Accepting non-linearities as an endemic feature of financial data, this paper re-examines Cochrane"s "new fact in finance" hypothesis (Cochrane, Economic Perspectives-FRB of Chicago 23, 36–58, 1999). By implementing two methods, frequently encountered in digital signal processing analysis,...

Existing time series of the returns on German stocks are either short or have weaknesses. We discuss the problems of creating such a time series and then report our monthly series based on all stocks in the top segment of the Frankfurt Stock Exchange. We compare our return series with the...

This paper examines the prediction accuracy of various machine learning (ML) algorithms for firm credit risk. It marks the first attempt to leverage data on corporate social irresponsibility (CSI) to better predict credit risk in an ML context. Even though the literature on default and credit...

This study shows how the investor sentiment in the stock market affects prices of commodity exchange-traded funds (ETFs). The study provides quantitative evidence that the tracking errors of commodity ETFs differ in the bullish versus the bearish stock market, and the aggregate tracking error of...

This paper examines the nature of the correlation between (real) equity and bond returns for the G7 markets. From the standpoint of established finance theory, we would expect a positive returns correlation, however, evidence has been presented to suggest that a negative correlation occurs over...

The paper revisits the two major concepts for average historical returns, i.?e., the arithmetic mean and the geometric mean, in order to clarify which approach must be used for which application. Conducting a rigorous derivation with a geometric Brownian motion, we can explain that the...

Viele in Deutschland ansässige kleine und mittlere Unternehmen (KMU) haben in den letzten Jahren erfolgreich Anleihen am Kapitalmarkt emittiert, allerdings ist dieses Segment des Kapitalmarktes noch größtenteils unerforscht. Um die Besonderheiten im Pricing von Mittelstandsanleihen...

Steadily growing debt ratios indicate that current sovereign debt policy lacks important incentives for governments and politicians to fulfill it in a long-term sustainable way. To implement proper incentives, we propose the concept of performance-sensitive government bonds (PSGB) where coupon...

This article applies the alternative three-factor model introduced by Chen / Novy-Marx / Zhang (2010) to the German stock market for the sample period of 2004 through 2015. We construct two new factors INV ("investment") and ROA ("return on assets") for companies listed on the highest segment of...

This research investigates the existence of segmentation in the market for fixed-income securities. Evidence is found of higher yield spreads being required for non-distressed bonds making larger contributions to the risk of pure debt portfolios over the 2003–2011 period. Abnormal returns...