Suchergebnisse

This thesis contains three papers. Each paper addresses a distinct research question and is implemented on a separate dataset. The first paper concludes that daytime auctions, together with market opening and closing intervals, contribute to the periodicity of the cross-section of stock returns. By applying the model of infrequent rebalancing, I show that model parameters fit the data for the after-auction intervals. I thus conclude that after-auction periods take over a large share of infrequent rebalancing and show that this effect is driven by the concentration of liquidity traders. Small, low-fragmented stocks heavily traded on the home market show the strongest evidence for infrequent rebalancing after the daytime auctions. The second paper sheds light on how traders allocate risk of stock portfolios in a trading day. Traders decrease risk before the market close. They do so by selling stocks with the highest marginal risk and buying stocks that decrease the risk of their portfolio the most. As our measure of portfolio risk relates to the one that clearing houses use for the margin requirements, we conclude that the risk-reduction behavior is driven by traders' reluctance to provide end-of-day margin contributions to the CCP. These trading flows in the direction of risk contraction distort closing stock prices. The third paper replicates and combines eight prominent predictors of mutual fund returns to obtain a composite, aggregate fund predictor. While only three of the eight individual variables are significant predictors of future fund performance in a multivariate setting, the composite predictor has strong forecasting power. A hypothetical quintilebased long-short strategy based on the composite predictor realizes a four-factor alpha of 6% per year. The performance spread is robust to different regression specifications, is similar for different size classes and investment styles, and persists over time. Our results point towards inefficiency in the market for actively managed equity funds.

Die Frage, inwieweit Devisenmarktinterventionen wirtschaftspolitisch intendierte Effekte auf die Wechselkursentwicklung ausüben, wird bis heute kontrovers diskutiert. Auf Grundlage einer mikrostrukturellen Modellierung des Devisenhandels lassen sich in diesem Zusammenhang neue Erkenntnisse ableiten, unter welchen Bedingungen eine effektive Beeinflussung des Wechselkurses durch Interventionen möglich ist. Ausgehend von den traditionellen Wirkungskanälen sterilisierter Devisenmarktinterventionen analysiert Christian Fürtjes, ob sich entsprechende Effekte in mikrostrukturellen Modellansätzen theoretisch ableiten lassen und empirisch belegbar sind. Hierbei zeigt er, dass sich sowohl auf Basis des Signalling- als auch des Koordinationskanals zumindest für die Interventionsmaßnahmen in den 1980er Jahren eine wirksame Beeinflussung des Wechselkurses nachweisen lässt, nicht jedoch für die aktuelleren Interventionsmaßnahmen z.B. in Japan oder der Schweiz. Der Inhalt Mikrostrukturelle Erklärung der Preisbildung am Devisenmarkt Analyse von Devisenmarktinterventionen in Mikrostrukturmodellen Zusammenhang Sterilisationsgrad und Effizienz Die Zielgruppen Dozierende und Studierende mit dem Schwerpunkt International Monetary Economics Analysten, Finanzmarkthändler, Zentralbanken, Forschungsinstitute Der Autor Christian Fürtjes studierte VWL in Bonn und ist seit 2007 als wissenschaftlicher Mitarbeiter am Lehrstuhl für VWL, insb. Internationale Wirtschaftsbeziehungen an der HHU Düsseldorf tätig

The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive. Offers analyses by top scholars of recent asset pricing scholarshipExplains how the 2008 financial crises affected theoretical and empirical researchCovers core and newly-developing fields

This book addresses eight issues on behavioral finance and Chinese stock market: the theory of economic agent's self value, Chinese stock market's rapid development and linebreak peculiarities, the momentum and contrarian strategies in Chinese stock market, the highly volatile beta in China's stock market, Chinese stock market's small firm effect and calendar effects, the behavior of Chinese private stock investors, and the relation between the turnover ratio and the market return in Chinese stock market. All these eight issues lie at the current research frontier although some are oriented towards theory and the others towards empirical analysis

The launch of financial reforms in Central and Eastern Europe (CEE) at the beginning of the 1990s stimulated increased interest of investors and academics in the newly-born stock markets of this region. Most of the existing studies, however, consider a group of the CEE markets, stressing their commonalities and discarding the fact that though these markets started at approximately the same time, due to the different starting conditions and reform paths, nowadays they differ considerably in terms of size and significance for domestic economies. In the present thesis, we focus on the Polish stock market, as it is considered to be an example of consistent and successful financial market reforms. There are, however, several important features pertaining to the institutional and regulation aspects of the Polish stock market that may impact formation of equity prices, which nevertheless failed to attract the interest of the researchers so far. Some of these features are common with other emerging markets, which makes the results of our study interesting to a broader international audience. This thesis consists of four separate self-contained essays. They extend four streams of the empirical literature on the developing European stock markets: investment behavior of institutional investors; impact of institutional demand on individual and aggregate stock prices; effects of trading mechanism regulation on stock return autocorrelation and volatility; predictability of stock returns due to long-run relationships between developing European and mature markets. Some of the results of the present research appear to challenge findings documented in the previous literature and question the extant policies, thus suggesting areas for future research.