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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
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
Thorsten Hens and Kremena Bachmann: Behavioural Finance for Private Banking
Springer Science and Business Media LLC - Tập 23 - Trang 205-206 - 2009
David Oesch
Andrew W. Lo: Hedge Funds—An Analytic Perspective
Springer Science and Business Media LLC - Tập 22 - Trang 403-404 - 2008
Marcel Möllenbeck
Procyclicality: The Macroeconomic Impact of Risk-Based Capital Requirements
Springer Science and Business Media LLC - Tập 19 - Trang 179-200 - 2005
Bernd Hofmann
Recent research on the Basel II capital framework suggests that binding capital requirements may be responsible for bank behaviour which causes procyclical amplifications of the macroeconomic cycle. This paper presents a model of the interrelations between the state of the economy, credit risk, and loan supply to clarify and quantify this effect. Special attention is paid to the fact that both reg...... hiện toàn bộ
Tagging the triggers: an empirical analysis of information events prompting sell-side analyst reports
Springer Science and Business Media LLC - Tập 26 - Trang 217-246 - 2012
Alexander Kerl, Oscar Stolper, Andreas Walter
In order to fulfill their function as information intermediaries in capital markets, sell-side equity analysts regularly issue updated forecasts on the stocks they cover. Quite often, the publication of (revised) analysts’ reports is subject to certain trigger events such as the publication of annual figures or the announcement of an upcoming merger. In this exploratory study, we develop a two-ste...... hiện toàn bộ
Joel Hasbrouck: Empirical Market Microstructure
Springer Science and Business Media LLC - Tập 21 - Trang 399-400 - 2007
Rico von Wyss
The transformation of European banking
Springer Science and Business Media LLC - Tập 15 - Trang 49-58 - 2001
Bruce Brittain
Hedge funds: All that glitters is not gold — Seven questions for prospective investors
Springer Science and Business Media LLC - Tập 16 - Trang 316-336 - 2002
Rolf Banz, Renaud de Planta
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