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Strategic trading and trade reporting by corporate insiders

Betzer, André; Gider, Jasmin; Metzger, Daniel; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010

Regulations in the pre-Sarbanes-Oxley era allowed corporate insiders considerable flexibility in strategically timing their trades and SEC filings, for example, by executing several trades and reporting them jointly after the last trade. We document that even these lax reporting requirements...

Persistent link: https://www.econbiz.de/10010957190

Insider trading and corporate governance: The case of Germany

Betzer, André; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2007

We analyze transactions by corporate insiders in Germany. We find that insider trades are associated with significant abnormal returns. Insider trades that occur prior to an earnings announcement have a larger impact on prices. This result provides a rationale for the UK regulation that...

Persistent link: https://www.econbiz.de/10010957234

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

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

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …

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

Sooner or later: delays in trade reporting by corporate insiders

Betzer, André; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2008

managers of these firms are less responsive to the informational requirements of the capital market. We further find that …

Persistent link: https://www.econbiz.de/10008684968

Strategic trading and trade reporting by corporate insiders

Betzer, André; Gider, Jasmin; Metzger, Daniel; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009

implies that share prices are distorted by delayed reporting. Thus, delayed reporting is detrimental to market efficiency …

Persistent link: https://www.econbiz.de/10008684985

Setting a Fox to Keep the Geese: Does the comply-or-explain principle work?

Andres, Christian; Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2008

The German Corporate Governance Code works according to the comply-or-explain principle. One of its recommendations was to publish the remuneration of the members of the executive board on an individual basis. We examine the characteristics of the firms that comply with the code requirement. Our...

Persistent link: https://www.econbiz.de/10008683749

An analysis of private investors' stock market return forecasts

Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2005

We analyze data on stock index forecasts made by private investors. The implied returns calculated from these forecasts exhibit negative skewness and excess kurtosis. Past returns have a positive impact on the implied returns, consistent with investors expecting positive momentum. Females are...

Persistent link: https://www.econbiz.de/10010957172

The impact of investor sentiment on the German stock market

Finter, Philipp; Niessen-Ruenzi, Alexandra; Ruenzi, Stefan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011

This paper develops a broad-based sentiment indicator for Germany and investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known...

Persistent link: https://www.econbiz.de/10010957174

Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability

Jank, Stephan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2012

This article documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the...

Persistent link: https://www.econbiz.de/10010957181

Price discovery in spot and futures markets: A reconsideration

Theissen, Erik - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying...

Persistent link: https://www.econbiz.de/10010957187