Search Results - "Bohl, Martin"

The case for herding is stronger than you think by Bohl, Martin T., Branger, Nicole, Trede, Mark

“…In this paper, we challenge the often implemented herding measure by Chang et al. (2000). They regress the cross-sectional absolute deviation of returns on the…”
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Central bank mandates: How differences can influence the content and tone of central bank communication by Bohl, Martin T., Kanelis, Dimitrios, Siklos, Pierre L.

“…•We analyze the relevance of mandates on speeches given by FED and ECB officials.•Speech content at both central banks display greater similarities before the…”
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Price discovery dynamics in European agricultural markets by Adämmer, Philipp, Bohl, Martin T.

“…This article examines the influence of European agricultural futures contracts on price discovery during periods of price turmoil and rising trading activity…”
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Measurement errors in index trader positions data: Is the price pressure hypothesis still invalid? by Bohl, Martin T., Branger, Nicole, Trede, Mark

“…In this paper, we examine whether the repeated rejection of Masters's price pressure hypothesis is robust with respect to measurement errors in index trader…”
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From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks by Bohl, Martin T., Kaufmann, Philipp, Stephan, Patrick M.

“…Stocks of German renewable energy companies have commonly been regarded as lucrative investment opportunities. Their innovative line of business initially…”
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The far reaching implications of Fama's efficient markets hypothesis: non-predictability of media investments by Bohl, Martin T., Ehrmann, Thomas, Wellenreuther, Claudia

“…In this paper we show, that approaches used to forecast the success of media investments can be challenged on the basis of the efficient markets hypothesis…”
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The impact of long-short speculators on the volatility of agricultural commodity futures prices by Bohl, Martin T., Sulewski, Christoph

“…Departing from the lively discussion about the Masters' hypothesis, this paper examines whether increasing activities of long-short speculators in commodity…”
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Return dynamics during periods of high speculation in a thinly traded commodity market by Bohl, Martin T, Stefan, Martin

“…This article studies the effects of speculation in a thinly traded commodity futures market, paying particular attention to periods characterized by…”
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Speculative activity and returns volatility of Chinese agricultural commodity futures by Bohl, Martin T., Siklos, Pierre L., Wellenreuther, Claudia

“…Chinese futures markets for agricultural commodities are among the fastest growing futures markets in the world and trading behaviour in those markets is…”
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The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets by Bohl, Martin T., Gross, Christian, Souza, Waldemar

“…This paper examines the role of the Brazilian futures exchange, BM&F Bovespa, in the global price formation process of Arabica coffee. Using a multivariate…”
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The gold price in times of crisis by Białkowski, Jędrzej, Bohl, Martin T., Stephan, Patrick M., Wisniewski, Tomasz P.

“…Motivated by the recent gold price boom, this paper examines whether an asset bubble exists in the gold market. We approximate gold's fundamental value using…”
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Does the tea market require a futures contract? Evidence from the Sri Lankan tea market by Perera, Devmali, Białkowski, Jędrzej, Bohl, Martin T.

“…[Display omitted] Tea is one of the most popular beverages in the world. Its consumption exceeds the consumption of milk, coffee and orange juice. Despite its…”
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Is the tracking error time-varying? Evidence from agricultural ETCs by Perera, Devmali, Białkowski, Jędrzej, Bohl, Martin T.

“…This study extensively analyses a recently popularized asset class, exchange-traded commodities (ETCs). We demonstrate that the tracking error of ETCs is…”
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Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin? by Adämmer, Philipp, Bohl, Martin T., Gross, Christian

“…It is still an unanswered question how much trading activity is needed for efficient price discovery in commodity futures markets. For this purpose, we…”
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Commodity futures hedge ratios: A meta-analysis by Białkowski, Jędrzej, Bohl, Martin T., Perera, Devmali

“…The derivative accounting standard requires hedging to satisfy the 80–125 rule to be eligible to apply the hedge accounting treatment. This means the hedging…”
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Speculative bubbles in agricultural prices by Adämmer, Philipp, Bohl, Martin T.

“…•We analyze whether US-corn, soybean and wheat prices are affected by speculative bubbles.•Fundamental values are derived from real oil prices and real…”
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Short selling constraints and stock returns volatility: Empirical evidence from the German stock market by Bohl, Martin T., Reher, Gerrit, Wilfling, Bernd

“…In this paper, we focus on the impact of short selling restrictions on stock returns volatility. In order to assess the potential effects econometrically, we…”
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Price discovery and investor structure in stock index futures by Bohl, Martin T., Salm, Christian A., Schuppli, Michael

“…Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates time‐varying…”
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Price discovery in agricultural commodity markets: Do speculators contribute? by Bohl, Martin T., Siklos, Pierre L., Stefan, Martin, Wellenreuther, Claudia

“…Previous literature on price discovery in commodity markets is mainly focused on the question of whether the spot or the futures market dominates the price…”
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Information transmission under increasing political tensions—Evidence from the Berlin Produce Exchange 1887–1896 by Bohl, Martin T., Pütz, Alexander, Siklos, Pierre L., Sulewski, Christoph

“…This article studies the effects of increasing political uncertainty on the functioning of German futures markets. We examine a unique event, namely the…”
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