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Working Paper 2015

Olaf Korn, Laura-Chloé Kuntz
Low-beta Strategies
Download Paper (Vers. 05/2017)
David Blake, Alberto G. Rossi, Allan Timmermann, Ian Tonks, Russ Wermers
Network Centrality and Pension Fund Performance
Download Paper (Vers. 11/2015)
published in: Journal of Financial Economics, Vol. 128, 2018, pp. 183-206.
Stephan Jank, Esad Smajbegovic
Dissecting Short-Sale Performance: Evidence from Large Position Disclosures
Download Paper (Vers. 10/2015)
Markus Doumet, Peter Limbach, Erik Theissen
Ich bin dann mal weg: Werteffekte von Delistings deutscher Aktiengesellschaften nach dem Frosta-Urteil
Download Paper (Vers. 09/2015)
published in: zfbf - Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung, Vol.68, 2016, pp. 253-277.
Ginka Borisova, Pradeep Yadav
Government ownership, informed trading, and private information
Download Paper (Vers. 08/2015)
published in: Journal of Corporate Finance, Vol. 33, 2015, pp. 196-211.
Vikas Agarwal, George Aragon, Zhen Shi
Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds
Download Paper (Vers. 08/2015)
published in: Journal of Financial and Quantitative Analysis, Vol. 54, 2019, pp. 2355-2381.
Louis Ederington, Wei Guan, Pradeep Yadav
Dealer Spreads in the Corporate Bond Market: Agent vs. Market-Making Roles
Download Paper (Vers. 08/2015)
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
Vikas Agarwal, Haibei Zhao
Interfund lending in mutual fund families: Role in liquidity management
Download Paper (Vers. 11/2018)
published in: Review of Financial Studies, Vol. 32, 2019, pp. 4079–4115.
Vikas Agarwal, T. Clifton Green, Honglin Ren
Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows?
Download Paper (Vers. 03/2017)
published in: Journal of Financial Economics, Vol. 127, 2018, pp. 417-434.
Vikas Agarwal, Stefan Ruenzi, Florian Weigert
Tail risk in hedge funds: A unique view from portfolio holdings
Download Paper (Vers. 05/2015)
published in: Journal of Financial Economics, Vol. 125, 2017, pp. 610-636.
Chunhua Lan, Fabio Moneta, Russ Wermers
Holding Horizon: A New Measure of Active Investment Management
Download Paper (Vers. 11/2018)
Laura Dahm, Christoph Sorhage
Milk or Wine:Mutual Funds’ (Dis)economies of Life
Download Paper (Vers. 07/2015)
M. Gehde-Trapp, Alexander Kempf, Daniel Mayston, Pradeep Yadav
Resiliency: A Dynamic View of Liquidity
Download Paper (Vers. 02/2015)
Vikas Agarwal, Y. Eser Arisoy, Narayan Y. Naik
Volatility of Aggregate Volatility and Hedge Funds Returns
Download Paper (Vers. 06/2015)
published in: Journal of Financial Economics, Vol. 125, 2017, pp. 491-510.
Gjergji Cici, Stefan Jaspersen, Alexander Kempf
Speed of Information Diffusion within Fund Families
Download Paper (Vers. 07/2015)
published in: Review of Asset Pricing Studies, Vol. 7, 2017, pp. 144-170.
Markus Baltzer, Stephan Jank, Esad Smajlbegovic
Who Trades on Momentum?
Download Paper (Vers. 01/2015)
published in: Journal of Financial Markets, Vol. 42, 2019, pp. 56-74.

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