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Measuring financial integration via idiosyncratic risk : what effects are we really picking up?

Parsley, David C.; Schlag, Christian - In: Journal of money, credit and banking : JMCB 39 (2007) 5, pp. 1267-1273

Persistent link: https://www.econbiz.de/10003552771

Asset pricing under uncertainty about shock propagation

Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - In: Essays on asset pricing with contagion, endogenous …, (pp. 19-63). 2015

Persistent link: https://www.econbiz.de/10011303507

Price impacts of options volume

Schlag, Christian; Stoll, Hans R. - In: Journal of financial markets 8 (2005) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10002575587

Internationally cross-listed stock prices during overlapping trading hours : price discovery and exchange rate effects

Grammig, Joachim; Melvin, Michael; Schlag, Christian - In: Journal of empirical finance 12 (2005) 1, pp. 139-164

Persistent link: https://www.econbiz.de/10002643549

Neues zum Intervalling-Effekt am deutschen Aktienmarkt

Schlag, Christian - In: Kredit und Kapital 27 (1994) 3, pp. 437-460

Persistent link: https://www.econbiz.de/10001170197

An empirical examination of the effect of dividend taxation on asset pricing and returns in Germany

Murphy, Austin; Schlag, Christian - In: Global finance journal 10 (1999) 1, pp. 35-52

Persistent link: https://www.econbiz.de/10001417648

An explorative investigation of intraday trading on the German stock market

Kirchner, Tobias; Schlag, Christian - In: Finanzmarkt und Portfolio-Management 12 (1998) 1, pp. 13-31

Persistent link: https://www.econbiz.de/10001407024

Implied volatility duration : a measure for the timing of uncertainty resolution

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Journal of financial economics 140 (2021) 1, pp. 127-144

Persistent link: https://www.econbiz.de/10013188678

Predictability and the cross-section of expected returns : a challenge for asset pricing models

Schlag, Christian; Semenischev, Michael; Thimme, Julian - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7932-7950

Persistent link: https://www.econbiz.de/10012815810

Implied volatility duration and the early resolution premium

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Essays in asset pricing, (pp. 1-77). 2018

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...

Persistent link: https://www.econbiz.de/10012665341