Working Paper of the Research Area Trading Strategies
23-01
Frederik Simon, Sebastian Weibels, Tom Zimmermann
Deep Parametric Portfolio Policies
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Frederik Simon, Sebastian Weibels, Tom Zimmermann
Deep Parametric Portfolio Policies
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22-07
Tobias Bauckloh, Victor Beyer, Christian Klein
Does it Pay to Invest in Dirty Industries? - New Insights on the Shunned-Stock Hypothesis
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Tobias Bauckloh, Victor Beyer, Christian Klein
Does it Pay to Invest in Dirty Industries? - New Insights on the Shunned-Stock Hypothesis
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22-05
Nathan W. Heinrich, Ivan T. Ivanov, Tom Zimmermann
Limits of Disclosure Regulation in the Municipal Bond Market
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Nathan W. Heinrich, Ivan T. Ivanov, Tom Zimmermann
Limits of Disclosure Regulation in the Municipal Bond Market
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22-03
André Betzer, Jasmin Gider, Peter Limbach
Do Financial Advisors Matter for M&A Pre-Announcement Returns?
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André Betzer, Jasmin Gider, Peter Limbach
Do Financial Advisors Matter for M&A Pre-Announcement Returns?
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22-01
Tobias Bauckloh, Christian Klein, Thomas Pioch, Frank Schiemann
Under Pressure: The Link between Mandatory Climate Reporting and Firms’ Carbon Performance
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forthcoming in: Organization & Environment
Tobias Bauckloh, Christian Klein, Thomas Pioch, Frank Schiemann
Under Pressure: The Link between Mandatory Climate Reporting and Firms’ Carbon Performance
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forthcoming in: Organization & Environment
21-08
Turan G. Bali, Heiner Beckmeyer, Mathis Moerke, Florian Weigert
Option Return Predictability with Machine Learning and Big Data
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forthcoming in: Review of Financial Studies
Turan G. Bali, Heiner Beckmeyer, Mathis Moerke, Florian Weigert
Option Return Predictability with Machine Learning and Big Data
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forthcoming in: Review of Financial Studies
21-02
Christian Andres, Dmitry Bazhutov, Douglas Cumming, Peter Limbach
Does Speculative News Hurt Productivity? Evidence from Takeover Rumors
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Christian Andres, Dmitry Bazhutov, Douglas Cumming, Peter Limbach
Does Speculative News Hurt Productivity? Evidence from Takeover Rumors
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20-13
Murali Jagannathan, Wei Jiao, Russ Wermers
International Characteristic-Based Asset Pricing
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Murali Jagannathan, Wei Jiao, Russ Wermers
International Characteristic-Based Asset Pricing
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20-12
Erik Theissen, Lukas Zimmermann
Do Contented Customers Make Shareholders Wealthy? - Implications of Intangibles for Security Pricing
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Erik Theissen, Lukas Zimmermann
Do Contented Customers Make Shareholders Wealthy? - Implications of Intangibles for Security Pricing
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20-10
Josef Fink, Stefan Palan, Erik Theissen
Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence
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Josef Fink, Stefan Palan, Erik Theissen
Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence
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20-04
Andrew Y. Chen, Tom Zimmermann
Open Source Cross-Sectional Asset Pricing
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published in: Critical Finance Review, Vol. 11, 2022, pp. 207-264.
Andrew Y. Chen, Tom Zimmermann
Open Source Cross-Sectional Asset Pricing
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published in: Critical Finance Review, Vol. 11, 2022, pp. 207-264.
20-03
Lukas Ahnert, Pascal Vogt, Volker Vonhoff, Florian Weigert
Regulatory Stress Testing and Bank Performance
Download Paper (Vers. 04/2020)
published in: European Financial Management, Vol.26, 2020, pp. 1449-1488.
Lukas Ahnert, Pascal Vogt, Volker Vonhoff, Florian Weigert
Regulatory Stress Testing and Bank Performance
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published in: European Financial Management, Vol.26, 2020, pp. 1449-1488.
19-04
Olaf Korn, Philipp M. Möller, Christian Schwehm
Drawdown Measures: Are They All the Same?
Download Paper (Vers. 10/2019)
published in: Journal of Portfolio Management, Vol. 48, 2022, pp. 104-120.
Olaf Korn, Philipp M. Möller, Christian Schwehm
Drawdown Measures: Are They All the Same?
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published in: Journal of Portfolio Management, Vol. 48, 2022, pp. 104-120.
18-03
Tobias Rischen, Erik Theissen
Underpricing in the Euro Area Corporate Bond Market: New Evidence from Post-Crisis Regulation and Quantitative Easing
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published in: Journal of Financial Intermediation, Vol. 46, 2021, 100871, pp. 1-58.
Tobias Rischen, Erik Theissen
Underpricing in the Euro Area Corporate Bond Market: New Evidence from Post-Crisis Regulation and Quantitative Easing
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published in: Journal of Financial Intermediation, Vol. 46, 2021, 100871, pp. 1-58.
17-03
Gjergji Cici, Scott Gibson, Rabih Moussawi
Explaining and Benchmarking Corporate Bond Returns
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Gjergji Cici, Scott Gibson, Rabih Moussawi
Explaining and Benchmarking Corporate Bond Returns
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16-06
Olaf Korn, Marc Oliver Rieger
Hedging with Regret
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published in: Journal of Behavioral and Experimental Finance, Vol. 22, 2019, pp. 192-205.
Olaf Korn, Marc Oliver Rieger
Hedging with Regret
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published in: Journal of Behavioral and Experimental Finance, Vol. 22, 2019, pp. 192-205.
14-09
Erik Theissen, Lars S. Zehnder
Estimation of Trading Costs: Trade Indicator Models Revisited
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Erik Theissen, Lars S. Zehnder
Estimation of Trading Costs: Trade Indicator Models Revisited
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14-07
Felix Brinkmann, Olaf Korn
Risk-adjusted Option-implied Moments
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published in: Review of Derivatives Research, Vol. 21, 2018, pp. 149-173.
Felix Brinkmann, Olaf Korn
Risk-adjusted Option-implied Moments
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published in: Review of Derivatives Research, Vol. 21, 2018, pp. 149-173.
14-06
Joachim Grammig, Jantje Sönksen
Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach
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published in: Journal of Econometrics, Vol. 222, 2021, pp. 805-832.
Joachim Grammig, Jantje Sönksen
Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach
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published in: Journal of Econometrics, Vol. 222, 2021, pp. 805-832.
14-05
Joachim Grammig, Eva-Maria Schaub
Give me strong moments and time – Combining GMM and SMM to estimate long-run risk asset pricing models
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Joachim Grammig, Eva-Maria Schaub
Give me strong moments and time – Combining GMM and SMM to estimate long-run risk asset pricing models
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13-11
Rainer Baule, Olaf Korn, Sven Saßning
Which Beta is Best? On the Information Content of Option-Implied Betas
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published in: European Financial Management, Vol. 22, 2016, pp. 450–483.
Rainer Baule, Olaf Korn, Sven Saßning
Which Beta is Best? On the Information Content of Option-Implied Betas
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published in: European Financial Management, Vol. 22, 2016, pp. 450–483.
13-08
Felix Brinkmann, Alexander Kempf, Olaf Korn
Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection
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Felix Brinkmann, Alexander Kempf, Olaf Korn
Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection
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11-10
Alexander Kempf, Olaf Korn, Sven Saßning
Portfolio Optimization Using Forward-Looking Information
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published in: Review of Finance, Vol. 19, 2015, pp. 467-490.
Alexander Kempf, Olaf Korn, Sven Saßning
Portfolio Optimization Using Forward-Looking Information
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published in: Review of Finance, Vol. 19, 2015, pp. 467-490.
11-03
Gerlinde Fellner, Erik Theissen
Short Sale Constraints, Divergence of Opinion and Asset Value: Evidence from the Laboratory
Download Paper (Vers. 01/2011)
published in: Journal of Economic Behavior and Organization, Vol. 101, 2014, pp. 113-127.
Gerlinde Fellner, Erik Theissen
Short Sale Constraints, Divergence of Opinion and Asset Value: Evidence from the Laboratory
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published in: Journal of Economic Behavior and Organization, Vol. 101, 2014, pp. 113-127.
10-19
Jördis Hengelbrock, Erik Theissen, Christian Westheide
Market Response to Investor Sentiment
Download Paper (Vers. 12/2010)
published in: Journal of Business Finance and Accounting, Vol. 40, 2013, pp. 901-917.
Jördis Hengelbrock, Erik Theissen, Christian Westheide
Market Response to Investor Sentiment
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published in: Journal of Business Finance and Accounting, Vol. 40, 2013, pp. 901-917.
10-17
Dieter Hess, Daniel Kreutzmann, Oliver Pucker
Projected Earnings Accuracy and the Profitability of Stock Recommendations
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Dieter Hess, Daniel Kreutzmann, Oliver Pucker
Projected Earnings Accuracy and the Profitability of Stock Recommendations
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10-14
Joachim Grammig, Stephan Jank
Creative Destruction and Asset Prices
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published in: Journal of Financial and Quantitative Analysis, Vol. 51, 2016, pp. 1739-1768.
Joachim Grammig, Stephan Jank
Creative Destruction and Asset Prices
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published in: Journal of Financial and Quantitative Analysis, Vol. 51, 2016, pp. 1739-1768.
10-12
Sabine Artmann, Philipp Finter, Alexander Kempf, Stefan Koch, Erik Theissen
The Cross-Section of German Stock Returns: New Data and New Evidence
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published in: Schmalenbach Business Review, Vol. 64, 2012, pp. 20-43.
Sabine Artmann, Philipp Finter, Alexander Kempf, Stefan Koch, Erik Theissen
The Cross-Section of German Stock Returns: New Data and New Evidence
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published in: Schmalenbach Business Review, Vol. 64, 2012, pp. 20-43.
10-10
Stefan Frey, Patrick Herbst
The Influence of Buy-Side Analysts on Mutual Fund Trading
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published in: Journal of Banking and Finance, Vol. 49, 2014, pp. 442-458.
Stefan Frey, Patrick Herbst
The Influence of Buy-Side Analysts on Mutual Fund Trading
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published in: Journal of Banking and Finance, Vol. 49, 2014, pp. 442-458.
10-01
Sabine Artmann, Philipp Finter, Alexander Kempf
Determinants of Expected Stock Returns: Large Sample Evidence from the German Market
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published in: Journal of Business Finance and Accounting, Vol.39, 2012, pp. 758-784.
Sabine Artmann, Philipp Finter, Alexander Kempf
Determinants of Expected Stock Returns: Large Sample Evidence from the German Market
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published in: Journal of Business Finance and Accounting, Vol.39, 2012, pp. 758-784.
09-15
André Betzer, Jasmin Gider, Daniel Metzger, Erik Theissen
Strategic Trading and Trade Reporting by Corporate Insiders
Download Paper (Vers. 11/2010)
published in: Review of Finance, Vol. 19, 2015, pp. 865-905.
André Betzer, Jasmin Gider, Daniel Metzger, Erik Theissen
Strategic Trading and Trade Reporting by Corporate Insiders
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published in: Review of Finance, Vol. 19, 2015, pp. 865-905.
09-01
Olaf Korn, Philipp Koziol
The Term Structure of Currency Hedge Ratios
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published in: International Journal of Theoretical and Applied Finance, Vol. 14, 2011, pp. 525-557.
Olaf Korn, Philipp Koziol
The Term Structure of Currency Hedge Ratios
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published in: International Journal of Theoretical and Applied Finance, Vol. 14, 2011, pp. 525-557.
08-11
Olaf Korn
Risk Management With Default-risky Forwards
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published in: Schmalenbach Business Review, Vol. 62, 2010, pp. 102-125.
Olaf Korn
Risk Management With Default-risky Forwards
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published in: Schmalenbach Business Review, Vol. 62, 2010, pp. 102-125.
07-14
Olaf Korn, Alexander Merz
How to Hedge if the Payment Date is Uncertain?
Download Paper (Vers. 03/2016)
published in: Journal of Futures Markets, Vol. 39, 2019, pp. 481-498.
Olaf Korn, Alexander Merz
How to Hedge if the Payment Date is Uncertain?
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published in: Journal of Futures Markets, Vol. 39, 2019, pp. 481-498.
06-10
Alexander Kempf, Peer Osthoff
The Effect of Socially Responsible Investing on Portfolio Performance
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published in: European Financial Management, Vol. 13, 2007, pp. 908-922.
Alexander Kempf, Peer Osthoff
The Effect of Socially Responsible Investing on Portfolio Performance
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published in: European Financial Management, Vol. 13, 2007, pp. 908-922.
06-09
Russ Wermers, Tong Yao, Jane Zhao
Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings
Download Paper (Vers. 07/2012)
published in: Review of Financial Studies, Vol. 25, 2012, pp. 3490-3529.
Russ Wermers, Tong Yao, Jane Zhao
Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings
Download Paper (Vers. 07/2012)
published in: Review of Financial Studies, Vol. 25, 2012, pp. 3490-3529.
06-03
Olaf Korn, Christian Koziol
Bond Portfolio Optimization: A Risk-Return Approach
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published in: Journal of Fixed Income, Vol. 15, 2006, pp. 48-60.
Olaf Korn, Christian Koziol
Bond Portfolio Optimization: A Risk-Return Approach
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published in: Journal of Fixed Income, Vol. 15, 2006, pp. 48-60.
05-02
Alexander Kempf, Christoph Memmel
Estimating the Global Minimum Variance Portfolio
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published in: Schmalenbach Business Review, Vol. 58, 2006, pp. 332-348.
Alexander Kempf, Christoph Memmel
Estimating the Global Minimum Variance Portfolio
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published in: Schmalenbach Business Review, Vol. 58, 2006, pp. 332-348.
