This paper empirically investigates the impact of both the first release of analysts' stock recommendations to a limited clientele and the subsequent dissemination of the same information in a major newspaper to a broader audience. For a sample of 1460 stock recommendations published in FuW, Switzerland's major financial newspaper, significant positive abnormal returns on the day of the original release of buy recommendations and on the day of publication in FuW are documented. Tests of the price pressure and information hypotheses reveal that analysts' recommendations contain some new information, which is quickly incorporated in the stock prices on the first release of this information. In contrast, the statistically significant announcement effects associated with the publication of already known information can be primarily ascribed to price pressure in the underlying securities.
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 consumption. In more recent research a momentum factor is included in order to improve the explanatory power of the Fama-French-Model. We use data from business cycles 1926-2007 to show that SMB represents the risks related to the very early phase of an upswing while HML may be related to the uncertainty whether a business cycle will continue to gain depth and strength (or shifts back into recession). In contrast to SMB and HML, we do not find momentum to be related to risks associated with particular phases of the business cycle.
In dieser Arbeit wird der Momentum-Effekt für Deutschland, Österreich und
die Schweiz untersucht. Auf der Basis monatlicher Daten für den Zeitraum
von 1988 bis 2009 zeigt die Evidenz einen signifikanten Effekt für den deutschen
und schweizerischen Aktienmarkt, nicht aber für Österreich. Momentum-
Strategien sind zwar mit nicht unerheblichen Transaktionskosten verbunden,
lassen jedoch - in Deutschland und der Schweiz - hohe Renditen
erwarten, scheinen keine besonders abträgliche Renditeverteilungen aufzuweisen,
bieten Schutz gegenüber Rezessionen sowie den durch die Fama-
French-Faktoren repräsentierten Risiken. Risikobasierte Erklärungen für den
Momentum-Effekt rücken weiter in den Hintergrund.
In dieser Arbeit werden die mittleren Renditen bzw. Überrenditen für die Fama-French-Faktoren bzw. für die Carhart-Faktoren MKT, SMB (Size), HML (Value) und WML (Momentum) für Deutschland, Österreich, die Schweiz und einen integrierten Markt (DACH) ermittelt. Die Berechnungen basieren auf Daten von 1988 bis 2009. Die Size-Prämien - mittlere Renditen von SMB - betragen -0,1% (Deutschland), -0,3% (Österreich), -0,1% (Schweiz) und -0,2% (DACH). Die Value-Prämien - mittlere Renditen von HML - sind -0,1% (Deutschland), 0,3% (Österreich), -0,1% (Schweiz) und 0,1% (DACH). Die Werte für die Momentum-Prämie - mittlere Renditen von WML - betragen 0,6% (Deutschland), 0,2% (Österreich), 1,1% (Schweiz) und 0,7% (DACH). Diese Zahlen beruhen auf einer monatlichen Basis. Die Momentum-Prämien fallen durch ihre geringe Variation über die drei Märkte wie auch über die Zeit hinweg auf.
We provide the first comprehensive theoretical model for money markets encompassing unsecured and secured funding, asset markets, and central bank policy. In our model, leveraged banks invest in assets and raise short-term funds by borrowing in the unsecured and secured money markets. We derive how funding liquidity across money markets is related, explain how a shock to asset values can lead to mutually reinforcing liquidity spirals in both money markets, and show how borrowers' flight-to-safety and risk-seeking behavior impacts their liability structure. We derive the socially optimal leverage ratio and funding structure, and show which combination of conventional and unconventional monetary policies and regulatory measures can reduce money market fragility.
This paper provides the rst systematic study of the temporal and cross-sectional Variation in the risk premium of the expectations hypothesis (EH) at very short end of the term structure. Using a unique and comprehensive dataset of European repurchase (repo) rates, we explain the sources and time variation a ecting the risk premium. Our results show that the EH cannot be rejected when loans are secured by safe collateral and that unconventional monetary policy can substantially reduce risk premiums. By contrast, the EH is violated when interest rates are a ected by funding risk and collateral risk.
The Swiss Treasury has used the sealed-bid, uniform-price auction format for allocating government bonds since 1980. In this study, we examine the authorities’ motivation for choosing the uniform-price auction. In addition, we describe how the institutional set-up evolved over time. It includes bidding requirements, class of bidders, pre-auction information, the bidding process, the determination of the cut-off price and the release of post-auction information. Finally, we provide the details of each of the 356 auctions that were held until and including 2014.
This paper empirically analyzes the relation between local liquidity in rental housing markets and urban agglomeration e�ects. Using listed rent o�ers from online market platforms, I study the cross-sectional variation of rental market liquidity. Local liquidity is negatively related to the distance to nearby located urban Agglomeration centers, manifesting in a decreasing liquidity gradient. I show that Agglomeration externalities expose local rental markets to a systematic liquidity risk. Furthermore, more thinly traded rental markets o�er lower capitalization rates for investors.
