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Detecting Speculative Bubbles in Stock Prices : a New Approach and Some Evidence for the US
Siklos, Pierre L.; Bohl, Martin T. - 2001
A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)
Persistent link: https://www.econbiz.de/10005843733
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Default Probabilities and Default Correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...
Persistent link: https://www.econbiz.de/10005843735
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DER MARKTPHASENABHÄNGIGE EINFLUSSDER LIQUIDITÄT AUF DIE CREDIT SPREADSVON CORPORATE BONDS
GANN, PHILIPP - Universität <München> / Fakultät für Betriebswirtschaft - 2010
Gegenstand der vorliegenden Studie ist die vertiefte Analyse des marktphasenabhängigen Einflusses der Liquiditätauf die Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperiodenwährend verschiedener Kapitalmarktphasen betrachtet. Die erste...
Persistent link: https://www.econbiz.de/10009418796
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LIQUIDITÄT, RISIKOEINSTELLUNG DES KAPITALMARKTES UNDKONJUNKTURERWARTUNG ALS PREISDETERMINANTEN VONCOLLATERALIZED DEBT OBLIGATIONS (CDOS)
GANN, PHILIPP - Universität <München> / Fakultät für Betriebswirtschaft - 2009
Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung,Risikoaversion des Kapitalmarktes und Liquidität auf die Marktwerte von Collateralized Debt Obligations(CDOs) verschiedener Seniorität. Es wird gezeigt, dass die Marktwerte von CDOs wesentlich...
Persistent link: https://www.econbiz.de/10009418808
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EINFLUSSFAKTOREN AUF DEN CREDIT SPREAD VONUNTERNEHMENSANLEIHEN
Gann, Philipp; LAUT, AMELIE - Universität <München> / Fakultät für Betriebswirtschaft - 2008
Entgegen früherer Studien, die darauf hinweisen, dass der gesamte Credit Spread eines Bonds durchdas mit diesem Bond verbundene Kreditrisiko induziert ist, zeigen neuere empirische Untersuchungen,dass neben Kreditrisiken noch weitere Faktoren die Höhe des Credit Spreads determinieren.Die...
Persistent link: https://www.econbiz.de/10009418817
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Fundamental Theorem of Asset Pricing, Stochastic Dimension
Strong, Winslow - National Centre of Competence in Research - Financial … - 2011
fundamental theorems of asset pricing (FTAPs): theequivalence of no free lunch with vanishing risk to the existence of an …
Persistent link: https://www.econbiz.de/10009418977
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Long Horizons, High Risk Aversion, and EndogeneousSpreads
Guasoni, Paolo; Muhle-Karbe, Johannes - National Centre of Competence in Research - Financial … - 2011
For an investor with constant absolute risk aversion and a long horizon, who trades in amarket with constant investment opportunities and small proportional transaction costs, weobtain explicitly the optimal investment policy, its implied welfare, liquidity premium, andtrading volume. We...
Persistent link: https://www.econbiz.de/10009418986
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Transaction Costs, Trading Volume, and the Liquidity Premium
Gerhold, Stefan; Guasoni, Paolo; Schachermayer, Walter; … - National Centre of Competence in Research - Financial … - 2011
In a market with one safe and one risky asset, an investor with a long horizon, constantinvestment opportunities, and constant relative risk aversion trades with small proportionaltransaction costs. We derive explicit formulas for the optimal investment policy, its impliedwelfare, liquidity...
Persistent link: https://www.econbiz.de/10009418987
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Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - National Centre of Competence in Research - Financial … - 2011
returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models where the conditioning …. Weaddress consistent estimation of the asymptotic variance, and testing for asset pricing restrictions inducedby the no … strays from standard unconditionalestimates and follow the macroeconomic cycles. The asset pricing restrictions are rejected …
Persistent link: https://www.econbiz.de/10009418989
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News Sensitivity and the Cross-Section of Stock Returns
Dzielinski, Michal - National Centre of Competence in Research - Financial … - 2011
and accurate at pricing new information, as there areno signs of drift shortly after news days. On the contrary, a …
Persistent link: https://www.econbiz.de/10009419011