Basierend auf einem strukturellen Modell analysieren die Autoren das Bedeutung informierten Handels (adverse Selektionseffekte) und dessen Auswirkung auf die Liquiditätsqualität in Xetra, dem elektronischen Handelssystem der Deutschen Börse . Die ökonometrische Analyse basiert auf einem...

Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book market. Given the discontenting empirical model performance reported in the previous literature, we relax restrictive assumptions of the underlying theoretical model concerning...

We explore the relationship between CDS premia and bond asset swap spreads on the samereference entity. As Duffie (1999) shows, there is a clear theoretical link between CDS premiaand bond prices if the two quantities are viewed as a pure measure of credit risk. However,many studies provide...

We examine the determinants and consequences of changes in hedge fund fee structures.We show that fee changes are asymmetric with much greater incidence of fee increasescompared to fee decreases. We find that managers of younger and smaller funds are morelikely to increase fees after good...

The trading of securities on multiple markets raises the question of each market’s sharein the discovery of the informationally efficient price. We exploit salient distributionalfeatures of multivariate financial price processes to uniquely determine these contributions.Thereby we resolve the...