Kursprognose mit Hilfe der Technischen Analyse — Eine empirische Untersuchung

Ohne Zusammenfassung     

From Credit Risk to Social Impact: On the Funding Determinants in Interest-Free Peer-to-Peer Lending

Journal of Business Ethics - Based on a unique data set on US direct microloans, we study the funding determinants of interest-free peer-to-peer crowdlending aimed at borrowers in the US. By...     

Concentration on the nearby contract in financial futures markets: A stochastic model to explain the phenomenon

A stochastic model is developed to explain how the early unwinding propensity of market participants in financial futures markets can lead to a strong concentration of the trading volume on the nearby contract. In this model the position closing behavior of the market participants is captured by three distribution functions. The concentration process works under many realistic specifications of these distribution functions. The authors would like to thank Wolfgang Bühler (University Mannheim) and Michael Brennan (UCLA/Los Angeles) for valuable discussion and the Deutsche Forschungsgemeinschaft (DFG) for financial support.     

Psychological barriers in European stock markets: Where are they?

We examine four European stock indices and the prices of eight major German stocks for indications of psychological barriers. The frequency, (expected) returns, intraday volatility and trading volume of these assets are studied contingent on whether the prices lie within a certain range around round numbers. Our results indicate that psychological barriers do not exist on a consistent basis. It seems that some barriers have disappeared after these anomalies have been published. This discovery is consistent with current literature findings about disappearing stock market anomalies.     

Repayment behavior in peer‐to‐peer microfinancing: Empirical evidence from Kiva

Based on a sample of microloans (to individuals and to groups) that were refinanced through the peer-to-peer microfinancing platform Kiva, we study the determinants of the repayment behavior of micro-entrepreneurs whose loans are available to international charitable lenders. We perform binary regressions and account for influential factors such as the time required for funding or the type of entrepreneurial activity. The screening and monitoring quality of the microfinance institution which selects the borrowers is a main driver of credit default. We find evidence that the loan size, the loan term and the length of a possible grace period influence the probability of default. Moreover, women demonstrate better repayment behavior which is, however, not the case for groups of women.     

Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions

In order to solve the problem of optimal discrete hedging of American options, this paper utilizes an integrated approach in which the writer’s decisions (including hedging decisions) and the holder’s decisions are treated on equal footing. From basic principles expressed in the language of acceptance sets we derive a general pricing and hedging formula and apply it to American options. The result combines the important aspects of the problem into one price. It finds the optimal compromise between risk reduction and transaction costs, i.e. optimally placed rebalancing times. Moreover, it accounts for the interplay between the early exercise and hedging decisions. We then perform a numerical calculation to compare the price of an agent who has exponential preferences and uses our method of optimal hedging against a delta hedger. The results show that the optimal hedging strategy is influenced by the early exercise boundary and that the worst case holder behavior for a sub-optimal hedger significantly deviates from the classical Black–Scholes exercise boundary.     

Time consistent pricing of options with embedded decisions

Review of Derivatives Research - Many financial contracts are equipped with exercise rights or other features enabling the parties to actively shape the contract’s payoff. These decisions...     

On the diversification benefits of commodities from the perspective of euro investors

This paper investigates the diversification contribution of several commodities to a portfolio of traditional assets from the perspective of a euro investor. The approach applied in our analysis has high informational content as it differentiates between the sources of the diversification benefits in a statistically significant way. The results indicate that the diversification contribution varies greatly amongst the different commodities. Industrial metals, agriculturals and livestock contribute to the reduction of risk, while energy and precious metals contribute to both the reduction of the level of risk and to the improvement of return. The differentiation between bull and bear markets reveals that investors can enhance the portfolio performance by changing exposure into individual commodities. Investors can benefit from the diversification gains through financial instruments as the diversification gains hold both in the sample of physical commodity and commodity futures. Overall, the results confirm that commodities are valuable investments from the perspective of diversification.     

Risk capital allocation for RORAC optimization

This paper considers the financial optimization problem of a firm with several sub-businesses striving for its optimal RORAC. An insightful example shows that the implementation of classical gradient capital allocation can be suboptimal if division managers are allowed to venture into all business whose marginal RORAC exceeds the firm’s RORAC. The marginal RORAC requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different lines of business. It is shown that under certain stationarity conditions this approach can guarantee that the optimal RORAC will eventually be achieved.     

Pricing options with Green's functions when volatility,interest rate and barriers depend on time

We derive the Green's function for the Black–Scholes partial differential equation with time-varying coefficients and time-dependent boundary conditions. We provide a thorough discussion of its implementation within a pricing algorithm that also accommodates American style options. Greeks can be computed as derivatives of the Green's function. Generic handling of arbitrary time-dependent boundary conditions suggests our approach to be used with the pricing of (American) barrier options, although options without barriers can be priced equally well. Numerical results indicate that knowledge of the structure of the Green's function together with the well-developed tools of numerical integration make our approach fast and numerically stable.