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Trapp, Monika; Wewel, Claudio - Institut für Finanzmarktforschung, Wirtschafts- und … - 2013

In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are smaller than within each region. We then show that European...

Persistent link: https://www.econbiz.de/10010957186

Transatlantic systemic risk

Trapp, Monika; Wewel, Claudio - Institut für Finanzmarktforschung, Wirtschafts- und … - 2012

In this paper we study systemic risk for North America and Europe. We show that banks' exposures to common risk factors are crucial for systemic risk. We come to this conclusion by first showing that relations between North American and European banks are smaller than within each region. We then...

Persistent link: https://www.econbiz.de/10010957218

Does anonymity matter in electronic limit order markets?

Foucault, Thierry; Moinas, Sophie; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2005

this switch to anonymity on market liquidity and the informational content of the limit order book. Our empirical analysis … information on future volatility is public, the informational content of the bid-ask spread and market liquidity are identical in … anonymity alters the informational content of the bid-ask spread and market liquidity. For our sample stocks, we find that the …

Persistent link: https://www.econbiz.de/10010957222

Trading the bond-CDS basis: The role of credit risk and liquidity

Trapp, Monika - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009

basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …

Persistent link: https://www.econbiz.de/10008684965

Transaction costs and value premium

Agarwal, Vikas; Wang, Lingling - Institut für Finanzmarktforschung, Wirtschafts- und … - 2007

and liquidity are robust to different ways of categorizing value and growth stocks used in the existing literature …

Persistent link: https://www.econbiz.de/10010984855

Projected earnings accuracy and the profitability of stock recommendations

Hess, Dieter E.; Kreutzmann, Daniel; Pucker, Oliver - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010

We document that investors can actually profit from the contemporaneous link between earnings accuracy and recommendation profitability (Loh and Mian (2006)). Differentiating between 'able' and 'lucky' analysts we suggest an implementable, i.e. look-ahead bias free, trading strategy that yields...

Persistent link: https://www.econbiz.de/10008727843

Trading efficiency of fund families: Impact on fund performance and investment behavior

Cici, Gjergji; Dahm, Laura K.; Kempf, Alexander - Institut für Finanzmarktforschung, Wirtschafts- und … - 2014

Mutual funds are part of larger organizations, which make decisions with consequences for all their member funds. This study examines how the efficiency of trading desks operated by fund families affects the performance and trading of affiliated funds. We introduce a novel approach to measure...

Persistent link: https://www.econbiz.de/10011076245

Do financial advisors provide tangible benefits for investors? Evidence from tax-motivated mutual fund flows

Cici, Gjergji; Kempf, Alexander; Sorhage, Christoph - Institut für Finanzmarktforschung, Wirtschafts- und … - 2014

Rationality suggests that advice-seeking investors receive benefits from financial advice that are comparable in value to the fees paid for such advice. However, empirical evidence documenting these benefits for U.S. investors has so far been lacking. We document that U.S. mutual fund investors...

Persistent link: https://www.econbiz.de/10011093853

On the usability of synthetic measures of mutual fund net-flows

Ber, Silke; Ruenzi, Stefan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2006

Due to a lack of data availability, numerous empirical studies on mutual fund flows (e.g. Sirri/Tufano (1998)) analyze synthetically derived flow measures. We show how good these measures can explain actual flows. We compare the measures suggested in the literature with the actual net-flows of...

Persistent link: https://www.econbiz.de/10010957223

Projected earnings accuracy and the profitability of stock recommendations

Hess, Dieter; Kreutzmann, Daniel; Pucker, Oliver - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011

Analysts providing more accurate earnings forecasts also issue more profitable recommendations. We demonstrate how investors can profit from this contemporaneous link by differentiating between able and lucky analysts. In line with previous studies, we find that past track records alone are not...

Persistent link: https://www.econbiz.de/10010957255