In this paper we use the Exchange Liquidity Measure (XLM) to investigate into the time dimension of liquidity. The XLM(V) measures the cost of a roundtrip trade of size V. Besides a descriptive analysis we present the results of intraday event studies. Our objective is to measure how a liquidity...

The Capital Asset Pricing Model (CAPM) predicts that the expected return on a stock depends on its systematic risk as measured by its beta. However, recent empirical evidence suggests that the relation between beta and realized returns is weak or even non-existent. The traditional two-step...

Recent empirical research suggests that measures of investor sentiment have predictive power for future stock returns over the intermediate and long term. Given the widespread publication of sentiment indicators, smart investors should trade on the information conveyed by such indicators and...

This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...

Advances in technology and several regulatory initiatives have led to the emergence of a competitive but fragmented equity trading landscape in the US and Europe. While these changes have brought about several benefits like reduced transaction costs, regulators and market participants have also...

Some of the most widely expressed myths about the German financial system are concerned with the close ties and intensive interaction between banks and firms, often described as Hausbank relationships. Links between banks and firms include direct shareholdings, board representation, and proxy...

Some of the most widely expressed myths about the German financial system are concerned with the close ties and intensive interaction between banks and firms, often described as Hausbank relationships. Links between banks and firms include direct shareholdings, board representation, and proxy...