Showing 1 - 10 of 129
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://www.econbiz.de/10012026516
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...
Persistent link: https://www.econbiz.de/10012020325
Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...
Persistent link: https://www.econbiz.de/10010298368
Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...
Persistent link: https://www.econbiz.de/10010308683
We analyze how the introduction of a mini futures contract affects the liquidity of the regular contract. We use a panel data set that covers more than 20 years and more than 20 contracts. We use a traditional difference-in-differences methodology as well as a synthetic control group approach...
Persistent link: https://www.econbiz.de/10012143443
This paper serves two purposes. First, we introduce a new data set on the German stock market which is publicly available to all researchers. It comprises factor returns (a market factor, a size factor, a book-to-market factor, and a momentum factor) as well as returns of portfolios which are...
Persistent link: https://www.econbiz.de/10008666515
Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...
Persistent link: https://www.econbiz.de/10009525969
This paper analyzes the market entry of Turquoise in September 2008. Turquoise started trading stocks from 14 European countries at (almost) the same time. We find that Turquoise gained higher market shares in larger and less volatile stocks, and in stocks that had excessively high pre-entry...
Persistent link: https://www.econbiz.de/10013131295
This paper serves two purposes. First, we introduce a new data set on the German stock market which is publicly available to all researchers. It comprises factor returns (a market factor, a size factor, a book-to-market factor, and a momentum factor) as well as returns of portfolios which are...
Persistent link: https://www.econbiz.de/10013139690
We introduce a new data set that comprises factor returns and returns of portfolios that are single- and double-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard CAPM, the Fama-French (1993) three-factor model, and the carhart (1997)...
Persistent link: https://www.econbiz.de/10013108066