Central counterparty clearing houses (CCPs) provide risk management for OTC transactions. Using a global sample of sovereign credit default swaps (CDS) issued between 2010 and 2017, this paper analyzes the impact of the global structural shift from over-the-counter to voluntary CCP clearing of...

We analyze Chicago based daily wheat price volatility over more than 140 years using a novel data set of daily high and low futures prices starting in 1877. We identify five long-run regimes and find that that volatility shifts between regimes are statistically more pronounced than fluctuations...

We analyze the necessary conditions for a positive relation between the price-earnings ratio (P/E) and expected growth, which is often claimed in financial practice, using the simple Gordon equity valuation model. The conditions are entirely based on observable valuation ratios, specifically the...

The availability of uncommitted funds is used as a measure of the financial quality of pension funds. Panel logit models with data from the Swiss Pension Fund Statistics are estimated to identify structural characteristics of funds, most of them under control of their foundation board, that...

Unlike stocks, unexpected returns of REITs (real estate investment trusts) are mainly driven by adjustments (called ``news'') in expected dividend growth as opposed to discount rates. The importance of REIT cash flow news is strong before and during the GFC, but also during the Dotcom period...

We analyse the dynamic behavior of conditional volatility in commodity markets using a novel, manually collected dataset of daily price ranges over a time span of more than 140 years, which allows more precise daily volatility estimates than are otherwise prevalent in the commodity literature....

This paper analyzes daily wheat price volatility over an observation period of more than 140 years, using daily high and low prices of futures contracts traded at the Chicago Board of Trade (CBOT), starting in 1877. We find that volatility differences between the identified regimes is much more...