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The term structure of illiquidity premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - 2009
This paper investigates the dynamics of the term structure of bond market illiquidity premia using data on German bond market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the term structure and identify economic factors that...
Persistent link: https://www.econbiz.de/10010302535
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Portfolio optimization using forward-looking information
Kempf, Alexander; Korn, Olaf; Saßning, Sven - 2014
uses only current prices of plain-vanilla options. In an out-of-sample study we show that a minimum-variance strategy based …
Persistent link: https://www.econbiz.de/10010332033
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Forward-looking measures of higher-order dependencies with an application to portfolio selection
Brinkmann, Felix; Kempf, Alexander; Korn, Olaf - 2014
-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co …
Persistent link: https://www.econbiz.de/10010332034
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The value of tradeability
Chesney, Marc; Kempf, Alexander - 2011
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10010311650
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The Term Structure of Illiquidity Premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - Universität <Köln> / Wirtschafts- und …; … - 2009
This paper investigates the dynamics of the term structure of bond market illiquidity premia. We analyze the comovement of short-, medium-, and long-termilliquidity premia and identify economic factors determining them. Our resultsshow that the term structure of illiquidity premia is U-shaped on...
Persistent link: https://www.econbiz.de/10008911533
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The Value of Tradeability
Chesny, Mark; Kempf, Alexander - Institut für Schweizerisches Bankwesen <Zürich> - 2011
This paper determines the value of asset tradeability in an option pricing framework.In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability:The value of tradeability is...
Persistent link: https://www.econbiz.de/10009249000
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Portfolio Optimization Using Forward-Looking Information
Kempf, Alexander; Korn, Olaf; Saßning, Sven - Centre for Financial Research <Köln> - 2011
. This estimator only uses price information from a cross-sectionof plain-vanilla options. In an out-of-sample study for US …
Persistent link: https://www.econbiz.de/10009284864
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The term structure of illiquidity premia
Kempf, Alexander; Korn, Olaf; Uhrig-Homburg, Marliese - 2009
This paper investigates the dynamics of the term structure of bond market illiquidity premia using data on German bond market segments which differ only with respect to their liquidity. We analyze the interaction between different parts of the term structure and identify economic factors that...
Persistent link: https://www.econbiz.de/10003919393
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The value of tradeability
Chesney, Marc; Kempf, Alexander - 2010
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10008666521
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The value of tradeability
Chesney, Marc; Kempf, Alexander - 2011
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10009314017