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Sentiment dynamics and stock returns: the case of the German stock market

Lux, Thomas - 2008

We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...

Persistent link: https://www.econbiz.de/10010263537

Market response to investor sentiment

Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - 2011

This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...

Persistent link: https://www.econbiz.de/10010308566

Trading the bond-CDS basis: The role of credit risk and liquidity

Trapp, Monika - 2009

basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and …

Persistent link: https://www.econbiz.de/10010302537

Intraday Pricing and Liquidity of Italian and German Treasury Auctions

Bellia, Mario - 2021

This paper examines how the bond supply, via primary auctions of the Treasury, influences price and liquidity in the … German Bund. The analysis of intraday quotes shows that there is also a peculiar liquidity effect due to the bond supply … capital constraints and information uncertainty. The sovereign bond crisis exacerbates the dry-up of liquidity for Italy and …

Persistent link: https://www.econbiz.de/10013249065

Tail Wags Dog? Time-Varying Information Shares in the Bund Market

Upper, Christian; Werner, Thomas - 2002

The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...

Persistent link: https://www.econbiz.de/10010295741

Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt

Oehler, Andreas; Häcker, Mirko - 2003

26 Aktien des Deutschen Aktienindex DAX mit 71% Marktkapitalisierung und 84% Anteil am Gesamtumsatz werden über 249 Handelstage des Jahres 1997 auf den Kurseinfluss der Transaktionsgröße hin analysiert. Der verwendete Satz hochfrequenter Transaktionsdaten erlaubt in dieser Form erstmals für...

Persistent link: https://www.econbiz.de/10010296587

International Stock Return Predictability Under Model Uncertainty

Schrimpf, Andreas - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10010298059

Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data

Steiner, Christian; Groß, Anne; Entorf, Horst - 2009

This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...

Persistent link: https://www.econbiz.de/10010298727

The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany

Fecht, Falko; Wedow, Michael - 2009

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that … competing explanations of liquidity crisis. We find that fundamental factors matter for the liquidity outflow in normal times …

Persistent link: https://www.econbiz.de/10010299258

Herding and Contrarian Behavior in Financial Markets: An Internet Experiment

Drehmann, Mathias; Oechssler, Jörg; Roider, Andreas - 2002

We report results of an internet experiment designed to test the theory of informational cascades in financial markets (Avery and Zemsky, AER, 1998). More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As...

Persistent link: https://www.econbiz.de/10010263070

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