Working Papers

From Copenhagen Business School, Department of Finance
Department of Finance, Copenhagen Business School, Solbjerg Plads 3, A5, DK-2000 Frederiksberg, Denmark.
Contact information at EDIRC.
Bibliographic data for series maintained by Lars Nondal ().

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2008-1: The housing price downturn and its effects ? a discussion

Jens Lunde

2007-230: Capital Structure Arbitrage: Model Choice and Volatility Calibration

Claus Bajlum and Peter Tind Larsen

2007-229: Accounting Transparency and the Term Structure of Credit Default Swap Spreads

Claus Bajlum and Peter Tind Larsen

2007-25: Disclosed Values of Option-Based Compensation - Incompetence, Deliberate Underreporting or the Use of Expected Time to Maturity?

Ken L. Bechmann and Toke L. Hjortshøj

2007-1: Distributions of owner-occupiers' housing wealth, debt and interest expenditureratios as financial soundness indicators

Jens Lunde

2006-60: Foreign Ownership and long-term Survival

Dorte Kronborg and Steen Thomsen

2006-10: On Volatility induced Stationarity for Stochastic Differential Equations

J.M.p J.M.PAlbin, Bjarne Astrup Jensen, Anders Muszta and Richter Martin

2006-9: Lognormal Approximation of Complex Pathdependent Pension Scheme Payoffs

Peter Jørgensen

2005-10: Deposit Insurance Coverage, Credibility of Non-insurance, and Banking Crises

Apanard Angkinand Prabha and Clas Wihlborg

2005-6: Rating mutual funds

Ken L. Bechmann and Jesper Rangvid

2005-5: Term Structure Models with Parallel and Proportional Shifts

Frederik Armerin, Tomas Bjork and Bjarne Astrup Jensen

2005-4: Taxable Cash Dividends

Ken L. Bechman and Johannes Raaballe

2005-3: The owner-occupiers’ capital structure during a house price boom

Jens Lunde

2005-2: The Choice of Monetary Regime

Finn Østrup

2005-1: Fiscal Policy and Welfare under Different Exchange Rate Regimes

Finn Østrup

2004-11: On a class of adjustable rate mortgage loans subject to a strict balance principle

Bjarne Astrup Jensen

2004-10: Energy Options in an HJM Framework

Thomas Lyse Hansen and Bjarne Astrup Jensen

2004-9: On the Pricing of Step-Up Bonds in the European Telecom Sector

David Lando and Allan Mortensen

2004-8: Dynamic asset allocation and latent variables

Carsten Sørensen and Anders Bjerre Trolle

2004-7: Latent Utility Shocks in a Structural Empirical Asset Pricing Model

Bent Jesper Christensen and Peter Raahauge

2004-6: Modelling Callable Annuity Bonds with Interest-Only Optionality

Anders Holst and Morten Nalholm

2004-5: Higher-Order Finite Element Solutions of Option Prices

Peter Raahauge

2004-4: Upper Bounds on Numerical Approximation Errors

Peter Raahauge

2004-3: Lack of balance in after-tax returns - lack of tenure neutrality. The Danish case

Jens Lunde

2004-2: Bestyrelsessammensætning og finansiel performance i danske børsnoterede virksomheder

Casper Rose

2004-1: The Differences Between Stock Splits and Stock Dividends

Ken L. Bechmann and Johannes Raaballe

2003-2: The Value and Incentives of Option-based Compensation in Danish Listed Companies

Ken L. Bechmann and Peter Jørgensen

2003-1: Reimbursement of VAT on written-off Receivables

Bjarne Florentsen, Michael Møller and Niels Christian Nielsen

2002-9: Pensionsafkastbeskatning og optimal porteføljesammensætning

Jonas Aziz Bhatti and Michael Møller

2002-8: Output and Expected Returns - a multicountry study

Jesper Rangvid

2002-7: Optionsaflønning i danske børsnoterede selskaber

Ken L. Bechmann and Peter Jørgensen

2002-5: Impact of Takeover Defenses on Managerial Incentives

Caspar Rose

2002-4: Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans

Martin Richter and Carsten Sørensen

2002-3: Foundation ownership and financial performance. Do companies need owners?

Steen Thomsen and Caspar Rose

2002-2: Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index

Ken L. Bechmann

2002-1: On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model

Bjarne Astrup Jensen

2001-9: Empirical Rationality in the Stock Market

Peter Raahauge

2001-8: Legal pre-emption rights as call-options, redistribution and efficiency loss

Michael Møller and Caspar Rose

2001-7: Evidence on the Limits of Arbitrage: Short Sales, Price Pressure, and the Stock Price Response to Convertible Bond Calls

Ken L. Bechmann

2001-6: Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?

Claus Munk, Carsten Sørensen and Tina Nygaard Vinther

2001-5: The Impact of Bankruptcy Rules on Risky Project Choice and Skill Formation under Credit Rationing

Shubhashis Gangopadhyay and Clas Wihlborg

2001-4: Corporate Financial Performance and the Use of Takeover Defenses

Caspar Rose

2001-3: Impact of Investor Meetings/Presentations on Share Prices, Insider Trading and securities Regulation

Caspar Rose

2001-2: Mean variance efficient portfolios by linear programming: A review of some portfolio selection criteria of Elton, Gruber and Padberg

Bjarne Astrup Jensen

2001-1: Den ny pensionsafkastbeskatningslov

Michael Møller, Claus Parum and Thomas Sørensen

2000-11: Ny lov om jordforurening i økonomisk belysning

Henrik Lando

2000-10: On Specific Performance in Civil Law and Enforcement Costs

Henrik Lando and Caspar Rose

2000-9: Optimal Consumption and Investment Strategies with Stochastic Interest Rates

Carsten Sørensen and Claus Munk

2000-8: Convergence in the ERM and declining numbers of common stochastic trends

Jesper Rangvid and Carsten Sørensen

2000-7: The Optimal Standard of Proof in Criminal Law When Both Fairness and Deterrence Matter

Henrik Lando

2000-6: Changes in The Bid-Ask Components Around Earnings Announcements: Evidence from the Copenhagen Stock Exchange

Torben Voetmann

2000-5: A Regulation of Bids for Dual Class Shares. Implication: Two Shares { One Price

Ken L. Bechmann and Johannes Raaballe

2000-4: Post-Acquisition Performance in the Short and Long Run Evidence from the Copenhagen Stock Exchange 1993-1997

Jan Jakobsen and Torben Voetmann

2000-3: Volatility-Adjusted Performance An Alternative Approach to Interpret Long-Run Returns

Jan Jakobsen and Torben Voetmann

2000-2: Decomposing and testing Long-run Returns with an application to initial public offerings in Denmark

Jan Jakobsen and Ole Sørensen

2000-1: Paying for minimum interest rate guarantees: Who should compensate who?

Bjarne Astrup Jensen and Carsten Sørensen

1999-14: Seasonality in Agricultural Commodity Futures

Carsten Sørensen

1999-13: On Makeham's formula and xed income mathematics

Bjarne Astrup Jensen

1999-10: CEO Turnovers and Corporate Governance: Evidence from the Copenhagen Stock Exchange

Robert Neumann and Torben Voetmann

1999-9: Does Ownership Matter? Evidence from Changes in Institutional and Strategic Investors' Equity Holdings

Robert Neumann and Torben Voetmann

1999-8: MOMSAFLØFTNING OG KREDITFORVRIDNING

Bjarne Florentsen, Michael Møller and Niels Chr. Nielsen