Similar Search Results

Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010

supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …

Persistent link: https://www.econbiz.de/10010958491

Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - Center for Financial Studies - 2008

that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …

Persistent link: https://www.econbiz.de/10010958533

To disclose or not to disclose: Transparency and liquidity in the structured product market

Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - Center for Financial Studies - 2014

We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …

Persistent link: https://www.econbiz.de/10010958715

Consumption-based asset pricing with rare disaster risk

Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014

-based asset pricing model (CBM) using a combination of the simulated method of moments and bootstrapping. We consider several … financial markets implied by the consumption-based asset pricing paradigm. …

Persistent link: https://www.econbiz.de/10010986365

Blockholder dispersion and firm value

Konijn, Sander J. J.; Kräussl, Roman; Lucas, André - Center for Financial Studies - 2010

This paper analyzes the impact of blockownership dispersion on firm value. Blockholdings by multiple blockholders is a widespread phenomenon in the U.S. market. It is not clear, however, whether dispersion among blockholder is preferable to having a more concentrated ownership structure. To test...

Persistent link: https://www.econbiz.de/10010986382

Market response to investor sentiment

Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - Center for Financial Studies - 2011

This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...

Persistent link: https://www.econbiz.de/10010986383

Risk and expected returns of private equity investments: Evidence based on market prices

Jegadeesh, Narasimhan; Kräussl, Roman; Pollet, Joshua - Center for Financial Studies - 2010

We estimate the risk and expected returns of private equity investments based on the market prices of exchange traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of about one to...

Persistent link: https://www.econbiz.de/10010986405

Cash flow and discount rate risk in up and down markets: What is actually priced?

Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - Center for Financial Studies - 2010

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing …

Persistent link: https://www.econbiz.de/10010986418

Revisiting the home bias puzzle: Downside equity risk

Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006

Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...

Persistent link: https://www.econbiz.de/10010986470

Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns

Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2007

This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997...

Persistent link: https://www.econbiz.de/10010986493