This paper proposes a new information share for price discovery based on Russell's (1999) autoregressive conditional intensity model. While previous studies rely on equally spaced high frequency data, we use the information conveyed by trade intensities to determine a market's contribution to...

We examine the price discovery contributions of cryptocurrency exchanges in the presence of market microstructure noise. Cryptocurrency markets exhibit a decisively higher level of microstructure noise compared to the New York Stock Exchange or NASDAQ. Therefore, traditional measures of price...

We implement the Fama-French five-factor model for the German market using recent monthly data from 2002 to 2017. We construct the five factors associated with the market, size, value, profitability, and investment for the CDAX constituents and examine to which extent the five-factor model...

We apply the concept of transfer entropy to quantify information flows between financial time series. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. This approach allows to determine information transfer without being restricted to...

After the implementation of Regulation NMS in 2007, the U.S. equity market became highly fragmented. The traditional exchanges, in particular the New York Stock Exchange (NYSE), lost substantial trading volume to the off-exchange market. We investigate the extent to which this development has...

We analyze the phenomenon of zombification in Europe and show that monetary policy alone is not its only driver. Concurring phenomena explain zombie and distressed firms’ prevalence. Using Compustat data on public firms, we find that a rise in short-term interest rates is associated with a...

This paper proposes a new measure for contributions to price discovery based on Russell's (1999) autoregressive conditional intensity model. While previous studies rely on equally spaced high frequency data, we use the information conveyed by quote revision intensities to determine a market's...