In this thesis, I imply a forward-looking systematic factor from CDO market spreads; I show that this factor is a measure of CDO market's expectation of future default correlation, and I empirically show that it is positively related to bond credit spreads. From this, I infer that corporate bond...

The predictability of the US-based international mutual fund returns has receivedrenewed consideration in recent academic studies. This dissertation extends recent research byexploring the 2,479 daily return observations covering the period from January 4, 1993 toOctober 31, 2002 for all...

Diese Dissertation setzt sich zusammen aus drei separaten Aufsätzen, welche sich aus empirischer Sicht mit verschiedenen Aspekten der Zusammenhänge zwischen Finanzmärkten und der Makroökonomie beschäftigen. Kapitel 1 ("Long Horizon Consumption Risk and the Cross-Section of Returns: New...