The Dynamics of Currency Crises.- The Mispricing of Debt - Influences of Ratings on Coordination.- Probability of Default and Precision of Information.
(source: Nielsen Book Data)
Philip Ernstberger analyses in his three essays different topics of financial pathologies. Thereby, changes in fundamentals as well as information are considered as the driving force for the behavior of speculators and investors. The first essay deals with currency crises, in which the central bank, through setting the interest rate, steers the economy and defends against speculators. The second essay examines the effects of a rating and possible biases on the coordination of investors and the pricing of debt. In the third essay the author uses forecasts of default probabilities and implied market default probabilities to infer the weighing of information by investors. (source: Nielsen Book Data) 9783658132309 20190204
Integrated Volatility.- Zero-inflated Data Generation Processes.- Algorithmic Text Forecasting.
(source: Nielsen Book Data)
This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Koemm embeds the proposed strategy in a monitoring system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two-state Markov switching mixture model for autoregressive and zero-inflated time-series to identify structural breaks in a latent data generation process and third, a selection of competing pattern recognition algorithms to classify the potential information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained, tested, and evaluated on a two year survey on the prime standard assets listed in the indices DAX, MDAX, SDAX and TecDAX. (source: Nielsen Book Data) 9783658125950 20190204
A.2. Asymptotic Behavior of the Number of Allocations
B. Numerical Results
B.1. Numerical Results: Expected Performance
B.2. Numerical Results: Beating the Benchmark.
Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a comprehensive statistical analysis. Concrete results are that follow-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk-adjusted performance. In addition, when the objective is the minimization of risk, the two new algorithms with risk management show excellent performance. A prototype of a software tool for automated evaluation of algorithms for portfolio selection is given. (source: Nielsen Book Data) 9783658135270 20190206
Book — 1 online resource (xxv, 137 pages) : illustrations.
The Dividend Irrelevance Theorem and Competing Dividend Theories
The Incremental Importance of Dividend Changes in Signaling Earnings Persistence - A Theoretical Analysis
Dividend Changes Conveying Earnings Persistence Conditional on Past Time-Series Persistence - An Empirical Analysis
The Incremental Importance of Confirming Dividend Changes in Signaling Earnings Persistence Conditional on Earnings Quality
The stylized facts that firms pay and investors react to dividends disregard dividend neutrality. Taking on the perspective that informational asymmetries are the central determinant for dividend value relevance, Christian Müller assumes that firm's dividend decision conveys useful information to investors. He shows that investors use dividend changes to revise their a priori expectations about the persistence of a current earnings change. While his theoretical and empirical analyses generally imply that dividend changes constitute informative, but imperfect information signals, he further identifies situations in which they are substantial to investors. Christian Müller's research comprehensively examines the informational role of dividend policy and provides new insights to the corresponding Bayesian investor learning process.
Book — 1 online resource (xxiv, 225 pages) : illustrations.
Real Activities Management
Initial Public Offering.
The beginning of the new millennium was characterized by company scandals in accounting around the world. A transparent and fair presentation of financial statements is beneficial for capital market participants. Especially around initial public offerings different incentives of these players exist to influence financial statements in diverse aspects. Therefore, studies of earnings management try to identify abnormal behavior. Peter Ising covers additional aspects to shed light on substantial drivers of discretionary reporting behavior around going public. Factors like influence on real activities, industry affiliation, and specific years in the IPO process add further insight to this theoretical and practical topic. The dependence on these factors is high and confirms that company specifics are important for interpretation of financial results.
The Hague : Eleven International Publishing, 2013.
Book — 1 online resource (vii, 258 pages)
2. Goals of Prudential Banking Supervision--
3. Goals and Responsibility--
4. CRD Fit For Purpose?--
5 Overall Analysis, Recommendations and Summary-- Index.
(source: Nielsen Book Data)
'Are EU banks safe?' is of interest to those involved in the debate on changing or maintaining the way prudential banking supervision is structured and performed. It builds on the descriptive companion book 'EU Banking Supervision' by the same author, but focuses on what banking supervision should do, and whether it is deliverable. Do and can banks and supervisors deliver what it says on the box, and is the description on the box correct in the first place? This analysis flows from the personal experience and expertise of the author, gathered as a customer of banks, as a legal, supervisory, and policy advisor on banking regulation, and from his involvement in national, EU and worldwide negotiations on new legislation. The book asks questions about whether the current focus on quantitative demands and incremental improvements is correct; whether the definition of 'bank' covers all institutions that should be as safe as a bank; and who is responsible if banks, their regulators and their supervisors fail? (source: Nielsen Book Data) 9789462361058 20190128
Book — 1 online resource (250 pages). Digital: data file.
Title Page; Contents; Preface; Housing wealth in retirement strategies; Part I Comparative analysis; Part II The Netherlands; Samenvatting (Dutch summary); Curriculum vitae.
What is the current role of housing wealth in household retirement strategies across the European Union member states, and could this role be extended? This question is often raised by researchers and policymakers as governments search for ways to cut pensions expenditure. Owner-occupation could potentially be part of a solution as the retired are often rich in terms of housing wealth. The existing theory shows that owning one's own home can be regarded as a form of pension: once the mortgage has been repaid, housing expenses are substantially lower and housing wealth can also be cashed in, ei.