In order to increase overall transparency on key operational information, power transmission system operators publish an increasing amount of fundamental data, including forecasts of electricity demand and available capacity. We employ a fundamental model for electricity prices which lends itself well to integrating such forecasts, while retaining ease of implementation and tractability to allow for analytic derivatives pricing formulae. In an extensive futures pricing study, the pricing performance of our model is shown to further improve based on the inclusion of electricity demand and capacity forecasts, thus confirming the general importance of forward-looking information for electricity derivatives pricing. However, we also find that the usefulness of integrating forecast data into the pricing approach is primarily limited to those periods during which electricity prices are highly sensitive to demand or available capacity, whereas the impact is less visible when fuel prices are the primary underlying driver to prices instead.
While many studies analyse the impact of scheduled macroeconomic announcements on equity market volatility, few focus on the impact on option implied volatilities. In this study, we examine the link between German and US macroeconomic events and the implied volatility indices DAX Volatility Index (VDAX) and Chicago Board Options Exchange, CBOE Volatility Index (VIX). We find that both indices fall on announcement days, with the strongest reactions occurring during the financial crisis from 2008 to 2009. Further, we identify a volatility spillover effect and significant covariance clustering between VDAX and VIX.
Der Beitrag beschäftigt sich mit der Frage, ob die Dividendenstrategie bei ausführlicher Betrachtung ihres Rendite-Risiko-Profils gegenüber einem passiven Indextracking aus Sicht eines privaten Anlegers mit konservativer Anlagephilosophie als vorteilhaft einzustufen ist. Hierzu werden zunächst die Entstehung der Dividendenstrategie aufgezeigt sowie die Chancen und Risiken der unterschiedlichen Ausprägungsformen diskutiert. Den Schwerpunkt bildet die empirische Untersuchung zur Performance der Dividendenstrategie, für den europäischen Aktienmarkt. Hierbei zeigt sich, dass die (semi)aktive Dividendenstrategie, mit der sich im Betrachtungszeitraum (12/1994 - 12/2005) überdurchschnittliche Renditen realisieren lassen, eine vorteilhafte Alternative zu einem reinen Indextracking darstellt. Dieses Ergebnis bestätigt sich auch unter Verwendung von zweidimensionalen Performancekennzahlen wie der Sharpe und der Sortino Ratio. Lediglich unter alleiniger Betrachtung von Risikogesichtspunkten büsst die Dividendenstrategie einen Teil ihrer Vorteilhaftigkeit gegenüber einer passiven Indexnachbildung ein. Durch die auffällige Konzentration auf wenige Länder und Branchen resultiert ein geringeres Diversifikationspotenzial im Dividendenportfolio, wodurch dieses besonders sensibel in Down-Market-Phasen reagiert.
When land regulations are binding, then the land price per m2 is determined by the attractiveness of the location and the restrictiveness of the regulation. In the case of a maximum oor area ratio (FARmax) restriction, the best use land price can be directly expressed as a function of the FARmax and local amenities. We show theoretically and empirically how this approach can be used to determine land values from residential rents. From our empirical results, we derive two main sources for a monocentric structure of land prices. First, the location attractiveness of centrally located dwellings makes land prices more expensive. Second, on a regulatory basis, the FARmax works as a multiplier for land prices. Because the FARmax is high in central areas, land prices are inated accordingly. Our model gives insight into determinants of urban land prices. In addition, it is a useful approach for land appraisal in urban regions.
This paper examines the conditional volatility characteristics of daily management style returns and compares the out-of-sample forecasts of different Value at Risk (VaR) approaches, namely, the normal, Cornish-Fisher (CF), and the so-called GARCH-type VaR. The examination of the conditional volatility of hedge fund styles and composite returns shows important differences concerning persistence, mean reversion and asymmetry in the period under consideration. Hedge fund returns exhibit significant negative skewness and excess kurtosis, which cannot be captured in the normal VaR whereas the CF-VaR results in a systematic downward shift of the conventional VaR. The GARCH-type VaR, however, includes the time-varying conditional volatility and is able to trace the actual return process more effectively. Since the forecast performance cannot detect which of the three VaR types can match the time-varying risk adequately, an adjusted hit ratio takes the size of the hits as well as the average VaR into account. According to this, the GARCH-type VaR outperforms the other VaRs for most of the hedge fund style indices.
This paper is the first to use quantile regression to analyze the impact of experience and size of funds of hedge funds (FHFs) on performance. In comparison to OLS regression, quantile regression provides a more detailed picture of the influence of size and experience on FHF return behaviour. Hence, it allows us to study the relevance of these factors for various return and risk levels instead of average return and risk, as is the case with OLS regression. Because FHF size and age (as a proxy for experience) are available in a panel setting, we can perform estimations in an unbalanced stacked panel framework. This study analyzes time series and descriptive variables of 649 FHFs drawn from the Lipper TASS Hedge Fund database for the time period January 1996 to August 2007. Our empirical results suggest that experience and size have a negative effect on performance, with a positive curvature at the higher quantiles. At the lower quantiles, however, size has a positive effect with a negative curvature. Both factors show no significant effect at the median.
