Tilburg University

About: Tilburg University is a education organization based out in Tilburg, Noord-Brabant, Netherlands. It is known for research contribution in the topics: Population & Context (language use). The organization has 5550 authors who have published 22330 publications receiving 791335 citations.

Individual Stock-Option Prices and Credit Spreads

Abstract: This paper introduces measures of volatility and skewness that are based on individual stock options to explain credit spreads on corporate bonds. Implied volatilities of individual options are shown to contain important information for credit spreads and improve on both implied volatilities of index options and on historical volatilities when explaining the cross-sectional and time-series variation in a panel of corporate bond spreads. Both the level of individual implied volatilities and the implied-volatility skew matter for credit spreads. The empirical estimates are in line with the coefficients predicted by a theoretical structural firm value model. Importantly, detailed principal component analysis shows that our newly constructed determinants of credit spreads reverse the finding in the literature that structural models leave a large part of the variation in credit spreads unexplained. Furthermore, our results indicate that option-market liquidity has a spillover effect on the short-maturity corporate bond market, and we show that individual option prices contain information on the likelihood of rating migrations.

A law of large numbers for large economies

Abstract: LetX(i),ie[0; 1] be a collection of identically distributed and pairwise uncorrelated random variables with common finite meanμ and variance σ2. This paper shows the law of large numbers, i.e. the fact that ∝ 0 1 X(i)di=μ. It does so by interpreting the integral as a Pettis-integral. Studying Riemann sums, the paper first provides a simple proof involving no more than the calculation of variances, and demonstrates, that the measurability problem pointed out by Judd (1985) is avoided by requiring convergence in mean square rather than convergence almost everywhere. We raise the issue of when a random continuum economy is a good abstraction for a large finite economy and give an example in which it is not.

Functioning at school age of moderately preterm children born at 32 to 36 weeks' gestational age.

Abstract: OBJECTIVE: To study outcome of low-risk moderately preterm birth between 32 and 36/7 weeks9 gestation. METHODS: 377 Moderately preterm children (M: 34.7, SD: 1.2 complete weeks), without need for neonatal intensive care and without dysmaturity or congenital malformations, were compared with 182 term children and assessed at eight years (M: 8.9, SD: 0.54). School situation, IQ, sustained attention, behavior problems, and attention-deficit/hyperactivity characteristics were studied. RESULTS: Special education was attended by 7.7% of the moderately preterm children, more than twice the rate of 2.8% in the general Dutch population of this age. Additional exploration for two preterm subgroups of 32 to 33 versus 34 to 36 weeks9 gestation showed a need for special education in 9.7% versus 7.3% and a significant difference in grade retention for 30% versus 17%, respectively. Of the children attending mainstream primary schools, grade retention was found in 19% of the preterm versus 8% of the comparison children. Adjusting for maternal education, a group difference of 3 points was found in IQ. The preterm children needed more time for the sustained attention task. The preterm children had more behavior problems (specifically internalizing problems with 27% scoring above the borderline cut-off), as well as more attention-deficit/hyperactivity disorder characteristics (specifically attention deficits). CONCLUSIONS: Cognitive and emotional regulation difficulties affect functioning of moderately preterm children, as school problems, a slightly lower IQ, attention and behavioral problems are found when they are compared with term-born children. Identification and monitoring of precursors of these problems at younger age is needed in view of prevention purposes.

Trading as Entertainment

Abstract: Among 1,000 German brokerage clients for whom both survey responses and actual trading records are available, investors who report enjoying investing or gambling turn over their portfolio at twice the rate of their peers. Including entertainment attributes as additional explanatory variables in cross-sectional regressions of portfolio turnover on objective investor attributes more than doubles the fraction of the total variation of portfolio turnover that can be explained. The results are robust to controlling for gender and proxies for overconfidence constructed from survey responses. Nonpecuniary benefits of trading thus appear to offer a straightforward explanation of the “excessive trading puzzle.”