The information content of financial derivatives: empirical evidence
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
2013
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XV, 177 S. graph. Darst. |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV041354211 | ||
| 003 | DE-604 | ||
| 005 | 20131129 | ||
| 007 | t | ||
| 008 | 131011s2013 d||| m||| 00||| eng d | ||
| 035 | |a (OCoLC)862816364 | ||
| 035 | |a (DE-599)BVBBV041354211 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 |a DE-188 |a DE-384 | ||
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 100 | 1 | |a Wipplinger, Evert |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The information content of financial derivatives |b empirical evidence |c submitted by Evert Wipplinger |
| 264 | 1 | |c 2013 | |
| 300 | |a XV, 177 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a St. Gallen, Univ., Diss., 2013 | ||
| 650 | 0 | 7 | |a Informationsgehalt |0 (DE-588)4213883-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
| 689 | 0 | 1 | |a Informationsgehalt |0 (DE-588)4213883-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026802711&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-026802711 | ||
Record in the Search Index
| _version_ | 1804151434549133312 |
|---|---|
| adam_text | Titel: The information content of financial derivatives
Autor: Wipplinger, Evert
Jahr: 2013
Contents
Abstract xiii
1 Introduction 1
1.1 Preliminary Considerations...................... 1
1.2 Structure and Motivation ....................... 2
Appendix.................................. 10
2 The Predictive Power of Implied Skewness for Returns 13
2.1 Introduction.............................. 13
2.2 Literature................................ 15
2.3 Data.................................. 17
2.4 Empirical Results ........................... 20
2.5 Time Series Regressions........................ 27
2.6 Alternative Implied Skewness Measures ............... 39
2.7 Summary................................ 43
Appendices................................. 45
3 Links between Volatility and a Pure Limit Order Book 53
3.1 Introduction.............................. 53
3.2 Data and Institutional Background .................. 56
3.3 The DAX Futures Limit Order Book................. 61
3.4 Volatility and Liquidity ........................ 67
3.5 Joined Dynamics for Buy and Sell Side Depth............ 77
3.6 Robustness............................... 83
3.7 Summary................................ 85
Appendices................................. 86
4 The Impact of Takeover Announcements on CDS 93
4.1 Introduction.............................. 93
4.2 Data and Methodology......................... 97
4.3 CDS Market Response To Takeover Announcements......... 111
4.4 Does the Bidder s CDS Response Predict Rating Actions?...... 117
4.5 Explaining the Bidder s CDS Response................ 121
4.6 Extensions and Robustness ...................... 130
4.7 Summary................................ 139
Appendices................................. 140
5 Conclusion 155
Bibliography 157
|
| any_adam_object | 1 |
| author | Wipplinger, Evert |
| author_facet | Wipplinger, Evert |
| author_role | aut |
| author_sort | Wipplinger, Evert |
| author_variant | e w ew |
| building | Verbundindex |
| bvnumber | BV041354211 |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)862816364 (DE-599)BVBBV041354211 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01387nam a2200349 c 4500</leader><controlfield tag="001">BV041354211</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20131129 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">131011s2013 d||| m||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)862816364</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV041354211</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-188</subfield><subfield code="a">DE-384</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Wipplinger, Evert</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">The information content of financial derivatives</subfield><subfield code="b">empirical evidence</subfield><subfield code="c">submitted by Evert Wipplinger</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2013</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XV, 177 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">St. Gallen, Univ., Diss., 2013</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Informationsgehalt</subfield><subfield code="0">(DE-588)4213883-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Informationsgehalt</subfield><subfield code="0">(DE-588)4213883-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026802711&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-026802711</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV041354211 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:54:45Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-026802711 |
| oclc_num | 862816364 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-188 DE-384 |
| owner_facet | DE-355 DE-BY-UBR DE-188 DE-384 |
| physical | XV, 177 S. graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| record_format | marc |
| spelling | Wipplinger, Evert Verfasser aut The information content of financial derivatives empirical evidence submitted by Evert Wipplinger 2013 XV, 177 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2013 Informationsgehalt (DE-588)4213883-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Derivat Wertpapier (DE-588)4381572-8 s Informationsgehalt (DE-588)4213883-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026802711&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wipplinger, Evert The information content of financial derivatives empirical evidence Informationsgehalt (DE-588)4213883-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4213883-8 (DE-588)4381572-8 (DE-588)4113937-9 |
| title | The information content of financial derivatives empirical evidence |
| title_auth | The information content of financial derivatives empirical evidence |
| title_exact_search | The information content of financial derivatives empirical evidence |
| title_full | The information content of financial derivatives empirical evidence submitted by Evert Wipplinger |
| title_fullStr | The information content of financial derivatives empirical evidence submitted by Evert Wipplinger |
| title_full_unstemmed | The information content of financial derivatives empirical evidence submitted by Evert Wipplinger |
| title_short | The information content of financial derivatives |
| title_sort | the information content of financial derivatives empirical evidence |
| title_sub | empirical evidence |
| topic | Informationsgehalt (DE-588)4213883-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Informationsgehalt Derivat Wertpapier Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026802711&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT wipplingerevert theinformationcontentoffinancialderivativesempiricalevidence |