TY  - BOOK
A1  - Kunze, Karl-Kuno
A1  - Strohe, Hans Gerhard
T1  - Antipersistence in German stock returns
N2  - Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction. The pertaining integrated process exhibits a smaller range – prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be found for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distress are present. These effects should be properly accounted for when choosing and designing models for inference.
T3  - Statistische Diskussionsbeiträge - 39 
KW  - Antipersistence
KW  - capital and ownership structure
KW  - efficient market hypothesis
KW  - long memory
KW  - mergers and acquisitions
KW  - stock returns
Y1  - 2010
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-45582
ER  - 
TY  - RPRT
A1  - Hunold, Matthias
A1  - Petrishcheva, Vasilisa
T1  - Foreclosure and Tunneling with Partial Vertical Ownership
T2  - CEPA Discussion Papers
N2  - We demonstrate how the incentives of firms that partially own their suppliers or customers to foreclose rivals depend on how the partial owner can extract profits from the target (tunneling). Compared to a fully vertically integrated firm, a partial owner may obtain only a share of the target’s profit but influence the target’s strategy significantly. We show that the incentives for customer and input foreclosure can be higher, equal, or even lower with partial ownership than with a vertical merger, depending on how the protection of minority shareholders and transfer price regulations affect the scope for profit extraction.
T3  - CEPA Discussion Papers - 57 
KW  - Backward ownership
KW  - Entry deterrence
KW  - Foreclosure
KW  - Minority shareholdings
KW  - Partial ownership
KW  - Uniform pricing
KW  - Vertical integration
Y1  - 2022
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-565601
SN  - 2628-653X
IS  - 57
ER  -