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Translation of "Aktienindex" in English

Normal Return Models.

Ein Aktienindex gilt als breiter Marktindex, wenn er gemäß Artikel der Verordnung (EU) Nr. / angemessen breit gestreut ist. A stock index shall be deemed to be a broad market index where it is appropriately diversified in accordance with Article of Regulation (EU) No /'. Breiter Planet Properties is a socially conscious energy consulting firm focused on developing energy solutions for property owners and energy rate payers. We were founded with the intention of accelerating the transition to sustainable energy.

Aktienindex

Liegt in Bezug auf die wichtigen Aktienindizes keine Entscheidung der zuständigen Behörde oder der entsprechenden Behörde vor, betrachten die Kreditinstitute einen Aktienindex als wichtig, der sich aus den führenden Unternehmen im jeweiligen Land zusammensetzt;. In the absence of any decision from the competent authority or public authority in relation to major stock indexes, credit institutions shall regard as such a stock index composed of leading companies in the relevant jurisdiction;.

Shares major stock index. In addition, the Commission's proposal puts forward special risk-spreading rules for funds whose aim is to replicate a particular stock index , a so-called index fund. Der Wert eines Aktienindex schwankt im Tagesverlauf. The value of an equity index fluctuates during the day. Der Aktienindex verlor gestern Punkte. The stock price index was off points yesterday. Der Aktienindex stieg auf ein Allzeithoch. Das Institut ist nicht in der Lage, in angemessener Weise die Beträge seiner eigenen Instrumente des harten Kernkapitals zu bestimmen, die vom Intermediär gehalten werden.

Ergänzungskapital zu verstehen sind. Reihenfolge und Höchstbetrag der Abzüge für indirekte Positionen in Eigenmittelinstrumenten von Unternehmen der Finanzbranche. Gesamtbetrag der vom Institut für den Intermediär bereitgestellten Finanzierungen;. Betrag der vom Intermediär am Unternehmen der Finanzbranche gehaltenen Eigenmittelinstrumente. Er dient der Festsetzung von Interbanken-Zinssätzen in einer oder mehreren Währungen. Er dient gegebenenfalls als Referenzzinssatz für vom Institut in der betreffenden Währung begebene zinsvariable Schuldtitel.

Jeder der im Rahmen des Index festgesetzten Zinssätze beruht auf von einem Panel von im betreffenden Interbankenmarkt tätigen Instituten vorgelegten Zinsnotierungen. Für die Zwecke der Berechnung des Beitrags werden alle gruppeninternen Geschäfte zwischen Unternehmen, die dem aufsichtlichen Konsolidierungskreis des Instituts zuzurechnen sind, ausgeklammert. Der auf Ebene des Mutterunternehmens in die Eigenmittel aufgenommene Betrag des harten Kernkapitals darf nicht den Betrag überschreiten, der aufgenommen worden wäre, wenn dem Tochterunternehmen keine Ausnahme gewährt worden wäre.

Eigenmittel zu verstehen sind. Diese Verordnung ist in allen ihren Teilen verbindlich und gilt unmittelbar in jedem Mitgliedstaat. L vom L 74 vom This site uses cookies to improve your browsing experience. Would you like to keep them?

Skip to main content. This document is an excerpt from the EUR-Lex website. However, the authors cast doubt whether this approach yields well-specified test statistics in non-random samples. To apply the matched firms portfolio approach you need to specify a reference firm portfolio to each event.

The Event List contains additional fields for each event that allow you to match a firm portfolio. Event Study Metric treats the asset pricing data of matched firms portfolios equal to the data of event firms. Therefore, you can simply add the asset pricing data of your matched firms to the common Dataset. Event Study Metrics will calculate abnormal returns by subtracting the contemporaneous return of the individually matched firm portfolio:. Since some firms might have multiple bonds outstanding, they propose to conduct a bond event study on firm-level portfolios.

Event Study Metrics will then automatically create firm-level portfolios. Each portfolio consists of all assets that share the same event date and firm identifier based on the entries of the Event List. Event Study Metrics allows you to utilize rating equivalent reference portfolios or portfolios matched by maturity, etc. For a detailed discussion of feasible reference portfolios you may refer to Bessembinder et al.

Some test statistics require an estimation window. Event Study Metrics allows you to conduct the aforementioned matching approach with an estimation window. The estimation window has no influence on the normal return measure itself, but is solely used to calculate test statistics.

The Calendar-Time Portfolio method allows you to assess if event firms persistently earn abnormal returns. The general idea is to form a portfolio of event firms and to test if this portfolio exhibits any abnormal return not captured by common risk factors. Suppose you want to assess abnormal returns over a three-year period. For each month in calendar-time the portfolio is constructed by all firms that had an event in the three years prior to the calendar month.

By default, Event Study Metrics forms equal weighted portfolio. You may select the Use Weights option to form value weighted portfolios. You can employ the Fama-French three-factor model or a factor model that additionally contains the Carhart momentum factor to analyze returns of calendar-time portfolios.

Lyon, Barber and Tsai suggest the error term in calendar-time portfolio regressions may be heteroscedastic, since the number of securities varies over time. They propose to employ a weighted least squares regression, where the weighting factor is based on the number of assets in the portfolio.

Additionally, Event Study Metrics reports t-statistics based on White robust standard errors. Under the null hypothesis, the cumulative average abnormal return is equal to zero. The variance estimator of this statistic is based on the cross-section of abnormal returns.

Brown and Warner show that the cross-sectional t-test is robust to an event-induced variance increase. However, Boehmer, Musumeci and Poulsen provide evidence that their standardized cross-sectional test requiring an estimation window exhibits a comparable size, but is more powerful.

The standardized residual test, developed by Patell , tests the null hypothesis that the cumulative average abnormal return is equal to zero. Under the assumption that abnormal returns are uncorrelated and variance is constant over time, each abnormal return is standardized by its estimated standard deviation:. The standard deviation is estimated from the time-series of abnormal returns of the estimation window:.

To account for the fact that the event-window abnormal returns are an out-of-sample prediction, the standard error is adjusted by the forecast error:. The test statistic for the null hypothesis, that the cumulative average abnormal return is equal to zero, is:. The standardized residual test is robust to heteroscedastic event-window abnormal returns. By standardizing abnormal returns before forming portfolios, the standardized residuals test assigns a lower weight to abnormal returns of securities with large variances than a simple time-series t-test.

Boehmer, Musumeci and Poulsen show that under the absence of an event-induced variance increase, the standardized residuals test is well specified and has appropriate power. If the variance of stock returns increases around the event date, the standardized residuals test rejects the null hypothesis too often.

Boehmer, Musumeci and Poulsen combine the standardized residuals test with an empirical variance estimate based on the cross section of event-window abnormal returns to construct a test that is robust to event-induced variance increases of stock returns. Initially, abnormal returns are standardized as described in the previous section. The standardized cross-sectional test statistic for the null hypothesis that the cumulative average abnormal return is equal to zero is:.

Event Study Metrics allows you to optionally use an adjusted version of the standardized cross-sectional test following Kolari and Pynnönen , which accounts for cross-correlation. The adjusted standardized cross-sectional test statistic for the null hypothesis that the cumulative average abnormal return is equal to zero is:.

The non-parametric rank test proposed by Corrado tests the null hypothesis that the average abnormal return is equal to zero. Initially, abnormal returns are transformed into ranks. This is done asset by asset for the joint time period consisting of the estimation window and the event window:.

Tied ranks are treated by the method of midranks see Corrado footnote 5. Corrado and Zivney propose a uniform transformation of ranks to adjust for missing values:.

Abnormal Returns

Ergänzungskapital zu verstehen sind.

Closed On:

The second measure, the buy-and-hold abnormal return BHAR , is defined as the difference between the realized buy-and-hold return and the normal buy-and-hold return:

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