Empirical Research On The German Capital Market (contributions To Management Science)

This collection of fifteen original articles results from a cooperative intensive program of research on the German capital market. The program objectives included the development of expertise in modern empirical methods in financial economics and the derivation of results that might be specific to the German capital market. The four parts of the book are dedicated to: - problems of market structure and organization - information and capital market - risk and return - futures and options Altogether, the book gives an overview of empirical research on capital markets in Germany and helps to understand their nature. It also shows the application of modern techniques in financial research. A. Market Structure And Organization -- Market Design, Trading Behavior And Price Discovery -- An Experimental Stock Market Model / W. Gerke And H. Bienert -- Designing An Experimental Stock Market / J. P. Krahnen, C. Rieck And E. Theissen -- Private Investor Behavior In Germany: An Empirical Survey And Experimental Results / A. Oehler -- Market Structure And Bid-ask Spread / H. Schmidt, P. Iversen And K. Treske -- Statutory Induced Switching Into A New Market / H. Schmidt And T. Schrader -- B. Information And Capital Market -- Financial Market Indicators And Real Capital Investment In Germany / W. Gebauer, K. J. W. Schmidt And D. Veestraeten -- Financial Reporting And The Stock Market In Germany / H. P. Moller And E. Keller -- C. Risk And Return -- An Investigation Into The Number Of Factors Generating German Stock Returns / O. L. Adelberger And G. Lockert -- The German Equity Market: Risk, Return, And Liquidity / H. Goppl, T. Ludecke And C. Schlag / [et Al.] -- Estimation And Prediction Of Systematic Risk With Market-based And Accounting-based Data For German Shares / B. Rudolph And P. Zimmermann -- Measuring Portfolio Performance And The Empirical Content Of The Apt / M. Steiner, T. Nowak And C. Wittrock -- D. Futures And Options -- Analysis Of The Call Policy Of Bund, Bahn, And Post In The German Bond Market / W. Buhler And M. Schulze -- Time-lags Between Price Changes Of Stocks And Stock Options / M. Gais, R. Hecker And E. Wenger -- The Dax Futures Market And Dividends / K. Roder And G. Bamberg -- Impact Of Stock Price Jumps On Option Values / S. Trautmann And M. Beinert. Wolfgang Bühler, Herbert Hax, Reinhart Schmidt, Eds. Includes Bibliographical References. Front Matter....Pages I-VIII Front Matter....Pages 1-1 Market Design, Trading Behavior and Price Discovery — An Experimental Stock Market Model....Pages 3-25 Designing an Experimental Stock Market....Pages 27-54 Private Investor Behavior in Germany: An Empirical Survey and Experimental Results....Pages 55-77 Market Structure and Bid-Ask Spread....Pages 79-96 Statutory Induced Switching into a New Market....Pages 97-110 Front Matter....Pages 111-111 Financial Market Indicators and Real Capital Investment in Germany....Pages 113-134 Financial Reporting and the Stock Market in Germany....Pages 135-148 Front Matter....Pages 149-149 An Investigation into the Number of Factors Generating German Stock Returns....Pages 151-170 The German Equity Market: Risk, Return, and Liquidity....Pages 171-185 Estimation and Prediction of Systematic Risk with Market-Based and Accounting-Based Data for German Shares....Pages 187-206 Measuring Portfolio Performance and the Empirical Content of the APT....Pages 207-230 Front Matter....Pages 231-231 Analysis of the Call Policy of Bund, Bahn, and Post in the German Bond Market....Pages 233-253 Time-lags between Price Changes of Stocks and Stock Options....Pages 255-279 The DAX Futures Market and Dividends....Pages 281-301 Impact of Stock Price Jumps on Option Values....Pages 303-322 A collection of fifteen original articles that result from a cooperative intensive program of research on the German capital market. It is dedicated to: problems of market structure and organization; information and capital market; risk and return; and, futures and options. Empirical capital market research is not restricted to observing existing markets.