In inefficient stock markets payout policy may be directly relevant for stock prices, not only by way of announcement effects considered in signaling games. We show that paying out free cash flow, either as a dividend or via repurchasing shares, has in general a positive price impact and...

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...

How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents’...

In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...

I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over the period 1880?1913. I find that the extent to which returns were predictable underwent significant changes over time. Specifically, predictability of returns, as measured by...

We study return predictability of stock indexes of blue chip firms and smaller hightechnology firms in Germany, France, and the United Kingdom during the second half of the 1990s. We measure return predictability in terms of first-order autocorrelation coefficients, and find evidence for return...

We study the link between underpricing of initial public offerings (IPOs) and index excess returns in secondary markets. We use a theoretical model to argue that underpricing of IPOs raises investors' attention and, thereby, triggers investments in secondary markets. Our theoretical model...

Adding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well defined law of demand for financial information when asset return distributions are conjugate priors to signals such as in the gamma-Poisson case. Signals have a positive marginal...

Seit der Einführung des Deutschen Corporate Governance Kodex (Kodex) im Jahr 2002 sind deutsche börsennotierte Unternehmen zur Abgabe der Entsprechenserklärung gemäß § 161 AktG verpflichtet (Comply-or-Explain-Prinzip). Auf der Basis dieser Information soll durch den Druck des Kapitalmarkts...

The article tests for a random walk in European equity style indexes. After briefly introducing the efficient market hypothesis, equity styles in general and the used statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is shown that a random walk in European equity...