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Extreme Stock Return Co-movements of Financial Institutions: Contagion or Interdependence?

Minderhoud, Koen - de Nederlandsche Bank - 2003

This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our … measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot … evidence of contagion for the US, Germany and the UK. This result is stronger for the insurance sector than for the banking …

Persistent link: https://www.econbiz.de/10005101914

Statistical evidence on the mean reversion of interest rates

End, Jan Willem van den - de Nederlandsche Bank - 2011

Based on two hundred years of annual data of the Netherlands , Germany , US and Japan we analyse the mean reversion of long-term interest rates, by unit root tests over rolling windows and taking into account structural breaks and regime changes. While short-term rates and the yield curve tend...

Persistent link: https://www.econbiz.de/10008861747

It hurts (stock prices) when your team is about to lose a soccer match

Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2014

The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...

Persistent link: https://www.econbiz.de/10010739160

The pitch rather than the pit: investor inattention during FIFA World Cup matches

Ehrmann, Michael; Jansen, David-Jan - de Nederlandsche Bank - 2012

At the 2010 FIFA World Cup in South Africa, many soccer matches were played during stock market trading hours, providing us with a natural experiment to analyze fluctuations in investor attention. Using minute-by-minute trading data for fifteen international stock exchanges, we present three key...

Persistent link: https://www.econbiz.de/10009493318

Valuation of Liabilities in Hybrid Pension Plans

Broeders, Dirk; Chen, An; Rijsbergen, David - de Nederlandsche Bank - 2011

In this paper we derive an analytic valuation formula for a generalized form of liabilities in hybrid pension plans taking account of both equity and interest rate risk. Comparative statistics are carried out to show the relevance of some key parameters in defining the hybrid pension plans,...

Persistent link: https://www.econbiz.de/10009644842

Systematic tail risk

Oordt, Maarten van; Zhou, Chen - de Nederlandsche Bank - 2013

We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a measure on the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help to predict the future performance of stocks under extreme...

Persistent link: https://www.econbiz.de/10010822709

Momentum or Contrarian Investment Strategies:Evidence from Dutch institutional investors

Haan, Leo de; Kakes, Jan - de Nederlandsche Bank - 2010

This paper analyses investment strategies of three types of institutional investors pension funds, life insurers and non-life insurers over the period 1999-2005. We use balance sheet and cash flow data, including purchases and sales of equity, fixed income and real estate. We trace asset...

Persistent link: https://www.econbiz.de/10008518884

Fool the markets? Creative accounting, fiscal transparency and sovereign risk premia

Bernoth, Kerstin; Wolff, Guntram - de Nederlandsche Bank - 2006

We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase in both, the official fiscal position and the expected...

Persistent link: https://www.econbiz.de/10005030205

Correlated Trading and Returns

Dorn, Daniel; Huberman, Gur; Sengmueller, Paul - de Nederlandsche Bank - 2005

Retail clients at a major German discount broker trade in tandem - they tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Neither aggregate liquidity effects nor short sale constraints fully explain this behavior. The systematic execution of...

Persistent link: https://www.econbiz.de/10005101832

House Prices and Affordability - A First and Second Look Across Countries

Brounen, Dirk; Neuteboom, Peter; Dijkhuizen, Arjen van - de Nederlandsche Bank - 2006

In this paper we analyze the development of house prices for eight different countries over the period 1970-2003. First we look at real house price dynamics of the United States, the United Kingdom, Germany, France, Italy, the Netherlands, Sweden, and Belgium. After discussing the observable...

Persistent link: https://www.econbiz.de/10005101839