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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published in: Economics Letters, Vol. 224, 2023, Article 110992.
Erik Theissen, Christian Westheide
One for the Money, Two for the Show? The Number of Designated Market Makers and Liquidity
Download Paper (Vers. 10/2022)
published in: Economics Letters, Vol. 224, 2023, Article 110992.
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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