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Sector specific impacts of macroeconomic fundamentals on the Swiss stock market
Springer Science and Business Media LLC - Tập 17 - Trang 234-245 - 2003
Martin K. Hess
Indirekte Immobilienanlagen im Portfoliomanagement am Beispiel des deutschen Marktes
Springer Science and Business Media LLC - Tập 18 - Trang 181-198 - 2004
Roland Hübner, Markus S. Schwaiger, Gerhard Winkler
Credit default swap prices as risk indicators of listed German banks
Springer Science and Business Media LLC - Tập 21 - Trang 269-292 - 2007
Klaus Düllmann, Agnieszka Sosinska
This paper explores empirically the usefulness of credit default swap (CDS) prices as market indicators. The sample of reference entities consists of large, internationally active German banks and the observation period covers 3 years. By analysing the explanatory power of three risk sources: idiosyncratic credit risk, systematic credit risk and liquidity risk, we gain important insights into mode... hiện toàn bộ
Editorial
Springer Science and Business Media LLC - Tập 26 - Trang 177-178 - 2012
Manuel Ammann
Optimal investments in volatility
Springer Science and Business Media LLC - Tập 22 - Trang 147-167 - 2008
Reinhold Hafner, Martin Wallmeier
Volatility has evolved as an attractive new asset class of its own. The most common instruments for trading volatility are variance swaps. Mean returns of DAX and ESX variance swaps over the time period of 1995 to 2004 are strongly negative, and only part of the negative premium can be explained by the negative correlation of variance swap returns with stock market indices. We analyze the implicat... hiện toàn bộ
Book Review
Springer Science and Business Media LLC - Tập 19 - Trang 325-326 - 2005
Eric Jondeau, Ser-Huang Poon, Michael Rockinger (eds.): Financial modeling under non-Gaussian distributions
Springer Science and Business Media LLC - Tập 22 - Trang 91-92 - 2007
Stephan Suess
Monetary policy shocks and stock returns: evidence from the British market
Springer Science and Business Media LLC - Tập 23 - Trang 401-410 - 2009
A. Gregoriou, A. Kontonikas, R. MacDonald, A. Montagnoli
This paper examines the impact of anticipated and unanticipated interest rate changes on aggregate and sectoral stock returns in the United Kingdom. The monetary policy shock is generated from the change in the 3-month sterling LIBOR futures contract. Results from time-series and panel analysis indicate an important structural break in the relationship between stock returns and monetary policy shi... hiện toàn bộ
Patents and the performance of technology firms: Evidence from initial public offerings in Germany
Springer Science and Business Media LLC - Tập 22 - Trang 323-356 - 2008
Wolfgang Bessler, Claudia Bittelmeyer
The objective of this study is to analyze the relationship between innovation and performance for German firms that went public at the “Neuer Markt” during the period from 1997 to 2002. In the empirical analysis we investigate in particular whether initial public offerings (IPOs) with more or higher quality patents outperformed IPOs with lower quality or no patented technology. For this we measure... hiện toàn bộ
VIX changes and derivative returns on FOMC meeting days
Springer Science and Business Media LLC - Tập 26 - Trang 315-331 - 2012
Kevin Krieger, Nathan Mauck, Denghui Chen
We examine the link between scheduled Federal Open Market Committee (FOMC) meetings and the VIX measure. Our results indicate that VIX declines significantly on scheduled meeting dates. Unlike prior studies suggesting that the drop in VIX is mechanical, we attribute the decline to the resolution of uncertainty regarding future interest rates provided by the meetings. We examine returns to investab... hiện toàn bộ
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