Christian Schitter obtains PhD

posted Sep 24, 2018, 12:55 AM by Graz FinanceResearch   [ updated Sep 24, 2018, 12:57 AM ]

Christian Schitter recently obtained his PhD at the University of Graz after successfully defending his thesis titled Behavioral Determinants of Reporting Honesty. He was unanimously awarded the highest mark by his team of supervisors Stefan Palan, Ulrike Leopold-Wildburger (both University of Graz) and Jürgen Huber (University of Innsbruck), finishing magna cum laude.

We congratulate Christian on this achievement!

DGF annual meeting

posted Sep 24, 2018, 12:34 AM by Graz FinanceResearch

DGF logo
The 25th Annual Meeting of the German Finance Association (DGF) took place at the University of Trier from September 21st to 22nd. The DGF meetings aim at bringing together researchers and practitioners alike to discuss the most recent research from all areas of finance, banking and insurance. Around 90 papers were accepted for publication (out of more than 220 submitted papers).

Fire-member Erik Theissen, who was honored by DGF for organizing and holding the PhD-Seminar preceding the meeting for ten years, presented two papers: Underpricing in the Eurozone Corporate Bond Market, co-authored by Tobias Rischen, is an empirical study investigating underpricing in the Eurozone bond market; Call of Duty: Designated Market Maker Participation in Call Auctions, co-authored by Christian Westheide, focuses on the role of designated market makers in call auctions.

FiRe-member Roland Mestel presented A High Frequency Analysis of Bitcoin Markets, a paper dealing with questions of integration, liquidity and structure of Bitcoin markets. The paper is co-authored by Ryan Riordan and FiRe members Alexander Brauneis and Erik Theissen.

FiRe members and PhD candidates Corinna Blasch, Lisa Kampl and Ines Wöckl also participated in the meeting.

Successful grant application

posted Jul 27, 2018, 7:20 AM by Stefan Palan   [ updated Jul 27, 2018, 7:21 AM ]

A joint grant application by Thomas Stöckl (MCI Management Center Innsbruck, serving as principal investigator) and Stefan Palan (FiRe, University of Graz) has received funding by the Austrian National Bank (OeNB).

Titled Putting a spotlight on insider trading legislation - A cross-examination using laboratory markets, the research project consists of three separate studies of insider trading and the effect of legislation. Specifically, they focus on the effect on the possibility to short sell on informed and uninformed traders' behavior and profits, on traders' choice of a regulated vs. a non-regulated market, and on whether traders themselves would vote for legislation against informed trading or not.

Funded with € 147,000, the project will run for three years and will bring together pre- and post-doc researchers in Graz and Innsbruck.

And another OeNB grant

posted Jul 27, 2018, 7:20 AM by Stefan Palan   [ updated Sep 24, 2018, 12:30 AM ]

A joint grant application by FiRe members Roland Mestel (University of Graz, serving as principal investigator) and Erik Theissen (FiRe, University of Mannheim and University of Graz) has received funding by the Anniversary Fund of Austrian National Bank (OeNB).

The project is the first to examine liquidity in the Austrian capital market in depth. Based on a unique database compiled by the Institute of Banking and Finance of the University of Graz in cooperation with Wiener Börse, the project will evaluate market liquidity for all stocks listed on Wiener Börse since 2000. Among other things, market behavior in times of market stress (financial crisis; EURO crisis), the impacts of technological and regulatory changes in European market structure (e.g., MiFID) and national and EU-wide measures of economic policy (e.g., the introduction of taxes on capital gains and the increase of this tax rate) on the Austrian stock market will be empirically evaluated. The research team will compare Austrian results with those for the German market. Finally, unique stock-level data on the share of algorithmic trading will be used to investigate whether and in what way computer-based trading affects market quality in Austria.

Funded with € 105,000, the project will run for 30 months.

University of Graz reports on FiRe research

posted Jun 25, 2018, 4:57 AM by Graz FinanceResearch   [ updated Jun 25, 2018, 4:57 AM ]

The University of Graz recently picked up on research by FiRe members Alexander Brauneis, Roland Mestel and Stefan Palan. The University saw the recent policy discussion about a price floor on CO2 emissions in the EU, spearheaded by President Macron (France) and Secretary Köstinger (Austria), as an opportunity to highlight research into this topic conducted by the authors listed above. For the full report (in German), see the University website.
(Photo: pixabay)

First research day 2018

posted Jun 15, 2018, 12:50 AM by Graz FinanceResearch

On June 14, 2018, the platform held its first biannual research day. Attended by 17 researchers, the program featured six presentations by speakers from the Universities of Graz, Mannheim and the Austrian National Bank OeNB. The topics ranged from a fMRI study of tax behavior, via an investigation of the decision to convert a loan, risk weights in banks, high-frequency trading and IPO underpricing to an experiment on information aggregation.

An overview of this issue's program is available from the meetings page. We look forward to the upcoming second research day in this year, which will be held on December 13, 2018 and which will be preceded by a keynote lecture by Michael Kirchler (University of Innsbruck) on experiments with financial professionals on December 12, 2018.

Lisa-Maria Kampl joins research platform

posted Jun 1, 2018, 12:14 AM by Graz FinanceResearch

Lisa-Maria Kampl
Lisa Kampl joined the Department of Finance as a research assistent in March 2018. Her master thesis dealt with deriving credit risk and default probabilities via historical migration matrices, calculating risk-neutral default and recovery rates on the basis of these matrices and current interest rates as well as pricing risky bonds. Lisa will be giving her first course (KS Internationale Finanzmärkte 2, WS 2018) as a part of the finance specialization in the next semester. Concerning her research, Lisa intends to concentrate on the effects of monetarian policy decisions of different institutions on financial markets as well as on macroeconomic factors.

New paper on identifying informed traders

posted May 27, 2018, 12:48 PM by Graz FinanceResearch

A new paper by 
FiRe member Stefan Palan and his co-author, Thomas Stöckl, titled "Catch me if you can. Can human observers identify insiders in asset markets?", has recently been published in the Journal of Economic Psychology. The authors find that market trading data carries information which correlates with informed trading activity. Observers partly succeed in recognizing and using this information to identify informed traders.

Roland Mestel presents new paper

posted May 25, 2018, 12:01 AM by Graz FinanceResearch   [ updated May 25, 2018, 12:04 AM ]

The School of Business, Economics and Social Sciences at the University of Graz holds a weekly research seminar, where members of the faculty present their latest projects and papers. On May 2, 2018, Roland Mestel presented his paper titled "Bitcoin and other cryptocurrencies from a financial point of view", which he co-authored with Alexander Brauneis (University of Klagenfurt), Ryan Riordan (Queen’s University, Ontario) and Erik Theissen (University of Mannheim and University of Graz).

Roland laid out the group's current research portfolio regarding cryptocurrencies. Their first project dealt with questions of price efficiency. A second project analyzed crypto-only portfolios in a traditional Markowitz framework. Finally, Roland reported on a high frequency liquidity analysis for Bitcoin. Although Bitcoin can simultaneously be traded on several cryptocurrency exchanges, liquidity differs greatly between these platforms. The group tries to identify differences in the microstructure of these platforms that might explain these divergences.

New paper on cryptocurrency portfolios

posted May 24, 2018, 12:03 AM by Graz FinanceResearch

A new paper by FiRe members Alexander Brauneis and Roland Mestel, titled "Cryptocurrency-portfolios in a mean-variance framework" has recently been accepted for publication in Finance Research Letters. It is the first paper investigating crypto-only portfolios in a traditional mean-variance framework. The authors identify naively diversified portfolios to derive risk-adjusted outperformance when compared to mean-variance optimized portfolios. The paper was previously presented at the FiRe Research Day in December 2017.

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