Deutsch Contact Sitemap Imprint and Privacy Policy

Working Paper of the Research Area Liquidity Risk

21-04
Vikas Agarwal, Paul Hanouna, Rabih Moussawi, Christof W. Stahel
Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?
Download Paper (Vers. 11/2018)
21-03
Mehmet Saglam, Tugkan Tuzun, Russ Wermers
Do ETFs Increase Liquidity?
Download Paper (Vers. 09/2020)
20-01
Stefan Ruenzi, Michael Ungeheuer, Florian Weigert
Joint Extreme Events in Equity Returns and Liquidity and their Cross-Sectional Pricing Implications
Download Paper (Vers. 01/2020)
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
Download Paper (Vers. 12/2019)
19-02
Thomas Johann, Stefan Scharnowski, Erik Theissen, Christian Westheide, Lukas Zimmermann
Liquidity in the German Stock Market
Download Paper (Vers. 06/2019)
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
Download Paper (Vers. 07/2016)
15-10
Jeffrey Black, Duane Stock, Pradeep Yadav
The Pricing of Different Dimensions of Liquidity: Evidence from Government Guaranteed Bank Bonds
Download Paper (Vers. 08/2015)
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
Download Paper (Vers. 02/2015)
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.
13-06
Sebastian Bethke, M. Gehde-Trapp, Alexander Kempf
Investor Sentiment, Flight-to-Quality, and Corporate Bond Comovement
Download Paper (Vers. 08/2015)
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.
12-12
M. Gehde-Trapp, Yalin Gndz, Julia Nasev
The liquidity premium in CDS transaction prices: Do frictions matter?
Download Paper (Vers. 08/2015)
published in: Journal of Banking and Finance, Vol. 61, 2015, pp. 184205.
11-14
Peter Gomber, Uwe Schweickert, Erik Theissen
Liquidity Dynamics in an Electronic Open Limit Order Book: An Event Study Approach
Download Paper (Vers. 10/2011)
published in: European Financial Management, Vol. 21, 2015, pp. 52-78.
10-11
Marc Chesney, Alexander Kempf
The Value of Tradeability
Download Paper (Vers. 07/2011)
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
Download Paper (Vers. 11/2009)
09-14
Alexander Kempf, Olaf Korn, Marliese Uhrig-Homburg
The Term Structure of Illiquidity Premia
Download Paper
published in: Journal of Banking and Finance, Vol. 36, 2012, pp. 1381-1391.
09-13
Wolfgang Bhler, M. Gehde-Trapp
Time-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets
Download Paper (Vers. 10/2009)
09-12
Wolfgang Bhler, M. Gehde-Trapp
Explaining the Bond-CDS Basis The Role of Credit Risk and Liquidity
Download Paper
09-08
Florian Bardong, Shnke M. Bartram, Pradeep Yadav
Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE
Download Paper (Vers. 05/2009)
09-06
Stefan Frey, Patrik Sandas
The Impact of Iceberg Orders in Limit Order Books
Download Paper (Vers. 05/2009)
09-05
Hlna Beltran-Lopez, Pierre Giot, Joachim Grammig
Commonalities in the Order Book
Download Paper (Vers. 01/2009)
published in: Financial Markets and Portfolio Management, Vol. 23, 2009, pp. 209-242.
06-04
Alexander Kempf, Daniel Mayston
Liquidity Commonality Beyond Best Prices
Download Paper (Vers. 04/2006)
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?
Download Paper (Vers. 05/2005)
published in: Review of Financial Studies, Vol. 20, 2007, pp. 1707-1747.
05-12
Knut Griese, Alexander Kempf
Liquiditätsdynamik am deutschen Aktienmarkt
Download Paper (Vers. 10/2005)
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
Download Paper (external link)
published in: Schmalenbach Business Review, Vol. 64, 2012, pp. 82-100.
05-05
Hlna Beltran-Lopez, Joachim Grammig, Albert J. Menkveld
Limit order books and trade informativeness
Download Paper (Vers. 02/2005)
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
Download Paper (Vers. 01/2005)
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
Download Paper (Vers. 04/2004)

CFR Sponsors      

Sponsor CFR Assistant Professorship Sustainable Finance

We would especially like to thank the sponsors whose donations made it possible to establish the Assistant Professorship for Sustainable Finance at the University of Cologne:

www.cfr-cologne.de | © 2004-2022 | webmaster