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Stabilität der Korrelationen bedeutender Anlageklassen

Auckenthaler, Christoph; Skaanes, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2003

Seit Begründung der modernen Portfoliotheorie ist bekannt, daß die Portfoliovolatilität im Fall niedriger Korrelationen zwischen den Anlageklassen bei sonst gleich bleibenden Parametern ohne Renditeeinbuße reduziert wird...

Persistent link: https://www.econbiz.de/10005856981

Debt correlations in the wake of the financial crisis : what are appropriate default correlations for structured products?

Nickerson, Jordan; Griffin, John M. - In: Journal of financial economics 125 (2017) 3, pp. 454-474

Persistent link: https://www.econbiz.de/10011751854

Measuring the diversification of a loan portfolio

Tourin, Agnès - In: International journal of bonds and derivatives 4 (2020) 2, pp. 104-113

Persistent link: https://www.econbiz.de/10012505156

Equity-Bond Returns Correlation and the Bond Yield: Evidence of Switching Behaviour from the G7 Markets

Humpe, Andreas; McMillan, David G. - In: Credit and Capital Markets – Kredit und Kapital 49 (2016) 3, pp. 415-444

Aktien-Anleihen Korrelation und Anleiherenditen: Nachweis von Wechselverhalten in den G7 Märkten In diesem Beitrag wird … die Korrelation zwischen den realen Aktienrenditen und denjenigen von Staatsanleihen innerhalb der G7-Länder analysiert …. Die etablierte Finanzmarkttheorie lässt eine positive Korrelation der Renditen erwarten. Allerdings zeigt die empirische …

Persistent link: https://www.econbiz.de/10014522949

Robust block bootstrap panel predictability tests

Westerlund, Joakim; Smeekes, Stephan - 2013

Persistent link: https://www.econbiz.de/10010199463

Modelling Time-Variation in the Stock Return-Dividend Yield Predictive Equation

McMillan, David G. - 2012

Using data for forty markets, this paper examines the nature and possible causes of time-variation within the stock return-dividend yield predictive regression. The results in this paper show that there is significant time-variation in the predictive equation for returns and that such variation...

Persistent link: https://www.econbiz.de/10013099922

Disentangling the Short and Long-Run Effects of Occupied Stock in the Rental Adjustment Process

Adams, Zeno - 2013

In the current stand of literature on the rental adjustment process starting with Hendershott et al. (2002a, 2002b) it has become practice to treat the compound variable "occupied stock" as a supply variable. In this study we show that this variable deserves a more critical investigation and...

Persistent link: https://www.econbiz.de/10013091264

Splitting the Value Gap How to Break Down Heineken’s Premium in M/B Multiple into Various Value Drivers

le Grand, Hans - 2009

In this article we present a method to analyse the Market to book (M/B) ratio of a company. The difference between this ratio compared to M/B ratios of other companies in the industry (“value gap” or “value premium”) is analysed and broken down into several components. The first...

Persistent link: https://www.econbiz.de/10013155985

Data Mining for Overreaction in Financial Markets

Duran, Ahmet - 2009

We study overreaction and the cumulative effect of the consecutive local overreaction patterns in financial markets. The 'overreaction diamond' pattern [1] is one of the key components of a financial market bubble. The cumulative effect of the consecutive short term overreactions arising from...

Persistent link: https://www.econbiz.de/10013159327

On the Generalized Brownian Motion and its Applications in Finance

Høg, Esben - 2008

This paper deals with dynamic term structure models (DTSMs) and proposes a new way to handle the limitation of the classical affine models. In particular, the paper expands the flexibility of the DTSMs by applying generalized Brownian motions with dependent increments as the governing force of...

Persistent link: https://www.econbiz.de/10012722476