Hintergrundrisiken und die Bewertung von Finanztiteln

• Applicant: Professor Dr. Günter Franke
• Subject Area: Accounting and Finance
• Term: from 2003 to 2011
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 5470460

• Final Report Year: 2010

Final Report Abstract

No abstract available

Publications

• (2004): Background Risk and the Demand for State Contingent Claims. Economic Theory, vol. 23, 321-335
  Franke, G., Stapleton, R. und Subrahmanyam, M. G.
  
• (2005): Option Prices under Generalized Pricing Kernels. Review of Derivatives Research 8, 97 -123
  During, B., und Lüders, E.
  
• (2006): Default risk sharing between banks and markets. The contribution of collateralized loan obligations. The Risks of Financial Institutions, NBER, ed. by M. Carey and R. Stulz, University of Chicago Press, 603-631
  Franke, G. und Krahnen, J.
  
• (2006): Multiplicative Background Risk, Management Science 52, 146-153
  Franke, G., Schlesinger, H. und Stapleton, R.
  
• (2010): Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model. Advances in Decision Sciences
  Franke, G. und Lüders, E.