Essays in empirical asset pricing [Elektronische Ressource] : liquidity, idiosyncratic risk, and the conditional risk-return relation / vorgelegt von Stefan Koch

Essays in Empirical Asset Pricing: Liquidity,Idiosyncratic risk, and the ConditionalRisk-Return RelationInaugural-Dissertationzur Erlangung des Grades eines Doktorsder Wirtschafts- und Gesellschaftswissenschaftendurch dieRechts- und Staatswissenschaftliche Fakultatder Rheinischen Friedrich-Wilhelms-Universit atBonnvorgelegt vonStefan Kochaus BottropBonn 2010Dekan: Prof. Dr. Christian HillgruberErstreferent: Prof. Dr. Erik TheissenZweitreferent: Prof. Dr. Alexander SzimayerTag der mundlic hen Prufung: 30.07.2010Diese Dissertation ist auf dem Hochschulschriftenserver der ULB Bonn(http://hss.ulb.uni-bonn.de/diss online) elektronisch publiziert.to my parents4AcknowledgementsThis thesis would not have been possible without the help, guidance and support of manypeople. I am indebted to all of them. Foremost, I owe much gratitude to my supervisorErik Theissen. He has been a great advisor. On the one hand he helped me to developinteresting research ideas and he was always ready to discuss upcoming problems. On theother hand he gave me the academic freedom to choose my own research agenda. ErikTheissen did not only support my research by insightful comments, but he also madethe construction of a very comprehensive data set possible, which is essential for thisdissertation. I would also like to thank Alexander Szimayer who kindly agreed to bepart of my dissertation committee. He provided valuable comments on all chapters of mydissertation.