilität des Umsatzes und die Kostenstruktur die Volatilität der Gewinne bestimmen. Die Regression von operativen Kosten mit den Umsätzen...

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...