The first paper investigates the predictive power of investors' sentiment and attention for the stock returns' volatility. We introduce a novel and extensive dataset that combines information from social media platforms, news articles, search engine data, and information consumption. Applying a...

In jüngerer Zeit werden sog. Reverse Convertibles und Discount-Zertifikate immer häufiger von Kreditinstituten angeboten und von institutionellen sowie privaten Kapitalanlegern nachgefragt. Aus Anlegersicht steigt die Attraktivität dieser Finanztitel insbesondere in Zeiten niedriger Zinsen...

We study the impact of the arrival of macroeconomic news on the informational andnoise-driven components in high-frequency quote processes and their conditional variances.Bid and ask returns are decomposed into a common ("ecient return") factorand two market-side-specic components capturing...