Recent Submissions

  • A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets 

    Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-05-06)
    We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we ...
  • Mirror, Mirror on the Wall: Machine Predictions and Self-Fulfilling Prophecies 

    Bauer, Kevin; Gill, Andrej (2021-04-20)
    We show that disclosing machine predictions to affected parties can trigger self-fulfilling prophecies. In an investment game, we experimentally vary investors’ and recipients’ access to a machine prediction about recipients’ ...
  • Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment 

    Gao, Can; Martin, Ian (2021-03-24)
    We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually ...
  • Separating the Effects of Beliefs and Attitudes on Pricing under Ambiguity 

    Li, Wenhui; Wilde, Christian (2021-03-10)
    The pricing of an ambiguous asset, whose cash flow stream is uncertain, may be affected by three factors: the belief regarding the realization likelihood of cash flows, the subjective attitude towards risk, and the attitude ...
  • The Power of ESG Ratings on Stock Markets 

    Latino, Carmelo; Pelizzon, Loriana; Rze?nik, Aleksandra (2021-03-10)
    This paper studies the impact of environmental, social, and governance (ESG) ratings on investors’ preferences and stock prices. We exploit a change in ESG rating methodology that non-linearly shifted ESG ratings for firms ...
  • Gender Differences in Financial Advice 

    Bucher-Koenen, Tabea; Hackethal, Andreas; Koenen, Johannes; Laudenbach, Christine (2015-03-04)
    We show that financial advisors recommend more costly products to female clients, based onminutes from about 27,000 real-world advisory meetings and client portfolio data. Funds recommended to women have higher expense ...
  • The Impact of Temporal Framing on the Marginal Propensity to Consume 

    Pauls, Thomas (2021-02-23)
    We conducted a large-scale household survey in November 2020 to study how altering the time frame of a message (temporal framing) regarding an imminent positive income shock affects consumption plans. The income shock ...
  • Biases in Information Selection and Processing: Survey Evidence from the Pandemic 

    Faia, Ester; Fuster, Andreas; Pezone, Vincenzo; Zafar, Basit (2021-02-10)
    How people form beliefs is crucial for understanding decision-making un- der uncertainty. This is particularly true in a situation such as a pandemic, where beliefs will affect behaviors that impact public health as well ...
  • Obfuscation and Rational Inattention in Digitalized Markets 

    Janssen, Aljoscha; Kasinger, Johannes (2021-02-05)
    This paper studies the behavior of competing firms in a duopoly with rational inattentive consumers. Firms play a sequential game in which they decide to obfuscate their individual prices before competing on price. ...
  • The Disposition Effect in Boom and Bust Markets 

    Bernard, Sabine; Loos, Benjamin; Weber, Martin (2021-02-05)
    The disposition effect is implicitly assumed to be constant over time. However, drivers of the disposition effect (preferences and beliefs) are rather countercyclical. We use individual investor trading data covering several ...
  • Global Realignment in Financial Market Dynamics: Evidence from ETF Networks 

    Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; Getmansky, Mila; Zareei, Abalfazl (2021-02-04)
    The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using ...
  • Smart (Phone) Investing? A Within Investor-Time Analysis of New Technologies and Trading Behavior 

    Kalda, Ankit; Loos, Benjamin; Previtero, Alessandro; Hackethal, Andreas (2021-02-02)
    Using transaction-level data from two German banks, we study the effects of smartphones on investor behavior. Comparing trades by the same investor in the same month across different platforms, we find that smartphones ...
  • The FOMC Risk Shift 

    Kroencke, Tim-Alexander; Schmeling, Maik; Schrimpf, Andreas (2021-01-27)
    We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free ...
  • Risk Taking, Preferences, and Beliefs: Evidence from Wuhan 

    Bu, Di; Hanspal, Tobin; Liao, Yin; Liu, Yong (2020-03-24)
    We study risk taking in a panel of subjects in Wuhan, China - before, during the COVID-19 crisis, and after the country reopened. Subjects in our sample traveled for semester break in January, generating variation in ...
  • An Extensible Model for Historical Financial Data with an Application to German Company and Stock Market Data 

    Gram, Dennis; Karapanagiotis, Pantelis; Krzyzanowski, Jan; Liebald, Marius; Walz, Uwe (2021-01-22)
    Broad, long-term financial and economic datasets are a scarce resource, in particular in the European context. In this paper, we present an approach for an extensible, i.e. adaptable to future changes in technologies and ...
  • Motivated Beliefs and the Elderly's Compliance with COVID-19 Measures 

    von Siemens, Ferdinand (2021-01-26)
    Although the elderly are more vulnerable to COVID-19, the empirical evidence suggests that they do not behave more cautiously in the pandemic than younger individuals. This theoretical model argues that some individuals ...
  • OTC Discount 

    de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; Schneider, Michael (2020-12-08)
    We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable with respect to exchange quotes. ...
  • Ambiguity and Investor Behavior 

    Kostopoulos, Dimitrios; Meyer, Steffen; Uhr, Charline (2020-11-24)
    We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December ...
  • Supranational Rules, National Discretion: Increasing Versus Inflating Regulatory Bank Capital? 

    Gropp, Reint; Mosk, Thomas; Ongena, Steven; Simac, Ines; Wix, Carlo (2021-02-16)
    We study how higher capital requirements introduced at the supranational and implemented at the national level affect the regulatory capital of banks across countries. Using the 2011 EBA capital exercise as a quasi-natural ...
  • Financing Costs and the Efficiency of Public-Private Partnerships 

    Avdiu, Besart; Weichenrieder, Alfons J. (2020-11-18)
    The paper compares provision of public infrastructure via public-private partnerships (PPPs) with provision under government management. Due to soft budget constraints of government management, PPPs exert more effort and ...

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