CFR Working Papers

From University of Cologne, Centre for Financial Research (CFR)
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1011r: The value of tradeability

Marc Chesney and Alexander Kempf

1011: The value of tradeability

Marc Chesney and Alexander Kempf

1010: The influence of buy-side analysts on mutual fund trading

Stefan Frey and Patrick Herbst

1009r: Uncovering hedge fund skill from the portfolio holdings they hide

Vikas Agarwal, Wei Jiang, Yuehua Tang and Baozhong Yang

1009: Uncovering hedge fund skill from the portfolio holdings they hide

Vikas Agarwal, Wei Jiang, Yuehua Tang and Baozhong Yang

1008r: Inferring reporting biases in hedge fund databases from hedge fund equity holdings

Vikas Agarwal, Vyacheslav Fos and Wei Jiang

1008: Inferring reporting biases in hedge fund databases from hedge fund equity holdings

Vikas Agarwal, Vyacheslav Fos and Wei Jiang

1007: Do higher-moment equity risks explain hedge fund returns?

Vikas Agarwal, Gurdip Bakshi and Joop Huij

1006: Tell-tale tails: A data driven approach to estimate unique market information shares

Joachim Grammig and Franziska J. Peter

1005: Höhe, Struktur und Determinanten der Managervergütung: Eine Analyse der Fondsbranche in Deutschland

Kerstin Drachter and Alexander Kempf

1004r: Fund manager allocation

Jieyan Fang, Alexander Kempf and Monika Trapp

1004: Fund manager allocation

Jieyan Fang, Alexander Kempf and Monika Trapp

1003r: The impact of investor sentiment on the German stock market

Philipp Finter, Alexandra Niessen-Ruenzi and Stefan Ruenzi

1003: The impact of investor sentiment on the German stock market

Philipp Finter, Alexandra Niessen-Ruenzi and Stefan Ruenzi

1002: Endogenous benchmarks

David Hunter, Eugene Kandel, Shmuel Kandel and Russell Wermers

1001r: Determinants of expected stock returns: Large sample evidence from the German market

Sabine Artmann, Philipp Finter and Alexander Kempf

1001: Determinants of expected stock returns: Large sample evidence from the German market

Sabine Artmann, Philipp Finter and Alexander Kempf

0917r: Price discovery in spot and futures markets: A reconsideration

Erik Theissen

0917: Price discovery in spot and futures markets: A reconsideration

Erik Theissen

0916: Trading the bond-CDS basis: The role of credit risk and liquidity

Monika Trapp

0915r: Strategic trading and trade reporting by corporate insiders

André Betzer, Jasmin Gider, Daniel Metzger and Erik Theissen

0915: Strategic trading and trade reporting by corporate insiders

André Betzer, Jasmin Gider, Daniel Metzger and Erik Theissen

0914: The term structure of illiquidity premia

Alexander Kempf, Olaf Korn and Marliese Uhrig-Homburg

0913: Time-varying credit risk and liquidity premia in bond and CDS markets

Wolfgang Bühler and Monika Trapp

0912: Explaining the Bond-CDS Basis: The role of credit risk and liquidity

Wolfgang Bühler and Monika Trapp

0911: Cross-sectional analysis of risk-neutral skewness

Stephen J. Taylor, Pradeep K. Yadav and Yuanyuan Zhang

0910r: Low risk and high return: Affective attitudes and stock market expectations

Alexander Kempf, Christoph Merkle and Alexandra Niessen-Ruenzi

0910: Low risk and high return - how emotions shape expectations on the stock market

Alexander Kempf, Alexandra Niessen-Ruenzi and Christoph Merkle

0909: Naked short selling: The emperor`s new clothes?

Pradeep K. Yadav, Veljko Fotak and Vikas Raman

0908: Informed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE

Pradeep K. Yadav, Florian Bardong and Söhnke Bartram

0907: The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

Stephen J. Taylor, Pradeep K. Yadav and Yuanyuan Zhang

0906: The impact of iceberg orders in limit order books

Stefan Frey and Patrik Sandås

0905: Commonalities in the order book

Héléna Beltran-Lopez, Pierre Giot and Joachim Grammig

0904: Rapid Trading bei deutschen Aktienfonds: Evidenz aus einer großen deutschen Fondsgesellschaft

Jieyan Fang and Stefan Ruenzi

0903r: The cross-section of conditional mutual fund performance in European stock markets

Ayelen Banegas, Ben Gillen, Allan Timmermann and Russell Wermers

0903: The performance of European equity mutual funds

Ayelen Banegas, Ben Gillen, Allan Timmermann and Russell Wermers

0902: Long-horizon consumption risk and the cross-section of returns: New tests and international evidence

Joachim Grammig, Andreas Schrimpf and Michael Schuppli

0901: The term structure of currency hedge ratios

Olaf Korn and Philipp Koziol

0812: Fundamental information in technical trading strategies

Ute Boonenkamp, Alexander Kempf and Carsten Homburg

0811: Risk management with default-risky forwards

Olaf Korn

0810: International price discovery in the presence of market microstructure effects

Joachim Grammig and Franziska J. Peter

0809r: Public opinion and executive compensation

Camelia Kuhnen and Alexandra Niessen

0809: Is Executive Compensation Shaped by Public Attitudes?

Camelia Kuhnen and Alexandra Niessen-Ruenzi

0808r: Overconfidence among professional investors: Evidence from mutual fund managers

Alexander Pütz and Stefan Ruenzi

0808: Overconfidence among professional investors: Evidence from mutual fund managers

Alexander Pütz and Stefan Ruenzi

0807: What matters to SRI investors?

Peer Osthoff

0806: Sooner or later: delays in trade reporting by corporate insiders

André Betzer and Erik Theissen

0805: Determinanten der Aktionärspräsenz auf Hauptversammlungen deutscher Aktiengesellschaften

Philipp Linge and Erik Theissen

0804r: Price adjustment to news with uncertain precision

Nikolaus Hautsch, Dieter Hess and Christoph Müller

0804: Price adjustment to news with uncertain precision

Nikolaus Hautsch, Dieter E. Hess and Christoph Müller