Search Results - "SCHLAG, CHRISTIAN"

Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects by Grammig, Joachim, Melvin, Michael, Schlag, Christian

“…We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where…”
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Discussion of “Bounded Rationality, Rights Offerings, and Optimal Subscription Prices” by Schlag, Christian

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Nonsubstitutable Consumption Growth Risk by Dittmar, Robert F., Schlag, Christian, Thimme, Julian

“…Standard applications of the consumption-based asset pricing model assume that goods and services within the nondurable consumption bundle are substitutes. We…”
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Extreme Inflation and Time-Varying Expected Consumption Growth by Dergunov, Ilya, Meinerding, Christoph, Schlag, Christian

“…In a parsimonious regime switching model, we find strong evidence that expected consumption growth varies over time. Adding inflation as a second variable, we…”
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Horizontal industry relationships and return predictability by Schlag, Christian, Zeng, Kailin

“…It has been documented that vertical customer–supplier links between industries are the basis for strong cross-sectional stock return predictability  (Menzly…”
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Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models by Schlag, Christian, Semenischev, Michael, Thimme, Julian

“…Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of…”
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GMM weighting matrices in cross-sectional asset pricing tests by Laurinaityte, Nora, Meinerding, Christoph, Schlag, Christian, Thimme, Julian

“…When estimating misspecified linear factor models for the cross-section of expected returns using GMM, the explanatory power of these models can be spuriously…”
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The Leading Premium by Croce, Mariano M, Marchuk, Tatyana, Schlag, Christian

“…Abstract In this paper, we consider conditional measures of lead-lag relations between aggregate growth and industry-level cash flow growth in the United…”
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Implied volatility duration: A measure for the timing of uncertainty resolution by Schlag, Christian, Thimme, Julian, Weber, Rüdiger

“…We introduce implied volatility duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution…”
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Momentum-Managed Equity Factors by Flögel, Volker, Schlag, Christian, Zunft, Claudia

“…Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large gains in Sharpe…”
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The Collateralizability Premium by Ai, Hengjie, Li, Jun E., Li, Kai, Schlag, Christian

“…A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. Theory suggests a…”
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Level and slope of volatility smiles in long-run risk models by Branger, Nicole, Rodrigues, Paulo, Schlag, Christian

“…We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special…”
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Equilibrium Asset Pricing in Directed Networks by Branger, Nicole, Konermann, Patrick, Meinerding, Christoph, Schlag, Christian

“…Abstract Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium…”
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Computing Macro-Effects and Welfare Costs of Temperature Volatility: A Structural Approach by Donadelli, Michael, Jüppner, Marcus, Paradiso, Antonio, Schlag, Christian

“…We produce novel empirical evidence on the relevance of temperature volatility shocks for the dynamics of productivity, macroeconomic aggregates and asset…”
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‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors by Branger, Nicole, Schlag, Christian, Wu, Lue

“…In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate…”
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A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks by Pollastri, Alessandro, Rodrigues, Paulo, Schlag, Christian, Seeger, Norman J.

“…This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly…”
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Obesity-induced Hyperleptinemia Improves Survival and Immune Response in a Murine Model of Sepsis by Siegl, Daniel, Annecke, Thorsten, Johnson, Bobby L, Schlag, Christian, Martignoni, Andre, Huber, Nadine, Conzen, Peter, Caldwell, Charles C, Tschöp, Johannes

“…BACKGROUND:Obesity is a growing health problem and associated with immune dysfunction. Sepsis is defined as systemic inflammatory response syndrome that occurs…”
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? by Branger, Nicole, Schlag, Christian

“…Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors. When the hedge is performed under the…”
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Optimal portfolios when volatility can jump by Branger, Nicole, Schlag, Christian, Schneider, Eva

“…We consider an asset allocation problem in a continuous-time model with stochastic volatility and jumps in both the asset price and its volatility. First, we…”
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Pricing Two Heterogeneous Trees by Branger, Nicole, Schlag, Christian, Wu, Lue

“…We consider a Lucas-type exchange economy with two heterogeneous stocks (trees) and a representative investor with constant relative risk aversion. The…”
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