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Working Paper 2009

09-17
Erik Theissen
Price Discovery in Spot and Futures Markets: A Reconsideration
Download Paper (Vers. 04/2011)
published in: European Journal of Finance, Vol. 18, 2012, pp. 969-987.
09-16
M. Gehde-Trapp
Trading the Bond-CDS Basis – The Role of Credit Risk and Liquidity
Download Paper (Vers. 11/2009)
09-15
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.
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.
09-13
Wolfgang Bühler, M. Gehde-Trapp
Time-Varying Credit Risk and Liquidity Premia in Bond and CDS Markets
Download Paper (Vers. 10/2009)
09-12
Wolfgang Bühler, M. Gehde-Trapp
Explaining the Bond-CDS Basis – The Role of Credit Risk and Liquidity
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09-11
Stephen J. Taylor, Pradeep Yadav, Yuanyuan Zhang
Cross-sectional analysis of risk-neutral skewness
Download Paper (Vers. 04/2009)
published in: Journal of Derivatives, Vol. 16, 2009, pp. 38-52.
09-10
Alexander Kempf, Christoph Merkle, Alexandra Niessen-Ruenzi
Low Risk and High Return - Affective Attitudes and Stock Market Expectations
Download Paper (Vers. 06/2012)
published in: European Financial Management, Vol.20, 2014, pp. 995-1030.
09-09
Veljko Fotak, Vikas Raman, Pradeep Yadav
Fails-to-deliver, short selling, and market quality
Download Paper (Vers. 05/2009)
published in: Journal of Financial Economics, Vol.114,2014, pp. 493-516.
09-08
Florian Bardong, Söhnke M. Bartram, Pradeep Yadav
Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE
Download Paper (Vers. 05/2009)
09-07
Stephen J. Taylor, Pradeep Yadav, Yuanyuan Zhang
The information content of implied volatilities and model - free volatility expectations: Evidence from options written on individual stocks
Download Paper (Vers. 06/2009)
published in: Journal of Banking and Finance, Vol. 34, 2010, pp. 871-881.
09-06
Stefan Frey, Patrik Sandas
The Impact of Iceberg Orders in Limit Order Books
Download Paper (Vers. 05/2009)
09-05
Héléna 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.
09-04
Jieyan Fang, Stefan Ruenzi
Rapid Trading bei deutschen Aktienfonds: Evidenz aus einer großen deutschen Fondsgesellschaft
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published in: Zeitschrift für Betriebswirtschaft - ZfB, Vol. 80, 2010, pp. 883-920.
09-03
Ayelen Banegas, Benjamin Gillen, Allan Timmermann, Russ Wermers
The Cross-section of Conditional Mutual Fund Performance in European Stock Markets
Download Paper (Vers. 06/2012)
published in: Journal of Financial Economics, Vol. 108, 2013, pp. 699-726.
09-02
Joachim Grammig, Andreas Schrimpf, Michael Schuppli
Long-Horizon Consumption Risk and the Cross-Section Of Returns: New Tests and International Evidence
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published in: European Journal of Finance, Vol. 15, 2009, pp. 511–532.
09-01
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.

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