This paper studies the long-run relationship between consumption, asset wealth and income - the consumption-wealth ratio - in Germany, based on data from 1980 to 2003. Earlier papers for the Anglo-Saxon economies have documented that departures of these three variables from their common trend...

This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies – mostly for the Anglo- Saxon economies – have generally documented that departures of these three variables from their common trend...

Using the vector autoregression (VAR) analysis, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis...

We use portfolio holdings to show that mutual funds preferentially trade stocks according to the stocks' sentiment betas. Stocks with high sentiment betas are more responsive to investor sentiment and increase (decrease) in value as sentiment increases (decreases). Sentiment-based trades may be...

We investigate how the increase in speed of U.S. equity markets has distorted liquidity measures. We find that the widely-used Monthly Trade and Quote (MTAQ) database yields a percent effective spread 43% higher than our benchmark, a quoted spread that is nonpositive nine times more often, and a...

This paper documents a new high risk-low return puzzle. Specfically, we find that a forward-looking risk measure extracted from credit line undrawn spreads negatively predicts borrowers' future stock returns. This negative risk-return relation is separate from previously documented asset pricing...

I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement. The intuition behind this distortion is arbitrageurs trade constituent securities not based on their fundamental exposures but by their portfolio weights, causing securities to...

Exiting studies document that institutional herding has a stabilizing effect on stock prices, as stock returns over one- to three-quarter horizons are positively correlated with herding. The literature also shows that short-term institutions are better informed than long-term institutions....

Research on IPOs commonly focuses on the relation between firms' pre IPO ownership structure and subsequent stock performance. We extend the literature by additionally focusing on companies' post IPO ownership structure, in particular private equity capital engagement, to analyze IPOs stock...