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Momentum? What Momentum?
Theissen, Erik; Yilanci, Can - 2020 - This version: October 23, 2020
based on their prior return and then running a full-sample regression of the portfolio returns on a set of factors …Risk-adjusted momentum returns are usually estimated by sorting stocks into a regularly rebalanced long-short portfolio … weighted average of the expected returns of the component stocks (stock-level risk adjustment). Based on evidence from the …
Persistent link: https://www.econbiz.de/10012309423
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Zur Schätzung von Geld-Brief-Spannen aus Transaktionsdaten
Grammig, Joachim; Theissen, Erik; Wünsche, Oliver - In: Börsen, Banken und Kapitalmärkte : Festschrift für …, (pp. 71-83). 2006
Persistent link: https://www.econbiz.de/10003561333
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Estimating the probability of informed trading : does trade misclassification matter?
Grammig, Joachim (contributor); Theissen, Erik (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001828752
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Market structure, intermediation and liquidity
Freihube, Thorsten; Krahnen, Jan Pieter; Theissen, Erik - In: German financial markets and institutions: selected studies, (pp. 255-274). 2002
Persistent link: https://www.econbiz.de/10001705567
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Estimating the probability of informed trading : does trade misclassification matter?
Grammig, Joachim; Theissen, Erik - 2003
Persistent link: https://www.econbiz.de/10001744209
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Der Neue Markt : eine Bestandsaufnahme
Theissen, Erik - In: Zeitschrift für Wirtschafts- und Sozialwissenschaften … 118 (1998) 4, pp. 623-652
Persistent link: https://www.econbiz.de/10001388869
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Liquiditätsmessung auf experimentellen Aktienmärkten
Theissen, Erik - In: Kredit und Kapital 32 (1999) 2, pp. 225-264
Persistent link: https://www.econbiz.de/10001392872
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Liquiditätsmessung auf experimentellen Aktienmärkten
Theissen, Erik - 1998
Persistent link: https://www.econbiz.de/10013444366
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Der neue Markt : eine Bestandsaufnahme
Theissen, Erik - 1998
Persistent link: https://www.econbiz.de/10013444368
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Time and the price impact of a trade : a structural approach
Grammig, Joachim; Theissen, Erik; Wünsche, Oliver - 2011
We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...
Persistent link: https://www.econbiz.de/10008856379