The dissertation consists of three self-contained essays, with a focus on empirical capital market research. The first essay "Time-Varying Conditional Market Returns: Is Variance or Tail-Risk Priced", empirically investigates the question whether there is a positive relationship between...

The purpose of this paper is to examine additions and deletions of the S&P500. Competing event studies will be performed to analyze the announcement effect with different benchmarks. The main components of the paper are a Market Model based event study and a GARCH(1,1)-M Model study. The GARCH-M...

Since private equity investments are not publicly traded, a key issue in measuring investment risks of institutional private equity investors arises from a careful measurement of investment returns in the first place. Prices of private equity investments are typically observed at low frequency...