The Data Colada blog post 98 presents evidence that the data in the paper in question were fabricated in two ways: the miles driven were generated as random numbers from a uniform distribution between 0 and 50,000, and the initial datasets in font ‘Calibri’ were duplicated in font...

We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in high-frequency data. Using transaction data for EuroStoxx 50 options from 2000 to 2011 and DAX...

The market for structured products in Germany and Switzerland experienced a decade of rapid growth before the financial crisis. When Lehman bank failed, however, it became apparent that many private investors had not been aware of the risks involved in these instruments. There is evidence that...

We study the effect of the home bias on international asset pricing by extending the core-satellite approach of active asset allocation to an equilibrium analysis. In this framework, investors combine a common core portfolio with an active investment in their home asset. In equilibrium, the core...

On the basis of transaction data, this paper analyzes the strike profile of implied volatilities of German DAX options for a time to expiration of 45 days. Using WLS spline regressions over the sample period from 1995 to 1999, we estimate a time series of smile characteristics, which we then try...

Volatility has evolved as an attractive new asset class of its own. The most common instruments for trading volatility are variance swaps. Mean returns of DAX and ESX variance swaps over the time period from 1995 to 2004 are strongly negative, and only part of the negative premium can be...

We analyse the state of the art in the field of life cycle portfolio choice, a recent strand of the literature on intertemporal portfolio selection. Life cycle models are designed to identify optimal savings and portfolio policies over the lifetime of investors. They can help to improve pension...

This paper examines the reliability of financial analysts' consensus earnings forecasts in the 1990s. Analysts are often accused of having fuelled the stock market boom with exaggerated evaluations of firms' prospects. However, this criticism primarily refers to the analysts' buy recommendations...