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Working Paper of the Research Area Trading Strategies

Turan G. Bali, Heiner Beckmeyer, Mathis Moerke, Florian Weigert
Option Return Predictability with Machine Learning and Big Data
Download Paper (Vers. 08/2021)
Christian Andres, Dmitry Bazhutov, Douglas Cumming, Peter Limbach
The M&A Rumor Productivity Dip
Download Paper (Vers. 12/2020)
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?
Download Paper (Vers. 10/2020)
Andrew Y. Chen, Tom Zimmermann
Open Source Cross-Sectional Asset Pricing
Download Paper (Vers. 05/2020)
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)
forthcoming in: Journal of Portfolio Management
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)
forthcoming in: Journal of Financial Intermediation
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
Download Paper (Vers. 05/2017)
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)
forthcoming in: Journal of Econometrics
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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