Publications des institutions partenaires
181 - 200 of 286
Top-down Allokation statt Produkte-Sammelsurium
Institution partenaire
Deutsch / 15/09/2008
Die "Fair Value"-Bewegung von Finanzinstrumenten
Institution partenaire
Deutsch / 02/07/2008
Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach
We use Markov Chain Monte Carlo (MCMC) methods for the parameter estimation and testing of conditional asset pricing models. In contrast to traditional approaches, it is truly conditional because the assumption that time variation in betas is driven by a set of conditioning variables is not necessary. Moreover, the approach has exact finite sample properties and accounts for errors-…
Institution partenaire
English / 01/06/2008
Tactical Industry Allocation and Model Uncertainty
We use Bayesian model averaging to analyze the sample evidence on industry return predictability within the U.S. stock market in the presence of model uncertainty. The posterior analysis shows the importance of in.ation and earnings yield in predicting industry returns. The analysis shows that the out-of-sample performance of the Bayesian approach is, in general, superior to that of…
Institution partenaire
English / 01/05/2008
Zu fairen Konditionen lancierte Pflichtwandelanleihe der UBS
Institution partenaire
Deutsch / 21/02/2008
Simulation-Based Pricing of Convertible Bonds
We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state variables and the rich set of real-world…
Institution partenaire
English / 12/02/2008
When Investors Enjoy Less Policy Risk: Divided Government, Economic Policy Change, and Stock Market Volatility in Germany, 1970-2005
How does divided government affect the probability of economic policy change, and thus policy risk on financial markets? In contrast to the standard balancing model we argue that divided government, i.e., partisan conflict between the executive and the legislative branches, negatively affects the possibility of economic policy change. Using a simple spatial model we demonstrate that…
Institution partenaire
English / 01/01/2008
Impact of Fund Size and Fund Flows on Hedge Fund Performance
Capacity issues based on large inflows in well-performing hedge funds are among the most frequently discussed concerns in the hedge fund industry. In this article the impact of asset flows and fund sizes on hedge fund and CTA performance is investigated. The findings confirm the legitimacy of investor concerns regarding capacity issues in the hedge fund industry. The results of the…
Institution partenaire
English / 01/01/2008
Risk Factors for the Swiss Stock Market
The four risk factors controlling for the market, size, value, and momentum effect have become a state-of-the-art framework for various applications in financial markets research. However, previous work shows that these broadly recognized risk factors are country-specific. For these reasons, this paper develops and analyses these factors for the Swiss stock market from January 1990…
Institution partenaire
English / 01/01/2008
Investment Performance of Swiss Pension Funds and Investment Foundations
We investigate the performance of domestic and international bond and equity portfolios of Swiss pension funds and investment foundations over the period of 1996 to 2006. Our sample consists of 73 pension funds and 13 investment foundations with total assets of more than CHF 200 billion. We find some indications for superior skills of security selection and timing by pension funds in…
Institution partenaire
English / 01/01/2008
Aktionärsaktivisten nutzen die Schwachstellen
An den geregelten Organen wie Verwaltungsrat und GV vorbei finden sich immer mehr "Aktivisten", die an den Finanzmärkten strategisch agieren und hier und da Unterstützung erhalten. Diese Gruppen profitieren von der weitgehenden Passivität des Privaten und auch des institutionellen Investors sowie der mangelhaften Transparenz mancher Unternehmung gegenüber den…
Institution partenaire
Deutsch / 03/10/2007
Insider Trading in the Swiss Stock Market
Many studies on insider trading are based on data of the U.S. market and conclude that insiders can earn abnormal profits. This paper examines for the Swiss stock market whether insiders can earn abnormal profits and whether outsiders can make abnormal profits by mimicking the transactions of insiders. We find significant abnormal returns for insider trading, as well as some evidence…
Institution partenaire
Deutsch / 01/09/2007
Anlagestiftungen im Vergleich: neue Performancestudie
Institution partenaire
Deutsch / 28/08/2007
Ambiguity Aversion and the Term Structure of Interest Rates
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk premium of affine yield curve models. The ambiguity premium can be large even in the simplest…
Institution partenaire
English / 31/07/2007
Das beste Timing schlägt turbulente Märkte nicht
Institution partenaire
Deutsch / 04/04/2007
Prior Performance and Risk-Taking of Mutual Fund Managers: A Dynamic Bayesian Network Approach
We analyze the behavior of mutual fund managers with a special focus on the impact of prior performance. In contrast to previous studies, we do not focus solely on volatility as a risk measure, but also consider alternative definitions of risk and style. Using a dynamic Bayesian network, we are able to capture non-linear effects and to assign exact probabilities to the mutual fund…
Institution partenaire
English / 28/03/2007
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