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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - In: Journal of banking & finance 35 (2011) 10, pp. 2733-2746
Persistent link: https://www.econbiz.de/10009273874
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Do central banks react to the stock market? : the case of the Bundesbank
Bohl, Martin T.; Siklos, Pierre L.; Werner, Thomas - In: Journal of banking & finance 31 (2007) 3, pp. 719-733
Persistent link: https://www.econbiz.de/10003429766
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Profitability of momentum strategies in internatinal markets : the role of business cycle variables and behavioural biases
Antoniou, Antonios; Lam, Herbert Y. T.; Paudyal, Krishna - In: Journal of banking & finance 31 (2007) 3, pp. 955-972
Persistent link: https://www.econbiz.de/10003429883
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The perils of performance measurement in the German mutual-fund industry
Böhme, Philip; Pohl, Walter; Schmedders, Karl - 2013
We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany … results of both approaches coincide perfectly and show that all but one of the funds domiciled in Germany report intraday NAVs …
Persistent link: https://www.econbiz.de/10009751161
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Liquidity and conditional market returns : evidence from German exchange traded funds
Czauderna, Katrin; Riedel, Christoph; Wagner, Niklas F. - In: Economic modelling 51 (2015), pp. 454-459
Persistent link: https://www.econbiz.de/10011476124
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International evidence on ethical mutual fund performance and investment style
Bauer, Rob; Koedijk, Kees; Otten, Rogér - In: Journal of banking & finance 29 (2005) 7, pp. 1751-1767
Persistent link: https://www.econbiz.de/10002817461
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Global diversification and bidder gains : a comparison between cross-border and domestic acquisitions
Moeller, Sara B.; Schlingemann, Frederik P. - In: Journal of banking & finance 29 (2005) 3, pp. 533-564
Persistent link: https://www.econbiz.de/10002516814
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A linear model for tracking error minimization
Rudolf, Markus - In: Journal of banking & finance 23 (1999) 1, pp. 85-103
Persistent link: https://www.econbiz.de/10001253534
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The FOMC announcement returns on long-term US and German bond futures
Indriawan, Ivan; Jiao, Feng; Tse, Yiuman - In: Journal of banking & finance 123 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012662330