Publications des institutions partenaires
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Intra-Day Characteristics of Stock Price Crashes
This article presents the first detailed analysis of the intra-day characteristics of idiosyncratic stock price crashes. The analysis focuses on the impact of large crashes in single stocks on their intra-day returns and liquidity in the US market. Furthermore, optimal intra-daily behavior during crashes is studied. Crashes are found to happen rather quickly, usually during a time…
Institution partenaire
English / 01/09/2009
Implied and Realized Volatility in the Cross-Section of Equity Options
Using a complete sample of US equity options, we analyze pat-
terns of implied volatility in the cross-section of equity options with
respect to stock characteristics. We find that high-beta stocks, small
stocks, stocks with a low-market-to-book ratio, and non-momentum
stocks trade at higher implied volatilities after controlling for histor-
ical…
Institution partenaire
English / 01/09/2009
Gain better protection over assets
http://www.cpf.gov.sg/imsavvy/infohub_article.asp?readid={745918165-2644-6052212714}
Institution partenaire
English / 20/07/2009
An Extended Stein's Lemma for Asset Pricing
Stein's lemma is extended to the case where asset returns have skewed and leptokurtic distributions. The risk premium is still the negative of the covariance of the excess return with the log stochastic discount factor. The risk-neutral distribution has a simple form but is a nontrivial transformation of the physical distribution.
Institution partenaire
English / 24/06/2009
Do Implied Volatilities Predict Stock Returns?
Using a complete sample of US equity options, we find a positive,
highly significant relation between stock returns and lagged implied
volatilities. The results are robust after controlling for a number of
factors such as firm size, market value, analyst recommendations and
different levels of implied volatility. Lagged historical volatility is - in
…
Institution partenaire
English / 09/06/2009
Why disagreement may not matter (much) for asset prices
A simple consumption-based two-period model is used to study the (theoretical) effects of disagreement on asset prices. Analytical and numerical results show that individual uncertainty has a much larger effect on risk premia than disagreement if (i) the risk aversion is reasonably high and (ii) individual uncertainty is not much smaller than disagreement. Evidence from survey data…
Institution partenaire
English / 01/06/2009
Asymmetric Dependence Patterns in Financial Time Series
This paper proposes a new copula-based approach to test for asymmetries in the dependence structure of ¯nancial time series. Simply splitting observations into subsamples and comparing conditional correlations leads to spurious results due to the well-known conditioning bias. Our suggested framework is able to circumvent these problems. Applying our test to market data, we…
Institution partenaire
English / 29/05/2009
Das Bankensystem muss krisenresistenter werden
Institution partenaire
Deutsch / 18/04/2009
The Performance of Actively and Passively Managed Swiss Equity Funds
Using a Switzerland-specific Carhart model, we study the risk-adjusted performance of actively and passively managed mutual funds investing in Swiss stocks from 1989 to 2007. We also compare the performance of actively managed funds to passively managed funds instead of comparing them to a theoretical index. For a sample of 160 funds with 13'672 monthly observations we find that…
Institution partenaire
English / 09/01/2009
An Empirical Analysis of Multivariate Copula Models
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas which sufficiently capture
the characteristics of financial returns. For this reason…
Institution partenaire
English / 01/01/2009
Core-Satellite Portfoliomanagement : Theorie und empirische Analyse
Institution partenaire
Deutsch / 01/01/2009
Kapitalkosten bei zyklischen Risiken
Neuere empirische wie theoretische Untersuchungen zeigen, dass Investoren neben dem Marktrisiko die konjunkturellen Veränderungen als eine weitere, zweite Risikoquelle wahrnehmen. Dieses zyklische Risiko, wie auch immer präzisiert, hat folglich Einfluss auf die Preisbildung und die Renditen am Kapitalmarkt. Deshalb muss der traditionelle Weg der Berechnung von Kapitalkosten über das…
Institution partenaire
Deutsch / 01/01/2009
Einlagensicherung: Welche grundlegenden Reformen sind notwendig?
Institution partenaire
Deutsch / 01/12/2008
Monetary Policy Effects on Financial Risk Premia
Institution partenaire
English / 01/12/2008
Das Vertrauen ist angeschlagen
Mit dem Konkurs der amerikanischen Investmentbank Lehman Brothers und der Rettung der Versicherungsgesellschaft AIG hat die Kreditkrise historische Ausmasse
angenommen. Im Gegensatz zur früher geretteten Investmentbank Bear Stearns und den Hypothekar-Riesen Fannie Mae und Freddie Mac hat der amerikanische
Staat Lehman Brothers nicht aufgefangen. Man wollte ein Exempel…
Institution partenaire
Deutsch / 22/09/2008
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