Menkveld, AlbertJ., Yueshen, B.Z. and Zhu, H. (2017). Shades of darkness: A pecking order of trading venues Journal of Financial Economics, 124(3):503--534.
12 Key Publications
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Menkveld, AlbertJ. and Zoican, MariusA. (2017). Need for speed? Exchange latency and liquidity Review of Financial Studies, 30(4):1188--1228. -
Gryglewicz, S., Décamps, J., Morellec, E. and Villeneuve, S. (2017). Corporate Policies with Permanent and Transitory Shocks Review of Financial Studies, 30(1):162--210. -
Kaeck, A., Rodrigues, P. and Seeger, N.J. (2017). Equity Index Variance: Evidence from Flexible Parametric Jump-Diffusion Models Journal of Banking and Finance, 83:85--103.
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van de Leur, M.C.W., Lucas, A. and Seeger, NormanJ. (2017). Network, market, and book-based systemic risk rankings Journal of Banking and Finance, 78:84--90.
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van Bekkum, S. (2017). Ireland's 2010 EU/IMF Intervention: Costs and Benefits Journal of Banking and Finance, 72(4):175--183.
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Pfeil, S., Klimenko, N. and Rochet, J. (2017). A simple macroeconomic model with extreme financial frictions Journal of Mathematical Economics, 86:92--102. -
Opschoor, A.(., van Dijk, D. and van der Wel, M. (2017). Combining density forecasts using focused scoring rules Journal of Applied Econometrics, 32(7):1298--1313. -
Busch, P. and Obernberger, S. (2017). Actual Share Repurchases, Price Efficiency, and the Information Content of Stock Prices Review of Financial Studies, 30(1):324--362. -
Andonov, A., Bauer, R. and Cremers, M. (2017). Pension Fund Asset Allocation and Liability Discount Rates Review of Financial Studies, 30(8):2555--2595. -
Goyal, S., Rosenkranz, S., Weitzel, U. and Buskens, V. (2017). Information Acquisition and Exchange in Social Networks Economic Journal, 127(606):2302--2331. -
Siganos, A., Vagenas-Nanos, E. and Verwijmeren, P. (2017). Divergence of sentiment and stock market trading Journal of Banking and Finance, 78(May):130--141.