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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 m...... hiện toàn bộ
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
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
Three aspects of the Swiss term structure: an empirical survey
Springer Science and Business Media LLC - Tập 21 - Trang 221-240 - 2007
Petra Gerlach-Kristen
The term structure is an important transmitter of, and indicator for, monetary policy. This paper studies the Swiss term structure using monthly data from 1989 to 2005. We study the impact of the new monetary policy strategy that the Swiss National Bank (SNB) adopted at the beginning of 2000 on three aspects of the term structure. First, we test the expectations hypothesis and find it confirmed at...... hiện toàn bộ
Thorsten Hens and Kremena Bachmann: Behavioural Finance for Private Banking
Springer Science and Business Media LLC - Tập 23 - Trang 205-206 - 2009
David Oesch
Co-movement of revenue: structural changes in the business cycle
Springer Science and Business Media LLC - Tập 25 - Trang 411-433 - 2011
Stefan Erdorf, Nicolas Heinrichs
The co-movement of revenue growth across different industries changes over the business cycle. Using a large sample of quarterly firm revenues, aggregated to industry data from 1969 to 2009, we demonstrate that the correlation is the highest during a crisis. Our findings of structural changes in correlation have implications for diversification decisions in portfolio analysis and risk management. ...... hiện toàn bộ
The ex-dividend day stock price anomaly: evidence from the Greek stock market
Springer Science and Business Media LLC - Tập 23 - Trang 59-91 - 2009
Apostolos Dasilas
This paper examines the ex-dividend stock price and trading volume behavior in the Greek stock market for the period 2000–2004. We use both standard event-study methodology and cross-sectional regression analysis in assessing the ex-dividend stock price anomaly. We find that stock prices drop less than the dividend amount. By examining abnormal returns as well as abnormal trading volume around the...... hiện toàn bộ
Pricing American-Style Options By Simulation
Springer Science and Business Media LLC - Tập 19 - Trang 109-116 - 2005
Axel Kind
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