Publications des institutions partenaires
Monetary Policy Effects on Long-term Rates and Stock Prices
This paper explains the effects of monetary policy surprises on long-term
interest rates and stock prices in terms of changes in expected inflation, real
interest rate and dividend growth, and relates these effects to markets' perceptions of economic shocks and Fed's information set. We analyze stock and bond futures price co-movements and relate them to…
Institution partenaire
English / 01/01/2013
Extreme Downside Liquidity Risk
We merge the literature on downside return risk with that on systematic liquidity risk and introduce the concept of extreme downside liquidity (EDL) risk. We show that the
cross-section of expected stock returns reflects a premium for EDL risk. Strong EDL risk stocks deliver a positive risk premium of more than 4% p.a. as compared to weak EDL risk stocks. The effect is more…
Institution partenaire
English / 01/01/2013
Mehr Eigenkapital - erwünscht aber nicht gewollt
Institution partenaire
Deutsch / 18/11/2012
Limits to Arbitrage During the Crisis: Funding Liquidity Constraints and Covered Indterst Parity
Arbitrage ensures that covered interest parity holds. The condition
is central to price foreign exchange forwards and interbank lending
rates, and reflects the efficient functioning of markets. Normally,
deviations from arbitrage, if any, last seconds and reach a few basis
points. But after the Lehman bankruptcy, arbitrage broke down.
By replicating…
Institution partenaire
English / 08/11/2012
A forecast-based comparison of restricted Wishart autoregressive models for realized covariance matrices
Models for realized covariance matrices may suffer from the curse of dimensionality as more traditional multivariate volatility models (such as GARCH and stochastic volatility). Within the class of realized covariance models, we focus on the Wishart specification introduced by C. Gourieroux, J. Jasiak, and R.
Sufana [2009. The Wishart autoregressive process of multivariate…
Institution partenaire
English / 01/10/2012
Contracts and Returns in Private Equity Investments
We analyze the relationship between contracts and returns in private equity (PE) investments. Contractual control in the form of covenants tends to be employed to identify good deals. Better quality fi?rms are more likely to have covenant-rich contracts, as they are less concerned by the constraints imposed by the covenants. PE investors appoint closer associates of the fund in deals…
Institution partenaire
English / 05/09/2012
An Alternative Three-factor Model for International Markets: Evidence from the European Monetary Union
In this paper, we construct the three-factor model introduced by Chen et al. (2010) for a European sample covering 10 countries from the European Monetary Union and the period from 1990 to 2006. Two key findings result. First, we show that the properties of the European factors are comparable to those of the U.S. factors. Second, we show that the alternative three-factor model's…
Institution partenaire
English / 01/07/2012
Strategien für Asien
Bisher waren Privat- und Grossbanken im asiatischen Raum in einer Vorreiterrolle. Inzwischen expandieren auch unabhängige Vermögensverwalter verstärkt.
Institution partenaire
Deutsch / 17/04/2012
Is There Really No Conglomerate Discount?
Recent research questions the existence of a conglomerate discount. This study addresses two of the most important explanations for the conglomerate discount and finds evidence in support of an economically and statistically significant discount. The first explanation is that the risk-reducing effect of diversification increases debt value and consequently the use of the book value…
Institution partenaire
English / 01/02/2012
Disposition Effect and Mutual Fund Performance
This article finds strong evidence for the presence of the disposition effect among US mutual fund managers. The analysis can establish a link between the disposition effect and mutual fund characteristics as well as changes in the macroeconomic environment. Managers with a lower disposition effect are found to invest in larger equities with a higher trade volume, a higher past…
Institution partenaire
English / 03/01/2012
Information or Insurance? On the Role of Loan Officer Discretion in Credit Assessment
We employ a unique dataset of credit assessments for 3,756 small businesses by nine banks using an identical rating model to examine (i) to what extent loan officers use their discretion to smooth credit ratings of their clients, and (ii) to assess whether this use of discretion is driven by information about the creditworthiness of the borrower or by the insurance of clients against…
Institution partenaire
English / 01/01/2012
Decomposing Performance
We present a new methodology for decomposing the (risk-adjusted) performance in empirical finance. Our technique offers the same straightforward economic intuition and all the statistical benefits of the portfolio sorts approach, in particular robustness to cross-sectional correlation, and in addition resolves the major drawbacks of portfolio sorts. Most importantly, our regression-…
Institution partenaire
English / 01/01/2012
Cyclical Long-term Unemployment, Skill Loss, and Monetary Policy
Movements in long-term unemployment (LTU) exhibit a substantial cyclical component. I develop a business cycle model featuring labor market frictions and skill loss during unemployment to capture various stylized facts about the cyclical behavior of long-term unemployment. I find that the skill loss mechanism helps reproduce negative duration dependence, high persistence in…
Institution partenaire
English / 01/01/2012
Limits to Arbitrage During the Crisis: Funding Liquidity Constraints & Covered Interest Parity
Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last seconds and reach a few basis points. After the Lehman bankruptcy, instead, arbitrage profits were large, persisted for months and involved…
Institution partenaire
English / 01/01/2012
International Financial Transmission of the US Monetary Policy: An Empirical Assessment
This paper proposes a way to study the transmission mechanism of the US monetary policy to foreign yield curves. It elaborates the high-frequency identification of monetary policy shocks from Piazzesi (2005) in an international setting and uses a sample of 125 policy rate decisions of the Fed to extract "realised" policy shocks. The Fed decisions span from February 1994 to…
Institution partenaire
English / 01/01/2012
Central Bank Reserves and the Yield Curve at the ZLB
With short term interest rates bounded at zero, monetary policy has aimed at affecting the yield curve at the longer end during the recent years. As the recent literature has shown, the quantitative easing programs conducted by the Federal reserve have significantly lowered long-term yields. This paper adds central bank reserves as a fourth factor to an affine term structure model to…
Institution partenaire
English / 01/01/2012
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