In this paper we test whether the co-movement of sovereign CDS premia increased significantly after the Greek debt crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and Rigobon (2002). Our sample consists of daily data...

This paper presents a positive model which shows that institutional setups on capital and labor markets might be intertwined by politicoeconomic forces. Some countries especially in continental Europe exhibit a corporatist politicoeconomic equilibrium with a sustantial protection of insiders on...

Die Öffnung des deutschen Bilanzrechts bewirkt eine zunehmende Anwendungsbreite von internationalen Rechnunungslegungsnormen (wie insbesondere der US-GAAP und der IAS) für deutsche Rechtsanwender;1 die heterogenen Normtypen und die – damit einhergehend – unterschiedlichen ökonomischen...

Rating agencies state that they take a rating action only when it is unlikely to be reversed shortly afterwards. Based on a formal representation of the rating process, I show that such a policy provides a good explanation for the empirical evidence: Rating changes occur relatively seldom,...

In a series of recent papers, Mark Roe and Lucian Bebchuk have developed further the concept of path dependence, combined it with concepts of evolution and used it to challenge the wide-spread view that the corporate governance systems of the major advanced economies are likely to converge...

Recent changes in accounting regulation for financial instruments (SFAS 133, IAS 39) have been heavily criticized by representatives from the banking industry. They argue for retaining a historical cost based mixed model where accounting for financial instruments depends on their designation to...

Estimation risk is known to have a huge impact on mean/variance (MV) optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice. Several approaches to incorporate estimation risk into portfolio selection are suggested in the earlier...

This study contributes to the valuation of employee stock options (ESO) in two ways: First, a new pricing model is presented, admitting a major part of calculations to be solved in closed form. Designed with a focus on good replication of empirics, the model fits with publicly observable...