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Hidden Liquidity: Determinants and Impact
Cebiroglu, Gökhan; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock’s hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10009652363
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Recursive Portfolio Selection with Decision Trees
Andriyashin, Anton; Härdle, Wolfgang; Timofeev, Roman - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10005652774
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Cognitive Bubbles
Bosch-Rosa, Ciril; Meissner, Thomas; Bosch-Domènech, Antoni - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
Smith et al. (1988) reported large bubbles and crashes in experimental asset markets, a result that has been replicated by a large literature. Here we test whether the occurrence of bubbles depends on the experimental subjects' cognitive sophistication. In a two-part experiment, we rst run a...
Persistent link: https://www.econbiz.de/10011156848
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Loss Potential and Disclosures Related to Credit Derivatives – A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
Gałkiewicz, Dominika Paula - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10011212948
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Pitfalls and Perils of Financial Innovation: The Use of CDS by Corporate Bond Funds
Adam, Tim; Guettler, Andre - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
We use the financial crisis of 2007–2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use of CDS team-managed funds outperform solo-managed funds. This may be due to...
Persistent link: https://www.econbiz.de/10011199816
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Short-Term Herding of Institutional Traders: New Evidence from the German Stock Market
Kremer, Stephanie; Nautz, Dieter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
This paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show that herding behavior occurs on a daily basis. However, in contrast to...
Persistent link: https://www.econbiz.de/10008865963
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When to Cross the Spread: Curve Following with Singular Control
Naujokat, Felix; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...
Persistent link: https://www.econbiz.de/10009246595
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Optimal liquidation in dark pools
Gökhan Cebiro˜glu; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...
Persistent link: https://www.econbiz.de/10009278167
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Herding in financial markets: Bridging the gap between theory and evidence
Boortz, Christopher; Jurkatis, Simon; Kremer, Stephanie; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are … use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. From an … empirical perspective, we employ high-frequency, investor-specific trading data to test the theory-implied impact of information …
Persistent link: https://www.econbiz.de/10010685894
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Why Do Firms Engage in Selective Hedging?
Adam, Tim R.; Fernando, Chitru S.; Salas, Jesus M. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Surveys of corporate risk management document that selective hedging, where managers incorporate their market views into firms’ hedging programs, is widespread in the U.S. and other countries. Stulz (1996) argues that selective hedging could enhance the value of firms that possess an...
Persistent link: https://www.econbiz.de/10009649737