Abstract Die vorliegende Arbeit analysiert im Rahmen einer Zeitreihenstudie die wechselseitigen Abhängigkeiten zwischen Umsatz und Geld- Brief-Spannen. Wie verhalten sich Marketmaker, wenn der Umsatz in einem Wertpapier plötzlich steigt? Passen Investoren ihre Handelsaktivität an geänderte...

Purpose – The performance of actively managed mutual funds is largely dependent upon the investment decisions of the fund managers. The purpose of this study is to examine the decision processes in German fund companies and their impact on fund performance. Design/methodology/approach – The...

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mispricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...

We investigate the term structure of bond market illiquidity premia and show that the term structure varies greatly over time. Short and long end are strictly separated suggesting that different economic factors drive different parts of the term structure. We propose a stylized theoretical model...

We show that fund families allocate their most skilled managers to market segments in which manager skill is rewarded best. In efficient markets, even skilled managers cannot generate excess returns. In less efficient markets, skilled managers can exploit inefficiencies and generate higher...

Purpose – The performance of actively managed mutual funds is largely dependent upon the investment decisions of the fund managers. The purpose of this study is to examine the decision processes in German fund companies and their impact on fund performance. Design/methodology/approach – The...

We examine intrafirm competition in the mutual-fund industry. We test the hypothesis that fund managers within mutual-fund families compete with each other in a tournament. Our empirical study of the US equity mutual-fund market shows that they adjust the risk they take depending on the relative...