Publications des institutions partenaires
141 - 160 of 286
Mit Irland rettet die EU einmal mehr ihre Banken
Institution partenaire
Deutsch / 28/11/2010
Hedge Fund Characteristics and Performance Persistence
In this paper, we investigate the performance persistence of hedge funds over time horizons between 6 and 36 months based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 1994 to 2008. Unlike previous literature, we use a panel probit regression approach to identify fund characteristics that are significantly related to performance persistence. We…
Institution partenaire
English / 05/11/2010
Hedge Fund Regulation and Misreported Returns
In this paper, we investigate the performance persistence of hedge funds over time horizons between 6 and 36 months based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 1994 to 2008. Unlike previous literature, we use a panel probit regression approach to identify fund characteristics that are significantly related to performance persistence. We…
Institution partenaire
English / 05/11/2010
What Drives the Performance of Convertible-Bond Funds?
This paper examines the performance of US mutual funds investing primarily in convertible bonds. Although convertible-bond funds are popular investment vehicles, their return process is not well understood. We contribute an analysis of the complete universe of US convertible-bond funds proposing a set of multi-factor models for the return generating process. In spite of the well-…
Institution partenaire
English / 01/11/2010
Size, book-to-market, and momentum during the business cycle
The Fama-French-Methodology (1993-1998) offers cross-sectional explanations of returns by taking the specially designed portfolios SMB and HML as additional factors. It is acknowledged that these factors are related to some forms of risk (they bear premia) which, by researchers is often proposed to be related to the uncertainty with respect to macroeconomic production and aggregate…
Institution partenaire
English / 01/11/2010
Leerverkaufsverbote stiften mehr Schaden als Nutzen
Institution partenaire
Deutsch / 25/08/2010
Reaction of Swiss Term Premia to Monetary Policy Surprises
An affine yield curve model is estimated on daily Swiss data 2002-2009. The market price of risk is modelled in terms of proxies for uncertainty, which are estimated from interest rate options. The estimated model generates innovations in the 3-month rate that are similar to external evidence of monetary policy surprises - as well as term premia that are consistent with survey data.…
Institution partenaire
English / 04/08/2010
Predicting stock price movements : Regressions versus Economists
The forecasting performance of the Livingston survey and traditional prediction models of stock prices is analysed. The survey forecasts look similar to those from a ‘too large' prediction model: poor out-of-sample performance and too sensitive to recent and irrelevant information.
Institution partenaire
English / 09/06/2010
Safe Haven Currencies
We study high-frequency exchange rates over the period 1993-2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and liquidity. We document that the Swiss franc and Japanese yen appreciate against the US dollar…
Institution partenaire
English / 08/03/2010
Erklärt das Zyklusbeta Aktienrenditen?
Zur Erklärung der mit Aktienanlagen verbundenen Renditen und Renditeerwartungen wurde verschiedentlich das dem CAPM entsprechende Einfaktormodell zu Mehrfaktormodellen erweitert. Als zusätzliche Faktoren werden seit Chen / Roll / Ross (1986) makroökonomische Variablen favorisiert. Fama und French (1993-98) wählen als Faktoren die Renditen spezieller Long-Short-Portfolios. Diese…
Institution partenaire
Deutsch / 01/03/2010
Performance and Governance of Swiss Pension Funds
We investigate the relationship between pension fund governance and investment performance. For this purpose, we develop the Swiss Pension Fund Governance Index (SPGI) which is a standard metric for the governance quality of Swiss pension funds. The empirical analysis is based on a sample of 96 pension funds with total assets of more than CHF 190 billion. We find evidence for…
Institution partenaire
English / 01/01/2010
Zur Vorteilhaftigkeit von Financial Covenants : Auswirkungen auf Kreditrisiko und Unternehmenswert
Financial Covenants sind Zusatzkonditionen im Kreditvertrag, die in einer kraftvollen Ausgestaltung so weit gehen können, dass Fremdkapitalgeber
in einem Financial Distress die Geschäftspolitik der Unternehmung derart ändern können, dass fortan allein die Einbringlichkeit ihrer Forderungen bezweckt wird. Damit verschlechtert sich die Position der Eigenkapitalgeber, doch als…
Institution partenaire
Deutsch / 01/01/2010
The C-CAPM without ex post data
Survey and option data are used to take a fresh look at the equity premium puzzle. Survey data on equity returns (Livingston survey) shows much lower expected excess returns than ex post data. At the same time, option data suggests that investors tend to overestimate the volatility of equity returns. Both facts contribute towards solving the puzzle. However, data on beliefs about…
Institution partenaire
English / 01/12/2009
Strategic Balance Sheet Management
Die Übernahme des Risikos aus der Transformation von liquiden Kundeneinlagen in langfristige Kredite und Hypotheken ist eine wichtige Ertragsquelle Schweizerischer Kantonal- und Regionalbanken. In monatlichen Steuerungsausschüssen berät das Management über die aktuelle Risikosituation der Bank und fällt Entscheide über strategische Massnahmen, wie die Konditionenpolitik oder den…
Institution partenaire
English / 01/11/2009
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