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Veröffentlichungen im Forschungsbereich Liquiditätsrisiken


Thierry Foucault, Sophie Moinas, Erik Theissen
Does Anonymity Matter in Electronic Limit Order Markets?
DOI: 10.1093/rfs/hhm027
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published in: Review of Financial Studies, Vol. 20, 2007, pp. 1707-1747.

Alexander Kempf, Olaf Korn, Marliese Uhrig-Homburg
The Term Structure of Illiquidity Premia
DOI: 10.1016/j.jbankfin.2011.12.003
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published in: Journal of Banking and Finance, Vol. 36, 2012, pp. 1381-1391.

M. Gehde-Trapp, Yalin Gündüz, Julia Nasev
The liquidity premium in CDS transaction prices: Do frictions matter?
DOI: 10.1016/j.jbankfin.2015.08.024
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published in: Journal of Banking and Finance, Vol. 61, 2015, pp. 184–205.

Jeffrey Black, Duane Stock, Pradeep Yadav
The Pricing of Different Dimensions of Liquidity: Evidence from Government Guaranteed Bank Bonds
DOI: 10.1016/j.jbankfin.2016.06.008
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published in: Journal of Banking and Finance, Vol. 71, 2016, pp. 119-132

Marc Chesney, Alexander Kempf
The Value of Tradeability
DOI: 10.1007/s11147-012-9074-0
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published in: Review of Derivatives Research, Vol. 15, 2012, pp.193-216.

Peter Gomber, Uwe Schweickert, Erik Theissen
Liquidity Dynamics in an Electronic Open Limit Order Book: An Event Study Approach
DOI: 10.1111/j.1468-036X.2013.12006.x
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published in: European Financial Management, Vol. 21, 2015, pp. 52-78.

Joachim Grammig, Erik Theissen
Is BEST Really Better? Internalization of Orders in an Open Limit Order Book
DOI: 10.2139/ssrn.695842
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published in: Schmalenbach Business Review, Vol. 64, 2012, pp. 82-100.

Alexander Kempf, Daniel Mayston
Liquidity Commonality Beyond Best Prices
DOI: 10.1111/jfir.2008.31.issue-1
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published in: Journal of Financial Research, Vol. 31, 2008, pp. 25-40.

Héléna Beltran-Lopez, Joachim Grammig, Albert J. Menkveld
Limit order books and trade informativeness
DOI: 10.1080/1351847X.2011.601651
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published in: European Journal of Finance, Vol. 18, 2012, pp. 737-759.

Knut Griese, Alexander Kempf
Liquiditätsdynamik am deutschen Aktienmarkt
DOI: nicht vorhanden
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published in: DBW - Die Betriebswirtschaft, Vol. 66, 2006, pp. 402-418.

Héléna Beltran-Lopez, Pierre Giot, Joachim Grammig
Commonalities in the Order Book
DOI: 10.1007/s11408-009-0109-y
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published in: Financial Markets and Portfolio Management, Vol. 23, 2009, pp. 209-242.

Stefan Frey, Joachim Grammig
Liquidity Supply and Adverse Selection in a Pure Limit Order Book Market
DOI: 10.1007/978-3-7908-1992-2_5
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published in: Empirical Economics, Vol. 30, 2006, pp. 1007-1033.

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