Alexander Kempf

University of Cologne - Department of Finance & Centre for Financial Research (CFR)

Cologne, 50923

Germany

SCHOLARLY PAPERS

34

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223

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Scholarly Papers (34)

1.

On the Estimation of the Global Minimum Variance Portfolio

Number of pages: 20 Posted: 09 Apr 2003
Alexander Kempf and Christoph Memmel
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Deutsche Bundesbank
Downloads 2,625 (4,442)

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Global Minimum Variance Portfolio, Estimation Risk

2.

Estimating the Global Minimum Variance Portfolio

Schmalenbach Business Review, Vol. 58, October 2006
Number of pages: 18 Posted: 26 Oct 2006
Christoph Memmel and Alexander Kempf
Deutsche Bundesbank and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,340 (13,557)

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Estimation Risk, Global Minimum Variance Portfolio, Weight Estimation

3.
Downloads 1,179 ( 16,545)

Tournaments in Mutual Fund Families

EFA 2003 Annual Conference Paper; CFR Working Paper No. 04-02
Number of pages: 36 Posted: 01 Sep 2003
Alexander Kempf and Stefan Ruenzi
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance
Downloads 1,179 (16,223)

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Intra-Firm Competition, Mutual Funds, Risk-Taking, Rank-Order Tournaments, Family Tournament

Tournaments in Mutual-Fund Families

Review of Financial Studies, Vol. 21, Issue 2, pp. 1013-1036, 2008
Posted: 26 Jun 2008
Alexander Kempf and Stefan Ruenzi
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance

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G20, G23, J49

The Cross-Section of German Stock Returns: New Data and New Evidence

Number of pages: 36 Posted: 04 Aug 2010
University of Cologne - Faculty of Management, Economics and Social Sciences, University of Cologne - Department of Finance, University of Cologne - Department of Finance & Centre for Financial Research (CFR), University of Bonn and University of Mannheim - Finance Area
Downloads 762 (30,688)

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Asset Pricing, Fama, French, Carhart, Characteristics, Risk Factors, Value, Size, Momentum, Germany

The Cross-Section of German Stock Returns: New Data and New Evidence

Schmalenbach Business Review, Vol. 64, January 2012, pp. 20-43
Number of pages: 24 Posted: 04 Apr 2012
University of Cologne - Faculty of Management, Economics and Social Sciences, University of Cologne - Department of Finance, University of Cologne - Department of Finance & Centre for Financial Research (CFR), University of Bonn - The Bonn Graduate School of Economics and University of Mannheim - Finance Area
Downloads 416 (67,418)

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Asset Pricing, Carhart, Fama, French, Germany, Characteristics, Momentum, Risk Factors, Size, Value

5.

Portfolio Optimization Using Forward-Looking Information

Forthcoming in: Review of Finance
Number of pages: 36 Posted: 29 Feb 2012 Last Revised: 25 Jan 2014
Alexander Kempf, Olaf Korn and Sven Sassning
University of Cologne - Department of Finance & Centre for Financial Research (CFR), Georg-August-Universität Göttingen and Georg-August-Universität Göttingen
Downloads 1,108 (18,162)

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portfolio selection, option-implied information

6.

Team Management and Mutual Funds

CFR Working Paper No. 05-10
Number of pages: 53 Posted: 06 Oct 2005
Michaela Baer, Alexander Kempf and Stefan Ruenzi
University of Cologne, Centre for Financial Research (CFR), University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance
Downloads 1,041 (19,908)

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Mutual Funds, Team Management, Performance, Risk-Taking, Investment Style, Fund Flows

7.

Market Depth and Order Size

Number of pages: 25 Posted: 16 Apr 1997
Olaf Korn and Alexander Kempf
Georg-August-Universität Göttingen and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,039 (19,962)

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8.

Liquidity and its Impact on Bond Prices

Schmalenbach Business Review, Vol. 52, January 2000
Number of pages: 19 Posted: 03 Jun 2002
Marliese Uhrig-Homburg and Alexander Kempf
Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,005 (21,018)

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9.

Family Matters: The Performance Flow Relationship in the Mutual Fund Industry

EFMA 2004 Basel Meetings Paper
Number of pages: 26 Posted: 10 May 2004
Alexander Kempf and Stefan Ruenzi
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance
Downloads 904 (24,546)

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Mutual Funds, Fund Families, Performance Flow Relationship

10.

Resiliency, the Neglected Dimension of Market Liquidity: Empirical Evidence from the New York Stock Exchange

Number of pages: 47 Posted: 05 Mar 2007
Jiwei Dong, Alexander Kempf and Pradeep K. Yadav
Lancaster University - Department of Accounting and Finance, University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Oklahoma Price College of Business
Downloads 839 (27,290)

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Market Microstructure, Liquidity, Resiliency

11.

Market Timing and Security Market Line Analysis

EFA 2003 Annual Conference Paper No. 552; University of Cologne Finance Working Paper No. 2001-3
Number of pages: 29 Posted: 14 Apr 2003
Alexander Kempf and Klaus Kreuzberg
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Department of Finance
Downloads 764 (31,067)

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Performance, Market Timing, Mutual Fund, Security Market Line Analysis, Bias-in-Beta

12.

The Valuation of Hedge Funds' Equity Positions

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, AFA 2012 Chicago Meetings Paper
Number of pages: 47 Posted: 24 Aug 2010 Last Revised: 26 Apr 2016
Gjergji Cici, Alexander Kempf and Alexander Puetz
University of Kansas - School of Business, University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Department of Finance
Downloads 659 (37,953)

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Hedge Funds, Return Management, Valuation Deviations

The Investment Value of Fund Managers’ Experience Outside the Financial Sector

Number of pages: 55 Posted: 21 Sep 2014 Last Revised: 11 Jun 2017
University of Kansas - School of Business, University of Mannheim - Finance Area, University of Cologne and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 500 (53,675)

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Investor Learning, Investor Experience, Mutual funds

The Investment Value of Fund Managers’ Experience Outside the Financial Sector

The Review of Financial Studies, Forthcoming
Number of pages: 52 Posted: 26 Feb 2018
University of Kansas - School of Business, University of Mannheim - Finance Area, University of Cologne and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 103 (258,613)

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Investor Learning, Investor Experience, Mutual funds

14.

Short Selling, Unwinding, and Mispricing

Number of pages: 33 Posted: 04 Nov 1997
Alexander Kempf
University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 601 (42,902)

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15.
Downloads 586 ( 44,377)

Trading System and Market Integration

96-02
Number of pages: 22 Posted: 01 Feb 1997
Olaf Korn and Alexander Kempf
Georg-August-Universität Göttingen and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 586 (43,770)

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Trading System and Market Integration

Journal of Financial Intermediation Vol. 7, No. 3
Posted: 21 Sep 1998
Olaf Korn and Alexander Kempf
Georg-August-Universität Göttingen and University of Cologne - Department of Finance & Centre for Financial Research (CFR)

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16.

Employment Risk, Compensation Incentives and Managerial Risk Taking: Evidence from the Mutual Fund Industry

Number of pages: 36 Posted: 26 Feb 2007
Alexander Kempf, Tanja Thiele and Stefan Ruenzi
University of Cologne - Department of Finance & Centre for Financial Research (CFR), University of Cologne - Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance
Downloads 537 (49,588)

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Managerial Risk Taking, Employment Risk, Compensation Incentives, Mutual Funds, Restrictions

Speed of Information Diffusion within Fund Families

Number of pages: 45 Posted: 19 Feb 2015 Last Revised: 17 Sep 2016
Gjergji Cici, Stefan Jaspersen and Alexander Kempf
University of Kansas - School of Business, University of Cologne - Centre for Financial Research (CFR) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 433 (64,236)

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Information diffusion, mutual fund performance, fund families, investment behavior, organizational structures

Speed of Information Diffusion within Fund Families

Review of Asset Pricing Studies, Forthcoming
Posted: 19 Sep 2016
Gjergji Cici, Stefan Jaspersen and Alexander Kempf
University of Kansas - School of Business, University of Cologne - Centre for Financial Research (CFR) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)

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Information Diffusion, Mutual Fund Performance, Fund Families, Investment Behavior, Organizational Structures

18.

Is a Team Different from the Sum of its Parts? Evidence from Mutual Fund Managers

Number of pages: 43 Posted: 05 Mar 2008 Last Revised: 30 Mar 2011
Michaela Baer, Alexander Kempf and Stefan Ruenzi
University of Cologne, Centre for Financial Research (CFR), University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance
Downloads 361 (80,420)

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Mutual Funds, Team Management, Investment Behaviour

Determinants of Expected Stock Returns: Large Sample Evidence from the German Market

Number of pages: 37 Posted: 06 Aug 2010 Last Revised: 28 Jul 2011
Sabine Artmann, Philipp Finter and Alexander Kempf
University of Cologne - Faculty of Management, Economics and Social Sciences, University of Cologne - Department of Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 307 (95,969)

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asset pricing, characteristics, risk factors, multifactor models, Germany

Determinants of Expected Stock Returns: Large Sample Evidence from the German Market

Journal of Business Finance & Accounting, Vol. 39, Issue 5‐6, pp. 758-784, 2012
Number of pages: 27 Posted: 05 Jul 2012
Sabine Artmann, Philipp Finter and Alexander Kempf
University of Cologne - Faculty of Management, Economics and Social Sciences, University of Cologne - Department of Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 3 (644,165)
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asset pricing, characteristics, risk factors, multifactor models, Germany

Status Quo Bias and the Number of Alternatives: An Empirical Illustration from the Mutual Fund Industry

CFR Working Paper No. 05-07
Number of pages: 34 Posted: 19 Oct 2005
Alexander Kempf and Stefan Ruenzi
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance
Downloads 310 (94,947)

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Status Quo Bias, Mutual Funds, Number of Alternatives, Performance Flow Relationship

Status Quo Bias and the Number of Alternatives: An Empirical Illustration from the Mutual Fund Industry

Journal of Behavioral Finance, Vol. 7, No. 4, pp. 204-213, 2006
Posted: 04 Dec 2006
Alexander Kempf and Stefan Ruenzi
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance

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Status Quo Bias, Mutual Funds, Number of Alternatives, Performance Flow Relationship

Do Financial Advisors Provide Tangible Benefits for Investors? Evidence from Tax-Motivated Mutual Fund Flows

EFA 2014 Lugano Meetings Paper
Number of pages: 42 Posted: 18 Nov 2012 Last Revised: 03 Mar 2016
Gjergji Cici, Alexander Kempf and Christoph Sorhage
University of Kansas - School of Business, University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 204 (146,147)

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Mutual funds; Taxable fund distributions; Financial advisors

Do Financial Advisors Provide Tangible Benefits for Investors? Evidence from Tax-Motivated Mutual Fund Flows

Review of Finance, Forthcoming
Number of pages: 43 Posted: 05 Mar 2016 Last Revised: 21 Mar 2016
Gjergji Cici, Alexander Kempf and Christoph Sorhage
University of Kansas - School of Business, University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 102 (258,613)

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Mutual funds, Taxable fund distributions, Financial advisors

Low Risk and High Return – Affective Attitudes and Stock Market Expectations

This is the accepted version of the following article: Kempf, A., Merkle, C. and Niessen-Ruenzi, A. (2014), Low Risk and High Return – Affective Attitudes and Stock Market Expectations. European Financial Management, 20: 995–1030, which has been published in final form at doi: 10.1111/eufm.12001.
Number of pages: 51 Posted: 11 Feb 2009 Last Revised: 22 Sep 2016
University of Cologne - Department of Finance & Centre for Financial Research (CFR), Kuehne Logistics University and University of Mannheim - Department of Finance
Downloads 288 (102,853)

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Emotions, Risk and Return Expectations, Behavioral Finance, Affect Heuristic

Low Risk and High Return – Affective Attitudes and Stock Market Expectations

European Financial Management, Vol. 20, Issue 5, pp. 995-1030, 2014
Number of pages: 36 Posted: 31 Oct 2014
University of Cologne - Department of Finance & Centre for Financial Research (CFR), Kuehne Logistics University and University of Mannheim - Department of Finance
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affective attitudes, risk and return expectations, behavioural finance, affect heuristic

23.

The Impact of Duality on Managerial Decisions and Performance: Evidence from the Mutual Fund Industry

Number of pages: 47 Posted: 25 Aug 2012 Last Revised: 04 Nov 2013
Alexander Kempf, Alexander Puetz and Florian Sonnenburg
University of Cologne - Department of Finance & Centre for Financial Research (CFR), University of Cologne - Department of Finance and University of Cologne - Centre for Financial Research (CFR)
Downloads 258 (116,114)

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Manager duality, governance, managerial decisions, agency conflicts, mutual funds

24.

Trading Efficiency of Fund Families: Impact on Fund Performance and Investment Behavior

EFA 2015 Vienna Meetings Paper
Number of pages: 47 Posted: 24 Oct 2014 Last Revised: 12 Jan 2016
Gjergji Cici, Laura Dahm and Alexander Kempf
University of Kansas - School of Business, University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 234 (128,290)

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Mutual funds; fund families; trading efficiency; fund performance; investment behavior

Fundamental Information in Technical Trading Strategies

Number of pages: 21 Posted: 12 Sep 2008 Last Revised: 25 Jan 2014
Ute Bonenkamp, Carsten Homburg and Alexander Kempf
University of Cologne - Department of Accounting, University of Cologne and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 222 (134,676)

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Momentum effect, trading strategy, technical trading, fundamental analysis

Fundamental Information in Technical Trading Strategies

Journal of Business Finance & Accounting, Vol. 38, Issue 7‐8, pp. 842-860, 2011
Number of pages: 19 Posted: 13 Oct 2011
Ute Bonenkamp, Carsten Homburg and Alexander Kempf
University of Cologne - Department of Accounting, University of Cologne and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 3 (644,165)
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momentum effect, market anomalies, trading strategies, technical trading, fundamental analysis

26.

The Impact of Labor Mobility Restrictions on Managerial Actions: Evidence from the Mutual Fund Industry

Number of pages: 57 Posted: 02 Apr 2018 Last Revised: 10 Feb 2019
Gjergji Cici, Mario Hendriock and Alexander Kempf
University of Kansas - School of Business, University of Cologne - Department of Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 195 (152,650)

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labor mobility, non-compete clauses, mutual funds, career concerns

27.

Commonalities in Liquidity in Pure Order-Driven Markets

Number of pages: 39 Posted: 09 Mar 2005
Daniel L. Mayston and Alexander Kempf
University of Cologne - Department of Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 175 (168,285)

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Market Microstructure, Order-Driven Markets, Liquidity Commonalities

28.

Forward-Looking Measures of Higher-Order Dependencies with an Application to Portfolio Selection

Number of pages: 35 Posted: 27 Jan 2014 Last Revised: 19 May 2016
Felix Brinkmann, Alexander Kempf and Olaf Korn
University of Goettingen (Gottingen), University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Georg-August-Universität Göttingen
Downloads 168 (174,440)

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option-implied information, dependence measures, higher moments, portfolio selection

29.

The Value of Tradeability

Swiss Finance Institute Research Paper No. 11-37
Number of pages: 46 Posted: 21 Sep 2011
Marc Chesney and Alexander Kempf
University of Zurich - Department of Banking and Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 106 (250,167)

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Tradeability, Liquidity, Option Pricing

30.
Downloads 71 (320,869)

SRI Funds: Nomen Est Omen

Number of pages: 26 Posted: 06 Mar 2008
Alexander Kempf and Peer C. Osthoff
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Centre for Financial Research (CFR)
Downloads 69 (329,619)

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Socially Responsible Mutual Funds, Socially Responsible Investing, Ethical Investment

SRI Funds: Nomen est Omen

Journal of Business Finance & Accounting, Vol. 35, Issue 9-10, pp. 1276-1294, November/December 2008
Number of pages: 19 Posted: 21 Nov 2008
Alexander Kempf and Peer C. Osthoff
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Centre for Financial Research (CFR)
Downloads 2 (655,156)
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31.

Knowledge Spillovers in the Mutual Fund Industry Through Labor Mobility

Number of pages: 44 Posted: 12 Feb 2019 Last Revised: 01 Mar 2019
Gjergji Cici, Alexander Kempf and Claudia Peitzmeier
University of Kansas - School of Business, University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Centre for Financial Research (CFR)
Downloads 44 (405,416)

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Organization Capital, Knowledge Spillovers, Mutual Funds, Learning-by-Hiring

32.

The Effect of Socially Responsible Investing on Portfolio Performance

European Financial Management, Vol. 13, No. 5, pp. 908-922, November 2007
Number of pages: 15 Posted: 26 Oct 2007
Peer C. Osthoff and Alexander Kempf
University of Cologne - Centre for Financial Research (CFR) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 12 (558,193)
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33.

Family Matters: Rankings within Fund Families and Fund Inflows

Journal of Business Finance & Accounting, Vol. 35, Issue 1-2, pp. 177-199, January-March 2008
Number of pages: 23 Posted: 15 Feb 2008
Alexander Kempf and Stefan Ruenzi
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance
Downloads 10 (570,284)
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34.

The Value of the Early Unwind Option in Futures Contracts with an Endogenous Basis

94-02
Posted: 05 Jul 1998
Wolfgang Bühler and Alexander Kempf
University of Mannheim - Department of Business Administration and Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)

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