A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)

This thesis addresses the high-frequency price formation in the European Union Emissions Trading Scheme (EU ETS). In particular, it deals with high-frequency price reactions of European Union Allowances (EUAs) to scheduled macroeconomic and regulatory announcements. The work incorporates several...

Wirtschaftsprognosen sollen die Unsicherheit bezüglich der zukünftigen wirtschaftlichen Entwicklung mindern und Planungsprozesse von Regierungen und Unternehmen unterstützen. Empirische Studien bescheinigen ihnen jedoch in aller Regel ein unbefriedigendes Qualitätsniveau. Auf der Suche nach...

This paper investigates the sources of the profitability of 1024 moving average and momentum models when trading in the German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would have been profitable over the entire sample...

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

In the microstructure literature, information asymmetry is an important determinant of market liquidity. The classic setting is that uninformed dedicated liquidity suppliers charge price concessions when incoming market orders are likely to be informationally motivated. In limit order book...

Do better informed people vote more? Recent theories of voter turnout emphasize a positive effect of being informed on the propensity to vote, but the possibility of endogenous information acquisition makes estimation of causal effects difficult. I estimate the causal effects of being informed...