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Growth Options and Firm Valuation 

Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina (2013-11-01)
"This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, ...
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Option-Implied Information and Predictability of Extreme Returns 

Vilkovz, Grigory; Xiaox, Yan (2013-01-28)
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ...
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Does sophistication affect long-term return expectations? Evidence from financial advisers' exam scores 

Kaustia, Markku; Lehtoranta, Antti; Puttonen, Vesa (2013-01-22)
We use unique data fromfinancial advisers’ professional exam scores and combine it with other variables to create an index of financial sophistication. Using this index to explain long-term stock return expectations, we ...
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Stock Ownership and Political Behavior: Evidence from Demutualizations 

Kaustia, Markku; Knüpfer, Samuli; Torstila, Sami (2013-12-12)
A setting in which customer-owned mutual companies converted to publicly listed firms created a plausibly exogenous shock to salience of stock ownership. We use this shock to identify the effect of stock ownership on ...
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Does Mood Affect Trading Behavior? 

Kaustia, Markku; Rantapuska, Elias (2012-11-09)
We test whether investor mood affects trading with data on all stock market transactions in Finland, utilizing variation in daylight and local weather. We find some evidence that environmental mood variables (local weather, ...
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Monetary Policy and Risk Taking 

Angeloni, Ignazio; Faia, Ester; Lo Duca, Marco (2016-05-19)
We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel — monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel ...
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Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios 

Calvet, Laurent E.; Sodini, Paolo (2013-03-21)
This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested In risky assets is an increasing and concave function of financial wealth, ...
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When Do Jumps Matter for Portfolio Optimization? 

Ascheberg, Marius; Branger, Nicole; Kraft, Holger (2015-11-25)
We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a ...
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Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization 

Branger, Nicole; Kraft, Holger; Meinerding, Christoph (2013-04-18)
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...
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Systemic Risk in the Financial Sector: What Can We Learn from Option Markets? 

Kraft, Holger; Schmidt, Alexander (2014-12-14)
We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the ...
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AutorPelizzon, Loriana (16)Hackethal, Andreas (10)Schlag, Christian (10)... mehrForschungsbereichFinancial Markets (119)Household Finance (82)Systemic Risk Lab (35)... mehrJEL-KlassifizierungG12 (83)G11 (76)G14 (49)... mehrThemen
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Corporate Finance (69)Fiscal Stability (64)... mehrSchlagwortportfolio choice (18)asset pricing (16)corporate social responsibility (16)... mehrErscheinungsdatum2018 (25)2021 (20)2016 (19)Has File(s)Yes (177)No (76)
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