We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminatingbetween competing sources of this return predictability...

This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...

The paper deals with the evaluation of Collateralized Debt Obligations forinvestment purposes. CDOs are classified in the asset backed environment. Itsspecific risks (market, timing, recovery, agency) are discussed. To understand theportfolio aspect, the concept of the diversity score is...

The paper presents a comprehensive data set of all bonds issued by the sixteenGerman states (Länder) since 1992. It thus provides a complete picture of acapital market comparable in size to funds raised in the German fixed incomemarket for corporations. The quantitative analysis reveals that...

Market frictions inhibit perfect replication of property derivatives and dene the property spreadas a price measure in the incomplete real estate market. We identify transaction costs, transactiontime and short sale constraints as the main frictions in this market. Based on these frictions,...

In this paper, we experimentally test the Modigliani-Miller theorem. Applying ageneral equilibrium approach and not allowing for arbitrage among ¯rms with differ-ent capital structure, we are able to address a question fundamental to the valuationof firms: does capital structure affect the...

In the standard CAPM with a riskless asset we give a simple proof of existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.

Die Debatte über die optimale Ausgestaltung der Alterssicherung wird in jüngster Zeit äußerst kontrovers und hitzig geführt. Dabei scheint uns ein zentraler Aspekt nicht genügend beachte zu werden: Welcher Zusammenhang besteht zwischen den Merkmalen des Finanzsystems und des...

Kursänderungen auf Aktienmärkten können informationsinduziert durch neu zu verarbeitende Informationen oder liquiditätsinduziert durch kurzfristige Angebots- bzw. Nachfrageüberhänge auftreten. Diese zwei so unterschiedlich verursachten Kursreaktionen sind in empirischen Untersuchungen nur...

Der Neue Markt soll wachstumsorientierten Unternehmen den Zugang zur Börse eröffnen. Diefür dieses Marktsegment neu geschaffene Institution des Betreuers soll Vorbildcharakter fürandere Marktsegmente haben. In der vorliegenden Arbeit werden Vor- und Nachteile desBetreuer-Konzeptes...