size and book-to-market ratio capture the cross-sectional variation of US stock returns better than other combinations of …/French for US stock returns is almost the best one in Germany. The book-to-market-ratio turns out to be the variable with highest … partial correlation with the stock return. In most of the annual regressions the corresponding coefficients have the correct …

returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for … exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible … against time varying means and correlation of return data in parametric models and to obtain confidence bands for …

that stock splits are associated with abnormal returns on both the announcement and the execution day, and additionally …. Consistently, abnormal returns around the announcement day are much lower in Germany than in the U.S. Although a significant … tradeto-trade returns increases the significance of abnormal returns but the difference between alternative return measurement …

alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …