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We measure herding of trading activities by regressing individual order imbalances on market wide, industry wide, and dealer wide order imbalances. We find that stocks whose trading activities herd more have higher sensitivity of their returns to order imbalances. Investors demand compensations...
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Dieses Buch befasst sich mit Marketinginnovationen, also mit Innovationen, die sich auf die Bereiche Vertrieb, Pricing und Kommunikation beziehen. Manuel Hütter untersucht diese in zwei empirischen Studien näher. So wird in einer branchenübergreifenden Erhebung der Frage nachgegangen, ob und...
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informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely …, informational leadership becomes blurred. We show how fat tails and tail dependence of price changes, which emerge as a result of … pricing credit risk during the pre-crisis period. -- price discovery ; information share ; fat tails ; tail dependence …
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