This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete time, the players start by choosing fair randomizations of the initial dollar, by exchanging it...

This paper examines the use of ETFs by open-ended investment funds in the euro area to manage liquidity. We find that during the COVID-19 market turmoil, investment funds were the most run-prone investor type in the market for ETFs. We also show that open-ended funds that faced larger outflows...

We assess the impact of contingent convertible (CoCo) bonds and the wealth transfers they imply conditional on conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk-taking incentives by issuing CoCo bonds, when...

Although the literature on the benefits of diversifying equity portfolios to emerging markets is abundant, the role of frontier markets in global equity portfolio diversification is clearly less examined. We contribute to the existing literature by examining three different, though closely...

Regular or automated processes require reliable software applications that provide accurate volatility and Value-at-Risk forecasts. The univariate and multivariate GARCH models proposed in the literature are reviewed and the suitability of selected R functions for automated forecasting systems...

Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

We examine if extreme weather exposure impacts firms' cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock returns. In the period from 1995 to 2019, domestic U.S....

This research explores two aspects of European insurers' investment behaviour related to crises. While they are often considered as financial market stabilisers and long-term investors, there is currently a lack of knowledge about insurers' investment behaviour in crises under the regulatory...

Insurance companies and banks regularly have to face stress tests performed by regulatory instances. To model their investment decision problems that includes stress scenarios, we propose the worst-case portfolio approach. Thus, the resulting optimal portfolios are already stress test prone by...