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Browsing by Author "Kremer, Stephanie"
Now showing items 1-6 of 6
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2012-05-22BuchCorrelated Trades and Herd Behavior in the Stock Market Jurkatis, Simon; Kremer, Stephanie; Nautz, DieterHerd behavior is often viewed as a significant threat for the stability and effciency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce ...
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2013-08-07BuchHerding in financial markets Bridging the gap between theory and evidenceBoortz, Christopher; Jurkatis, Simon; Kremer, Stephanie; Nautz, DieterDue to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper attempts to close this gap in the herding literature. From a theoretical ...
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2010-04-27BuchHerding of Institutional Traders Kremer, StephanieThis paper sheds new light on herding of institutional investors by using a unique and superior database that identifies every transaction of financial institutions. First, the analysis reveals herding behavior of institutions. ...
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2009-07-07BuchInflation and Growth New Evidence From a Dynamic Panel Threshold AnalysisKremer, Stephanie; Bick, Alexander; Nautz, DieterWe introduce a dynamic panel threshold model to shed new light on the impact of inflation on long-term economic growth. The empirical analysis is based on a large panel-data set including 124 countries during the period ...
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2014-05-20BuchInformation Risk, MarketStress and InstitutionalHerding in FinancialMarkets New EvidenceThrough the Lens of aSimulated ModelBoortz, Christopher; Kremer, Stephanie; Jurkatis, Simon; Nautz, DieterThis paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these ...
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2011-03-10BuchShort-Term Herding of Institutional Traders New Evidence from the German Stock MarketKremer, Stephanie; Nautz, DieterThis paper employs a new and comprehensive data set to investigate short-term herding behavior of institutional investors. Using data of all transactions made by financial institutions in the German stock market, we show ...