P.O. Box 90153
Tilburg, 5000 LE
Tilburg, 5000 LE
Tilburg University - Department of Finance
CentER Tilburg University
in Total Papers Downloads
in Total Papers Citations
Risk exposure, Abnormal return, Private equity
Risk exposure, abnormal return, private equity
Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns
Credit spread, liquidity premium
implied correlation, return predictability, index variance, variance risk premium, individual options
Credit Spread, Default Event, Corporate Bond, Credit Derivative, Intensity Models
Mortgage, CMBS, CMBX, REIT, Market Efficiency, Financial Crisis, Commercial Real Estate
Term Structure Models; Interest Rate Derivatives; Option Pricing; Hedging
CDS, Liquidity, Liquidity Risk
Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle
52-week high, 52-week low, implied volatility, beta, volatility, anchoring, prospect theory, investor attention, barrier, support level, resistance level
Credit spreads, jump risk premium, firm value model
Informed traders, corporate events, implied volatility spread, implied volatility skew, short-sale constraint
Housing futures, portfolio choice, mortgage
Term Structure Models, Interest Rate Derivatives, Volatility Hump, Caps and Swaptions
liquidity premium, liquidity risk, investment horizon, holding period
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8710.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
investment horizon, liquidity risk
Cumulative prospect theory, variance risk premium, probability weighting
Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium.
Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium
Euro, exchange rate, credibility, option pricing, regime switching, implied volatility, convergence
File name: DP4180.
Convergence risk, confidence building, currency options, regime-switching models
Investments, illiquid assets
portfolio investment, diversification benefits, emerging markets, home bias, investment restrictions
Liquidity premium, liquidity risk, TIPS, inflation swaps
distress risk, distress risk puzzle, corporate bond, expected stock return
beta, interest rates, stock returns, asset pricing, risk premium
Rebalancing, Multi-Asset, Long Term, Passive
Cross-section of stock returns; Low-volatility anomaly; Interest rates; Factor model
unemployment news, asset pricing, business cycle, stock market, economic activity, decomposition, announcement returns
Liquidity premium; Liquidity risk; Dynamic portfolio choice; Trading Costs; Price impact
Liquidity Management, Hedge funds, Flight to liquidity, Price impact
Term structure models, interest rate derivatives, lognormal pricing models, Black formula
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 1.548 seconds