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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 past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...

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

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 of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

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

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 additional trade demand. We show, in equilibrium,...

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

Money-back guarantees in individual pension accounts: Evidence from the German pension reform

Maurer, Raimond H.; Schlag, Christian - Center for Financial Studies - 2002

The German Retirement Saving Act instituted a new funded system of supplementary pensions coupled with a general reduction in the level of state pay-as-you-go old-age pensions. In order to qualify for tax relief, the providers of supplementary savings products must offer a guarantee of the...

Persistent link: https://www.econbiz.de/10010986377

Money in motion: Dynamic portfolio choice in retirement

Horneff, Wolfram J.; Maurer, Raimond H.; Mitchell, Olivia S. - Center for Financial Studies - 2007

Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial...

Persistent link: https://www.econbiz.de/10010958527

Lifecycle impacts of the financial and economic crisis on household optimal consumption, portfolio choice, and labor supply

Chai, Jingjing; Maurer, Raimond H.; Mitchell, Olivia S.; … - Center for Financial Studies - 2011

The direct financial impact of the financial crisis has been to deal a heavy blow to investment-based pensions; many … economic shocks, and it also explores how people may react by changing their consumption, saving and investment, work and …-varying investment opportunities and countercyclical risky labor income dynamics. We show that households near retirement will reduce …

Persistent link: https://www.econbiz.de/10010958546

Performance and market share: Evidence from the German mutual fund industry

Krahnen, Jan Pieter; Schmid, Frank A.; Theissen, Erik - Center for Financial Studies - 1997

may react to past fund performance when making their investment decisions. We estimated a model relating past performance …

Persistent link: https://www.econbiz.de/10010958570

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

The impact of hidden liquidity in limit order books

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

We report evidence that the presence of hidden liquidity is associated with greater liquidity in the order books, greater trading volume, and smaller price impact. Limit and market order submission behavior changes when hidden liquidity is present consistent with at least some traders being able...

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

Are IPOs of different VCs different?

Tykvová, Tereza; Walz, Uwe - Center for Financial Studies - 2004

This paper aims to analyze the impact of different types of venture capitalists on the performance of their portfolio firms around and after the IPO. We thereby investigate the hypothesis that different governance structures, objectives and track record of different types of VCs have a...

Persistent link: https://www.econbiz.de/10010986446

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