Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

According to basic finance theory, a derivative's price is derived from the value of its underlying asset and therefore incorporates the same informational content as the fundamental. Empirically however, this prediction can often be refuted due to liquidity and trading cost aspects. Using a...

The taxation of dividends in Germany underwent major changes. We analyze the implications of these changes for the valuation of DAX futures contracts and test the resulting hypotheses empirically. We find that dividend taxation cannot explain the level of deviations from the cost-of-carry...

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures market. Using a new dataset based on microseconds, the focus of the study is on the reaction of high-frequency traders (HFTs) to major macroeconomic news events. I show that...

Between July and December 2022, the European Central Bank (ECB) raised its key interest rate by a very substantial 250 basis points. This interest-rate shock presented the German cooperative banks as well as many other credit institutions with huge challenges. The cooperative banks suffered a...

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...

We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...

For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...

Analysing 5 exchange traded funds (ETFs) and 26 index certificates, this is a comprehensive intraday study combining the perspective of information dissemination and pricing quality. We focus on the Volkswagen extreme event day on 28 October 2008, where a breakdown of the futures-cash arbitrage...

This paper reconsiders the process of price discovery in spot and futures markets. In our study, we examine the contribution of two derivative products of the German blue chip index DAX: Exchange traded funds and index futures. In order to eliminate noise caused by differences in the...