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Maria Kasch

University of Mannheim - Department of Finance

Assistant Professor of Finance

L5, 2, room 105

Mannheim, 68161

Germany

  • University of Mannheim - Department of Finance

    • Email
    • Tel: +49 621 181 1514
    • Fax: +49 621 181 1519
SCHOLARLY PAPERS

7

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CITATIONS

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Scholarly Papers (7)

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1.

Volatility Threshold Dynamic Conditional Correlations: An International Analysis

Forthcoming, Journal of Financial Econometrics
Number of pages: 45 Posted: 05 Mar 2007 Last Revised: 29 Oct 2012
Maria Kasch and Massimiliano Caporin
University of Mannheim - Department of Finance and University of Padua - Department of Statistical Sciences
Downloads 371 (61,598)

Abstract:

Dynamic Correlations, Volatility Thresholds, Comovement, Contagion

2.

Is There an S&P 500 Index Effect?

FIRS 2013
Number of pages: 56 Posted: 06 Nov 2012 Last Revised: 06 Jun 2014
Maria Kasch and Asani Sarkar
University of Mannheim - Department of Finance and Federal Reserve Bank of New York
Downloads 287 (88,125)
Citation 1

Abstract:

S&P 500 inclusions, Pre-inclusion performance, Factor betas, Price and earnings momentum, Value effect

3.

Market Crashes

Number of pages: 47 Posted: 10 May 2010 Last Revised: 11 Apr 2011
Maria Kasch, Jose Gonzalo Rangel and Moritz Weigand
University of Mannheim - Department of Finance, Goldman Sachs Group, Inc. - Global Investment Research and PPI AG
Downloads 261 (90,139)

Abstract:

stock market crashes, post-crash recoveries, order imbalance, flight to size, flight to quality, flight to liquidity

4.

Systematic Risk and Share Turnover

Downloads 192 (132,397)

Systematic Risk and Share Turnover

Number of pages: 49 Posted: 27 Mar 2015 Last Revised: 06 May 2015
Maria Kasch
University of Mannheim - Department of Finance
Downloads 119 (199,054)

Abstract:

Market volatility; Short- and long-horizon betas; Parallel response to common shocks; Crowded-trade problem; Mechanical risk-return relation; Stylized empirical fact

Systematic Risk and Share Turnover

Number of pages: 54 Posted: 01 Jan 2016
Maria Kasch
University of Mannheim - Department of Finance
Downloads 73 (276,412)

Abstract:

Market volatility, Short- and long-horizon betas, Parallel response to common shocks, Crowded-trade problem, Endogenous beta, Low-risk anomaly, Risk-return relation

5.

DJIA Index Membership and the Flow of Information Between Stock Returns

Number of pages: 33 Posted: 04 Feb 2008 Last Revised: 03 Apr 2009
Bing Anderson and Maria Kasch
California State Polytechnic University, San Luis Obispo - Finance Area and University of Mannheim - Department of Finance
Downloads 134 (174,472)

Abstract:

Tick-by-tick multi-asset data integration, DJIA revisions, Leag-lag relationship

6.

Competition between Exchanges: Euronext Versus Xetra

Downloads 82 (255,530)

Competition between Exchanges: Euronext Versus Xetra

EFMA 2003 Helsinki Meetings
Number of pages: 39 Posted: 23 Jun 2003 Last Revised: 14 Jun 2010
Maria Kasch and Erik Theissen
University of Mannheim - Department of Finance and University of Mannheim - Finance Area
Downloads 80 (261,750)

Abstract:

Competition between exchanges, bid-ask spread

Competition between Exchanges: Euronext Versus Xetra

European Financial Management, Vol. 15, Issue 1, pp. 181-207, January 2009
Number of pages: 27 Posted: 02 Jan 2009
Maria Kasch and Erik Theissen
University of Mannheim - Department of Finance and University of Mannheim - Finance Area
Downloads 2 (568,721)
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Abstract:

7.

Systematic Risk and Share Turnover [or Beta as a Measure of Mispricing]

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 05 Jun 2016
Maria Kasch
University of Mannheim - Department of Finance
Downloads 0 (414,187)

Abstract:

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