Based on a questionnaire survey the paper distinguishes between herdingasset managers who try to be good and non-herding asset managers who try to bebetter than their competitors. It provides evidence for reputational herding anddiscusses herding managers' working effort, preferred sources of...

Empirical research has shown that inexperienced fund managers yield significantly higherreturns than their more experienced colleagues. If the portfolios of inexperienced are not morerisky, this result would contradict the hypothesis of market efficiency. Therefore, it is animportant question...

This paper delineates the simultaneous impact of non-anticipated information onmean and variance of the intraday return process by including appropriate variablesaccounting for the news flow into both the mean and the variance function. This allowsus to differentiate between the consistent price...

This paper investigates the impact of individual bank fundamental variables onstock market returns using data from a panel of 235 European banks from 1991to 2005. The sample period marks a significant transition in the European bankingsector, characterized by higher competition, lower profit...

Extreme adverse selection arises when private information has unboundedsupport, and market breakdown occurs when no trade is the only equilibriumoutcome. We study extreme adverse selection via the limit behavior of afinancial market as the support of private information converges to an...

This paper investigates politically connected rms in Germany. With the in-troduction of a new transparency law in 2007, information on additional incomesources for all members of the German parliament became publicly available.We nd that members of the conservative party (CDU/CSU) and the...

The end of the lockup period of initial public offerings generally constitutes the first time corporateinsiders sell significant numbers of shares on the market. I test the hypothesis that shareholderspressure analysts to support the share price until the end of the lockup period.[...]

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...

This paper develops a tractable real options framework to analyze the eects of asym-metric information on investment and nancing decisions when rms require externalfunds to nance investment. Our analysis shows that corporate insiders can signal theirprivate information to outside investors using...

Does legal insider trading contribute to market efficiency? Using the refinementproposed by the recent microstructure literature, we analyze the information contentof legal insider trading. Our sample encompasses 2,110 different companies subject to59,244 aggregated daily insider trades over the...