L5, 2, room 105
University of Mannheim - Department of Finance
in Total Papers Downloads
Dynamic Correlations, Volatility Thresholds, Comovement, Contagion
S&P 500 inclusions, Pre-inclusion performance, Factor betas, Price and earnings momentum, Value effect
stock market crashes, post-crash recoveries, order imbalance, flight to size, flight to quality, flight to liquidity
Market volatility; Short- and long-horizon betas; Parallel response to common shocks; Crowded-trade problem; Mechanical risk-return relation; Stylized empirical fact
Market volatility, Short- and long-horizon betas, Parallel response to common shocks, Crowded-trade problem, Endogenous beta, Low-risk anomaly, Risk-return relation
Tick-by-tick multi-asset data integration, DJIA revisions, Leag-lag relationship
Competition between exchanges, bid-ask spread
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