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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 …
Persistent link: https://www.econbiz.de/10008856379
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Essays on the efficiency of financial markets
Schlusche, Bernd - 2010
Persistent link: https://www.econbiz.de/10008990314
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Essays on empirical asset pricing and investor behavior
Westheide, Christian - 2011
Persistent link: https://www.econbiz.de/10009412402
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Intraday stock price effects of ad hoc disclosures : the German case
Muntermann, Jan; Guettler, Andre - In: Journal of international financial markets, … 17 (2007) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10003413261
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Topics in empirical market microstructure : measuring the informational content of order flow
Wünsche, Oliver - 2010
Persistent link: https://www.econbiz.de/10008669012
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Are there Monday effects in stock returns : a stochastic dominance approach
Cho, Young-Hyun (contributor); Linton, Oliver (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003388972
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Essays in finance
Schilling, Dirk Christian - 2012
Persistent link: https://www.econbiz.de/10009550835
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The Monday effect revisited : an alternative testing approach
Alt, Raimund; Fortin, Ines; Weinberger, Simon - In: Journal of empirical finance 18 (2011) 3, pp. 447-460
Persistent link: https://www.econbiz.de/10009302091
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Kapitalmarkteffizienz und Verteilung von Aktienrenditen : eine empirische Untersuchung
Gerth, Hendrik; Niermann, Stefan - 2001
In dieser Arbeit wird die Hypothese eines schwach effizienten Kapitalmarktes sowie das Vorliegen des Montagseffektes am deutschen Aktienmarkt untersucht. Weiterhin wird aus der Prüfgöße zum Test auf Autokorrelation erster Ordnung ein Verfahren entwickelt, mit dem die Existenz endlicher...
Persistent link: https://www.econbiz.de/10011526450
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Intraday stock price effects of ad hoc disclosures : the German case
Muntermann, Jan (contributor); Güttler, André (contributor) - 2005
This paper examines intraday stock price effects and trading activity caused by ad hoc disclosures in Germany. The evidence suggests that the observed stock prices react within 90 minutes after the ad hoc disclosures. Trading volumes take even longer to adjust. We find no evidence for abnormal...
Persistent link: https://www.econbiz.de/10002579429