The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...

This paper presents an information variable for financial stability consisting of a composite index and its related critical boundaries. It is an extension of a Financial Conditions Index with information on financial institutions. The indicator is bounded, on one side, by the instability...

We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a measure on the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help to predict the future performance of stocks under extreme...

Retail clients at a major German discount broker trade in tandem - they tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Neither aggregate liquidity effects nor short sale constraints fully explain this behavior. The systematic execution of...

This paper analyses investment strategies of three types of institutional investors pension funds, life insurers and non-life insurers over the period 1999-2005. We use balance sheet and cash flow data, including purchases and sales of equity, fixed income and real estate. We trace asset...

At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...

The first part of this paper is based on a study by Faust, Rogers and Wright (2004). They found someevidence of predictability of GDP revisions for the G-7 countrie s, especially for the UK, Italy and Japan. In this paper we investigate the quality of the first Dutch GDP releases by using the...

This paper investigates the level and development of cross-country stock market dependence using daily returns on stock indices. The use of copulas allows us to build exible models of the joint distribution of stock index returns. In particular, we apply univariate AR(p)-GARCH(1,1) models to the...

Well-known results for the Fréchet and Weibull distribution are streamlined using a unifying parametrisation. Expected values for order statistics follow through a fractional matrix power and the likelihood surface in case of a loglinear specification for the scale parameter is shown to have...

This paper discusses the method of comonotonicity to estimate the sum of risks. Two applications are presented. First, we estimate a property insurer.s exposure to claims after a severe storm. Second, we apply our approach to a pension fund.s investment risk to estimate the prospective total...