Since 2008, the German open-ended real estate fund (GOEREF) industry has experienced a critical phase of suspensions of redemption of fund shares, announced fund terminations and, eventually, introduction of a new regulation. With assets under management of over EUR 80 billion, GOEREFs are the...

We analyze securities trading by banks during the crisis and the associated spillovers to the supply of credit. We use a proprietary dataset that has the investments of banks at the security level for 2005-2012 in conjunction with the credit register from Germany. We find that - during the...

This paper provides evidence for regulatory arbitrage within the class of asset-backed securities (ABS) based on individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk-sensitivity of rating-contingent capital requirements...

Using data from the Frankfurt Stock Exchange we analyze price formation and liquidity in a non-anonymous environment with similarities to the floor of the NYSE. Our main hypothesis is that the non-anonymity allows the specialist to assess the probability that a trader trades on the basis of...

The recent introduction of the realized variance measure defined as the sum of the squared intra-daily returns stamped on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new directions. First, the realized variance is a much better...

In this paper we propose and estimate an econometric model for the distribution of trading activity across options written on the DAX index. The model is based on the observation that in this market options with strike prices ending on 000, 200, 400, 600 and 800 (the class of 200-strike options)...

This paper investigates the relationship between wealth, ageing and saving behaviour of private households by using pooled cross sections of German consumption survey data. Different components of wealth are distinguished, as their impact on the savings rate is not homogeneous. On average, the...