Publications des institutions partenaires
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
Performance auf dem Prüfstand = Putting Performance to the Test
Institution partenaire
Deutsch / 01/01/2007
Finance
Bisher veröffentlicht unter dem Titel: "Modern Finance"
Das Buch beinhaltet ebenso einige Portraits: Die didaktische Erfahrung lehrt, dass man sich wissenschaftliche Ergebnisse und Ansätze besser merken kann, wenn eine Assoziation zu jener Person bildlich konkret wird, der wir den betreffenden Denkansatz verdanken.
Aus Fragen der Finanzierung und der...
Institution partenaire
Deutsch / 01/01/2007
The Conglomerate Discount: A New Explanation Based on Credit Risk
We present a simple new explanation for the diversification discount in the valuation of firms. We demonstrate that, ceteris paribus, limited liability of equity holders is sufficient to explain a diversification discount. To derive this result, we use a credit risk model based on the value of the firm's assets. We show that a conglomerate can be regarded as an option on a...
Institution partenaire
English / 16/12/2006
Analyzing Active Investment Strategies
The article examines strategies for making financial investments by using a decomposition of the non-central tracking error variance to indicate how actively assets are managed. This method examines how much risk the asset manager takes in investments by analyzing positive and negative returns. Two mathematical models are presented to analyze the active management of investments. The...
Institution partenaire
English / 21/10/2006
Mehr Transparenz in der Preisgestaltung ist wünschenswert
Der Markt der strukturierten Produkte für Privatanleger hat eine eindrückliche Ent-wicklung hinter sich und zeichnet sich heute durch eine grosse Vielfalt an Angeboten aus. Während sich die Produkte bezüglich ihrer Auszahlungsstruktur meist anhand der Term Sheets gut nachvollziehen lassen, sind sie bezüglich ihrer Kosten für die Anleger oft intransparent. Hier sind die Emittenten...
Institution partenaire
Deutsch / 19/09/2006
The Effect of Market Regimes on Style Allocation
We analyse time-varying risk premia and the implications for portfolio choice. Using Markov Chain Monte Carlo (MCMC) methods, we estimate a multivariate regime-switching model for the Carhart (1997) four factor model. We find two clearly separable Regimes with different mean returns, volatilities and correlations. In the High-Variance Regime, only value stocks deliver a good...
Institution partenaire
English / 16/09/2006
Is there Evidence of Pessimism and Doubt in Subjective Distributions? Implications for the Equity Premium Puzzle
Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are in fact pessimistic, but show marked overconfidence rather than doubt. However, the implications for Abel's model depend...
Institution partenaire
English / 01/06/2006
C-CAPM Refinements and the Cross-Section of Returns
This paper studies if the consumption-based asset pricing model can explain the cross-section of expected returns. The CRRA model and several refinements (habit persistence and idiosyncratic shocks) all imply that the conditional expected return is linearly increasing in the asset's conditional covariance with consumption growth. Results from quarterly data on the 25 Fama-French...
Institution partenaire
English / 01/04/2006
Pricing and Hedging Mandatory Convertible Bonds
This article examines the pricing and hedging of mandatory convertible bonds on the US market using daily market prices for a period of 498 trading days resulting in a sample of over 14,600 daily price observations. We explore the pricing and hedging performance based on a simple contingent claims model. On average, the pricing errors are lower than those found for standard...
Institution partenaire
English / 01/03/2006
Fallstudie: Zuger Kantonalbank - serviceorientierte Architektur für einen integrierten Beraterarbeitsplatz
Mit dem Ziel, die Prozesse der Kundenberater im Frontoffice besser zu unterstützen, entwickelte die Zuger Kantonalbank gemeinsam mit CSC Switzerland GmbH und SAP AG einen integrierten Beraterarbeitsplatz (BAP). Dieser verknüpft auf Basis des SAP Composite Application Frameworks sämtliche für die Kundenberatung benötigten Funktionen aus unterschiedlichen Anwendungssystemen in einer...
Institution partenaire
Deutsch / 01/03/2006
New Evidence on the Announcement Effect of Convertible and Exchangeable Bonds
This study investigates the announcement and issuance effects of offering convertible bonds and exchangeable bonds using data for the Swiss and German markets during January 1996 and May 2003. The analysis suggests that announcement effects of convertible bonds and exchangeable bonds are associated with significantly negative abnormal returns. German firms exhibit a stronger reaction...
Institution partenaire
English / 01/02/2006
Die DRG-Systematik in der deutschen Krankenhausfinanzierung : Risiken und Nebenwirkungen
Institution partenaire
Deutsch / 01/01/2006
Bewertung von Unternehmen im Financial Distress
Unternehmen werden finanziell anhand ihrer Zahlungsüberschüsse
bewertet, die sie aufgrund eines Geschäftsplans in der Zukunft erzeugen.
Der Unternehmenswert ist gleich der Summe der Barwerte der
zukünftigen Zahlungen. Vielfach kann der Barwert einer jeden dieser
zukünftigen, unsicheren Zahlungen durch die traditionelle Diskontierung
mit einer...
Institution partenaire
Deutsch / 01/01/2006
An IFRS 2 and FASB 123 (R) Compatible Model for the Valuation of Employee Stock Options
We show how employee stock options can be valued under the new reporting standards IFRS 2 and FASB 123 (revised) for share-based payments. Both standards require companies to expense employee stock options at fair value. We propose a new valuation model, referred to as Enhanced American model, that complies with the new standards and produces fair values often lower than those...
Institution partenaire
English / 01/12/2005
Impact of Fund Size on Hedge Fund Performance
This paper investigates whether the increase in assets flowing into the hedge fund industry diminishes returns and, in particular, whether larger hedge funds underperform smaller hedge funds, as is often conjectured, owing to limited capacity in certain hedge fund strategies. The impact of fund sizes is analysed with respect to fund returns, standard deviations, Sharpe ratios and...
Institution partenaire
English / 01/10/2005
Pages
Le portail de l'information économique suisse
© 2016 Infonet Economy