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Working Paper of the Research Area Trading Strategies

Andrew Y. Chen, Alejandro Lopez-Lira, Tom Zimmermann
Does Peer-Reviewed Research Help Predict Stock Returns?
Download Paper (Vers. 04/2024)
Alexander Braun, Julia Braun, Florian Weigert
Extreme Weather Risk and the Cost of Equity
Download Paper (Vers. 11/2023)
Julian Dörries, Olaf Korn, Gabriel J. Power
How Should the Long-term Investor Harvest Variance Risk Premiums?
Download Paper (Vers. 10/2023)
forthcoming in: Journal of Portfolio Management
Tobias Bauckloh, Maurice Dumrose, André Höck, Christian Klein
ESG Criteria and the Credit Risk of Corporate Bond Portfolios
Download Paper (Vers. 07/2023)
published in: Journal of Asset Management, Vol. 24, 2023, pp. 572–580.
Tobias Bauckloh, Juris Dobrick, André Höck, Sebastian Utz, Marcus Wagner
In Partnership for the Goals? The Level of Agreement Between SDG Ratings
Download Paper (Vers. 11/2023)
published in: Journal of Economic Behavior and Organization, Vol. 217, 2024, pp. 664-678.
Frederik Simon, Sebastian Weibels, Tom Zimmermann
Deep Parametric Portfolio Policies
Download Paper (Vers. 02/2023)
Tobias Bauckloh, Victor Beyer, Christian Klein
Does it Pay to Invest in Dirty Industries? - New Insights on the Shunned-Stock Hypothesis
Download Paper (Vers. 01/2022)
Nathan W. Heinrich, Ivan T. Ivanov, Tom Zimmermann
Limits of Disclosure Regulation in the Municipal Bond Market
Download Paper (Vers. 01/2022)
André Betzer, Jasmin Gider, Peter Limbach
Do Financial Advisors Matter for M&A Pre-Announcement Returns?
Download Paper (Vers. 02/2022)
Tobias Bauckloh, Christian Klein, Thomas Pioch, Frank Schiemann
Under Pressure: The Link between Mandatory Climate Reporting and Firms’ Carbon Performance
Download Paper (Vers. 01/2022)
published in: Organization & Environment, Vol. 36, 2023, pp. 126-149.
Turan G. Bali, Heiner Beckmeyer, Mathis Moerke, Florian Weigert
Option Return Predictability with Machine Learning and Big Data
Download Paper (Vers. 08/2021)
published in: Review of Financial Studies, Vol. 36, 2023, pp. 3548–3602.
Christian Andres, Dmitry Bazhutov, Douglas Cumming, Gerrit Köchling, Peter Limbach
Does Speculative News Hurt Productivity? Evidence from Takeover Rumors
Download Paper (Vers. 04/2024)
Murali Jagannathan, Wei Jiao, Russ Wermers
International Characteristic-Based Asset Pricing
Download Paper (Vers. 02/2021)
Erik Theissen, Lukas Zimmermann
Do Contented Customers Make Shareholders Wealthy? - Implications of Intangibles for Security Pricing
Download Paper (Vers. 11/2020)
Josef Fink, Stefan Palan, Erik Theissen
Earnings Autocorrelation and the Post-Earnings-Announcement Drift – Experimental Evidence
Download Paper (Vers. 10/2020)
Erik Theissen, Can Yilanci
Momentum? What Momentum?
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Andrew Y. Chen, Tom Zimmermann
Open Source Cross-Sectional Asset Pricing
Download Paper (Vers. 05/2020)
published in: Critical Finance Review, Vol. 11, 2022, pp. 207-264.
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.
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.
Tobias Rischen, Erik Theissen
Underpricing in the Euro Area Corporate Bond Market: New Evidence from Post-Crisis Regulation and Quantitative Easing
Download Paper (Vers. 07/2018)
published in: Journal of Financial Intermediation, Vol. 46, 2021, 100871, pp. 1-58.
Gjergji Cici, Scott Gibson, Rabih Moussawi
Explaining and Benchmarking Corporate Bond Returns
Download Paper (Vers. 06/2017)
Olaf Korn, Marc Oliver Rieger
Hedging with Regret
Download Paper (Vers. 08/2016)
published in: Journal of Behavioral and Experimental Finance, Vol. 22, 2019, pp. 192-205.
Olaf Korn, Laura-Chloé Kuntz
Low-beta Strategies
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Erik Theissen, Lars S. Zehnder
Estimation of Trading Costs: Trade Indicator Models Revisited
Download Paper (Vers. 07/2014)
Felix Brinkmann, Olaf Korn
Risk-adjusted Option-implied Moments
Download Paper (Vers. 08/2014)
published in: Review of Derivatives Research, Vol. 21, 2018, pp. 149-173.
Joachim Grammig, Jantje Sönksen
Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach
Download Paper (Vers. 05/2020)
published in: Journal of Econometrics, Vol. 222, 2021, pp. 805-832.
Joachim Grammig, Eva-Maria Schaub
Give me strong moments and time – Combining GMM and SMM to estimate long-run risk asset pricing models
Download Paper (Vers. 07/2014)
Rainer Baule, Olaf Korn, Sven Saßning
Which Beta is Best? On the Information Content of Option-Implied Betas
Download Paper (Vers. 12/2013)
published in: European Financial Management, Vol. 22, 2016, pp. 450–483.
Felix Brinkmann, Alexander Kempf, Olaf Korn
Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection
Download Paper (Vers. 02/2014)
Alexander Kempf, Olaf Korn, Sven Saßning
Portfolio Optimization Using Forward-Looking Information
Download Paper (Vers. 01/2014)
published in: Review of Finance, Vol. 19, 2015, pp. 467-490.
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.
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.
Dieter Hess, Daniel Kreutzmann, Oliver Pucker
Projected Earnings Accuracy and the Profitability of Stock Recommendations
Download Paper (Vers. 02/2011)
Joachim Grammig, Stephan Jank
Creative Destruction and Asset Prices
Download Paper (Vers. 08/2010)
published in: Journal of Financial and Quantitative Analysis, Vol. 51, 2016, pp. 1739-1768.
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.
Stefan Frey, Patrick Herbst
The Influence of Buy-Side Analysts on Mutual Fund Trading
Download Paper (Vers. 06/2010)
published in: Journal of Banking and Finance, Vol. 49, 2014, pp. 442-458.
Sabine Artmann, Philipp Finter, Alexander Kempf
Determinants of Expected Stock Returns: Large Sample Evidence from the German Market
Download Paper (Vers. 07/2011)
published in: Journal of Business Finance and Accounting, Vol.39, 2012, pp. 758-784.
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.
Olaf Korn, Philipp Koziol
The Term Structure of Currency Hedge Ratios
Download Paper (Vers. 02/2009)
published in: International Journal of Theoretical and Applied Finance, Vol. 14, 2011, pp. 525-557.
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, 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.
Vikas Agarwal, Lingling Wang
Transaction Costs and Value Premium
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Alexander Kempf, Peer Osthoff
The Effect of Socially Responsible Investing on Portfolio Performance
Download Paper (Vers. 05/2007)
published in: European Financial Management, Vol. 13, 2007, pp. 908-922.
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.
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.
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.

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