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We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings...
Persistent link: https://www.econbiz.de/10013396507
The information dynamics in finance and insurance applications is usually modelled by a filtration. This paper looks at situations where information restrictions apply so that the information dynamics may become non-monotone. A fundamental tool for calculating and managing risks in finance and...
Persistent link: https://www.econbiz.de/10014497597
This paper examines which valuation approaches financial analysts use to value a company and whether the chosen valuation approach affects the target price accuracy. To address these questions, we conduct content analyses of 867 hand-collected analyst reports on German publicly listed companies...
Persistent link: https://www.econbiz.de/10014502088
This study analyzes whether stocks of companies with environmental social governance (ESG) rating show lower idiosyncratic risk. The main analysis covers 898,757 company-month observations of US stocks in the period from 1991 to 2018 and controls for stocks' exposure to liquidity, mispricing,...
Persistent link: https://www.econbiz.de/10014512391
In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...
Persistent link: https://www.econbiz.de/10010309830
Market Maker unter Wolken – Wettereffekte am deutschen Aktienmarkt Aus der psychologischen Literatur zum Verhalten an Wertpapiermärkten ist bekannt, dass neben anderen Parametern Stimmungen und Emotionen als personale Einflussfaktoren die Renditeerwartungen und die Risikowahrnehmung von...
Persistent link: https://www.econbiz.de/10014523274
In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...
Persistent link: https://www.econbiz.de/10010294741
The underpricing phenomenon of Initial Public Offerings (IPOs) has been widely studied across different stock markets around the world and has often been explained to be as a result of asymmetrically distributed information and ex-ante uncertainty. However, as Ritter and Welch (2002) argue to...
Persistent link: https://www.econbiz.de/10010296589
The overallotment or greenshoe option has become very popular in the German IPO market since its introduction in 1995 and is nowadays an important tool to stabilize IPOs or to issue additional shares in the case of excess demand. Besides providing evidence for the prevalence of price support...
Persistent link: https://www.econbiz.de/10010296593
This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns and Lehman Brothers with counterparty risk...
Persistent link: https://www.econbiz.de/10010298579