The implementation of MiFID lead to fragmentation of trading in European equities. We analyze information processing for a sample of Swiss stocks on the Swiss exchange and on Chi-X, the largest multilateral trading facility. According to Hasbrouck information shares, the determination of a...

To enhance transparency of performance measurement and presentation, the Swiss Performance Presentation Standards were installed. Based on a sample of Swiss equity funds, the author shows empirically that the SPPS are not able to achieve their aims. The risk-adjusted performance figures are not...

Relational contracts have been shown to mitigate moral hazard in labor and credit markets. A central assumption in most theoretical and experimental studies is that, upon misbehaving, agents can be excluded from their current source of income and have to resort to less attractive outside...

This paper examines whether investors receive a compensation for holding stocks with a strong sensitivity to extreme market downturns in a worldwide sample covering 40 different countries. I find that stocks with strong crash sensitivity earn higher average returns than stocks with weak crash...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...

Model builders face ambiguity about the true data generating process. Consequently, they need to deal with ambiguity attitudes (inside uncertainty) and ambiguous financial reality (outside uncertainty) when developing and estimating financial models. We introduce a novel approach for...

Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find...

We investigate whether investors receive compensation for holding stocks with strong systematic liquidity risk in the form of extreme downside liquidity (EDL) risk. Following the logic of Acharya and Pedersen (2005), we capture a stock's EDL risk by the lower tail dependence between (i)...