CFR Working Papers

from University of Cologne, Centre for Financial Research (CFR)
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13-02: Open market share repurchases in Germany: A conditional event study approach

Christian Andres, André Betzer, Markus Doumet and Erik Theissen

13-01: A partially linear approach to modelling the dynamics of spot and futures prices

Jürgen Gaul and Erik Theissen

12-12: The price impact of CDS trading

Yalin Gündüz, Julia Nasev and Monika Trapp

12-12 [rev.]: The price impact of CDS trading

Yalin Gündüz, Julia Nasev and Monika Trapp

12-11: Governance and shareholder value in delegated portfolio management: The case of closed-end funds

Youchang Wu, Russ Wermers and Josef Zechner

12-10: Transatlantic systemic risk

Monika Trapp and Claudio Wewel

12-09 [rev.]: Are financial advisors useful? Evidence from tax-motivated mutual fund flows

Gjergji Cici, Alexander Kempf and Christoph Sorhage

12-09: Are financial advisors useful? Evidence from tax-motivated mutual fund flows

Gjergji Cici, Alexander Kempf and Christoph Sorhage

12-08: Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability

Stephan Jank

12-07: The investment abilities of mutual fund buy-side analysts

Gjergji Cici and Claire Rosenfeld

12-06: Fund manager duality: Impact on performance and investment behavior

Alexander Kempf, Alexander Pütz and Florian Sonnenburg

12-05: Runs on money market mutual funds

Russ Wermers

12-04: A matter of style: The causes and consequences of style drift in institutional portfolios

Russ Wermers

12-03: Dividend announcements reconsidered: Dividend changes versus dividend surprises

Christian Andres, André Betzer, Inga van den Bongard, Christian Haesner and Erik Theissen

12-02: Is it better to say goodbye? When former executives set executive pay

Christian Andres, Erik Fernau and Erik Theissen

12-01: Are two business degrees better than one? Evidence from mutual fund managers' education

Laura Andreu and Alexander Pütz

11-16 [rev.]: Management compensation and market timing under portfolio constraints

Vikas Agarwal, Juan-Pedro Gómez and Richard Priestley

11-16: Management compensation and market timing under portfolio constraints

Vikas Agarwal, Juan-Pedro Gómez and Richard Priestley

11-15: Can internet search queries help to predict stock market volatility?

Thomas Dimpfl and Stephan Jank

11-14: Liquidity dynamics in an electronic open limit order book: An event study approach

Peter Gomber, Uwe Schweickert and Erik Theissen

11-13: Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test

Dieter Hess and Sebastian Orbe

11-12: Optimal leverage, its benefits, and the business cycle

Dieter Hess and Philipp Immenkötter

11-11: Extended dividend, cash flow and residual income valuation models: Accounting for deviations from ideal conditions

Nicolas Heinrichs, Dieter Hess, Carsten Homburg, Michael Lorenz and Soenke Sievers

11-10: Portfolio optimization using forward-looking information

Alexander Kempf, Olaf Korn and Sven Saßning

11-09: Determinants and implications of fee changes in the hedge fund industry

Vikas Agarwal and Sugata Ray

11-08: On the use of options by mutual funds: Do they know what they are doing?

Gjergji Cici and Luis-Felipe Palacios

11-08 [rev.]: On the use of options by mutual funds: Do they know what they are doing?

Gjergji Cici and Luis-Felipe Palacios

11-07 [rev.]: Performance inconsistency in mutual funds: An investigation of window-dressing behavior

Vikas Agarwal, Gerald D. Gay and Leng Ling

11-07: Window dressing in mutual funds

Vikas Agarwal, Gerald D. Gay and Leng Ling

11-06: The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Nikolaus Hautsch, Dieter E. Hess and David Veredas

11-05: The relation of the disposition effect to mutual fund trades and performance

Gjergji Cici

11-04: Mutual fund flows, expected returns, and the real economy

Stephan Jank

11-03: Short sale constraints, divergence of opinion and asset value: Evidence from the laboratory

Gerlinde Fellner and Erik Theissen

11-02: Are there disadvantaged clienteles in mutual funds?

Stephan Jank

11-01: Market response to investor sentiment

Jördis Hengelbrock, Erik Theissen and Christian Westheide

10-20: Missing the marks? Dispersion in corporate bond valuations across mutual funds

Gjergji Cici, Scott Gibson and John J. Merrick

10-19: Risk and return in convertible arbitrage: Evidence from the convertible bond market

Vikas Agarwal, William H. Fung, Yee Cheng Loon and Narayan Y. Naik

10-18: The performance of corporate-bond mutual funds: Evidence based on security-level holdings

Gjergji Cici and Scott Gibson

10-17: Projected earnings accuracy and the profitability of stock recommendations

Dieter E. Hess, Daniel Kreutzmann and Oliver Pucker

10-17 [rev.]: Projected earnings accuracy and the profitability of stock recommendations

Dieter Hess, Daniel Kreutzmann and Oliver Pucker

10-16: Sturm und Drang in money market funds: When money market funds cease to be narrow

Stephan Jank and Michael Wedow

10-15 [rev.]: The valuation of hedge funds' equity positions

Gjergji Cici, Alexander Kempf and Alexander Pütz

10-15: Caught in the act: How hedge funds manipulate their equity positions

Gjergji Cici, Alexander Kempf and Alexander Pütz

10-14: Creative destruction and asset prices

Joachim Grammig and Stephan Jank

10-13: Purchase and redemption decisions of mutual fund investors and the role of fund families

Stephan Jank and Michael Wedow

10-12: The cross-Section of German stock returns: New data and new evidence

Sabine Artmann, Philipp Finter, Alexander Kempf, Stefan Koch and Erik Theissen

10-11 [rev.]: The value of tradeability

Marc Chesney and Alexander Kempf

10-11: The value of tradeability

Marc Chesney and Alexander Kempf

10-10: The influence of buy-side analysts on mutual fund trading

Stefan Frey and Patrick Herbst

10-09 [rev.]: Uncovering hedge fund skill from the portfolio holdings they hide

Vikas Agarwal, Wei Jiang, Yuehua Tang and Baozhong Yang