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...

Diese Arbeit untersucht die Rolle des Enforcements der Rechnungslegung bei der Entscheidungsfindung von Abschlusserstellern und -prüfern. Enforcement-Mechanismen sind staatliche oder private Institutionen, die befugt sind, geprüfte Abschlüsse börsennotierter Unternehmen einer weiteren...

This dissertation addresses different key elements in portfolio management. It intends to improve and analyze influences on portfolio strategies and their performance. Likewise, it aims at the systematization and extension of benchmark specifications as well as their effect on portfolio...

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...

This paper presents a reduced form affine two-factor model to price commodity derivatives, which generalizes the model by Schwartz amp; Smith (2000). The model allows for two mean-reverting stochastic factors, and therefore implies that spot and futures prices can be stationary. An empirical...

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...

This note studies a firm's optimal hedging strategy with tailor-made exotic derivatives under both price risk and quantity risk. It extends the analysis of Brown and Toft (2002) by relaxing the distributional assumptions. The optimal pay-off function of a derivative contract is characterized in...

Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the long-term investor. Our paper defines, analyzes and proposes potential solutions to three problems (payoff, leverage and finite...