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Liquidity in the German stock market
Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019
This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the … evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We … make use of a new publicly available dataset, the Market Microstructure Database Xetra (MMDB-Xetra). We find that liquidity …
Persistent link: https://www.econbiz.de/10012020325
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Forecasting Corporate Defaults in the German Stock Market
Mertens, Richard - 2016
We estimate and test several default risk models using new and unique data on corporate defaults in the German stock market. While defaults were extremely rare events in the 1990s, they have been a characteristic feature of the German stock market since the early 2000s. We apply the structural...
Persistent link: https://www.econbiz.de/10012983935
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Drivers of seasonal return patterns in German stocks
Weigerding, Michael; Hanke, Michael Hanke; Schwetzler, … - In: Business research 11 (2018) 1, pp. 173-196
Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the …
Persistent link: https://www.econbiz.de/10011814870
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The impact of investor sentiment on the German stock market
Finter, Philipp; Niessen-Ruenzi, Alexandra; Ruenzi, Stefan - 2010
This paper investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known sentiment proxies. We show that this indicator explains the return...
Persistent link: https://www.econbiz.de/10008666530
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The impact of investor sentiment on the German stock market
Finter, Philipp; Niessen-Ruenzi, Alexandra; Ruenzi, Stefan - 2011 - First Version: December 2008, This Version: October 2011
This paper develops a broad-based sentiment indicator for Germany and investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known...
Persistent link: https://www.econbiz.de/10009705481
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The Impact of Investor Sentiment on the German Stock Market
Finter, Philipp - 2010
This paper investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known sentiment proxies. We show that this indicator explains the return...
Persistent link: https://www.econbiz.de/10013139805
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The Impact of Financial Times Deutschland News on Stock Prices – Post Announcement Drifts and Inattention of Investors
Kerl, Alexander Gabriel - 2014
Within this paper, we analyze the impact of Financial Times Deutschland (FTD) news on stock prices and trading volumes. Based on a sample of all news on German DAX, MDAX and SDAX companies published within the news section of the FTD between 2006 and 2010, our results show that articles that...
Persistent link: https://www.econbiz.de/10013064807
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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-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 … basis trades. -- bond asset swap spreads ; CDS premia ; basis trading profits ; credit risk ; liquidity ; fixed …
Persistent link: https://www.econbiz.de/10003919401
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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
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The Time-varying Relationship between Liquidity and Stock Returns : Evidence from Germany
Paul, Thomas; Aryoubi, Abdullah; Walther, Thomas - 2021
This study investigates the structural relationship between illiquidity and ex-ante returns in the German stock market over time. In line with other authors, we show that illiquidity is still a significant factor, but has had a weakened impact in more recent times. When considering structural...
Persistent link: https://www.econbiz.de/10013232292