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Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices

Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

Persistent link: https://www.econbiz.de/10005857785

Performance of Initial Public Offerings : The Evidence for Switzerland

Drobetz, Wolfgang; Kammermann, Matthias; Waelchli, Urs - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We examine the underpricing and long-term performance of a broad set ofSwiss IPOs from 1983 to 2000. The average market adjusted initial return is34.97%. Our results support the ex ante uncertainty hypothesis, the signal-ling hypothesis and, to some extent, the market cyclicality hypothesis...

Persistent link: https://www.econbiz.de/10005858709

Risk Management for Derivatives in Illiquid Markets : A Simulation-Study

Frey, Rüdiger; Patie, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

new explanation of the smile pattern of implied volatility related to the lack of market liquidity. Finally we present …

Persistent link: https://www.econbiz.de/10005859384

Ratchet vs Blase Investors and Asset Markets

St-Amour, Pascal - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper proposes a new wealth-dependent utility function for the inter-temporal consumption and portfolio problem, in which the subsistance (bliss) con-sumption level is a function of wealth. Ratchet effects obtain when higher wealth in-creases the subsistance consumption level; blas´...

Persistent link: https://www.econbiz.de/10005858307

Analyzing Credit Risk in Default Swap Transaction Data : Is Fixed-Income Markets Information Sufficient to Evaluate Credit Risk?

Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...

Persistent link: https://www.econbiz.de/10005859382

Should Financial Institutions own equity? -A Test of the German Bank Influence Model

Kast, Manuel - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper tests two competing hypotheses about the influence of financial institutions as large shareholders on the performance of their industrial portfolio firms: the superior monitoring hypothesis versus the rent extraction hypothesis. The methodology of this study exploits the abolishment...

Persistent link: https://www.econbiz.de/10005857793

Executive Compensation and Analyst Guidance : The Link between CEO Pay and Expectations Management

Bolliger, Guido; Kast, Manuel - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

During the last decade, a surprisingly high percentage of U.S. companies has fulfilled or beatenanalysts´ earnings per share forecasts. One of the most frequently cited reasons for this growingtendency is a change in the nature of U.S. executive compensation structure. As stock options...

Persistent link: https://www.econbiz.de/10005858100

The Informational Content of Equity Offerings with Rights and Firm Value

Dubois, Michel; Jeanneret, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

The aim of this study is to test whether the relation between the informational content of equity offering announcements and their impact on the firm value depends on the motive of the offering. The use of the proceeds allows differentiating the equity issues according to the theories that...

Persistent link: https://www.econbiz.de/10005858305

Default-Risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors

Jeanblanc, Monique; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three different types of risk, was obtained. Introducing...

Persistent link: https://www.econbiz.de/10005858310

Performance of Second Hand Public Investment Recommendations

Schmid, Markus; Zimmermann, Heinz - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper investigates the price and volume behavior around buy, sell and holdrecommendations of Swiss stocks, as published in the major financial newspaper in Switzerland. This represents a random selection of recommendations which have been previously released by banks to their customers....

Persistent link: https://www.econbiz.de/10005858579