Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Anders Wilhelmsson"'
Autor:
Håkan Jankensgård, Anders Wilhelmsson
Publikováno v:
Financial Management. 47:55-79
We use Swedish ownership data to explore whether a large and diversified shareholder base leads to lower volatility by improving the information content of stock prices. We find that volatility increases in the number of shareholders with respect to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::110c78b5e852eb8e5132fe6c6a4de92a
https://doi.org/10.1111/fima.12184
https://doi.org/10.1111/fima.12184
Autor:
Anders Wilhelmsson, Jens Forssbæck
Publikováno v:
SSRN Electronic Journal.
This paper is the first to compare the ability of the two structural credit risk models of Merton (1974) and Leland (1994a, b) to predict bankruptcy. We investigate different implementations of the Merton and Leland models on the whole CRSP/Compustat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a80b939b8d578734c1bdd94c7862d24
https://doi.org/10.2139/ssrn.2914545
https://doi.org/10.2139/ssrn.2914545
Publikováno v:
SSRN Electronic Journal.
Based on a screening model, we hypothesize that borrower risk will be over- (under-)priced in recessions (booms), and the loan spreads’ sensitivity to default risk as a function of economic growth will be inverse U-shaped. We test this prediction u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2fa74e2e6366d84073d24ac415a1f671
https://doi.org/10.2139/ssrn.2914567
https://doi.org/10.2139/ssrn.2914567
Autor:
Håkan Jankensgård, Anders Wilhelmsson
Publikováno v:
SSRN Electronic Journal.
A conjecture in the literature holds that a large and diversified investor base leads to lower volatility by improving the quality of the price signal. In this paper this hypothesis is examined using unique Swedish ownership data. The data does not s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0aa8722b01d5a8ae7a54cc39d854af89
https://doi.org/10.2139/ssrn.2788166
https://doi.org/10.2139/ssrn.2788166
Autor:
Peter Nyberg, Anders Wilhelmsson
Publikováno v:
Financial Review. 45:1079-1100
We test if innovations in investor risk aversion are a priced factor in the stock market. Time series tests show that the new factor partly explains the strong momentum effect in stock returns. Furthermore, using 25 portfolios sorted on book-to-marke
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5c571c9fb311966f8b4b2737be7df262
https://doi.org/10.1111/j.1540-6288.2010.00286.x
https://doi.org/10.1111/j.1540-6288.2010.00286.x
Autor:
Anders Wilhelmsson, Marcus Nossman
Publikováno v:
The Journal of Alternative Investments. 12:54-67
This article tests the expectation hypothesis by using the volatility index VIX and futures contracts written on that index. Because the VIX index is negatively correlated with the S&P 500 index returns the VIX futures price should contain a negative
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::58d543324fe8aa37a8477d74b1a78053
https://doi.org/10.3905/jai.2009.12.2.054
https://doi.org/10.3905/jai.2009.12.2.054
Autor:
Anders Wilhelmsson, Peter Nyberg
Publikováno v:
Journal of Financial Econometrics. 7:265-287
This paper decomposes the popular risk measure Value-at-Risk (VaR) into one jump- and one continuous component. The continuous component corresponds to general market risk and the jump component is proportional to the event risk as defined in the Bas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5641e75f942ecea837ccdc93ffc38109
https://doi.org/10.1093/jjfinec/nbp003
https://doi.org/10.1093/jjfinec/nbp003
Autor:
Anders Wilhelmsson
Publikováno v:
Journal of Forecasting. 25:561-578
This paper investigates the forecasting performance of the Garch (1, 1) model when estimated with NINE different error distributions on Standard and Poor’s 500 Index Future returns. By utilizing the theory of realized variance to construct an appro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::61fe1ecc6316bdb44d1eea326b8decf4
https://doi.org/10.1002/for.1009
https://doi.org/10.1002/for.1009
Autor:
Anders Wilhelmsson, Frederik Lundtofte
We show that, when allowing for general distributions of dividend growth in a Lucas economy with multiple "trees," idiosyncratic volatility will affect expected returns in ways that are not captured by the log linear approximation. We derive an exact
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7fdff2bfa2dd45a031691e58b11ff535
http://project.nek.lu.se/publications/workpap/papers/WP11_33.pdf
http://project.nek.lu.se/publications/workpap/papers/WP11_33.pdf
Autor:
Anders Wilhelmsson
Publikováno v:
SSRN Electronic Journal.
Density forecasts contain a complete description of the uncertainty associated with a point forecast and are therefore important measures of financial risk. This paper aims to examine if the new more complicated models for financial returns that allo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26ff4e49b7a9996c255a450590775efe
https://doi.org/10.2139/ssrn.1768806
https://doi.org/10.2139/ssrn.1768806