CFR Working Papers

From University of Cologne, Centre for Financial Research (CFR)
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1502: Speed of information diffusion within fund families

Gjergji Cici, Stefan Jaspersen and Alexander Kempf

1501: Who trades on momentum?

Markus Baltzer, Stephan Jank and Esad Smajlbegovic

1414: Trading efficiency of fund families: Impact on fund performance and investment behavior

Gjergji Cici, Laura K. Dahm and Alexander Kempf

1413: Under one roof: A study of simultaneously managed hedge funds and funds of hedge funds

Vikas Agarwal, Yan Lu and Sugata Ray

1412r3: Does CEO fitness matter?

Peter Limbach and Florian Sonnenburg

1412r2: CEO fitness and firm value

Peter Limbach and Florian Sonnenburg

1412r: CEO fitness and firm value

Peter Limbach and Florian Sonnenburg

1412: CEO fitness and firm value

Peter Limbach and Florian Sonnenburg

1411: What they did in their previous life: The investment value of mutual fund managers' experience outside the financial sector

Gjergji Cici, Monika Gehde-Trapp, Marc-André Göricke and Alexander Kempf

1410: Illiquidity transmission from spot to futures markets

Olaf Korn, Paolo Krischak and Erik Theissen

1409: Estimation of trading costs: Trade indicator models revisited

Erik Theissen and Lars Simon Zehnder

1408: Dividend taxation and DAX futures prices

Christopher Fink and Erik Theissen

1407: Risk-adjusted option-implied moments

Felix Brinkmann and Olaf Korn

1406: Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach

Jantje Sönksen and Joachim Grammig

1405: Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing

Joachim Grammig and Eva-Maria Schaub

1404r2: Outsourcing of mutual funds' non-core competencies

Christoph Sorhage

1404r: Outsourcing of mutual funds' non-core competencies

Christoph Sorhage

1404: Outsourcing of mutual funds' non-core competencies and the impact on operational outcomes: Evidence from funds' shareholder services

Christoph Sorhage

1403: How much is too much? Debt capacity and financial flexibility

Dieter Hess and Philipp Immenkötter

1402: The Lintner model revisited: Dividends versus total payouts

Christian Andres, Markus Doumet, Erik Fernau and Erik Theissen

1401: Corporate governance and the nature of takeover resistance

Nicholas F. Carline, Scott Linn and Pradeep K. Yadav

1311: Which beta is best? On the information content of option-implied betas

Rainer Baule, Olaf Korn and Sven Saßning

1310r: Managerial multitasking in the mutual fund industry

Vikas Agarwal, Linlin Ma and Kevin Mullally

1310: Managerial multitasking in the mutual fund industry

Vikas Agarwal and Linlin Ma

1309: Seasonal asset allocation: Evidence from mutual fund flows

Mark J. Kamstra, Lisa Kramer, Maurice Levi and Russell Wermers

1308r: Forward-looking measures of higher-order dependencies with an application to portfolio selection

Felix Brinkmann, Alexander Kempf and Olaf Korn

1308: Forward-looking measures of higher-order dependencies with an application to portfolio selection

Felix Brinkmann, Alexander Kempf and Olaf Korn

1307r: Market transparency and the marking precision of bond mutual fund managers

Gjergji Cici, Scott Gibson, Yalin Gündüz and John J. Merrick

1307: Market transparency and the marking precision of bond mutual fund managers

Gjergji Cici, Scott Gibson, Yalin Gündüz and John J. Merrick

1306r3: Investor sentiment, flight-to-quality, and corporate bond comovement

Sebastian Bethke, Monika Gehde-Trapp and Alexander Kempf

1306r2: Investor sentiment, flight-to-quality, and corporate bond comovement

Sebastian Bethke, Monika Gehde-Trapp and Alexander Kempf

1306r: Investor sentiment, flight-to-quality, and corporate bond comovement

Sebastian Bethke, Alexander Kempf and Monika Trapp

1306: The correlation puzzle: The interaction of bond and risk correlation

Sebastian Bethke, Alexander Kempf and Monika Trapp

1305r2: A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Philipp Schuster, Monika Trapp and Marliese Uhrig-Homburg

1305r: A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Philipp Schuster, Monika Trapp and Marliese Uhrig-Homburg

1305: A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Philipp Schuster, Monika Trapp and Marliese Uhrig-Homburg

1304r: Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

Vikas Agarwal, Kevin Andrew Mullally, Yuehua Tang and Baozhong Yang

1304: Mandatory portfolio disclosure, stock liquidity, and mutual fund performance

Vikas Agarwal, Kevin Mullally, Yuehua Tang and Baozhong Yang

1303: Institutional investment and intermediation in the hedge fund industry

Vikas Agarwal, Vikram Nada and Sugata Ray

1302: Open market share repurchases in Germany: A conditional event study approach

Christian Andres, André Betzer, Markus Doumet and Erik Theissen

1301: A partially linear approach to modelling the dynamics of spot and futures prices

Jürgen Gaul and Erik Theissen

1212r2: The liquidity premium in CDS transaction prices: Do frictions matter?

Monika Gehde-Trapp, Yalin Gündüz and Julia Nasev

1212r: The price impact of CDS trading

Yalin Gündüz, Julia Nasev and Monika Trapp

1212: The price impact of CDS trading

Yalin Gündüz, Julia Nasev and Monika Trapp

1211: Governance and shareholder value in delegated portfolio management: The case of closed-end funds

Youchang Wu, Russell Wermers and Josef Zechner

1210r: Transatlantic systemic risk

Monika Trapp and Claudio Wewel

1210: Transatlantic systemic risk

Monika Trapp and Claudio Wewel

1209r5: Do financial advisors provide tangible benefits for investors? Evidence from tax-motivated mutual fund flows

Gjergji Cici, Alexander Kempf and Christoph Sorhage

1209r4: Do financial advisors provide tangible benefits for investors? Evidence from tax-motivated mutual fund flows

Gjergji Cici, Alexander Kempf and Christoph Sorhage

1209r3: Do financial advisors provide tangible benefits for investors? Evidence from tax-motivated mutual fund flows

Gjergji Cici, Alexander Kempf and Christoph Sorhage