Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...

This paper studies the impact of liquidity risk on a firm'sproduction and hedging decisions. Liquidity needs result from the revaluation of forward contracts prior to maturity and collateral calls in the case of losses. The provision of collateral causes financing costs, which depend on a...

In this paper we extend an analysis by Lo and Wang (1995), who showed that predictability of asset returns affects derivatives prices through its impact on instantaneous volatility. We investigate how the whole instantaneous variance-covariance matrix of two assets returns is affected by typical...

We develop and empirically test a continuous-time equilibrium model for the pricing of oil futures. Our model provides a link between no-arbitrage and expectations-oriented models, and highlights the role of inventories in identifying different pricing regimes. We compare the hedging performance...

In this paper we measure market depth by investigating the relation between net order flow and price changes. Two aspects are our main focus. Is the relation linear? Is the relation different for positive and negative net order flow? Answers to these questions are important for the design of...

In this paper we empirically investigate the impact of the trading system on the integration of markets. Our data set consists of intraday quotes of screen traded stock index futures and two stock index price series. One index series results from stock prices determined in a floor trading system...

Rationale Anleger sind im Allgemeinen risikoavers. Eine wichtige Implikation dieser Risikoaversion ist, dass Anleger für bestimmte Risiken, die sie eingehen, eine Kompensation verlangen – Risikoprämien. Ein Beispiel für solche Risikoprämien sind Momentenrisikoprämien. Sie sind definiert...

This paper provides implied measures of higher-order dependencies between assets. These measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the full covariance, co-skewness, and co-kurtosis matrices of asset returns. In...

The valuation of firms is one of the topics that valuation theorists and practitioners have addressed since the early stages of economic sciences. Firm valuations are regularly conducted using discounted cash flow (DCF) models in which expected future cash flows are discounted at...