We estimate the long-run stock performance after intial public offerings (IPOs) in the German capital market with a larger sample than prior studies and alternative benchmarks (the equally and the value-weighted market portfolio, size portfolio and matching stocks). In addition we present the...

Das Äquivalenzprinzip der Finanzmathematik vergleicht und bewertet Zahlungsströme. Dazuist eine Bewertung von Zeit und von Unsicherheit notwendig. Aus einem mathematischenBlickwinkel gesehen ist die Bewertung eine Äquivalenzrelation. Diese Darstellungsweise gibteinen einheitlichen formalen...

Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...

The paper deals with the evaluation of Collateralized Debt Obligations forinvestment purposes. CDOs are classified in the asset backed environment. Itsspecific risks (market, timing, recovery, agency) are discussed. To understand theportfolio aspect, the concept of the diversity score is...

We investigate the problem of modeling defaults of dependent credits.In the framework of the class of structural default models we studythreshold models where for each credit the underling ability-to-payprocess is a transformation of a Wiener processes. We propose a modelfor dependent defaults...

Based on a new methodological framework we investigate IPO (under-)performance in asample of 7,378 firms going public in the 1975-2005 period. We explicitly vary the time horizonin our analysis and document a significant underperformance of IPO firms over the firstyear after going public, while...

Seit dem Fall des Eisernen Vorhangs im Jahre 1989 befinden sich die zentral-, ost- und süd-osteuropäische Länder in einem Übergang von kommunistischen zu marktwirtschaftlich orientierten Volkswirtschaften. Eng damit verknüpft ist die Entstehung von Börsen für Aktien, die in den letzten...

Assessments of investors’ risk appetite/aversion stance via indicators often yields resultswhich seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding howsuch indicators work therefore seems essential for further improvements. The presentpaper seeks to contribute to this...

The paper presents a comprehensive data set of all bonds issued by the sixteenGerman states (Länder) since 1992. It thus provides a complete picture of acapital market comparable in size to funds raised in the German fixed incomemarket for corporations. The quantitative analysis reveals that...

This paper investigates the returns and flows of German money marketfunds before and during the liquidity crisis of 2007/2008. The mainfindings of this paper are: In liquid times money market funds enhancedtheir returns by investing in less liquid papers. By doing so they outperformedother funds...