CFR Working Papers

From University of Cologne, Centre for Financial Research (CFR)
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2003: Regulatory stress testing and bank performance

Lukas Ahnert, Pascal Vogt, Volker Vonhoff and Florian Weigert

2002: Finanzwirtschaftliche Anwendungen der Blockchain-Technologie

Philipp Schuster, Erik Theissen and Marliese Uhrig-Homburg

2001: Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Stefan Ruenzi, Michael Ungeheuer and Florian Weigert

1906: Small is beautiful? How the introduction of mini futures contracts affects the regular contract

Stefan Greppmair and Erik Theissen

1905: Finding your calling: Matching skills with jobs in the mutual fund industry

Gjergji Cici, Mario Hendriock and Alexander Kempf

1904: Drawdown measures: Are they all the same?

Olaf Korn, Philipp M. Möller and Christian Schwehm

1903: #MeToo meets the mutual fund industry: Productivity effects of sexual harassment

Gjergji Cici, Mario Hendriock, Stefan Jaspersen and Alexander Kempf

1902: Liquidity in the German stock market

Thomas Johann, Stefan Scharnowski, Erik Theissen, Christian Westheide and Lukas Zimmermann

1901: Till death (or divorce) do us part: Early-life family disruption and investment behavior

André Betzer, Peter Limbach, Raghavendra Rau and Henrik Schürmann

1806: Firms’ rationales for CEO duality: Evidence from a mandatory disclosure regulation

Marc Goergen, Peter Limbach and Meik Scholz-Daneshgari

1805: Where Does Investor Relations Matter the Most?

Francois Brochet, Peter Limbach, Dmitry Bazhutov, André Betzer and Markus Doumet

1804: Knowledge spillovers in the mutual fund industry through labor mobility

Gjergji Cici, Alexander Kempf and Claudia Peitzmeier

1803: Underpricing in the euro area corporate bond market: New evidence from post-crisis regulation and quantitative easing

Tobias Rischen and Erik Theissen

1802: Trust and monitoring

Simon Lesmeister, Peter Limbach and Marc Goergen

1801: The impact of labor mobility restrictions on managerial actions: Evidence from the mutual fund industry

Gjergji Cici, Mario Hendriock and Alexander Kempf

1704: Do connections with buy-side analysts inform sell-side analyst research?

Gjergji Cici, Philip B. Shane and Yanhua Sunny Yang

1703: Explaining and benchmarking corporate bond returns

Gjergji Cici, Scott Gibson and Rabih Moussawi

1702: Screening Discrimination in Financial Markets: Evidence from CEO-Fund Manager Dyads

Stefan Jaspersen and Peter Limbach

1701: A two-step indirect inference approach to estimate the long-run risk asset pricing model

Joachim Grammig and Eva-Maria Küchlin

1612: Are generalists beneficial to corporate shareholders? Evidence from sudden deaths

André Betzer, Maximilian Ibel, Hye Seung Lee, Peter Limbach and Jesus M. Salas

1611: CEO tenure and firm value

Francois Brochet, Peter Limbach, Markus Schmid and Meik Scholz-Daneshgari

1610: Mutual fund transparency and corporate myopia

Vikas Agarwal, Rahul Vashishtha and Mohan Venkatachalam

1609: Do generalists profit from the fund families' specialists? Evidence from mutual fund families offering sector funds

Marc-André Göricke

1608: Stock Illiquidity, option prices, and option returns

Stefan Kanne, Olaf Korn and Marliese Uhrig-Homburg

1607: Mutual Fund Bets on Market Power

Stefan Jaspersen

1606: Hedging with regret

Olaf Korn and Marc Oliver Rieger

1605: Call of duty: Designated market maker participation in call auctions

Erik Theissen and Christian Westheide

1604: Spoilt for choice: Order routing decisions in fragmented equity markets

Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber and Christian Westheide

1603: Managerial ownership changes and mutual fund performance

Thorsten Martin and Florian Sonnenburg

1602: The freedom of information act and the race towards information acquisition

Antonio Gargano, Alberto G. Rossi and Russell Wermers

1601: Cross-company effects of common ownership: Dealings between borrowers and lenders with a common blockholder

Gjergji Cici, Scott Gibson and Claire Rosenfeld

1517r: Low-beta strategies

Olaf Korn and Laura-Chloé Kuntz

1517: Low-beta investment strategies

Olaf Korn and Laura-Chloé Kuntz

1516: Network centrality and pension fund performance

Alberto G. Rossi, David Blake, Allan Timmermann, Ian Tonks and Russell Wermers

1515: Dissecting short-sale performance: Evidence from large position disclosures

Stephan Jank and Esad Smajlbegovic

1514: Ich bin dann mal weg: Werteffekte von Delistings deutscher Aktiengesellschaften nach dem Frosta-Urteil

Markus Doumet, Peter Limbach and Erik Theissen

1513: Government ownership, informed trading, and private information

Ginka Borisova and Pradeep K. Yadav

1512: Funding liquidity risk of funds of hedge funds: Evidence from their holdings

Vikas Agarwal, George O. Aragon and Zhen Shi

1511: Dealer spreads in the corporate bond market: Agent vs. market-making roles

Louis Ederington, Wei Guan and Pradeep K. Yadav

1510: The pricing of different dimensions of liquidity: Evidence from government guaranteed bank bonds

Jeffrey R. Black, Duane Stock and Pradeep K. Yadav

1509r: Interfund lending in mutual fund families: Role of internal capital markets

Vikas Agarwal and Haibei Zhao

1509: Interfund lending in mutual fund families: Role of internal capital markets

Vikas Agarwal and Haibei Zhao

1508: Alpha or beta in the eye of the beholder: What drives hedge fund flows?

Vikas Agarwal, Tracy Clifton Green and Honglin Ren

1507: Tail risk in hedge funds: A unique view from portfolio holdings

Vikas Agarwal, Stefan Ruenzi and Florian Weigert

1506: Holding Horizon: A New Measure of Active Investment Management

Chunhua Lan, Fabio Moneta and Russell Wermers

1505: Milk or wine: Mutual funds' (dis)economies of life

Laura K. Dahm and Christoph Sorhage

1504: Resiliency: A dynamic view of liquidity

Alexander Kempf, Daniel Mayston, Monika Gehde-Trapp and Pradeep K. Yadav

1503r: Volatility of aggregate volatility and hedge funds returns

Vikas Agarwal, Yakup Arisoy and Narayan Y. Naik

1503: Volatility of aggregate volatility and hedge funds returns

Vikas Agarwal, Yakup Arisoy and Narayan Y. Naik

1502r: Speed of information diffusion within fund families

Gjergji Cici, Stefan Jaspersen and Alexander Kempf