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News media sentiment and investor behavior

Kräussl, Roman; Mirgorodskaya, Elizaveta - Center for Financial Studies - 2014

This paper investigates the impact of news media sentiment on financial market returns and volatility in the long-term. We hypothesize that the way the media formulate and present news to the public produces different perceptions and, thus, incurs different investor behavior. To analyze such...

Persistent link: https://www.econbiz.de/10011076250

Has there always been underpricing and long-run underperformance? IPOs in Germany before World War I

Schlag, Christian; Wodrich, Anja - Center for Financial Studies - 2000

This paper provides empirical evidence on initial public offerings (IPOs) by investigating the pricing and long-run performance of IPOs using a unique data set collected on the German capital market before World War I. Our findings indicate that underpricing of IPOs has existed, but has...

Persistent link: https://www.econbiz.de/10010958520

Insiders-outsiders, transparency and the value of the ticker

Cespa, Giovanni; Foucault, Thierry - Center for Financial Studies - 2008

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on …

Persistent link: https://www.econbiz.de/10010958522

Initial public offerings and venture capital in Germany

Franzke, Stefanie A.; Grohs, Stefanie; Laux, Christian - Center for Financial Studies - 2003

We present a survey on the role of initial public offerings (IPOs) and venture capital (VC) in Germany after the Second World War. Between 1945 and 1983 IPOs hardly played a role at all and only a minor role thereafter. In addition, companies that chose an IPO were much older and larger than the...

Persistent link: https://www.econbiz.de/10010958532

Does algorithmic trading improve liquidity?

Hendershott, Terrence; Jones, Charles M.; Menkveld, … - Center for Financial Studies - 2008

two trends related? For a recent five-year panel of New York Stock Exchange (NYSE) stocks, we use a normalized measure of … stocks were phased in gradually during early 2003, the manual quote was replaced by a new automated quote whenever there was … and results in more message traffic. For large-cap stocks in particular, quoted and effective spreads narrow under …

Persistent link: https://www.econbiz.de/10010958534

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2002

employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which …

Persistent link: https://www.econbiz.de/10010958539

Does inter-market competition lead to less regulation?

Draus, Sarah - Center for Financial Studies - 2010

This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...

Persistent link: https://www.econbiz.de/10010958568

Dynamic limit order market with diversity in trading horizons

van Achter, Mark - Center for Financial Studies - 2008

This paper considers a trading game in which sequentially arriving liquidity traders either opt for a market order or for a limit order. One class of traders is considered to have an extended trading horizon, implying their impatience is linked to their trading orientation. More specifically,...

Persistent link: https://www.econbiz.de/10010958569

IPOs cycle and investment in high-tech industries

Bouis, Romain - Center for Financial Studies - 2003

This paper analyses the effects of the Initial Public Offering (IPO) market on real investment decisions in emerging industries. We first propose a model of IPO timing based on divergence of opinion among investors and short-sale constraints. Using a real option approach, we show that firms are...

Persistent link: https://www.econbiz.de/10010958594

Quantifying the efficiency of the Xetra LOB market: Detailed recipe

Sperl, Miriam - Center for Financial Studies - 2008

Motivated by the prominent role of electronic limit order book (LOB) markets in today’s stock market environment, this paper provides the basis for understanding, reconstructing and adopting Hollifield, Miller, Sandas, and Slive’s (2006) (henceforth HMSS) methodology for estimating the gains...

Persistent link: https://www.econbiz.de/10010958608