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How to Measure the Liquidity of Cryptocurrencies?
Brauneis, Alexander - 2020
We show that low-frequency measures of cryptocurrency liquidity perform adequately in describing high-frequency actual … liquidity. We calculate benchmark measures from high-frequency order book data and document the performance of low … frequency, exchange, benchmark measure, and cryptocurrency. It also performs well during high and low liquidity and volatility …
Persistent link: https://www.econbiz.de/10012846076
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Beta and Returns Revisited - Evidence from the German Stock Market
Elsas, Ralf; El-Shaer, Mahmoud; Theissen, Erik - 1999
Traditional tests of the CAPM following the Fama / MacBeth (1973) procedure are tests of thejoint hypotheses that there is a relationship between beta and realized return and that the marketrisk premium is positive. The conditional test procedure developed by Pettengill / Sundaram/ Mathur (1995)...
Persistent link: https://www.econbiz.de/10005840347
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The cross-Section of German stock returns: New data and new evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
-to-market, and momentum. Second, we use this data set to perform asset pricing tests for the German equity market. Specifically, we … demonstrate that the results of asset pricing tests are sensitive to the choice of test assets. …
Persistent link: https://www.econbiz.de/10008684975
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
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...
Persistent link: https://www.econbiz.de/10009647572
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The Cross-Section of German Stock Returns: New Data and New Evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - In: Schmalenbach Business Review (sbr) 64 (2012) 1, pp. 20-43
-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard cAPM, the Fama … that none of the models can consistently explain the cross-section of returns, and that the results of asset-pricing tests …
Persistent link: https://www.econbiz.de/10010548163
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Estimation of trading costs: Trade indicator models revisited
Theissen, Erik; Zehnder, Lars Simon - Institut für Finanzmarktforschung, Wirtschafts- und … - 2014
It is a stylized fact that trade indicator models (e.g. Madhavan, Richardson, and Roomans (1997) and Huang and Stoll (1997)) underestimate the bid-ask spread. We argue that this negative bias is due to an endogeneity problem which is caused by a negative correlation between the arrival of public...
Persistent link: https://www.econbiz.de/10010957203
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GDP mimicking portfolios and the cross-section of stock returns
Kroencke, Tim A.; Schindler, Felix; Sebastian, Steffen; … - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures) display a pronounced lead-lag structure. We investigate the implications of this lead-lag structure for the cross-section of asset returns. We find that the leading GDP...
Persistent link: https://www.econbiz.de/10010957652
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - Center for Financial Studies - 2011
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...
Persistent link: https://www.econbiz.de/10010986383
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Spoilt for choice: Order routing decisions in fragmented equity markets
Gomber, Peter; Sagade, Satchit; Theissen, Erik; Weber, … - 2016
design features, such as minimum tick size, immediacy and anonymity; market conditions, such as liquidity and volatility; and …
Persistent link: https://www.econbiz.de/10011539572
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - 2011
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...
Persistent link: https://www.econbiz.de/10010304437