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Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?

Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - Center for Financial Studies - 2014

We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity … suppliers face a trade-off between benefits and costs of order exposure. If they display trading intentions, they attract …

Persistent link: https://www.econbiz.de/10010986363

Consumption-based asset pricing with rare disaster risk

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

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...

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

The evolution of global standards of accounting

Gebhardt, Günther - Center for Financial Studies - 1999

The globalization of markets and companies has increased the demand for internationally comparable high quality accounting information resulting from a common set of accounting rules. Despite remarkable efforts of international harmonization for more than 25 years, accounting regulation is still...

Persistent link: https://www.econbiz.de/10010986378

Competition between exchanges: Euronext versus Xetra

Kasch-Haroutounian, Maria; Theissen, Erik - Center for Financial Studies - 2006

independent exchanges. A decision for one of the groups entails a decision for the respective trading platform. Against that … background we evaluate the attractiveness of the two dominant continental European trading systems. Though both are anonymous … electronic limit order books, there are important differences in the trading protocols. We use a matched-sample approach to …

Persistent link: https://www.econbiz.de/10010986385

Time and the price impact of a trade: A structural approach

Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - Center for Financial Studies - 2011

conclude that times when markets are most active are times when there is an increased presence of informed trading. Our … Pfleiderer's (1988) rational expectations model, and also with models of dynamic trading like those proposed by Parlour (1998 …

Persistent link: https://www.econbiz.de/10010986395

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...

Persistent link: https://www.econbiz.de/10010986398

Internalisierung und Marktqualität: Was bringt Xetra Best?

Theissen, Erik - Center for Financial Studies - 2002

Deutsche Börse AG plans to introduce a system (Xetra Best) allowing brokers and brokerdealers to internalize the orders of retail customers. Further, Xetra Best supports payment for order flow arrangements. Both internalization and payment for order flow may be detrimental to market quality....

Persistent link: https://www.econbiz.de/10010986401

Die Betreuer am Neuen Markt: eine empirische Analyse

Gerke, Wolfgang; Bosch, Robert - Center for Financial Studies - 1999

Die Betreuer am neuen Markt sollen die Effizienz des Handels durch Bereitstellung zusätzlicher Liquidität erhöhen. Die vorliegende Studie untersucht den Liquiditätsbeitrag der Betreuer in zwei aufeinanderfolgenden Jahren. Die Beteiligung der Betreuer am Umsatz des Marktes hat im beobachteten...

Persistent link: https://www.econbiz.de/10010986407

Practical volatility and correlation modeling for financial market risk management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Center for Financial Studies - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10010986411

The impact of hidden liquidity in limit order books

Frey, Stefan; Sandås, Patrik - Center for Financial Studies - 2008

, greater trading volume, and smaller price impact. Limit and market order submission behavior changes when hidden liquidity is … increased trading volume when hidden liquidity is present are both consistent with liquidity externalities. …

Persistent link: https://www.econbiz.de/10010986420