In this experimental study we examine the impact of self-fulfilling prophecies on financial ratings. According to theoretical models like Kuhner (2001), rating agencies are more likely to reveal their private information if their rating can not become self-fulfilling from an ex-post point of...

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

This paper provides the first empirical test of the diversification of opinions theory and the group shift theory using real business data. Our data set covers management teams and single managers of US equity mutual funds. Our results reject the group shift theory and support the...

Die vorliegende Arbeit beschÄaftigt sich mit der LiquiditÄat am deutschen Aktienmarkt. Konkret analysieren wir den Preiseinfluss von Transaktionen. Zunächst zeigen wir in einem einfachen dynamischen Optimierungsmodell, wie die optimale Handelsstrategie eines Anlegers von der funktionalen Form...

We estimate the debt capacity of a firm as the critical debt ratio that causes a downgrade in creditworthiness. Unused debt capacities depict the temporal access to external debt funds and measure a firm's financial flexibility. Firms with high unused debt capacities realize a larger fraction of...

The validity of the price marks placed on bonds for valuation purposes is important for a diverse group of stakeholders, including investors, mutual fund managers, dealers, pricing services, and financial regulators. We analyze the dispersion of monthend price marks simultaneously placed on...

This paper shows that portfolio constraints have important implications for management compensation and performance evaluation. In particular, in the presence of portfolio constraints, allowing for benchmarking can be bene…cial. Benchmark design arises as an alternative effort inducement...

This paper shows that gender di®erences exist in a professional setting where man-agers have a similar educational background and work experience. Using data from the U.S. mutual fund industry we find that female managers are more risk averse, follow less extreme and more consistent investment...

In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...

We document that prior work experience of mutual fund managers outside of the asset management industry is valuable from an investment perspective in that it provides managers with a stock picking and industry timing advantage. Fund managers' stock picks from industries where they previously...