![]() Wolff, Christian ![]() Diverse speeches and writings (2020) Detailed reference viewed: 29 (2 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2020) Detailed reference viewed: 14 (0 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2020) Detailed reference viewed: 16 (0 UL)![]() Wolff, Christian ![]() in Journal of Empirical Finance (2019), 52 Detailed reference viewed: 129 (11 UL)![]() ; Lehnert, Thorsten ![]() ![]() in International Review of Financial Analysis (2019), 63 Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium ... [more ▼] Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for holding stocks when the market skewness risk premium is high. However, when we characterize periods of high and low risk aversion, we show that in line with theory, the relationship only holds when risk aversion is high. In periods of low risk aversion, investors demand lower risk compensation, thus substantially weakening the skewness-risk-premium-return trade off. [less ▲] Detailed reference viewed: 123 (3 UL)![]() Wolff, Christian ![]() Scientific Conference (2019, April) Detailed reference viewed: 37 (1 UL)![]() ![]() Wolff, Christian ![]() Scientific Conference (2019, March) Detailed reference viewed: 69 (0 UL)![]() Wolff, Christian ![]() Article for general public (2019) Detailed reference viewed: 99 (22 UL)![]() Wolff, Christian ![]() in Wolff, Christian (Ed.) pacific basin (2019) Detailed reference viewed: 50 (1 UL)![]() Wolff, Christian ![]() ![]() in Journal of Derivatives (2019) Detailed reference viewed: 149 (24 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2019) Detailed reference viewed: 57 (0 UL)![]() Wolff, Christian ![]() Report (2019) Detailed reference viewed: 85 (6 UL)![]() Wolff, Christian ![]() in International Review of Financial Analysis (2019) Detailed reference viewed: 97 (4 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2019) Detailed reference viewed: 64 (1 UL)![]() Wolff, Christian ![]() E-print/Working paper (2018) Detailed reference viewed: 71 (0 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2018) Detailed reference viewed: 18 (0 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2018) Detailed reference viewed: 17 (0 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2018) Detailed reference viewed: 44 (0 UL)![]() Wolff, Christian ![]() E-print/Working paper (2018) Detailed reference viewed: 50 (0 UL)![]() Wolff, Christian ![]() in Finance Research Letters (2017), 23 We study cross-border mergers and acquisitions (M&As) in ten countries in the Indochina region during the period 1993–2015. Countries with a French colonial history showed markedly lower levels of cross ... [more ▼] We study cross-border mergers and acquisitions (M&As) in ten countries in the Indochina region during the period 1993–2015. Countries with a French colonial history showed markedly lower levels of cross-border M&As (value as well as volume) than other countries, whether previously colonized or not. This difference persists even after accounting for the known drivers of cross-border M&A activity, including legal origin, trade openness, and labor cost levels. Together, these findings suggest that the colonial past of a country plays an important role in cross-border M&A activity. [less ▲] Detailed reference viewed: 117 (4 UL) |
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