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Published Papers of the Research Area Trading Strategies


Russ Wermers, Tong Yao, Jane Zhao
Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings
DOI: 10.1093/rfs/hhs111
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published in: Review of Financial Studies, Vol. 25, 2012, pp. 3490-3529.

Joachim Grammig, Stephan Jank
Creative Destruction and Asset Prices
DOI: not available
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published in: Journal of Financial and Quantitative Analysis, Vol. 51, 2016, pp. 1739-1768.

Gerlinde Fellner, Erik Theissen
Short Sale Constraints, Divergence of Opinion and Asset Value: Evidence from the Laboratory
DOI: 10.1016/j.jebo.2014.02.010
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published in: Journal of Economic Behavior and Organization, Vol. 101, 2014, pp. 113-127.

André Betzer, Jasmin Gider, Daniel Metzger, Erik Theissen
Strategic Trading and Trade Reporting by Corporate Insiders
DOI: 10.1093/rof/rfu007
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published in: Review of Finance, Vol. 19, 2015, pp. 865-905.

Alexander Kempf, Olaf Korn, Sven Saßning
Portfolio Optimization Using Forward-Looking Information
DOI: 10.1093/rof/rfu006
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published in: Review of Finance, Vol. 19, 2015, pp. 467-490.

Stefan Frey, Patrick Herbst
The Influence of Buy-Side Analysts on Mutual Fund Trading
DOI: 10.1016/j.jbankfin.2014.01.007
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published in: Journal of Banking and Finance, Vol. 49, 2014, pp. 442-458.

Felix Brinkmann, Olaf Korn
Risk-adjusted Option-implied Moments
DOI: https://doi.org/10.1007/s11147-017-9136-4
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published in: Review of Derivatives Research, Vol. 21, 2018, pp. 149-173.

Sabine Artmann, Philipp Finter, Alexander Kempf
Determinants of Expected Stock Returns: Large Sample Evidence from the German Market
DOI: 10.1111/j.1468-5957.2012.02286.x
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published in: Journal of Business Finance and Accounting, Vol.39, 2012, pp. 758-784.

Jördis Hengelbrock, Erik Theissen, Christian Westheide
Market Response to Investor Sentiment
DOI: 10.1111/jbfa.12039
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published in: Journal of Business Finance and Accounting, Vol. 40, 2013, pp. 901-917.

Rainer Baule, Olaf Korn, Sven Saßning
Which Beta is Best? On the Information Content of Option-Implied Betas
DOI: not available
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published in: European Financial Management, Vol. 22, 2016, pp. 450–483.

Lukas Ahnert, Pascal Vogt, Volker Vonhoff, Florian Weigert
Regulatory Stress Testing and Bank Performance
DOI: https://doi.org/10.1111/eufm.12267
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published in: European Financial Management, Vol.26, 2020, pp. 1449-1488.

Alexander Kempf, Peer Osthoff
The Effect of Socially Responsible Investing on Portfolio Performance
DOI: 10.1111/j.1468-036X.2007.00402.x
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published in: European Financial Management, Vol. 13, 2007, pp. 908-922.

Olaf Korn, Philipp Koziol
The Term Structure of Currency Hedge Ratios
DOI: 10.1142/S0219024911006723
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published in: International Journal of Theoretical and Applied Finance, Vol. 14, 2011, pp. 525-557.

Olaf Korn, Alexander Merz
How to Hedge if the Payment Date is Uncertain?
DOI: https://doi.org/10.1002/fut.21987
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published in: Journal of Futures Markets, Vol. 39, 2019, pp. 481-498.

Sabine Artmann, Philipp Finter, Alexander Kempf, Stefan Koch, Erik Theissen
The Cross-Section of German Stock Returns: New Data and New Evidence
DOI: 10.2139/ssrn.1652140
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published in: Schmalenbach Business Review, Vol. 64, 2012, pp. 20-43.

Alexander Kempf, Christoph Memmel
Estimating the Global Minimum Variance Portfolio
DOI: 10.2139/ssrn.385760
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published in: Schmalenbach Business Review, Vol. 58, 2006, pp. 332-348.

Olaf Korn
Risk Management With Default-risky Forwards
DOI: 10.2139/ssrn.498462
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published in: Schmalenbach Business Review, Vol. 62, 2010, pp. 102-125.

Olaf Korn, Christian Koziol
Bond Portfolio Optimization: A Risk-Return Approach
DOI: 10.3905/jfi.2006.627839
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published in: Journal of Fixed Income, Vol. 15, 2006, pp. 48-60.

Olaf Korn, Marc Oliver Rieger
Hedging with Regret
DOI: https://doi.org/10.1016/j.jbef.2019.03.002
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published in: Journal of Behavioral and Experimental Finance, Vol. 22, 2019, pp. 192-205.

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