Working paper

Author(s) : Nikolaos Tessaromatis
Ignoring the self-reported benchmark results in different measurement of stock selection and timing components of excess performance. We revisit...
2012
Author(s) : Goethe University
The agents in our model have Epstein-Zin-Weil utility functions and can be heterogeneous with respect to endowments and all three characteristics of...
2012
Author(s) : Raman Uppal
The agents in our model have Epstein-Zin-Weil utility functions and can be heterogeneous with respect to endowments and all three characteristics of...
2012
Author(s) : Grigory Vilkov
The agents in our model have Epstein-Zin-Weil utility functions and can be heterogeneous with respect to endowments and all three characteristics of...
2012
Author(s) : Ekkehart Boehmer
Heavier shorting is found the week before negative earnings surprises, analyst downgrades, and downward revisions in analyst earnings forecasts. The...
2012
Author(s) : Charles M. Jones
Heavier shorting is found the week before negative earnings surprises, analyst downgrades, and downward revisions in analyst earnings forecasts. The...
2012
Author(s) : Xiaoyan Zhang
Heavier shorting is found the week before negative earnings surprises, analyst downgrades, and downward revisions in analyst earnings forecasts. The...
2012
Author(s) : Mathieu Vaissie
Changes in the regulatory framework and in accounting rules make it even trickier for insurance companies. Against this backdrop, insurers have no...
2012
Author(s) : Stoyan V. Stoyanov
We consider the problem of marginally improving portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study...
2012
Author(s) : Svetlozar T. Rachev
We consider the problem of marginally improving portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study...
2012
Author(s) : Frank J. Fabozzi
We consider the problem of marginally improving portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study...
2012
Author(s) : Dominic O#39;Kane
We first present a simple model which establishes the no-arbitrage relationship between CDS and bond yield spreads. We then test this relationship...
2012
Author(s) : Devraj Basu
We consider single sorts based on the open interests of either hedgers or speculators, as well as double sorts based on both positions. We find...
2012
Author(s) : Joelle Miffre
We consider single sorts based on the open interests of either hedgers or speculators, as well as double sorts based on both positions. We find...
2012
Author(s) : David SchroderBirkbeck
We find that short duration is associated with high expected and realized returns —  which cannot be attributed to the shares' systematic risk...
2011
Author(s) : Florian Esterer
We find that short duration is associated with high expected and realized returns —  which cannot be attributed to the shares' systematic risk...
2011
Author(s) : Agostino Capponi
The manager is compensated by the shareholders, based on the filtering estimate of the project outcome. By means of a variational calculus...
2011
Author(s) : Jaksa Cvitanic
The manager is compensated by the shareholders, based on the filtering estimate of the project outcome. By means of a variational calculus...
2011
Author(s) : Turkay Yolcu
The manager is compensated by the shareholders, based on the filtering estimate of the project outcome. By means of a variational calculus...
2011
Author(s) : Jaksa Cvitanic
A trader’s optimal trading decision is formulated in terms of exercising the option to trade one unit of the asset at the optimal stopping time. We...
2011

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