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Working Paper 2016

16-12
André Betzer, Maximilian Ibel, Hye Seung Lee, Peter Limbach, Jesus M. Salas
Are Generalists Beneficial to Corporate Shareholders? Evidence from Sudden Deaths
Download Papers (Vers. 12/2016)
16-11
Peter Limbach, Markus Schmid, Meik Scholz-Daneshgari
Do CEOs Matter? Corporate Performance and the CEO Life Cycle
Download Papers (Vers. 12/2016)
16-10
Vikas Agarwal, Rahul Vashishtha, Mohan Venkatachalam
Mutual Fund Transparency and Corporate Myopia
Executive Summary | Download Papers (Vers. 09/2016)
16-09
Marc-André Goericke
Do Generalists Profit from the Fund Families’ Specialists? Evidence from Mutual Fund Families Offering Sector Funds
Executive Summary | Download Papers (Vers. 12/2016)
16-08
Stefan Kanne, Olaf Korn, Marliese Uhrig-Homburg
Stock Illiquidity, Option Prices and Option Returns
Executive Summary | Download Papers (Vers. 07/2016)
16-07
Stefan Jaspersen
Market Power in the Portfolio: Product Market Competition and Mutual Fund Performance
Executive Summary | Download Papers (Vers. 09/2016)
16-06
Olaf Korn, Marc Oliver Rieger
Hedging with Regret
Executive Summary | Download Papers (Vers. 08/2016)
16-05
Erik Theissen, Christian Westheide
Call of Duty: Designated Market Maker Participation in Call Auctions
Executive Summary | Download Papers (Vers. 09/2016)
16-04
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide
Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets
Executive Summary | Download Papers (Vers. 08/2016)
16-03
Thorsten Martin, Florian Sonnenburg
Managerial Ownership Changes and Mutual Fund Performance
Executive Summary | Download Papers (Vers. 08/2015)
16-02
Antonio Gargano, Alberto G. Rossi, Russ Wermers
The Freedom of Information Act and the Race Towards Information Acquisition
Executive Summary | Download Papers (Vers. 04/2015)
forthcoming in: Review of Financial Studies
16-01
Gjergji Cici, Scott Gibson, Claire Rosenfeld
Cross-Company Effects of Common Ownership: Dealings Between Borrowers and Lenders With a Common Blockholder
Executive Summary | Download Papers (Vers. 12/2015)

Working Paper 2015

15-17
Olaf Korn, Laura-Chloé Kuntz
Low-Beta Investment Strategies
Executive Summary | Download Papers (Vers. 10/2016)
15-16
David Blake, Alberto G. Rossi, Allan Timmermann, Ian Tonks, Russ Wermers
Network Centrality and Pension Fund Performance
Executive Summary | Download Papers (Vers. 11/2015)
forthcoming in: Journal of Financial Economics
15-15
Stephan Jank, Esad Smajbegovic
Dissecting Short-Sale Performance: Evidence from Large Position Disclosures
Executive Summary | Download Papers (Vers. 10/2015)
15-14
Markus Doumet, Peter Limbach, Erik Theissen
Ich bin dann mal weg: Werteffekte von Delistings deutscher Aktiengesellschaften nach dem Frosta-Urteil
Executive Summary | Download Papers (Vers. 09/2015)
published in: zfbf - Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung, Vol.68, 2016, pp. 253-277.
15-13
Ginka Borisova, Pradeep Yadav
Government ownership, informed trading, and private information
Executive Summary | Download Papers (Vers. 08/2015)
published in: Journal of Corporate Finance, Vol. 33, 2015, pp. 196-211.
15-12
Vikas Agarwal, George Aragon, Zhen Shi
Funding Liquidity Risk of Funds of Hedge Funds: Evidence from their Holdings
Executive Summary | Download Papers (Vers. 08/2015)
15-11
Louis Ederington, Wei Guan, Pradeep Yadav
Dealer Spreads in the Corporate Bond Market: Agent vs. Market-Making Roles
Executive Summary | Download Papers (Vers. 08/2015)
15-10
Jeffrey Black, Duane Stock, Pradeep Yadav
The Pricing of Different Dimensions of Liquidity: Evidence from Government Guaranteed Bank Bonds
Executive Summary | Download Papers (Vers. 08/2015)
published in: Journal of Banking and Finance, Vol. 71, 2016, pp. 119-132
15-09
Vikas Agarwal, Haibei Zhao
Interfund lending in mutual fund families: Role of internal capital markets
Executive Summary | Download Papers (Vers. 04/2016)
15-08
Vikas Agarwal, T. Clifton Green, Honglin Ren
Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows?
Executive Summary | Download Papers (Vers. 03/2017)
forthcoming in: Journal of Financial Economics
15-07
Vikas Agarwal, Stefan Ruenzi, Florian Weigert
Tail risk in hedge funds: A unique view from portfolio holdings
Executive Summary | Download Papers (Vers. 05/2015)
forthcoming in: Journal of Financial Economics
15-06
Chunhua Lan, Fabio Moneta, Russ Wermers
Mutual Fund Investment Horizon and Performance
Executive Summary | Download Papers (Vers. 07/2015)
15-05
Laura Dahm, Christoph Sorhage
Milk or Wine:Mutual Funds’ (Dis)economies of Life
Executive Summary | Download Papers (Vers. 07/2015)
15-04
M. Gehde-Trapp, Alexander Kempf, Daniel Mayston, Pradeep Yadav
Resiliency: A Dynamic View of Liquidity
Executive Summary | Download Papers (Vers. 02/2015)
15-03
Vikas Agarwal, Y. Eser Arisoy, Narayan Y. Naik
Volatility of Aggregate Volatility and Hedge Funds Returns
Executive Summary | Download Papers (Vers. 06/2015)
forthcoming in: Journal of Financial Economics
15-02
Gjergji Cici, Stefan Jaspersen, Alexander Kempf
Speed of Information Diffusion within Fund Families
Executive Summary | Download Papers (Vers. 07/2015)
forthcoming in: Review of Asset Pricing Studies
15-01
Markus Baltzer, Stephan Jank, Esad Smajlbegovic
Who trades on momentum?
Executive Summary | Download Papers (Vers. 01/2015)

Working Paper 2014

14-14
Gjergji Cici, Laura Dahm, Alexander Kempf
Trading Efficiency of Fund Families:Impact on Fund Performance andInvestment Behavior
Executive Summary | Download Papers (Vers. 12/2015)
14-13
Vikas Agarwal, Yan Lu, Sugata Ray
Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds
Executive Summary | Download Papers (Vers. 11/2014)
published in: Management Science, Vol. 62, 2016, pp. 722-740.
14-11
Gjergji Cici, M. Gehde-Trapp, Marc-André Goericke, Alexander Kempf
What They Did in their Previous Lives:The Investment Value of Mutual Fund Managers’ Experience outside the Financial Sector
Executive Summary | Download Papers (Vers. 10/2014)
14-10
Olaf Korn, Paolo Krischak, Erik Theissen
Illiquidity Transmission From Spot to Futures Markets
Executive Summary | Download Papers (Vers. 08/2014)
14-09
Erik Theissen, Lars S. Zehnder
Estimation of Trading Costs: Trade Indicator Models Revisited
Executive Summary | Download Papers (Vers. 07/2014)
14-08
Christopher Fink, Erik Theissen
Dividend Taxation and DAX Futures Prices
Executive Summary | Download Papers (Vers. 08/2014)
14-07
Felix Brinkmann, Olaf Korn
Risk-adjusted Option-implied Moments
Executive Summary | Download Papers (Vers. 08/2014)
14-06
Joachim Grammig, Jantje Sönksen
Consumption-Based Asset Pricing with Rare Disaster Risk
Executive Summary | Download Papers (Vers. 06/2014)
14-05
Joachim Grammig, Eva-Maria Schaub
Give me strong moments and time – Combining GMM and SMM to estimate long-run risk asset pricing models
Executive Summary | Download Papers (Vers. 07/2014)
14-04
Christoph Sorhage
Outsourcing of Mutual Funds’ Non-coreCompetencies
Executive Summary | Download Papers (Vers. 08/2015)
14-03
Dieter Hess, Philipp Immenkötter
How Much Is Too Much? Debt Capacity and Financial Flexibility
Executive Summary | Download Papers (Vers. 04/2014)
14-02
Christian Andres, Markus Doumet, Erik Fernau, Erik Theissen
The Lintner model revisited: Dividends versus total payouts
Executive Summary | Download Papers (Vers. 10/2013)
published in: Journal of Banking and Finance, Vol. 55, 2015, pp. 56-69.
14-01
Nicholas F. Carline, Scott C. Linn, Pradeep Yadav
Corporate Governance and the Nature of Takeover Resistance
Executive Summary | Download Papers (Vers. 03/2014)

Working Paper 2013

13-11
Rainer Baule, Olaf Korn, Sven Saßning
Which Beta is Best? On the Information Content of Option-Implied Betas
Executive Summary | Download Papers (Vers. 12/2013)
published in: European Financial Management, Vol. 22, 2016, pp. 450–483.
13-10
Vikas Agarwal, Linlin Ma, Kevin Mullally
Managerial Multitasking in the Mutual Fund Industry
Executive Summary | Download Papers (Vers. 06/2015)
13-09
Mark J. Kamstra, Lisa A. Kramer, Maurice D. Levi, Russ Wermers
Seasonal Asset Allocation: Evidence from Mutual Fund Flows
Executive Summary | Download Papers (Vers. 10/2013)
forthcoming in: Journal of Financial and Quantitative Analysis
13-08
Felix Brinkmann, Alexander Kempf, Olaf Korn
Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection
Executive Summary | Download Papers (Vers. 02/2014)
13-07
Gjergji Cici, Scott Gibson, Yalin Gunduz, John J. Merrick, Jr.
Market Transparency and the Marking Precision of Bond Mutual Fund Managers
Executive Summary | Download Papers (Vers. 06/2014)
published in: Journal of Portfolio Management, Vol. 41, 2015, pp. 126-137.
13-06
Sebastian Bethke, M. Gehde-Trapp, Alexander Kempf
Investor Sentiment, Flight-to-Quality, and Corporate Bond Comovement
Executive Summary | Download Papers (Vers. 08/2015)
forthcoming in: Journal of Banking and Finance
13-05
M. Gehde-Trapp, Philipp Schuster, Marliese Uhrig-Homburg
A Heterogeneous Agents Equilibrium Model for the Term Structure of Bond Market Liquidity
Executive Summary | Download Papers (Vers. 04/2016)
13-04
Vikas Agarwal, Kevin Mullally, Yuehua Tang, Baozhong Yang
Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance
Executive Summary | Download Papers (Vers. 05/2014)
published in: Journal of Finance, Vol. 70, 2015, pp. 2733–2776.
13-03
Vikas Agarwal, Vikram Nanda, Sugata Ray
Institutional Investment and Intermediation in the Hedge Fund Industry
Executive Summary | Download Papers (Vers. 06/2013)
13-02
Christian Andres, André Betzer, Markus Doumet, Erik Theissen
Open Market Share Repurchases in Germany: A Conditional Event Study Approach
Executive Summary | Download Papers (Vers. 02/2013)
forthcoming in: Abacus
13-01
Jürgen Gaul, Erik Theissen
A Partially Linear Approach to Modelling the Dynamics of Spot and Futures Prices
Executive Summary | Download Papers (Vers. 08/2012)
published in: Journal of Futures Markets, Vol. 35, 2015, pp. 371-384.

Working Paper 2012

12-12
M. Gehde-Trapp, Yalin Gündüz, Julia Nasev
The liquidity premium in CDS transaction prices: Do frictions matter?
Executive Summary | Download Papers (Vers. 08/2015)
published in: Journal of Banking and Finance, Vol. 61, 2015, pp. 184–205.
12-11
Russ Wermers, Youchang Wu, Josef Zechner
Governance and Shareholder Value in Delegated Portfolio Management: The Case of Closed-End Funds
Executive Summary | Download Papers (Vers. 11/2012)
published in: Review of Financial Studies, Vol. 29, 2016, pp. 3428-3470
12-10
M. Gehde-Trapp, Claudio Wewel
Transatlantic Systemic Risk
Executive Summary | Download Papers (Vers. 06/2013)
published in: Journal of Banking and Finance, Vol. 37, 2013, pp. 4241-4255.
12-09
Gjergji Cici, Alexander Kempf, Christoph Sorhage
Do Financial Advisors Provide Tangible Benefits for Investors? Evidence from Tax-Motivated Mutual Fund Flows
Executive Summary | Download Papers (Vers. 07/2015)
forthcoming in: Review of Finance
12-08
Stephan Jank
Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability
Executive Summary | Download Papers (Vers. 11/2012)
published in: Management Science, Vol. 61, 2015, pp. 1362-1377.
12-07
Gjergji Cici, Claire Rosenfeld
A Study of Analyst-Run Mutual Funds: The Abilities and Roles of Buy-Side Analysts
Executive Summary | Download Papers (Vers. 11/2015)
published in: Journal of Empirical Finance, Vol. 36, 2016, pp. 8-29.
12-06
Alexander Kempf, Alexander Pütz, Florian Sonnenburg
The Impact of Duality on Managerial Decisions and Performance: Evidence from the Mutual Fund Industry
Executive Summary | Download Papers (Vers. 10/2013)
12-05
Lawrence Schmidt, Allan Timmermann, Russ Wermers
Runs on Money Market Mutual Funds
Executive Summary | Download Papers (Vers. 06/2014)
published in: American Economic Review, Vol. 106, 2016, pp. 2625-57.
12-04
Russ Wermers
A Matter of Style: The Causes and Consequences of Style Drift in Institutional Portfolios
Executive Summary | Download Papers (Vers. 03/2012)
12-03
Christian Andres, André Betzer, Inga van den Bongard, Christian Haesner, Erik Theissen
The Information Content of Dividend Surprises: Evidence from Germany
Executive Summary | Download Papers (Vers. 06/2012)
published in: Journal of Business Finance and Accounting, Vol. 40, 2013, pp. 620-645.
12-02
Christian Andres, Erik Fernau, Erik Theissen
Should I Stay or Should I Go? Former CEOs as Monitors
Executive Summary | Download Papers (Vers. 02/2013)
published in: Journal of Corporate Finance, Vol.28, 2014, pp. 26-47.
12-01
Laura Andreu, Alexander Pütz
Choosing Two Business Degrees versus choosing One: What does it tell about Mutual Fund Managers’ Investment Behavior?
Executive Summary | Download Papers (Vers. 11/2016)
forthcoming in: Journal of Business Research

Working Paper 2011

11-16
Vikas Agarwal, Juan-Pedro Gómez, Richard Priestley
Management Compensation and Market Timing under Portfolio Constraints
Executive Summary | Download Papers (Vers. 02/2012)
published in: Journal of Economic Dynamics and Control, Vol. 36, 2012, pp. 1600-1625.
11-15
Thomas Dimpfl, Stephan Jank
Can internet search queries help to predict stock market volatility?
Executive Summary | Download Papers (Vers. 10/2011)
published in: European Financial Management, Vol. 22, 2016, pp. 171-192.
11-14
Peter Gomber, Uwe Schweickert, Erik Theissen
Liquidity Dynamics in an Electronic Open Limit Order Book: An Event Study Approach
Executive Summary | Download Papers (Vers. 10/2011)
published in: European Financial Management, Vol. 21, 2015, pp. 52-78.
11-13
Dieter Hess, Sebastian Orbe
Irrationality or Efficiency of Macroeconomic Survey Forecasts? Implications from the Anchoring Bias Test
Executive Summary | Download Papers (Vers. 08/2011)
published in: Review of Finance, Vol. 17, 2013, pp. 2097-2131.
11-12
Dieter Hess, Philipp Immenkötter
Optimal Leverage, its Bene fits, and the Business Cycle
Executive Summary | Download Papers (Vers. 08/2011)
11-11
Carsten Homburg, Nicolas Heinrichs, Dieter Hess, Michael Lorenz, Soenke Sievers
Extended Dividend, Cash Flow and Residual Income Valuation Models - Accounting for Deviations from Ideal Conditions
Executive Summary | Download Papers (Vers. 05/2011)
published in: Contemporary Accounting Research, Vol. 30, 2013, pp. 42-79.
11-10
Alexander Kempf, Olaf Korn, Sven Saßning
Portfolio Optimization Using Forward-Looking Information
Executive Summary | Download Papers (Vers. 01/2014)
published in: Review of Finance, Vol. 19, 2015, pp. 467-490.
11-09
Vikas Agarwal, Sugata Ray
Determinants and Implications of Fee Changes in the Hedge Fund Industry
Executive Summary | Download Papers (Vers. 03/2011)
11-08
Gjergji Cici, Luis-Felipe Palacios
On the Use of Options by Mutual Funds: Do They Know What They Are Doing?
Executive Summary | Download Papers (Vers. 02/2013)
published in: Journal of Banking and Finance, Vol. 50, 2015, pp. 157-168.
11-07
Vikas Agarwal, Gerald D. Gay, Leng Ling
Window dressing in mutual funds
Executive Summary | Download Papers (Vers. 06/2014)
published in: Review of Financial Studies, Vol. 27, 2014, pp. 3133-3170.
11-06
Nikolaus Hautsch, Dieter Hess, David Veredas
The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Executive Summary | Download Papers (Vers. 04/2011)
published in: Journal of Banking and Finance, Vol. 35, 2011, pp. 2733-2746.
11-05
Gjergji Cici
The Prevalence of the Disposition Effect in Mutual Funds´ Trades
Executive Summary | Download Papers (Vers. 04/2011)
published in: Journal of Financial and Quantitative Analysis, Vol. 47, 2012, pp. 795-820.
11-04
Stephan Jank
Mutual fund flows, expected returns, and the real economy
Executive Summary | Download Papers (Vers. 02/2011)
published in: Journal of Banking and Finance, Vol. 36, 2012, pp. 3060-3070.
11-03
Gerlinde Fellner, Erik Theissen
Short Sale Constraints, Divergence of Opinion and Asset Value: Evidence from the Laboratory
Executive Summary | Download Papers (Vers. 01/2011)
published in: Journal of Economic Behavior and Organization, Vol. 101, 2014, pp. 113-127.
11-02
Stephan Jank
Are There Disadvantaged Clienteles in Mutual Funds?
Executive Summary | Download Papers (Vers. 02/2011)
11-01
Vikas Agarwal, Costanza Meneghetti
The Role of Hedge Funds as Primary Lenders
Executive Summary | Download Papers
published in: Review of Derivatives Research, Vol. 14, 2011, pp. 241-261.

Working Paper 2010

10-20
Gjergji Cici, Scott Gibson, John J. Merrick, Jr.
Missing the Marks? Dispersion in Corporate Bond Valuations Across Mutual Funds
Executive Summary | Download Papers (Vers. 12/2010)
published in: Journal of Financial Economics, Vol. 101, 2011, pp. 206-226.
10-19
Jördis Hengelbrock, Erik Theissen, Christian Westheide
Market Response to Investor Sentiment
Executive Summary | Download Papers (Vers. 12/2010)
published in: Journal of Business Finance and Accounting, Vol. 40, 2013, pp. 901-917.
10-18
Gjergji Cici, Scott Gibson
The Performance of Corporate-Bond Mutual Funds: Evidence Based on Security-Level Holdings
Executive Summary | Download Papers (Vers. 11/2010)
published in: Journal of Financial and Quantitative Analysis, Vol. 47, 2012, pp. 159-178.
10-17
Dieter Hess, Daniel Kreutzmann, Oliver Pucker
Projected Earnings Accuracy and the Profitability of Stock Recommendations
Executive Summary | Download Papers (Vers. 02/2011)
10-16
Stephan Jank, Michael Wedow
Sturm und Drang in Money Market Funds: When Money Market Funds Cease to Be Narrow
Executive Summary | Download Papers (Vers. 09/2010)
published in: Journal of Financial Stability , Vol. 16, 2015, pp. 59-70.
10-15
Gjergji Cici, Alexander Kempf, Alexander Pütz
The Valuation of Hedge Funds’ Equity Positions
Executive Summary | Download Papers (Vers. 05/2013)
published in: Journal of Financial and Quantitative Analysis, Vol 51, 2016, pp. 1013-1037.
10-14
Joachim Grammig, Stephan Jank
Creative Destruction and Asset Prices
Executive Summary | Download Papers (Vers. 08/2010)
published in: Journal of Financial and Quantitative Analysis, Vol. 51, 2016, pp. 1739-1768.
10-13
Stephan Jank, Michael Wedow
Purchase and Redemption Decisions of Mutual Fund Investors and the Role of Fund Families
Executive Summary | Download Papers (Vers. 07/2010)
published in: European Journal of Finance, Vol. 19, 2013, pp. 127-144.
10-12
Sabine Artmann, Philipp Finter, Alexander Kempf, Stefan Koch, Erik Theissen
The Cross-Section of German Stock Returns: New Data and New Evidence
Executive Summary | Download Paper (externer Link)
published in: Schmalenbach Business Review, Vol. 64, 2012, pp. 20-43.
10-11
Marc Chesney, Alexander Kempf
The Value of Tradeability
Executive Summary | Download Papers (Vers. 07/2011)
published in: Review of Derivatives Research, Vol. 15, 2012, pp.193-216.
10-10
Stefan Frey, Patrick Herbst
The Influence of Buy-Side Analysts on Mutual Fund Trading
Executive Summary | Download Papers (Vers. 06/2010)
published in: Journal of Banking and Finance, Vol. 49, 2014, pp. 442-458.
10-09
Vikas Agarwal, Wei Jiang, Yuehua Tang, Baozhong Yang
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
Executive Summary | Download Papers (Vers. 05/2011)
published in: Journal of Finance, Vol. 68, 2013, pp. 739-783.
10-08
Vikas Agarwal, Vyacheslav Fos, Wei Jiang
Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings
Executive Summary | Download Papers (Vers. 07/2012)
published in: Management Science, Vol. 59, 2013, pp. 1271-1289.
10-07
Vikas Agarwal, Gurdip Bakshi, Joop Huij
Do Higher-Moment Equity Risks Explain Hedge Fund Returns?
Executive Summary | Download Papers (Vers. 08/2009)
10-06
Joachim Grammig, Franziska J. Peter
Tell-Tale Tails: A data driven approach to estimate unique market information shares
Executive Summary | Download Papers (Vers. 03/2010)
published in: Journal of Financial and Quantitative Analysis, Vol. 48, 2013, pp. 459-488.
10-05
Kerstin Drachter, Alexander Kempf
Vergütung von Managern deutscher Aktienfonds: Höhe, Struktur, Determinanten und Anreizwirkungen
Executive Summary | Download Paper (externer Link)
published in: Zeitschrift für Betriebswirtschaft - ZfB, Vol. 82, 2012, pp. 5-28.
10-04
Jieyan Fang, M. Gehde-Trapp, Alexander Kempf
Fund Manager Allocation
Executive Summary | Download Papers (Vers. 06/2012)
published in: Journal of Financial Economics, Vol. 111, 2014, pp. 661-674.
10-03
Philipp Finter, Alexandra Niessen-Ruenzi, Stefan Ruenzi
The Impact of Investor Sentiment on the German Stock Market
Executive Summary | Download Paper (externer Link)
published in: Zeitschrift für Betriebswirtschaft - ZfB, Vol. 82, 2012, pp. 133-163.
10-02
David Hunter, Eugene Kandel, Shmuel Kandel, Russ Wermers
Mutual Fund Performance Evaluation with Active Peer Benchmarks
Executive Summary | Download Papers (Vers. 08/2013)
published in: Journal of Financial Economics, Vol. 112, 2014, pp. 1-29.
10-01
Sabine Artmann, Philipp Finter, Alexander Kempf
Determinants of Expected Stock Returns: Large Sample Evidence from the German Market
Executive Summary | Download Papers (Vers. 07/2011)
published in: Journal of Business Finance and Accounting, Vol.39, 2012, pp. 758-784.

Working Paper 2009

09-17
Erik Theissen
Price Discovery in Spot and Futures Markets: A Reconsideration
Executive Summary | Download Papers (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
Executive Summary | Download Papers (Vers. 11/2009)
09-15
André Betzer, Jasmin Gider, Daniel Metzger, Erik Theissen
Strategic Trading and Trade Reporting by Corporate Insiders
Executive Summary | Download Papers (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
Executive Summary | Download Papers
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
Executive Summary | Download Papers (Vers. 10/2009)
09-12
Wolfgang Bühler, M. Gehde-Trapp
Explaining the Bond-CDS Basis – The Role of Credit Risk and Liquidity
Executive Summary | Download Papers
09-11
Stephen J. Taylor, Pradeep Yadav, Yuanyuan Zhang
Cross-sectional analysis of risk-neutral skewness
Executive Summary | Download Papers (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
Executive Summary | Download Papers (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
Executive Summary | Download Papers (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
Executive Summary | Download Papers (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
Executive Summary | Download Papers (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
Executive Summary | Download Papers (Vers. 05/2009)
09-05
Héléna Beltran-Lopez, Pierre Giot, Joachim Grammig
Commonalities in the Order Book
Executive Summary | Download Papers (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
Executive Summary | Download Papers
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
Executive Summary | Download Papers (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
Executive Summary | Download Papers (Vers. 02/2009)
published in: International Journal of Theoretical and Applied Finance, Vol. 14, 2011, pp. 525-557.

Working Paper 2008

08-12
Ute Bonenkamp, Carsten Homburg, Alexander Kempf
Fundamental Information in Technical Trading Strategies
Executive Summary | Download Papers (Vers. 02/2009)
published in: Journal of Business Finance and Accounting, Vol. 38, 2011, pp. 842-860.
08-11
Olaf Korn
Risk Management With Default-risky Forwards
Executive Summary | Download Papers
published in: Schmalenbach Business Review, Vol. 62, 2010, pp. 102-125.
08-10
Joachim Grammig, Franziska J. Peter
International Price Discovery in the Presence of Market Microstructure Effects
Executive Summary | Download Papers (Vers. 12/2008)
08-09
Camelia M. Kuhnen, Alexandra Niessen-Ruenzi
Public Opinion and Executive Compensation
Executive Summary | Download Papers (Vers. 05/2010)
published in: Management Science, Vol. 58, 2012, pp. 1249-1272.
08-08
Alexander Pütz, Stefan Ruenzi
Overconfidence among Professional Investors: Evidence from Mutual Fund Managers
Executive Summary | Download Papers (Vers. 11/2010)
published in: Journal of Business Finance and Accounting, Vol. 38, 2011, pp. 684-712.
08-07
Peer Osthoff
What matters to SRI investors?
Executive Summary | Download Papers (Vers. 09/2008)
08-06
André Betzer, Erik Theissen
Sooner or Later: Delays in Trade Reporting by Corporate Insiders
Executive Summary | Download Papers (Vers. 08/2008)
published in: Journal of Business Finance and Accounting, Vol. 37, 2010, pp. 130-147.
08-05
Philipp Linge, Erik Theissen
Determinanten der Aktionärspräsenz auf Hauptversammlungen deutscher Aktiengesellschaften
Executive Summary | Download Papers (Vers. 04/2008)
08-04
Nikolas Hautsch, Dieter Hess, Christoph Müller
Price Adjustment to News with Uncertain Precision
Executive Summary | Download Papers (Vers. 10/2011)
published in: Journal of International Money and Finance, Vol. 31, 2012, pp. 337-355.
08-03
Dieter Hess, He Huang, Alexandra Niessen-Ruenzi
How do Commodity Futures Respond to Macroeconomic News?
Executive Summary | Download Papers
published in: Financial Markets and Portfolio Management, Vol. 22, 2008, pp. 127-146.
08-02
Rajesh Chakrabarti, William L. Megginson, Pradeep Yadav
Corporate Governance in India
Executive Summary | Download Papers (Vers. 12/2007)
published in: Journal of Applied Corporate Finance, Vol. 20, 2008, pp. 59-72.
08-01
Christian Andres, Erik Theissen
Setting a Fox to Keep the Geese - Does the Comply-or-Explain Principle Work?
Executive Summary | Download Papers (Vers. 02/2008)
published in: Journal of Corporate Finance, Vol. 14, 2008, pp. 289–301.

Working Paper 2007

07-16
Michaela Bär, Alexandra Niessen-Ruenzi, Stefan Ruenzi
The Impact of Work Group Diversity on Performance: Large Sample Evidence from the Mutual Fund Industry
Executive Summary | Download Papers (Vers. 09/2007)
07-15
Alexandra Niessen-Ruenzi, Stefan Ruenzi
Political Connectedness and Firm Performance - Evidence from Germany
Executive Summary | Download Papers (Vers. 03/2009)
published in: German Economic Review, Vol. 11, 2010, pp. 441-464.
07-14
Olaf Korn, Alexander Merz
How to Hedge if the Payment Date is Uncertain?
Executive Summary | Download Papers (Vers. 03/2016)
07-13
Alexander Kempf, Peer Osthoff
SRI Funds: Nomen est Omen
Executive Summary | Download Papers (Vers. 08/2007)
published in: Journal of Business Finance and Accounting, Vol. 35, 2008, pp. 1276-1294.
07-12
Joachim Grammig, Erik Theissen, Oliver Wuensche
Time and Price Impact of a Trade: A Structural Approach
Executive Summary | Download Papers (Vers. 07/2007)
07-11
Vikas Agarwal, Jayant R. Kale
On the Relative Performance of Multi-Strategy and Funds of Hedge Funds
Executive Summary | Download Papers (Vers. 06/2007)
published in: Journal of Investment Management, Vol. 5, 2007, pp. 41-63.
07-10
Maria Kasch-Haroutounian, Erik Theissen
Competition Between Exchanges: Euronext versus Xetra
Executive Summary | Download Papers (Vers. 11/2006)
published in: European Financial Management, Vol. 15, 2009, pp. 181-207.
07-09
Vikas Agarwal, Naveen D. Daniel, Narayan Y. Naik
Do hedge funds manage their reported returns?
Executive Summary | Download Papers (Vers. 09/2009)
published in: Review of Financial Studies, Vol. 24, 2011, pp. 3281-3320.
07-08
Nerissa C. Brown, Kelsey D. Wei, Russ Wermers
Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices
Executive Summary | Download Papers (Vers. 03/2007)
published in: Management Science, Vol. 60, 2014, pp. 1-20.
07-07
André Betzer, Erik Theissen
Insider Trading and Corporate Governance: The Case of Germany
Executive Summary | Download Papers (Vers. 03/2007)
published in: European Financial Management, Vol. 15, 2009, pp. 402-429.
07-06
Vikas Agarwal, Lingling Wang
Transaction Costs and Value Premium
Executive Summary | Download Papers
07-05
Joachim Grammig, Andreas Schrimpf
Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns
Executive Summary | Download Papers (Vers. 03/2009)
published in: Review of Financial Economics, Vol. 18, 2009, pp. 113-123.
07-04
Vikas Agarwal, Nicole M. Boyson, Narayan Y. Naik
Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds
Executive Summary | Download Papers (Vers. 05/2007)
published in: Journal of Financial and Quantitative Analysis, Vol. 44, 2009, pp. 273-305.
07-03
Dieter Hess, Alexandra Niessen-Ruenzi
The Early News Catches the Attention: On the Relative Price Impact of Similar Economic Indicators
Executive Summary | Download Papers (Vers. 06/2007)
published in: Journal of Futures Markets, Vol. 30, 2010, pp. 909-937.
07-02
Alexander Kempf, Stefan Ruenzi, Tanja Thiele
Employment Risk, Compensation Incentives and Managerial Risk Taking - Evidence from the Mutual Fund Industry
Executive Summary | Download Papers (Vers. 05/2008)
published in: Journal of Financial Economics, Vol. 92, 2009, pp. 92-108.
07-01
Meike Hagemeister, Alexander Kempf
CAPM und erwartete Renditen: Eine Untersuchung auf Basis der Erwartung von Marktteilnehmern
Executive Summary | Download Papers
published in: DBW - Die Betriebswirtschaft, Vol. 70, 2010, pp. 145-164.

Working Paper 2006

06-13
Sanela Celjo-Hörhager, Alexandra Niessen-Ruenzi
How do Self-fulfilling Prophecies affect Financial Ratings? An experimental study
Executive Summary | Download Papers
06-12
Russ Wermers, Youchang Wu, Josef Zechner
Portfolio Performance, Discount Dynamics, and the Turnover of Closed-End Fund Managers
Executive Summary | Download Papers (Vers. 12/2005)
06-11
Stefan Ruenzi, Ulf von Lilienfeld-Toal
Why Managers Hold Shares of Their Firm: An Empirical Analysis
Executive Summary | Download Papers (Vers. 10/2006)
06-10
Alexander Kempf, Peer Osthoff
The Effect of Socially Responsible Investing on Portfolio Performance
Executive Summary | Download Papers (Vers. 05/2007)
published in: European Financial Management, Vol. 13, 2007, pp. 908-922.
06-09
Russ Wermers, Tong Yao, Jane Zhao
Forecasting Stock Returns Through an Efficient Aggregation of Mutual Fund Holdings
Executive Summary | Download Papers (Vers. 07/2012)
published in: Review of Financial Studies, Vol. 25, 2012, pp. 3490-3529.
06-08
Mathias Hoffmann, Bernd Kempa
The Poole Analysis in the New Open Economy Macroeconomic Framework
Executive Summary | Download Papers (Vers. 06/2006)
published in: Review of international Economics, Vol. 17, 2009, pp. 1074–1097.
06-07
Kerstin Drachter, Alexander Kempf, Michael Wagner
Decision Processes in German Mutual Fund Companies: Evidence from a Telephone Survey
Executive Summary | Download Papers
published in: International Journal of Managerial Finance, Vol. 3, 2007, pp. 49-69.
06-06
Jan P. Krahnen, Frank A. Schmid, Erik Theissen
Investment Performance and Market Share: A Study of the German Mutual Fund Industry
Executive Summary | Download Papers (Vers. 03/2006)
published in: Bessler, Wolfgang (Hrsg.): Börsen, Banken und Kapitalmärkte. Festschrift für Hartmut Schmidt zum 65. Geburtstag, Duncker & Humblot, Berlin, 2006, pp. 471-491.
06-05
Silke Ber, Stefan Ruenzi
On the Usability of Synthetic Measures of Mutual Fund Net-Flows
Executive Summary | Download Papers
06-04
Alexander Kempf, Daniel Mayston
Liquidity Commonality Beyond Best Prices
Executive Summary | Download Papers (Vers. 04/2006)
published in: Journal of Financial Research, Vol. 31, 2008, pp. 25-40.
06-03
Olaf Korn, Christian Koziol
Bond Portfolio Optimization: A Risk-Return Approach
Executive Summary | Download Papers
published in: Journal of Fixed Income, Vol. 15, 2006, pp. 48-60.
06-02
Laurent Barras, Olivier Scaillet, Russ Wermers
False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
Executive Summary | Download Papers (Vers. 04/2009)
published in: Journal of Finance, Vol. 65, 2010, pp. 179-216.
06-01
Alexandra Niessen-Ruenzi, Stefan Ruenzi
Sex Matters: Gender Differences in a Professional Setting
Executive Summary | Download Papers (Vers. 02/2007)

Working Paper 2005

05-16
Erik Theissen
An Analysis of Private Investors´ Stock Market Return Forecasts
Executive Summary | Download Papers (Vers. 11/2005)
published in: Applied Financial Economics, Vol. 17, 2007, pp. 35-43.
05-15
Thierry Foucault, Sophie Moinas, Erik Theissen
Does Anonymity Matter in Electronic Limit Order Markets?
Executive Summary | Download Papers (Vers. 05/2005)
published in: Review of Financial Studies, Vol. 20, 2007, pp. 1707-1747.
05-14
Robert Kosowski, Allan Timmermann, Russ Wermers, Hal White
Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis
Executive Summary | Download Papers (Vers. 05/2005)
published in: Journal of Finance, Vol. 61, 2006, pp. 2551-2596.
05-13
Doron Avramov, Russ Wermers
Investing in Mutual Funds when Returns are Predictable
Executive Summary | Download Papers (Vers. 04/2005)
published in: Journal of Financial Economics, Vol. 81, 2006, pp. 339-377.
05-12
Knut Griese, Alexander Kempf
Liquiditätsdynamik am deutschen Aktienmarkt
Executive Summary | Download Papers (Vers. 10/2005)
published in: DBW - Die Betriebswirtschaft, Vol. 66, 2006, pp. 402-418.
05-11
Silke Ber, Alexander Kempf, Stefan Ruenzi
Determinanten der Mittelzuflüsse bei deutschen Aktienfonds
Executive Summary | Download Papers
published in: zfbf - Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung, Vol. 59, 2007, pp. 35-60.
05-10
Michaela Bär, Alexander Kempf, Stefan Ruenzi
Is a Team Different From the Sum of Its Parts? Evidence from Mutual Fund Managers
Executive Summary | Download Papers
published in: Review of Finance, Vol. 15, 2011, pp. 359-396.
05-09
Mathias Hoffmann
Saving, Investment and the Net Foreign Asset Position
Executive Summary | Download Papers (Vers. 08/2005)
05-08
Stefan Ruenzi
Mutual Fund Growth in Standard an Specialist Market Segments
Executive Summary | Download Papers (Vers. 04/2005)
published in: Financial Markets and Portfolio Management, Vol. 19, 2005, pp. 153-167.
05-07
Alexander Kempf, Stefan Ruenzi
Status Quo Bias and the Number of Alternatives - An Empirical Illustration from the Mutual Fund Industry
Executive Summary | Download Papers (Vers. 03/2005)
published in: Journal of Behavioral Finance, Vol. 7, 2006, pp. 204-213.
05-06
Joachim Grammig, Erik Theissen
Is BEST Really Better? Internalization of Orders in an Open Limit Order Book
Executive Summary | Download Paper (externer Link)
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
Executive Summary | Download Papers (Vers. 02/2005)
published in: European Journal of Finance, Vol. 18, 2012, pp. 737-759.
05-04
Mathias Hoffmann
Compensating Wages under Different Exchange Rate Regimes
Executive Summary | Download Papers (Vers. 02/2005)
05-03
Mathias Hoffmann
Fixed versus Flexible Exchange Rates: Evidence from Developing Countries
Executive Summary | Download Papers (Vers. 02/2005)
published in: Economica, Vol. 74, 2007, pp. 425-449.
05-02
Alexander Kempf, Christoph Memmel
Estimating the Global Minimum Variance Portfolio
Executive Summary | Download Paper (externer Link)
published in: Schmalenbach Business Review, Vol. 58, 2006, pp. 332-348.
05-01
Stefan Frey, Joachim Grammig
Liquidity Supply and Adverse Selection in a Pure Limit Order Book Market
Executive Summary | Download Papers (Vers. 01/2005)
published in: Empirical Economics, Vol. 30, 2006, pp. 1007-1033.

Working Paper 2004

04-10
Nikolaus Hautsch, Dieter Hess
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery
Executive Summary | Download Papers (Vers. 09/2004)
published in: Journal of Financial and Quantitative Analysis, Vol. 42, 2007, pp. 189-208.
04-09
Alexander Kempf, Klaus Kreuzberg
Portfolio Disclosure, Portfolio Selection and Mutual Fund Performance Evaluation
Executive Summary | Download Papers (Vers. 05/2004)
04-08
Nicholas Carline, Scott C. Linn, Pradeep Yadav
Operating performance changes associated with corporate mergers and the role of corporate governance
Executive Summary | Download Papers (Vers. 03/2009)
published in: Journal of Banking and Finance, Vol. 33, 2009, pp. 1829-1841.
04-07
John J. Merrick, Jr., Narayan Y. Naik, Pradeep Yadav
Strategic Trading Behavior and Price Distortion in a Manipulated Market: Anatomy of a Squeeze
Executive Summary | Download Papers
published in: Journal of Financial Economics, Vol. 77, 2005, pp. 171-218.
04-06
Narayan Y. Naik, Pradeep Yadav
Trading Costs of Public Investors with Obligatory and Voluntary Market-Making: Evidence from Market Reforms
Executive Summary | Download Papers (Vers. 04/2004)
04-05
Alexander Kempf, Stefan Ruenzi
Family Matters: Ranking within Fund Families and Fund Inflows
Executive Summary | Download Papers (Vers. 04/2007)
published in: Journal of Business Finance and Accounting, Vol. 35, 2008, pp. 177-199.
04-04
Vikas Agarwal, Naveen D. Daniel, Narayan Y. Naik
Role of managerial incentives and discretion in hedge fund performance
Executive Summary | Download Papers (Vers. 11/2009)
published in: Journal of Finance, Vol. 64, 2009, pp. 2221–2256.
04-03
Vikas Agarwal, William H. Fung, Yee Cheng Loon, Narayan Y. Naik
Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market
Executive Summary | Download Papers (Vers. 02/2009)
published in: Journal of Empirical Finance, Vol. 18, 2011, pp. 175-194.
04-02
Alexander Kempf, Stefan Ruenzi
Tournaments in Mutual Fund Families
Executive Summary | Download Papers (Vers. 10/2004)
published in: Review of Financial Studies, Vol. 21, 2008, pp. 1013-1036.
04-01
Ibrahim Chowdhury, Mathias Hoffmann, Andreas Schabert
Inflation Dynamics and the Cost Channel of Monetary Transmission
Executive Summary | Download Papers (Vers. 09/2004)
published in: European Economic Review, Vol. 50, 2006, pp. 995-1016.

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