We examine overconfidence among equity mutual fund managers. While overconfidencehas been extensively documented among retail investors, evidence fromprofessional investors is scarce. Consistent with theories of overconfidence, we findthat fund managers trade more after good past performance....

We study whether fund families efficiently allocate their fund managers to differentmarket segments. Whether a fund manager can generate alpha simultaneouslydepends on her skills, and on the efficiency of the market segment in which she isemployed. We show that in the more efficient investment...

This paper deals with the introduction of stock options in an (dy-namically) incomplete securities market.

This paper investigates the commonality of liquidity in an open limit order bookmarket. We find that commonality in liquidity becomes stronger the deeper we lookinto the limit order book. While commonality is only about 2% at the best prices, itincreases up to about 20% inside the limit order...

Exchange Traded Funds (ETF) were established in Europe in 2000 and have grown to a sizeof over 200 bn US$. Some issuers use a full replication strategy while others prefer a swapbased approach. The ETF are dealt parallelly in the primary and in the secondary market, asnew ETFs can be created at...

We examine the role of hedge funds as primary lenders to corporate firms. We investigate boththe reasons and the implications of hedge funds’ activities in the primary loan market. Weexamine the characteristics of firms that borrow from hedge funds and find that borrowers areprimarily firms...

The trading of securities on multiple markets raises the question of each market’s sharein the discovery of the informationally efficient price. We exploit salient distributionalfeatures of multivariate financial price processes to uniquely determine these contributions.Thereby we resolve the...

Peer-to-peer systems are highly distributed and self-organizing communication networks.They get on without a central server as much as possible. This paper proposesto organize the trading of securities - like it is being done up until now at the stock exchange- on a peer-to-peer basis. In this...

[...]This paper examines how repo contracting conventionsevolved in the 1980s. In the next section, we consider therevival of repo financing in the 1950s and the contractingconventions associated with that revival. Section 3 describeshow the rising level and volatility of interest rates and...

The use of technical analysis by financial market professionals is not well understood. Thispaper thus analyzes survey evidence from 692 fund managers in five countries, the vast majorityof whom rely on technical analysis. At a forecasting horizon of weeks, technical analysis isthe most...