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NCCR FINRISK
(22 results)-
White Papers
Dismantling The Global Accrual Anomaly
June 3, 2007, 12:00am PDT
International evidence on the accrual anomaly is sparse and conflicting. Testing for accrual mispricing in 28 equity markets, the authors provide statistical evidence for anomalous returns in some...
Provided by NCCR FINRISK
-
White Papers
Assessing Multivariate Predictors Of Financial Market Movements: A Latent Factor Framework For Ordinal Data
October 1, 2008, 12:00am PDT
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called "Soft dollars" which basically are amounts spent in "Research" for identifying...
Provided by NCCR FINRISK
-
White Papers
Monetary Policy Effects On Financial Risk Premia
October 27, 2006, 12:00am PDT
The effect of monetary policy on financial risk premia is analyzed in a simple general equilibrium model with sticky wages and an optimising central bank. Analytical results show that equity risk...
Provided by NCCR FINRISK
-
White Papers
Financing And Takeovers
October 1, 2006, 12:00am PDT
This paper analyzes the interaction between financial leverage and takeover activity. The authors develop a dynamic model of takeovers in which the financing strategies of bidding firms and the...
Provided by NCCR FINRISK
-
White Papers
Does Finance Have A Cultural Dimension?
April 24, 2007, 12:00am PDT
According to the traditional view held in finance returns of assets are determined by complete rationality of decision makers. Rational decisions are defined by a set of axioms that are universal...
Provided by NCCR FINRISK
-
White Papers
Co-Monotonicity Of Optimal Investments And The Design Of Structured Financial Products
April 25, 2007, 12:00am PDT
The authors prove that under very weak conditions optimal financial products have to be co-monotone with the inverted state price density. Optimality is meant in the sense of the maximization of...
Provided by NCCR FINRISK
-
White Papers
The Performance Of Groups And Individuals In Financial Decision-Making
February 1, 2008, 12:00am PST
On financial markets many investment decisions are taken by groups and not by individuals. The evidence, however, whether groups perform better than individuals, is ambiguous. The authors analyze...
Provided by NCCR FINRISK
-
White Papers
Evolutionary Finance
October 2, 2008, 12:00am PDT
Evolutionary finance studies the dynamic interaction of investment strategies in financial markets. This market interaction generates a stochastic wealth dynamics on a heterogenous population of...
Provided by NCCR FINRISK
-
White Papers
Attitudes And Behaviour In Everyday Finance: Evidence From Switzerland
June 21, 2008, 12:00am PDT
The aim of this paper is to examine the underlying dimensions of self-stated attitudes and behaviour concerning everyday financial affairs, and classify individuals based on those dimensions. A...
Provided by NCCR FINRISK
-
White Papers
Business And Financial Indicators: What Are The Determinants Of Default Probability Changes?
April 1, 2007, 12:00am PDT
This paper investigates some common determinants of default probability changes of individual firms using Standard & Poor's ratings database. The authors analyze and quantify the responses of...
Provided by NCCR FINRISK
-
White Papers
Strategic Behavior, Financing, And Stock Returns
August 1, 2008, 12:00am PDT
In this paper, the author analyzes how debt structure and the strategic interaction between shareholders and creditors in the event of default affect expected stock returns. By endogenizing...
Provided by NCCR FINRISK
-
White Papers
Probability Misestimation And Preferences In Financial Investment Decision
November 21, 2008, 12:00am PST
The authors study the influence of systematic probability misestimation on complex financial investment decisions on the context of structured financial products. Structured products have in...
Provided by NCCR FINRISK
-
White Papers
The Dynamics Of Investment And Financing Under Asymmetric Information
December 1, 2008, 12:00am PST
This paper develops a tractable real options framework to analyze the effects of asymmetric information on investment and financing decisions when firms require external funds to finance...
Provided by NCCR FINRISK
-
White Papers
Short Selling Regulation After The Financial Crisis - First Principles Revisited
January 1, 2010, 12:00am PST
This paper examines the recent regulatory developments with regard to short selling. Short selling regulation is an important factor in firm governance because it affects the way in which firms...
Provided by NCCR FINRISK
-
White Papers
Evolutionary Finance And Dynamic Games
November 1, 2009, 12:00am PDT
The paper examines a game-theoretic evolutionary model of an asset market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The...
Provided by NCCR FINRISK
-
White Papers
Corporate Investment And Financing Under Asymmetric Information
February 1, 2010, 12:00am PST
The authors develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. They show that firms...
Provided by NCCR FINRISK
-
White Papers
Risk-Taking Incentives, Governance, And Losses In The Financial Crisis
November 10, 2010, 12:00am PST
This paper studies the extent to which risk-taking incentives of CEOs and other governance features in a range of years prior to the recent financial crisis were related to the write-downs of U.S....
Provided by NCCR FINRISK
-
White Papers
Money And Liquidity In Financial Markets
June 1, 2010, 12:00am PDT
The authors argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the...
Provided by NCCR FINRISK
-
White Papers
Consistent Valuation Of Project Finance And LBO's Using The Flows-To-Equity Method
November 1, 2010, 12:00am PDT
A common method of valuing the equity in leveraged transactions is the flows-to-equity method whereby the free cash flow available to equity holders is discounted at the cost of equity. This...
Provided by NCCR FINRISK
-
White Papers
The Persistent Negative CDS-Bond Basis During The 2007/08 Financial Crisis
June 27, 2011, 12:00am PDT
This papers studies price discrepancies between CDS and bonds spreads, i.e. the basis, for a sample of investment-graded US firms. In normal market conditions the basis is approximately zero....
Provided by NCCR FINRISK
-
White Papers
Financial Integration, Capital Misallocation And Global Imbalances
January 1, 2011, 12:00am PST
The paper shows that in a stylized model with two countries, characterized by different levels of financial development, the following facts can be replicated: persistent current account surpluses...
Provided by NCCR FINRISK
-
White Papers
Variance Risk, Financial Intermediation, And The Cross-Section Of Expected Option Returns
February 16, 2011, 12:00am PST
The authors explore the pricing of variance risk by decomposing stocks' total variance into systematic and idiosyncratic return variances. While systematic variance risk exhibits a negative price...
Provided by NCCR FINRISK
-
White Papers
Variance Risk, Financial Intermediation, And The Cross-Section Of Expected Option Returns
February 16, 2011, 12:00am PST
The authors explore the pricing of variance risk by decomposing stocks' total variance into systematic and idiosyncratic return variances. While systematic variance risk exhibits a negative price...
Provided by NCCR FINRISK
-
White Papers
Financial Integration, Capital Misallocation And Global Imbalances
January 1, 2011, 12:00am PST
The paper shows that in a stylized model with two countries, characterized by different levels of financial development, the following facts can be replicated: persistent current account surpluses...
Provided by NCCR FINRISK
-
White Papers
The Persistent Negative CDS-Bond Basis During The 2007/08 Financial Crisis
June 27, 2011, 12:00am PDT
This papers studies price discrepancies between CDS and bonds spreads, i.e. the basis, for a sample of investment-graded US firms. In normal market conditions the basis is approximately zero....
Provided by NCCR FINRISK
-
White Papers
Consistent Valuation Of Project Finance And LBO's Using The Flows-To-Equity Method
November 1, 2010, 12:00am PDT
A common method of valuing the equity in leveraged transactions is the flows-to-equity method whereby the free cash flow available to equity holders is discounted at the cost of equity. This...
Provided by NCCR FINRISK
-
White Papers
Money And Liquidity In Financial Markets
June 1, 2010, 12:00am PDT
The authors argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the...
Provided by NCCR FINRISK
-
White Papers
Risk-Taking Incentives, Governance, And Losses In The Financial Crisis
November 10, 2010, 12:00am PST
This paper studies the extent to which risk-taking incentives of CEOs and other governance features in a range of years prior to the recent financial crisis were related to the write-downs of U.S....
Provided by NCCR FINRISK
-
White Papers
Corporate Investment And Financing Under Asymmetric Information
February 1, 2010, 12:00am PST
The authors develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. They show that firms...
Provided by NCCR FINRISK
-
White Papers
Evolutionary Finance And Dynamic Games
November 1, 2009, 12:00am PDT
The paper examines a game-theoretic evolutionary model of an asset market with endogenous equilibrium asset prices. Assets pay dividends that are partially consumed and partially reinvested. The...
Provided by NCCR FINRISK
-
White Papers
Short Selling Regulation After The Financial Crisis - First Principles Revisited
January 1, 2010, 12:00am PST
This paper examines the recent regulatory developments with regard to short selling. Short selling regulation is an important factor in firm governance because it affects the way in which firms...
Provided by NCCR FINRISK
-
White Papers
The Dynamics Of Investment And Financing Under Asymmetric Information
December 1, 2008, 12:00am PST
This paper develops a tractable real options framework to analyze the effects of asymmetric information on investment and financing decisions when firms require external funds to finance...
Provided by NCCR FINRISK
-
White Papers
Probability Misestimation And Preferences In Financial Investment Decision
November 21, 2008, 12:00am PST
The authors study the influence of systematic probability misestimation on complex financial investment decisions on the context of structured financial products. Structured products have in...
Provided by NCCR FINRISK
-
White Papers
Strategic Behavior, Financing, And Stock Returns
August 1, 2008, 12:00am PDT
In this paper, the author analyzes how debt structure and the strategic interaction between shareholders and creditors in the event of default affect expected stock returns. By endogenizing...
Provided by NCCR FINRISK
-
White Papers
Business And Financial Indicators: What Are The Determinants Of Default Probability Changes?
April 1, 2007, 12:00am PDT
This paper investigates some common determinants of default probability changes of individual firms using Standard & Poor's ratings database. The authors analyze and quantify the responses of...
Provided by NCCR FINRISK
-
White Papers
Attitudes And Behaviour In Everyday Finance: Evidence From Switzerland
June 21, 2008, 12:00am PDT
The aim of this paper is to examine the underlying dimensions of self-stated attitudes and behaviour concerning everyday financial affairs, and classify individuals based on those dimensions. A...
Provided by NCCR FINRISK
-
White Papers
Evolutionary Finance
October 2, 2008, 12:00am PDT
Evolutionary finance studies the dynamic interaction of investment strategies in financial markets. This market interaction generates a stochastic wealth dynamics on a heterogenous population of...
Provided by NCCR FINRISK
-
White Papers
The Performance Of Groups And Individuals In Financial Decision-Making
February 1, 2008, 12:00am PST
On financial markets many investment decisions are taken by groups and not by individuals. The evidence, however, whether groups perform better than individuals, is ambiguous. The authors analyze...
Provided by NCCR FINRISK
-
White Papers
Co-Monotonicity Of Optimal Investments And The Design Of Structured Financial Products
April 25, 2007, 12:00am PDT
The authors prove that under very weak conditions optimal financial products have to be co-monotone with the inverted state price density. Optimality is meant in the sense of the maximization of...
Provided by NCCR FINRISK
-
White Papers
Does Finance Have A Cultural Dimension?
April 24, 2007, 12:00am PDT
According to the traditional view held in finance returns of assets are determined by complete rationality of decision makers. Rational decisions are defined by a set of axioms that are universal...
Provided by NCCR FINRISK
-
White Papers
Financing And Takeovers
October 1, 2006, 12:00am PDT
This paper analyzes the interaction between financial leverage and takeover activity. The authors develop a dynamic model of takeovers in which the financing strategies of bidding firms and the...
Provided by NCCR FINRISK
-
White Papers
Monetary Policy Effects On Financial Risk Premia
October 27, 2006, 12:00am PDT
The effect of monetary policy on financial risk premia is analyzed in a simple general equilibrium model with sticky wages and an optimising central bank. Analytical results show that equity risk...
Provided by NCCR FINRISK
-
White Papers
Assessing Multivariate Predictors Of Financial Market Movements: A Latent Factor Framework For Ordinal Data
October 1, 2008, 12:00am PDT
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called "Soft dollars" which basically are amounts spent in "Research" for identifying...
Provided by NCCR FINRISK
-
White Papers
Dismantling The Global Accrual Anomaly
June 3, 2007, 12:00am PDT
International evidence on the accrual anomaly is sparse and conflicting. Testing for accrual mispricing in 28 equity markets, the authors provide statistical evidence for anomalous returns in some...
Provided by NCCR FINRISK
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