Betriebswirtschaftliches Rechnungs und Prüfungswesen

Nonparametric estimation of copulas for time series

A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary

Path dependent options on yields in the affine term structure model

Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data


We consider asymmetric kernel density estimators and smoothed histograms when the unknown probability density function f is defined on [0,+infinity). Uniform weak consistency on each compact set in [0,+infinity) is proved for these estimators when f is continuous on its support. Weak convergence in L_1 is also established. We further prove that the asymmetric kernel density estimator and the smoothed histogram converge in probability to infinity at x=0 when the density is unbounded at x=0. Monte Carlo results and an empirical study of the shape of a highly skewed income distribution based on a large micro-data set are finally provided.

Early exercise decision in american options with dividends, stochastic volatility and jumps


Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early exercise boundary as confirmed by theoretical insights. Pricing with stochastic volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through suboptimal exercise. The remaining three quarters are largely unexplained by transaction fees and may be interpreted as an opportunity cost for the investors to monitor optimal exercise.

Apathy and noradrenaline; silent partners to mild cognitive impairment in parkinsons's disease?


The search for PD-MCI biomarkers has employed an array of neuroimaging techniques, but still yields divergent findings. This may be due in part to MCI's broad definition, encompassing heterogeneous cognitive domains, only some of which are affected in Parkinson's disease. Most domains falling under the MCI umbrella include fronto-dependent executive functions, whereas others, notably learning, rely on the basal ganglia. Given the deterioration of the nigrostriatal dopaminergic system in Parkinson's disease, it has been the prime target of PD-MCI investigation. By testing well defined cognitive deficits in Parkinson's disease, distinct functions can be attributed to specific neural systems, overcoming conflicting results on PD-MCI. Apart from dopamine, other systems such as the neurovascular or noradrenergic systems are affected in Parkinson's disease. These factors may be at the basis of specific facets of PD-MCI for which dopaminergic involvement has not been conclusive. Finally, the impact of both dopaminergic and noradrenergic deficiency on motivational states in Parkinson's disease is examined in light of a plausible link between apathy and cognitive deficits.

Beta-arbitrage strategies: when do they work, and why?


Contrary to what traditional asset pricing would imply, a strategy that bets against beta, by going long in low beta stocks and short in high beta stocks, tends to outperform the market. We consider a market in which diversity is maintained, i.e. no single stock can dominate the entire market, and we show that beta-arbitrage strategies mechanically out-perform the market portfolio. We provide empirical support to our explanation on equity country indices, equity sectors, individual stocks, and stock portfolios. Finally, we show how to construct optimal beta- arbitrage strategies that maximize the expected return relative to a given benchmark.

Incentive pay and bank risk-taking: evidence from austrian, german, and swiss banks


We use payroll data in the Austrian, German, and Swiss banking sector to identify incentive pay in the critical banking segments of treasury/capital market management and investment banking for 67 banks. We document an economically significant correlation of incentive pay with both the level and volatility of bank trading income - particularly for the pre-crisis period 2003 – 2007, in which incentive pay was strongest. This result is robust if we instrument the bonus share in the capital market divisions with the strength of incentive pay in unrelated bank divisions like retail banking.Moreover, pre-crisis incentive pay appears too strong for an optimal tradeoff between trading income and risk, which maximizes the net present value of trading income. Further analyses indicate that the bonus moderation during the crisis has removed excessive pre-crisis incentive pay.

Strategic Default, Debt Structure, and Stock Returns


This paper theoretically and empirically investigates how debt structure and strategic interaction among shareholders and debt holders in the event of default affect expected stock returns. The model predicts that expected stock returns are higher for firms that face high debt renegotiation difficulties and that have a large fraction of secured or convertible debt. Using a large sample of publicly traded U.S. firms for the period 1985–2012, the paper presents new evidence on the link between debt structure and stock returns that is supportive of the model’s predictions.

Technical trading revisited: false discoveries,persistence tests, and transaction costs


We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows diversifying against model uncertainty. Persistence tests show that, even with the more powerful FDR technique, an investor would never have been able to select ex ante the future best-performing rules. Moreover, even in-sample, the performance is completely o set by the introduction of low transaction costs. Overall, our results seriously call into question the economic value of technical trading rules that has been reported for early periods.


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