This paper (1) proposes new variables to detect informed high-frequency trading (HFT), (2) shows that HFT can help to predict takeover targets, and (3) shows that HFT in uences target announcement announcement returns. Prior literature suggests that informed trade may occur before takeovers, but...

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets.I develop a shock spillover model that decomposes local unexpected returns into a country speciffic shock, a regional European...

In this paper we study value strategies for four European countries (France, Germany, the Netherlands and the United Kingdom).We find an outperformance for all four value variables which are investigated: the earnings-to-price (E/P) ratio, the cash-flow-to-price (CF/P) ratio, the book-to-market...

This paper surveys the literature on socially responsible investments (SRI). Over the past decade, SRI has experienced an explosive growth around the world. Particular to the SRI funds is that both financial goals and social objectives are pursued. While corporate social responsibility (CSR) -...

In this paper we empirically analyze and compare the Libor and Swap Market Models, developed by Brace, Gatarek, and Musiela (1997) and Jamshidian (1997), using paneldata on prices of US caplets and swaptions.A Libor Market Model can directly be calibrated to observed prices of caplets, whereas a...

Microscopic simulation models are often evaluated based on visual inspection of the results.This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data.A related result is a methodology to compare different MS models with each other.For...

Receiving the same fractional recovery of par at default for bonds of the same issuer and seniority, regardless of remaining maturity, has been labelled in the academic literature as a Recovery of Face Value at Default (RFV).Such a recovery form results from language found in typical bond...

Hedge funds databases are typicall subject to high attrition rates because of fund termination and self-selection.Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence.In this...