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When an event is not an event: The curious case of an emerging market

Bhattacharya, Utpal; Daouk, Hazem; Jorgenson, Brian; … - Center for Financial Studies - 1998

returns, volatility of returns, volume of trade or bid-ask spreads in the event window. This suggests one of five …

Persistent link: https://www.econbiz.de/10010958597

Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50

Ende, Bartholomäus; Lutat, Marco - Center for Financial Studies - 2010

The new regulatory environment triggered by MiFID has resulted in a transformed competitive landscape and increased fragmentation among execution venues in Europe. One key component of MiFID is best execution, i.e. investment firms are obliged to achieve the best result for customer orders on a...

Persistent link: https://www.econbiz.de/10010986425

Private benefits and minority shareholder expropriation: Empirical evidence from IPOs of German family-owned firms

Ehrhardt, Olaf; Nowak, Eric - Center for Financial Studies - 2001

Our study examines the existence and the nature of private benefits of control in Germany. We do this by analyzing initial public offerings of founding-family owned firms and tracking their fate up to ten years following the IPO. Our sample includes a uniquely rich data set of 105 IPOs of...

Persistent link: https://www.econbiz.de/10010986426

Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets

Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2006

This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and … domestic returns; (iii) futures returns adjust to news immediately; (iv) announcement timing of macroeconomic news matters; (v …) contemporaneous correlation between futures returns changes at the time of macroeconomic releases. …

Persistent link: https://www.econbiz.de/10010986456

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

Analysis of binary trading patterns in Xetra

Maurer, Kai-Oliver; Schäfer, Carsten - Center for Financial Studies - 2010

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...

Persistent link: https://www.econbiz.de/10010986498

Did fair-value accounting contribute to the financial crisis?

Laux, Christian; Leuz, Christian - Center for Financial Studies - 2009

The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we...

Persistent link: https://www.econbiz.de/10010958489

The crisis of fair value accounting: Making sense of the recent debate

Laux, Christian; Leuz, Christian - Center for Financial Studies - 2009

The recent financial crisis has led to a vigorous debate about the pros and cons of fair-value accounting (FVA). This debate presents a major challenge for FVA going forward and standard setters' push to extend FVA into other areas. In this article, we highlight four important issues as an...

Persistent link: https://www.econbiz.de/10010958757

Stock Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets

Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2006

Persistent link: https://www.econbiz.de/10005176445

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - Center for Financial Studies - 2009

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … stronger influence of idiosyncratic noise. Furthermore, evidence for abnormal highfrequency returns after news in sentiments is …

Persistent link: https://www.econbiz.de/10010986436

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