Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing the price impact of information requires perfect knowledge of news' precision. In practice, however, precision is rarely dis- closed. Therefore, we extend standard Bayesian...

Strategy tools are widely used in the practice of strategic management to yield a good solution with an acceptable problem-solving effort. This paper presents results of an experimental research project that assesses the practical effectiveness of a theory-based decision-making tool, the...

Due to judicial decisions the stock market prices are deemed to be the lower value limit in determining the compensations within structural measures according to German stock corporation law (e.g. squeeze-out of minority stockholders). By applying other valuation methods, in particular the...

Liquidity, the ease of trading an asset, strongly varies between different sizes of stock positions. We analyze this aspect using the Xetra Liquidity Measure (XLM), which calculates daily, weighted spread for impatient traders transacting against the limit order book. For this measure, we have...

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...

Die Studie untersucht den Zusammenhang zwischen Dollar- und Aktienkursen. Da für sehr lange Zeiträume nur schwache bivariate Zusammenhänge feststellbar sind, wird die (begrenzte) Informationsmenge der Marktteilnehmer durch abschnittsweise Teilmengen des Untersuchungszeitraums (1974 - 1995)...

We generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using...

We model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, we show that a simple bivariate Hawkes process fits nicely our empirical observations of trades-through. We show that the...

In this paper, the authors present a New Keynesian quantitative model with endogenous investment and a stock-market sector to shed further light on two unsettled issues: whether central banks should include some financial indicator in their policy rules, and what indicator may be expected to...

Event studies represent an increasingly popular method to evaluate the welfare effects of economic policy decisions. The basic idea is that stock market reactions to the announcement of policy decisions contain superior information about the welfare effects of these decisions. This paper...