Alexander Kempf

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

Cologne, 50923

Germany

SCHOLARLY PAPERS

32

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CITATIONS
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Top 2,488

in Total Papers Citations

225

Scholarly Papers (32)

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 1,888 (4,761)
Citation 6

Abstract:

Global Minimum Variance Portfolio, Estimation Risk

2.
Downloads 1,175 ( 13,591)
Citation 45

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 1,175 (13,330)
Citation 45

Abstract:

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

Abstract:

G20, G23, J49

3.

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 1,080 (12,446)
Citation 7

Abstract:

Estimation Risk, Global Minimum Variance Portfolio, Weight Estimation

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 654 (31,564)
Citation 9

Abstract:

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 326 (75,708)
Citation 9

Abstract:

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

5.

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 915 (18,418)
Citation 27

Abstract:

6.

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 897 (15,984)
Citation 2

Abstract:

portfolio selection, option-implied information

7.

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 897 (18,540)
Citation 7

Abstract:

8.

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 872 (17,976)
Citation 8

Abstract:

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

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 815 (21,736)
Citation 5

Abstract:

Mutual Funds, Fund Families, Performance Flow Relationship

10.

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 715 (26,925)

Abstract:

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

11.

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 651 (25,344)
Citation 3

Abstract:

Market Microstructure, Liquidity, Resiliency

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
College of William and Mary - Mason School of Business, University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Department of Finance
Downloads 642 (32,880)
Citation 5

Abstract:

Hedge Funds, Return Management, Valuation Deviations

13.
Downloads 579 ( 37,732)
Citation 5

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 579 (37,164)
Citation 5

Abstract:

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)

Abstract:

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 557 (37,380)
Citation 7

Abstract:

15.

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 485 (44,434)
Citation 25

Abstract:

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
College of William and Mary - Mason School of Business, University of Cologne - Centre for Financial Research (CFR) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 409 (57,868)

Abstract:

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
College of William and Mary - Mason School of Business, University of Cologne - Centre for Financial Research (CFR) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)

Abstract:

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

17.

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 302 (74,761)
Citation 4

Abstract:

Mutual Funds, Team Management, Investment Behaviour

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 298 (83,873)
Citation 4

Abstract:

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

Abstract:

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
College of William and Mary - Mason 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 194 (130,838)

Abstract:

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
College of William and Mary - Mason 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 82 (257,595)

Abstract:

Mutual funds, Taxable fund distributions, Financial advisors

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 264 (95,879)
Citation 2

Abstract:

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 (560,249)
Citation 2
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Abstract:

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

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 262 (96,644)

Abstract:

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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Abstract:

affective attitudes, risk and return expectations, behavioural finance, affect heuristic

22.

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

Number of pages: 55 Posted: 21 Sep 2014 Last Revised: 11 Jun 2017
College of William and Mary - Mason School of Business, University of Mannheim - Finance Area, University of Cologne and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 221 (65,249)

Abstract:

Investor Learning, Investor Experience, Mutual funds

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 206 (123,559)
Citation 1

Abstract:

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 (560,249)
Citation 1
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Abstract:

momentum effect, market anomalies, trading strategies, technical trading, fundamental analysis

24.

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 178 (123,313)
Citation 1

Abstract:

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

25.

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 150 (149,429)

Abstract:

Market Microstructure, Order-Driven Markets, Liquidity Commonalities

26.

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 K. Dahm and Alexander Kempf
College of William and Mary - Mason 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 103 (132,290)

Abstract:

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

27.

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 - Swiss Banking Institute (ISB) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 89 (234,148)

Abstract:

Tradeability, Liquidity, Option Pricing

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 78 (187,297)

Abstract:

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

29.
Downloads 56 (314,005)
Citation 5

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 54 (324,393)
Citation 5

Abstract:

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 (568,434)
Citation 5
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Abstract:

30.

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 (491,005)
Citation 39
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Abstract:

31.

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 (501,119)
Citation 8
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Abstract:

32.

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)

Abstract: