to insignificantly underperforming the risk-replicating portfolio by almost two percentage points for the year after they … were published. Buy's of small- firm stocks outperform the risk-replicating portfolio whereas medium- and large-sized firms …

are consistent with the empirical properties of dividends, the equity premium, as well as the level and standard deviation … of the risk-free rate. Overall, our findings show that it is possible to reconcile the stylized properties of the equity …

in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features of …

financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate … market expectations about exchange rate developments. Based on these risk-neutral density estimates, we then assess the out … also find that, for the Czech Republic and Poland, risk-neutral densities contain useful information on the direction of …

In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all … affected if the tail risk of the financial sector increases. We find that key accounting and market valuation metrics such as … risk profile of a financial institution. In contrast to earlier studies, the employed panel vector autoregression (PVAR …