Publications des institutions partenaires
81 - 100 of 286
On the Predictability of Stock Prices: a Case for High and Low Prices
Contrary to the common wisdom that asset prices are barely possible to forecast, we show that that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This model captures two fundamental patterns of high and low prices: their cointegrating...
Institution partenaire
English / 01/12/2013
Effiziente Märkte und irrationale Investoren
Bereits zum dritten Mal erhielten Ökonomen den Wirtschaftsnobelpreis, die sich mit der
Bewertung von Anlagen befassen. An Arbeit wird es nicht mangeln, denn die Preisbildung von Vermögenswerten versteht man bis jetzt nur rudimentär.
Institution partenaire
Deutsch / 19/10/2013
Das Humanvermögen effizient einsetzen
Das Wissen, wie im Finanzbereich Investitionsentscheidungen zu treffen sind und welche Fehler oft begangen werden, kann eine Hilfe bei der Entscheidung über den ärztlichen Berufsweg liefern.
Institution partenaire
Deutsch / 13/09/2013
Variance Risk Premiums in Foreign Exchange Markets
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of microstructure effects however, the evidence is ambiguous when realized variance is based on...
Institution partenaire
English / 01/09/2013
Shining Brighter Than The Stars? Corporate Evidence on Competing with Superstars
This paper investigates the effect of superstar CEOs on their competitors.
Exploiting shocks to CEO status due to awards provided by major media outlets,
we document a significant outperformance of competitors of superstar CEOs to a
control sample of competitors of observationally equivalent CEOs who do not win
an award. We observe an increase in risk-taking...
Institution partenaire
English / 29/08/2013
Analyst Coverage and Earnings Management: Quasi-Experimental Evidence
Do securities analysts serve as effective external monitors, or do they pressure managers to focus on short-term performance? To explore this question, we study how securities analysts influence managers' use of different types of earnings management. To isolate causality, we employ a quasi-experiment that exploits exogenous reductions in stock-level coverage resulting from...
Institution partenaire
Deutsch / 08/08/2013
The Transmission of Banking Crises to Households. Lessons from the 2008–2011 Crises in the ECA Region.
This paper examines the impact of the recent banking crises in Europe and Central Asia on households’ incomes and consumption patterns. The analysis is based on the 2010 wave of the Life in Transition Survey, which covers 12,704 households in eleven countries that experienced
a banking crisis between 2008 and 2011. It finds that households in middle-income crisis countries are...
Institution partenaire
English / 01/07/2013
Firms as liquidity providers: Evidence from the 2007-2008 financial crisis
Using a supplier-client matched sample, we study the effect of the 2007-2008 financial crisis on between-firm liquidity provision. Consistent with a causal effect of a negative shock to bank credit, we find that firms with high pre-crisis liquidity levels increased the trade credit extended to other corporations and subsequently experienced better performance as compared to ex-ante...
Institution partenaire
English / 01/07/2013
Do Policymakers Stick to Announced Forecasts of Interest Rates?
If central banks value the ex-post accuracy of their forecasts, previously announced interest rate paths might affect the current policy rate. We explore whether this "forecast adherence" has influenced the monetary policies of the Reserve Bank of New Zealand and the Norges Bank, the two central banks with the longest history of publishing interest rate paths. We derive and...
Institution partenaire
English / 31/05/2013
Can You Outperform the Market Based on Fundamentals? : Evidence from Datastream Country Indices
We have investigated the regime-switching role of different price to earnings (P/E)
variants. Two-regime asset pricing models allow us to estimate critical levels above
and beyond markets exhibit different systematic risk and abnormal return. However,
whether the regime switch is from a less risky to a riskier state is highly dependent on the P/E variant and on the...
Institution partenaire
English / 14/03/2013
Monitoring and Corporate Disclosure: Evidence from a Natural Experiment
Using an experimental design that exploits exogenous reductions in coverage resulting from brokerage house mergers, we find that a reduction in coverage causes a deterioration in financial reporting quality. The effect of coverage on disclosure is more pronounced for firms with weak shareholder rights, consistent with a substitution effect between analyst monitoring and other...
Institution partenaire
English / 01/03/2013
Electricity Spot and Derivatives Pricing when Markets are Interconnected
Increasing interconnectivity between electricity wholesale markets requires an
efficient allocation scheme in order to provide access to scarce cross-border
transmission capacities. In both the US and Europe, existing schemes have
primarily induced economically inefficient interconnector use given that flows have
to be nominated prior to spot market clearing....
Institution partenaire
English / 01/01/2013
Product Market Competition, Corporate Governance, and Firm Value: Evidence from the EU-Area
This paper investigates whether the valuation effect of corporate governance depends on the degree of competition in the companies' product markets in a large international sample covering 14 countries from the European Union (EU). Besides providing external validity of previous U.S.-centered studies, this paper uses more comprehensive and reliable measures of both product...
Institution partenaire
English / 01/01/2013
The Impact of Centrally Cleared Credit Risk Transfer on Banks' Lending Discipline
This article analyzes the impact of the introduction of centrally cleared credit risk transfer on a loan originating bank's lending discipline in the primary loan market. Under Basel III, a bank can transfer credit risk via central clearing at favorable regulatory conditions. Central clearing, however, reduces the lending discipline because the fact that only standardized...
Institution partenaire
English / 01/01/2013
Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals
Taking advantage of a trades-and-quotes database, the main stylized facts and dynamic properties of a time series related to spot precious metals, that is, gold, silver, palladium, and platinum, are documented. The behavior of spot prices, returns, volume, and selected liquidity measures is analyzed. A clear evidence of periodic patterns matching the trading hours of the most active...
Institution partenaire
English / 01/01/2013
Announcements of Interest Rate Forecasts: Do Policymakers Stick to Them?
If central banks value the ex-post accuracy of their forecasts, previously announced interest rate paths might affect the current policy rate. We explore whether this "forecast adherence" has influenced the monetary policies of the Reserve Bank of New Zealand and the Norges Bank, the two central banks with the longest history of publishing interest rate paths. We derive and...
Institution partenaire
English / 01/01/2013
Management Influence on Investors: Evidence from Shareholder Votes on the Frequency of Say on Pay
The literature on shareholder voting has mostly focused on the influence of proxy advisors on shareholder votes. We exploit a unique empirical setting enabling us to provide a direct estimate of management's influence. Analyzing shareholder votes on the frequency of future say on pay votes, we find that a management recommendation for a particular frequency is associated with a...
Institution partenaire
English / 01/01/2013
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