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recently published fulltext publications
11.02.2016
This paper examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower tail dependence (LTD) with the market based on copulas. We find that stocks with weak LTD serve as a hedge during crises, but, overall, stocks with strong LTD have higher average future returns. ...
10.02.2016
Confronted by increased internal and external complexity, traditional forms of newswork have reached their limits. Journalistic start-ups, such as Quartz and NZZ.at, form emerging editorial teams around “obsessions” or “phenomena” to gain cross-beat perspectives of complex issues such as climate change, the financial crisis or the refugee ...
09.02.2016
Using readily available data on daily close, high, and low prices, we develop a straightforward method to estimate the bid-ask spread. Compared with other spread estimators, our method is simpler and has an intuitive closed-form solution without need of further approximations. We test our method numerically and empirically using the Trade and ...
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