Kröncke, Tim
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Tim Kröncke
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Publikation Efficient estimation of bid–ask spreads from open, high, low, and close prices(Elsevier, 2024) Ardia, David; Guidotti, Emanuele; Kröncke, TimPopular bid–ask spread estimators are downward biased when trading is infrequent. Moreover, they consider only a subset of open, high, low, and close prices and neglect potentially useful information to improve the spread estimate. By accounting for discretely observed prices, this paper derives asymptotically unbiased estimators of the effective bid–ask spread. Moreover, we combine them optimally to minimize the estimation variance and obtain an efficient estimator. Through theoretical analyses, numerical simulations, and empirical evaluations, we show that our efficient estimator dominates other estimators from transaction prices, yields novel insights for measuring bid–ask spreads, and has broad applicability in empirical finance.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation Recessions and the stock market(Elsevier, 2022) Kröncke, TimAn event study approach is adopted to investigate the drivers of the stock market around recessions. First, stock prices and dividends drop contemporaneously when accounting for different timing conventions. Accordingly, stock prices do not anticipate recessions due to an economic mechanism (cash flow news). Second, the variance of price changes increases at least as much as the variance of dividend growth during recessions. This result suggests that changes in the price of risk (discount rate news) play an essential role. Implications and opportunities for standard asset pricing theories and recently proposed alternatives are also discussed.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation The FOMC risk shift(Elsevier, 2021) Kröncke, Tim; Schmeling, Maik; Schrimpf, AndreasWe identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free rate surprises. We show that (i) risk shifts capture the lion’s share of stock price movements around FOMC announcements; (ii) that they are accompanied by significant investor fund flows, suggesting that investors react heterogeneously to monetary policy news; and (iii) that price pressure amplifies the stock market response to monetary policy news. Our results imply that central bank information effects are overshadowed by short-term dynamics stemming from investor rebalancing activities and are likely to be more difficult to identify than previously thought.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation The anatomy of public and private real estate return premia(Springer, 2018) Kröncke, Tim; Schindler, Felix; Steininger, Bertram I.Market-wide, stock market specific, and real estate market specific risk – what kind of risk and to which extent drives the returns of listed real estate? Based on a structural asset pricing model calibrated to the empirical data in the U.S., we show that at least two thirds of the risk premium of listed real estate are driven by the same factors as direct real estate. Our results shed new light on the risk-characteristics of listed real estate returns and are of high interest for academics, regulators, and portfolio managers alike.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation Asset pricing without garbage(Wiley-Blackwell, 2017) Kröncke, TimThis paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption-based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a simple model of the filtering process that allows one to undo the filtering inherent in NIPA consumption. “Unfiltered NIPA consumption” well explains the equity premium and is priced in the cross-section of stock returns. I discuss the likely properties of true consumption (i.e., without measurement error and filtering) and quantify implications for habit and long-run risk models.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation International diversification benefits with foreign exchange investment styles(Oxford University Press, 08/2014) Kröncke, Tim; Schindler, Felix; Schrimpf, AndreasStyle-based management of the foreign exchange (FX) component of international investments with carry trade, FX momentum, and FX value strategies provides economically large and significant diversification benefits. These speculative benefits go beyond the hedging benefits of FX risk documented in the earlier literature. Our results hold after transaction costs and are confirmed in an extensive out-of-sample experiment mimicking investor decisions in real time. Adding a composite FX style portfolio to diversified allocations of global bonds and stocks leads to a 64% increase in the out-of-sample Sharpe ratio from 0.64 to 1.05, without adverse impact on other portfolio characteristics such as skewness.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation International diversification with securitized real estate and the veiling glare from currency risk(Elsevier, 11/2012) Kröncke, Tim; Schindler, FelixThis paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for systematic foreign exchange movements. From the perspective of a US investor, it is shown that, first, international diversification is superior to a US mixed-asset portfolio, second, adding international real estate to an already internationally diversified stock and bond portfolio results in a further significant improvement of the risk-return trade-off and, third, considering unhedged international assets could lead to biased asset allocation decisions not realizing the true diversification benefits from international assets.01A - Beitrag in wissenschaftlicher ZeitschriftPublikation Potential of venture capital in the European Union(Policy Department Economic and Scientific Policy, European Parliament, 2012) Tykvová, Tereza; Borell, Mariela; Kröncke, Tim05 - Forschungs- oder Arbeitsbericht