Easley et al. (1996) have proposed an empirical methodology to estimate the probability of informed trading (PIN). This approach has been employed in a wide range of applications in market microstructure, corporate finance, and asset pricing. To estimate the model, a researcher only needs the...

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

Xetra BEST, operated by Deutsche Borse AG as a part of the Xetra trading system, allows participating banks and brokers to internalize retail customer orders. This paper provides an empirical assessment of the market quality of Xetra BEST. For this purpose, we develop a trade indicator model of...

We analyze transactions by corporate insiders in Germany, a country with a bank-dominated financial system. Insider purchases [sales] are associated with positive [negative] cumulative abnormal returns (CARs). We relate the magnitude of the CARs to the position of the insider within the firm and...

In this paper we use data on stock index forecasts made by private investors. We investigate into the determinants of these forecasts and analyze whether systematic patterns found in stock market returns are also detected in the forecast data. The implied returns calculated from the forecasts...

To resolve the IPO underpricing puzzle it is essential to analyze who knows what when during the issuing process. In Germany, broker-dealers make a market in IPOs during the subscription period. We examine these pre-issue prices and find that they are highly informative. They are closer to the...

Using data from the Frankfurt Stock Exchange we analyze price formation and liquidity in a non-anonymous environment as it can also be found on the floor of the NYSE. Our main hypothesis is that the non-anonymity allows the specialist to assess the probability that a trader trades on the basis...

The last decade has witnessed a dramatic increase in both the number and the market share of screen-based trading systems. Electronic trading systems do offer lower operating costs and the possibility of remote access to the market. On the other hand, arguments based on the anonymity of...

The Capital Asset Pricing Model (CAPM) predicts that the expected return on a stock depends on its systematic risk as measured by its beta. However, recent empirical evidence suggests that the relation between beta and realized returns is weak or even non-existent. The traditional two-step...

This paper provides a detailed analysis of the call auction procedure on the Frankfurt Stock Exchange. Its main contribution is to develop a direct measure of the execution costs in a call auction that is comparable to the bid-ask spread in a continuous market. Applying that measure, we find...