Auflistung LIF-SAFE Working Papers nach Titel
Anzeige der Dokumente 44-63 von 334
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Cognition, Optimism and the Formation of Age-Dependent Survival Beliefs
(2018-06-02)This paper investigates the roles psychological biases play in deviations between subjective survival beliefs (SSBs) and objective survival probabilities (OSPs). We model deviations between SSBs and OSPs through age-dependent ... -
Coinvestment and risk taking in private equity funds
(2016-01-01)Private equity fund managers are typically required to invest their own money alongside the fund. We examine how this coinvestment affects the acquisition strategy of leveraged buyout funds. In a simple model, where the ... -
Collateral Eligibility of Corporate Debt in the Eurosystem
(2020-04-01)We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and ... -
Coming Early to the Party
(2017-09-15)"We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction of the NYSE-Euronext Paris exchange. HFTs actively participate, and profitably extract information ... -
Commodities, Financialization, and Heterogeneous Agents
(2016-04-28)The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for ... -
Compensation Schemes, Liquidity Provision, and Asset Prices: An Experimental Analysis
(2015-06-01)In an experimental setting in which investors can entrust their money to traders, we investigate how compensation schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At ... -
Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate
(2016-06-21)Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits ... -
Competition in Treasury Auctions
(2016-02-01)We investigate the role of competition on the outcome of Austrian Treasury auctions. Austria's EU accession led to an increase in the number of banks participating in treasury auctions. We use structural estimates of ... -
Consuming Dividends
(2020-05-01)This paper studies why investors buy dividend-paying assets and how they time their consumption accordingly. We combine administrative bank data linking customers’ consumption transactions and income to detailed portfolio ... -
Consumption and Wage Humps in a Life-Cycle Model with Education
(2015-02-24)The observed hump-shaped life-cycle pattern in individuals’ consumption cannot be explained by the classical consumption-savings model. The consensus explanation is that the hump is caused by constraints and unspanned ... -
Consumption Habits and Humps
(2015-07-10)We show that the optimal consumption of an individual over the life cycle can have the hump shape (inverted U-shape) observed empirically if the preferences of the individual exhibit internal habit formation. In the absence ... -
Consumption-Investment Problems with Stochastic Mortality Risk
(2014-03-03)I numerically solve realistically calibrated life cycle consumption-investment problems in continuous time featuring stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity ... -
Consumption-Portfolio Choice with Preferences for Cash
(2018-07-12)This paper studies a consumption-portfolio problem where money enters the agent's utility function. We solve the corresponding Hamilton-Jacobi-Bellman equation and provide closed-form solutions for the optimal consumption ... -
Control Thyself: Self-Control Failure and Household Wealth
(2014-10-09)We examine the relationship between household wealth and self-control. Although self-control has been linked to consumption and financial behavior, its measurement remains an open issue. We employ a definition of self-control ... -
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets
(2017-01-27)We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions ... -
Corporate Groups
(2014-09-22)This paper contrasts the recent European initiatives on regulating corporate groups with alternative approaches to the phenomenon. In doing so it pays particular regard to the German codified law on corporate groups as the ... -
Credit Cycles: Experimental Evidence
(2016-06-23)This paper reports that credit cycles emerged in laboratory economies that were not hit by aggregate shocks and in which information about fundamentals was perfect. This main result is in our view puzzling because standard ... -
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
(2019-10-14)We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information ... -
Critical Illness Insurance in Life Cycle Portfolio Problems
(2014-03-03)I analyze a critical illness insurance in a consumption-investment model over the life cycle. I solve a model with stochastic mortality risk and health shock risk numerically. These shocks are interpreted as critical illness ... -
Cross-Border Resolution of Global Banks
(2015-03-01)Most recent regulations establish that resolution of global banking groups shall be done according to bail-in procedures and following a Single Point of Entry (SPE) as opposed to a Multiple Point of Entry (MPE) approach. ...