CFR Working Papers

From University of Cologne, Centre for Financial Research (CFR)
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0803: How do commodity futures respond to macroeconomic news?

Dieter E. Hess, He Huang and Alexandra Niessen-Ruenzi

0802: Corporate governance in India

Rajesh Chakrabarti, William L. Megginson and Pradeep K. Yadav

0801: Setting a Fox to Keep the Geese: Does the comply-or-explain principle work?

Christian Andres and Erik Theissen

0716: The impact of work group diversity on performance: Large sample evidence from the mutual fund industry

Michaela Bär, Alexandra Niessen and Stefan Ruenzi

0715: Political connectedness and firm performance: Evidence from Germany

Alexandra Niessen and Stefan Ruenzi

0714r: How to hedge if the payment date is uncertain?

Olaf Korn and Alexander Merz

0714: Hedging price risk when payment dates are uncertain

Olaf Korn

0713: SRI funds: Nomen est omen

Alexander Kempf and Peer Osthoff

0712: Time and price impact of a trade: A structural approach

Joachim Grammig, Erik Theissen and Oliver Wuensche

0711: On the relative performance of multi-strategy and funds of hedge funds

Vikas Agarwal and Jayant R. Kale

0710: Competition between exchanges: Euronext versus Xetra

Maria Kasch-Haroutounian and Erik Theissen

0709: Do hedge funds manage their reported returns?

Vikas Agarwal, Naveen D. Daniel and Narayan Y. Naik

0708: Analyst recommendations, mutual fund herding, and overreaction in stock prices

Nerissa C. Brown, Kelsey D. Wei and Russell Wermers

0707: Insider trading and corporate governance: The case of Germany

André Betzer and Erik Theissen

0706: Transaction costs and value premium

Vikas Agarwal and Lingling Wang

0705: Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns

Joachim Grammig and Andreas Schrimpf

0704: Hedge funds for retail investors? An examination of hedged mutual funds

Vikas Agarwal, Nicole M. Boyson and Narayan Y. Naik

0703: The early news catches the attention: On the relative price impact of similar economic indicators

Dieter Hess and Alexandra Niessen

0702: Employment risk, compensation incentives and managerial risk taking: Evidence from the mutual fund industry

Alexander Kempf, Stefan Ruenzi and Tanja Thiele

0701: CAPM und erwartete Renditen: Eine Untersuchung auf Basis der Erwartung von Marktteilnehmern

Meike Hagemeister and Alexander Kempf

0613: How do self-fulfilling prophecies affect financial ratings? An experimental study

Sanela Celjo-Hörhager and Alexandra Niessen

0612: Portfolio performance, discount dynamics, and the turnover of closed-end fund managers

Russell Wermers, Youchang Wu and Josef Zechner

0611: Why managers hold shares of their firm: An empirical analysis

Ulf von Lilienfeld-Toal and Stefan Ruenzi

0610: The effect of socially responsible investing on portfolio performance

Alexander Kempf and Peer Osthoff

0609r: Forecasting stock returns through an efficient aggregation of mutual fund holdings

Russell Wermers, Tong Yao and Jane Zhao

0609: The investment value of mutual fund portfolio disclosure

Russell Wermers, Tong Yao and Jane Zhao

0608: The Poole analysis in the new open economy macroeconomic framework

Mathias Hoffmann and Bernd Kempa

0607: Decision processes in German mutual fund companies: Evidence from a telephone survey

Kerstin Drachter, Alexander Kempf and Michael Wagner

0606: Investment performance and market share: A study of the German mutual fund industry

Jan Krahnen, Frank A. Schmid and Erik Theissen

0605: On the usability of synthetic measures of mutual fund net-flows

Silke Ber and Stefan Ruenzi

0604: Liquidity commonality beyond best prices

Alexander Kempf and Daniel Mayston

0603: Bond portfolio optimization: A risk-return approach

Olaf Korn and Christian Koziol

0602: False discoveries in mutual fund performance: Measuring luck in estimated alphas

Laurent Barras, Olivier Scaillet and Russell Wermers

0601: Sex matters: Gender differences in a professional setting

Alexandra Niessen and Stefan Ruenzi

0516: An analysis of private investors' stock market return forecasts

Erik Theissen

0515: Does anonymity matter in electronic limit order markets?

Thierry Foucault, Sophie Moinas and Erik Theissen

0514: Can mutual fund stars really pick stocks? New evidence from a bootstrap analysis

Robert Kosowski, Allan Timmermann, Russell Wermers and Halbert White

0513: Investing in mutual funds when returns are predictable

Doron Avramov and Russell Wermers

0512: Liquiditätsdynamik am deutschen Aktienmarkt

Knut Griese and Alexander Kempf

0511: Determinanten der Mittelzuflüsse bei deutschen Aktienfonds

Silke Ber, Alexander Kempf and Stefan Ruenzi

0510: Is a team different from the sum of its parts? Evidence from mutual fund managers

Michaela Bär, Alexander Kempf and Stefan Ruenzi

0509: Saving, investment and the net foreign asset position

Mathias Hoffmann

0508: Mutual fund growth in standard an specialist market segments

Stefan Ruenzi

0507: Status quo bias and the number of alternatives: An empirical illustration from the mutual fund industry

Alexander Kempf and Stefan Ruenzi

0505: Understanding the limit order book: Conditioning on trade informativeness

Héléna Beltran, Joachim Grammig and Albert Menkveld

0504: Compensating wages under different exchange rate regimes

Mathias Hoffmann

0503: Fixed versus flexible exchange rates: Evidence from developing countries

Mathias Hoffmann

0502: On the estimation of the global minimum variance portfolio

Alexander Kempf and Christoph Memmel

0501: Liquidity supply and adverse selection in a pure limit order book market

Stefan Frey and Joachim Grammig

0410: Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery

Nikolaus Hautsch and Dieter Hess

0409: Portfolio disclosure, portfolio selection and mutual fund performance evaluation

Alexander Kempf and Klaus Kreuzberg

0408: Operating performance changes associated with corporate mergers and the role of corporate governance

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

0407: Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze

John J. Merrick, Narayan Y. Naik and Pradeep K. Yadav

0406: Trading costs of public investors with obligatory and voluntary market-making: Evidence from market reforms

Narayan Y. Naik and Pradeep K. Yadav

0405: Family matters: Ranking within fund families and fund inflows

Alexander Kempf and Stefan Ruenzi

0404: Role of managerial incentives and discretion in hedge fund performance

Vikas Agarwal, Naveen D. Daniel and Narayan Y. Naik

0403: Risk and return in convertible arbitrage: Evidence from the convertible bond market

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

0402: Tournaments in mutual fund families

Alexander Kempf and Stefan Ruenzi

0401: Inflation dynamics and the cost channel of monetary transmission

Ibrahim Chowdhury, Mathias Hoffmann and Andreas Schabert