Working Paper of the Research Area Liquidity Risk
22-10
Erik Theissen, Christian Westheide
One for the Money, Two for the Show? The Number of Designated Market Makers and Liquidity
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Erik Theissen, Christian Westheide
One for the Money, Two for the Show? The Number of Designated Market Makers and Liquidity
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21-04
Vikas Agarwal, Paul Hanouna, Rabih Moussawi, Christof W. Stahel
Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?
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Vikas Agarwal, Paul Hanouna, Rabih Moussawi, Christof W. Stahel
Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?
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21-03
Mehmet Saglam, Tugkan Tuzun, Russ Wermers
Do ETFs Increase Liquidity?
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Mehmet Saglam, Tugkan Tuzun, Russ Wermers
Do ETFs Increase Liquidity?
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20-01
Stefan Ruenzi, Michael Ungeheuer, Florian Weigert
Joint Extreme Events in Equity Returns and Liquidity and their Cross-Sectional Pricing Implications
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published in: Journal of Banking and Finance, Vol. 115, 2020, 105809
Stefan Ruenzi, Michael Ungeheuer, Florian Weigert
Joint Extreme Events in Equity Returns and Liquidity and their Cross-Sectional Pricing Implications
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published in: Journal of Banking and Finance, Vol. 115, 2020, 105809
19-06
Stefan Greppmair, Erik Theissen
Small Is Beautiful? How the Introduction of Mini Futures Contracts Affects the Regular Contract
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published in: Journal of Empirical Finance, Vol. 67, 2022, pp. 19-38.
Stefan Greppmair, Erik Theissen
Small Is Beautiful? How the Introduction of Mini Futures Contracts Affects the Regular Contract
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published in: Journal of Empirical Finance, Vol. 67, 2022, pp. 19-38.
19-02
Thomas Johann, Stefan Scharnowski, Erik Theissen, Christian Westheide, Lukas Zimmermann
Liquidity in the German Stock Market
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published in: Schmalenbach Business Review, Vol. 71, 2019, pp. 443-473.
Thomas Johann, Stefan Scharnowski, Erik Theissen, Christian Westheide, Lukas Zimmermann
Liquidity in the German Stock Market
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published in: Schmalenbach Business Review, Vol. 71, 2019, pp. 443-473.
16-08
Stefan Kanne, Olaf Korn, Marliese Uhrig-Homburg
Stock Illiquidity, Option Prices and Option Returns
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Stefan Kanne, Olaf Korn, Marliese Uhrig-Homburg
Stock Illiquidity, Option Prices and Option Returns
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15-10
Jeffrey Black, Duane Stock, Pradeep Yadav
The Pricing of Different Dimensions of Liquidity: Evidence from Government Guaranteed Bank Bonds
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published in: Journal of Banking and Finance, Vol. 71, 2016, pp. 119-132
Jeffrey Black, Duane Stock, Pradeep Yadav
The Pricing of Different Dimensions of Liquidity: Evidence from Government Guaranteed Bank Bonds
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published in: Journal of Banking and Finance, Vol. 71, 2016, pp. 119-132
15-04
M. Gehde-Trapp, Alexander Kempf, Daniel Mayston, Pradeep Yadav
Resiliency: A Dynamic View of Liquidity
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M. Gehde-Trapp, Alexander Kempf, Daniel Mayston, Pradeep Yadav
Resiliency: A Dynamic View of Liquidity
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14-10
Olaf Korn, Paolo Krischak, Erik Theissen
Illiquidity Transmission From Spot to Futures Markets
Download Paper (Vers. 08/2017)
published in: Journal of Futures Markets, Vol. 39, 2019, pp. 1228-1249.
Olaf Korn, Paolo Krischak, Erik Theissen
Illiquidity Transmission From Spot to Futures Markets
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published in: Journal of Futures Markets, Vol. 39, 2019, pp. 1228-1249.
13-06
Sebastian Bethke, M. Gehde-Trapp, Alexander Kempf
Investor Sentiment, Flight-to-Quality, and Corporate Bond Comovement
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published in: Journal of Banking and Finance, Vol. 82, 2017, pp. 112-132.
Sebastian Bethke, M. Gehde-Trapp, Alexander Kempf
Investor Sentiment, Flight-to-Quality, and Corporate Bond Comovement
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published in: Journal of Banking and Finance, Vol. 82, 2017, pp. 112-132.
13-05
M. Gehde-Trapp, Philipp Schuster, Marliese Uhrig-Homburg
The Term Structure of Bond Liquidity
Download Paper (Vers. 06/2017)
published in: Journal of Financial and Quantitative Analysis, Vol. 53, 2018, pp. 2161-2197.
M. Gehde-Trapp, Philipp Schuster, Marliese Uhrig-Homburg
The Term Structure of Bond Liquidity
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published in: Journal of Financial and Quantitative Analysis, Vol. 53, 2018, pp. 2161-2197.
12-12
M. Gehde-Trapp, Yalin Gündüz, Julia Nasev
The liquidity premium in CDS transaction prices: Do frictions matter?
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published in: Journal of Banking and Finance, Vol. 61, 2015, pp. 184–205.
M. Gehde-Trapp, Yalin Gündüz, Julia Nasev
The liquidity premium in CDS transaction prices: Do frictions matter?
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published in: Journal of Banking and Finance, Vol. 61, 2015, pp. 184–205.
11-14
Peter Gomber, Uwe Schweickert, Erik Theissen
Liquidity Dynamics in an Electronic Open Limit Order Book: An Event Study Approach
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published in: European Financial Management, Vol. 21, 2015, pp. 52-78.
Peter Gomber, Uwe Schweickert, Erik Theissen
Liquidity Dynamics in an Electronic Open Limit Order Book: An Event Study Approach
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published in: European Financial Management, Vol. 21, 2015, pp. 52-78.
10-11
Marc Chesney, Alexander Kempf
The Value of Tradeability
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published in: Review of Derivatives Research, Vol. 15, 2012, pp.193-216.
Marc Chesney, Alexander Kempf
The Value of Tradeability
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published in: Review of Derivatives Research, Vol. 15, 2012, pp.193-216.
09-16
M. Gehde-Trapp
Trading the Bond-CDS Basis – The Role of Credit Risk and Liquidity
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M. Gehde-Trapp
Trading the Bond-CDS Basis – The Role of Credit Risk and Liquidity
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09-14
Alexander Kempf, Olaf Korn, Marliese Uhrig-Homburg
The Term Structure of Illiquidity Premia
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published in: Journal of Banking and Finance, Vol. 36, 2012, pp. 1381-1391.
Alexander Kempf, Olaf Korn, Marliese Uhrig-Homburg
The Term Structure of Illiquidity Premia
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published in: Journal of Banking and Finance, Vol. 36, 2012, pp. 1381-1391.
09-13
Wolfgang Bühler, M. Gehde-Trapp
Time-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets
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Wolfgang Bühler, M. Gehde-Trapp
Time-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets
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09-12
Wolfgang Bühler, M. Gehde-Trapp
Explaining the Bond-CDS Basis – The Role of Credit Risk and Liquidity
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Wolfgang Bühler, M. Gehde-Trapp
Explaining the Bond-CDS Basis – The Role of Credit Risk and Liquidity
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09-08
Florian Bardong, Söhnke M. Bartram, Pradeep Yadav
Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE
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Florian Bardong, Söhnke M. Bartram, Pradeep Yadav
Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE
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09-06
Stefan Frey, Patrik Sandas
The Impact of Iceberg Orders in Limit Order Books
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Stefan Frey, Patrik Sandas
The Impact of Iceberg Orders in Limit Order Books
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09-05
Héléna Beltran-Lopez, Pierre Giot, Joachim Grammig
Commonalities in the Order Book
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published in: Financial Markets and Portfolio Management, Vol. 23, 2009, pp. 209-242.
Héléna Beltran-Lopez, Pierre Giot, Joachim Grammig
Commonalities in the Order Book
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published in: Financial Markets and Portfolio Management, Vol. 23, 2009, pp. 209-242.
06-04
Alexander Kempf, Daniel Mayston
Liquidity Commonality Beyond Best Prices
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published in: Journal of Financial Research, Vol. 31, 2008, pp. 25-40.
Alexander Kempf, Daniel Mayston
Liquidity Commonality Beyond Best Prices
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published in: Journal of Financial Research, Vol. 31, 2008, pp. 25-40.
05-15
Thierry Foucault, Sophie Moinas, Erik Theissen
Does Anonymity Matter in Electronic Limit Order Markets?
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published in: Review of Financial Studies, Vol. 20, 2007, pp. 1707-1747.
Thierry Foucault, Sophie Moinas, Erik Theissen
Does Anonymity Matter in Electronic Limit Order Markets?
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published in: Review of Financial Studies, Vol. 20, 2007, pp. 1707-1747.
05-12
Knut Griese, Alexander Kempf
Liquiditätsdynamik am deutschen Aktienmarkt
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published in: DBW - Die Betriebswirtschaft, Vol. 66, 2006, pp. 402-418.
Knut Griese, Alexander Kempf
Liquiditätsdynamik am deutschen Aktienmarkt
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published in: DBW - Die Betriebswirtschaft, Vol. 66, 2006, pp. 402-418.
05-06
Joachim Grammig, Erik Theissen
Is BEST Really Better? Internalization of Orders in an Open Limit Order Book
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published in: Schmalenbach Business Review, Vol. 64, 2012, pp. 82-100.
Joachim Grammig, Erik Theissen
Is BEST Really Better? Internalization of Orders in an Open Limit Order Book
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published in: Schmalenbach Business Review, Vol. 64, 2012, pp. 82-100.
05-05
Héléna Beltran-Lopez, Joachim Grammig, Albert J. Menkveld
Limit order books and trade informativeness
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published in: European Journal of Finance, Vol. 18, 2012, pp. 737-759.
Héléna Beltran-Lopez, Joachim Grammig, Albert J. Menkveld
Limit order books and trade informativeness
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published in: European Journal of Finance, Vol. 18, 2012, pp. 737-759.
05-01
Stefan Frey, Joachim Grammig
Liquidity Supply and Adverse Selection in a Pure Limit Order Book Market
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published in: Empirical Economics, Vol. 30, 2006, pp. 1007-1033.
Stefan Frey, Joachim Grammig
Liquidity Supply and Adverse Selection in a Pure Limit Order Book Market
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published in: Empirical Economics, Vol. 30, 2006, pp. 1007-1033.
04-06
Narayan Y. Naik, Pradeep Yadav
Trading Costs of Public Investors with Obligatory and Voluntary Market-Making: Evidence from Market Reforms
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Narayan Y. Naik, Pradeep Yadav
Trading Costs of Public Investors with Obligatory and Voluntary Market-Making: Evidence from Market Reforms
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