Roland Füss
Title
Prof. Dr.
Last Name
Füss
First name
Roland
Email
roland.fuess@unisg.ch
Phone
+41 71 224 70 01
RePec
http://ideas.repec.org/e/pfs2.html
SSRN
http://ssrn.com/author=379221
51 results
Now showing 1 - 10 of 51
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Item type:Publication, Something in the Air : Information Density, News Surprises, and Price JumpsThis paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy "ticker" news before scheduled macroeconomic announcements, is significantly related to the likelihood of price jumps and independent of the magnitude of news surprises or pre-announcement trading activity. We therefore interpret this variable as a measure of additional uncertainty in the market, which is resolved by macroeconomic news as "hard" facts.Type:journal articleJournal:Journal of International Financial Markets, Institutions and MoneyVolume:53Scopus© Citations 8 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in FinanceMultivariate GARCH models have been designed as an extension of their univariate counterparts. Such a view is appealing from a modeling perspective but imposes correlation dynamics that are similar to time-varying volatility. In this paper, we argue that correlations are quite different in nature. We demonstrate that the highly unstable and erratic behavior that is typically observed for the correlation among financial assets is to a large extent a statistical artefact. We provide evidence that spurious correlation dynamics occur in response to financial events that are sufficiently large to cause a structural break in the time-series of correlations. A measure for the autocovariance structure of conditional correlations allows us to formally demonstrate that the volatility and the persistence of daily correlations are not primarily driven by financial news but by the level of the underlying true correlation. Our results indicate that a rolling-window sample correlation is often a better choice for empirical applications in finance.Type:journal articleJournal:Journal of banking and financeVolume:84Scopus© Citations 42 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Changing Risk Perception and the Time-Varying Price of RiskThis paper investigates the impact of changes in risk perception on bond markets triggered by the 2007-08 financial crisis. Using a methodology novel to empirical finance, we quantify the increase in credit spreads caused by changes in risk pricing and changes in risk factors. The lasting increase in credit spreads is almost exclusively due to time-varying prices of risk. We interpret this as a change in risk perception which provides a possible solution to the credit spread puzzle. Default premia spiked during the crisis and did not return to their pre-crisis levels. Liquidity premia increased during and after the crisis.Type:journal articleJournal:Review of FinanceVolume:20Issue:4Scopus© Citations 5 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Determinants of Liquidity (Re-)Allocation and the Decision to Cross-List or Cross-DelistThis paper examines the factors influencing the liquidity allocation between local and foreign dual listings. Based on a comprehensive data set covering the period between 2001 and 2011, empirical results suggest that the fraction of trading in the foreign listing decreases with a higher degree of stock market Integration measured as the stock price correlation with the world market. Furthermore, the analysis of individual cross-listings reveals that both an improvement of a country’s state of economic development and a better regulatory Environment significantly affect the allocation of trading. While an improvement in economic development increases both, local and foreign liquidity, a strengthening of regulatory standards leads to a decrease in trading volumes at foreign exchanges. Finally, the liquidity share in the foreign listing is found to decrease over time, a trend which turns out to be driven by developing rather than by developed markets.Type:journal articleJournal:International Journal of Finance & Economics : IJFEVolume:21Issue:4Scopus© Citations 4 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The role of spatial and temporal structure for residential rent predictionsType:journal articleJournal:International Journal of ForecastingVolume:32Issue:4Scopus© Citations 24 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The Economic Drivers of Differences in House Price Inflation Rates across MSAsThis study examines why monetary policy at the national level can have vastly different effects on appreciation rates of single family houses across metropolitan statistical areas (MSAs). The study employs Case/Shiller monthly house price index data for 19 MSAs from 1992:06 to 2014:12 and FHFA quarterly house price index data for 94 MSAs from 1992:3 to 2014:4. We model the importance of MSA-specific demand and supply characteristics through a set of interaction terms between these factors and monetary policy. The empirical analysis is cast in terms of a state-space approach with a stochastic trend component to absorb the impact of omitted variables. Robustness checks use panel data estimators with interaction terms. A lower federal funds rate is associated with home price run-ups in MSAs that are characterized by higher demand and tighter supply conditions.Type:journal articleJournal:Journal of Housing EconomicsVolume:31Issue:1Scopus© Citations 19 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The Sources of Risk Spillovers Among U.S. REITs : Financial Characteristics and Regional ProximityIn this paper, we estimate the risk spillovers among 74 U.S. REITs using the statedependent sensitivity value-at-risk (SDSVaR) approach. This methodology allows for the quantification of the spillover size as a function of a company's financial condition (tranquil, normal, and volatile REIT prices). We show that the size of risk spillovers is more than twice as large when REITs are in financial distress and find evidence for the impact of geographical proximity: REITs that have their properties located in close distance to the properties of other REITs show risk spillovers that are on average 33% higher than REITs that have similar properties but at a larger distance. We estimate the risk gradient to decrease nonlinearly and to have zero slope for property distances of more than 250 miles. Our empirical findings provide first empirical evidence on the transmission of risk spillovers from underlying real positions to the securitized level of a company. Specifically, our results provide new insights concerning the relevance of geographical diversification for REITs and have important implications for the investment and risk management decisions of real estate investors, mortgage lenders, home suppliers, and policy makers.Type:journal articleJournal:Real Estate EconomicsVolume:43Issue:1Scopus© Citations 37 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Electricity Derivatives Pricing with Forward-Looking InformationIn order to increase overall transparency on key operational information, power transmission system operators publish an increasing amount of fundamental data, including forecasts of electricity demand and available capacity. We employ a fundamental model for electricity prices which lends itself well to integrating such forecasts, while retaining ease of implementation and tractability to allow for analytic derivatives pricing formulae. In an extensive futures pricing study, the pricing performance of our model is shown to further improve based on the inclusion of electricity demand and capacity forecasts, thus confirming the general importance of forward-looking information for electricity derivatives pricing. However, we also find that the usefulness of integrating forecast data into the pricing approach is primarily limited to those periods during which electricity prices are highly sensitive to demand or available capacity, whereas the impact is less visible when fuel prices are the primary underlying driver to prices instead.Type:journal articleJournal:Journal of Economic Dynamics and ControlVolume:58Issue:SeptemberScopus© Citations 28 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk ApproachIn this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system of quantile regressions for four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions. Using daily data, we can trace out the spillover effects over time in a set of impulse response functions and find that they reach their peak after 10 to 15 days.Type:journal articleJournal:Journal of Financial and Quantitative AnalysisVolume:49Issue:3Scopus© Citations 100 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, How Risk-Return-Efficient are Target Risk Strategies?(Institutional Investor, 2014-03);