In this paper we model how the existence of different beliefs about the underlying fundamental value of a currency affects the dynamics of the exchange rate. We find that a divergence of beliefs creates the potential for waves of optimism and pessimism that alternate in an unpredictable way....

Komplexe Aktien- und Wechselkurstrajektorien werden im Rahmen eines nichtlinearen dynamischen makroökonomischen Modells mit träger Outputanpassung am Gütermarkt und heterogener Erwartungsbildung auf den Assetmärkten abgeleitet. Die Implikationen des Aufeinandertreffens von Chartisten und...

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Applying the framework of conditional event studies shows that equity issues reveal managers' private information about stock mispricing, which investors only partially discount into stock prices at the seasoned equity offering (SEO) announcement date. Negative abnormal returns occur as prices...

In 2005, the European Emission Trading Scheme (EU-ETS) established a new commodity: the right to emit a ton of CO2 (EUA). Since its launch, the corresponding price has shown rather turbulent dynamics, including nervous reactions to policy announcements and a price collapse after a visible...

Existing empirical evidence is inconclusive on whether professional investors show sophisticated behavior or not, a question which is at the heart of market efficiency. This ambiguous evidence is mostly based on trading data or laboratory evidence, which each has its limitations. We complement...

Seit Juli 2000 müssen alle Kredit- und Finanzdienstleistungsinstitute, die über Gelder oder Wertpapiere von Kunden verfügen oder Eigenhandel betreiben, ihre in § 11 KWG geforderte jederzeitige ausreichende Zahlungsbereitschaft - mittels einer monatlich an das Bundesaufsichtsamt für das...

This paper deals with applies regime-switching models to assess the effects of different regimes of volatility in asset pricing.

The question that this paper raise in this paper is how to choose the best mix of countries to diversify internationally? They compare several methods of asset allocation from a Swiss perspective over the period 1988-2001.

Sind die so genannten Leerverkäufe Mitverursacher der Finanzkrise und sollten deshalb Wetten auf sinkende Kurse verboten werden? Andre Horovitz, Financial Risk Fitness GmbH, verdeutlicht in seinem Beitrag, dass auch Leerverkäufe und »leer geschlossene« CDS für Unternehmen sinnvoll sein...