News

New working paper studying the disposition effect

posted Jul 21, 2020, 1:43 AM by Graz FinanceResearch   [ updated Jul 21, 2020, 1:43 AM ]

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Stefan Palan has just published a new working paper studying the disposition effect. Following a seminar presentation at the Université catholique de Louvain in October of last year, Stefan joined the research project of Rudy De Winne and Nhung Luong, who study whether investors whose behavior exhibits the disposition effect choose different order types and different limit prices than investors less prone to the disposition effect. The working paper reports strong evidence supporting this conjecture from a comprehensive analysis of a large dataset of millions of trades by thousands of Belgian retail investors. For the next version of the paper, the authors aim to run experiments to document causal relationships.

Michael Kueschnig joins research platform

posted Jun 24, 2020, 2:22 PM by Graz FinanceResearch

Portrait photo of Michael Kueschnig
Michael Kueschnig recently joined the research platform after accepting a position as university assistant at the Institute of Banking and Finance under the supervision of Andrea Schertler. Michael studied Economics at the University of Munich and the Vienna University of Economics and Business and is a Certified Financial Risk Manager. He previously worked as a consultant in the financial services industry, where he specialized in risk management.

Michael's research interests include empirical banking, financial risk management and banking regulation. He intends to center his PhD thesis around the systemic and idiosyncratic risk implications of parent and subsidiary company relationships in the financial sector.

Jürgen Brandner joins research platform

posted Jun 24, 2020, 4:43 AM by Graz FinanceResearch   [ updated Jun 24, 2020, 4:43 AM ]

Portrait photo of Jürgen Brandner
Jürgen Brandner recently joined the research platform as a PhD student under the supervision of Stefan Palan and Erik Theissen. Jürgen will strengthen our team (which includes Josef Fink) studying the post-earnings-announcement drift. In particular, he plans to study the role of announcement timing on the drift and will also delve deeper into the market microstructure of the phenomenon.

New paper stuying liquidity on cryptocurrency markets

posted Apr 21, 2020, 6:28 AM by Graz FinanceResearch   [ updated Apr 21, 2020, 6:28 AM ]

Cover, Finance Research Letters
The liquidity of cryptocurrency trading platforms has yet to gain significant attention in the academic literature, especially regarding long-term timeframes. The paper “What Drives the Liquidity of Cryptocurrencies? A Long-Term Analysis” by FiRe members Alexander Brauneis, Roland Mestel and Erik Theissen bridges this gap by analyzing the liquidity of four major cryptocurrencies (Bitcoin, Ethereum, Litecoin and Ripple) on four large trading venues (Bitfinex, Bitstamp, Coinbase Pro and Kraken) over a four-year period.

Referring to another of their working papers (“How to Measure the Liquidity of Cryptocurrencies?”) in which the authors run horse races of various low-frequency measures to identify the best liquidity proxy for cryptocurrency research, Alex, Roland, and Erik estimate the Abdi and Ranaldo (2017) spread estimator from hourly transactions data and compare liquidity across cryptocurrencies and exchanges. In order to identify the drivers of cryptocurrency liquidity the authors analyse a broad set of explanatory variables from general financial markets and global cryptocurrency markets as well as variables specific to each exchange-currency pair. The authors find that the volatility of cryptocurrency returns as well as the dollar trading volume and the number of transactions are the most important determinants of liquidity. Surprisingly, general financial market variables have no explanatory power.

The paper was presented at the FiRe Research Day in December 2019 and has recently been accepted for publication in Finance Research Letters.

Brauneis, A., Mestel, R., Theissen, E., Forthcoming. What Drives the Liquidity of Cryptocurrencies? A Long-Term Analysis, Finance Research Letters, DOI: 10.1016/j.frl.2020.101537.

Annual report 2019

posted Feb 25, 2020, 12:59 AM by Graz FinanceResearch

Cover image of the annual report 2019
The past year was again a very active one for our research platform. 
We have have welcomed new members, published a number of articles, and had excellent research days. Consequently, we are proud to present our Annual Report 2019 to all readers.

Strong showing at AWG 2019 workshop

posted Feb 7, 2020, 2:06 PM by Graz FinanceResearch   [ updated Feb 7, 2020, 2:06 PM ]

The Austrian Working Group on Banking and Finance held its 34th workshop on November 22 and 23, 2019. For the first time, this workshop took place outside of Austria, albeit in its immediate neighborhood: in Vaduz, Liechtenstein. This long-established working group traditionally brings together members of the community of banking and finance researchers from all over Austria for a workshop in late November of every years.

This year's workshop saw a strong showing of FiRe researchers, with Lisa-Maria Kampl, Stefan Palan and Ines Wöckl attending despite the fact that they had the longest commute. Stefan presented his joint work with Josef Fink and Erik Theissen, titled "Earnings Autocorrelation and the Post-Earnings-Announcement Drift", and Ines presented her joint work with Edwin Fischer and Lisa-Maria Kampl, titled "On the Valuation and Analysis of Risky Debt: A Theoretical Approach Using a Multivariate Extension of the Merton Model".

New paper studying aggregation mechanisms for crowd predictions

posted Nov 11, 2019, 5:15 AM by Graz FinanceResearch   [ updated Nov 11, 2019, 5:18 AM by Stefan Palan ]

Cover of Experimental Economics
The term "wisdom of crowds" is well-recognized at least since the publication of James Surowiecki's book with the same title. It refers to the phenomenon that the aggregated estimates of many different individuals often constitute a surprisingly accurate predictor of the unknown quantity or quality to be estimated. In a recent paper by platform researcher Stefan Palan, co-authored with Jürgen Huber and Larissa Senninger from the University of Innsbruck, the authors study which aggregation mechanism performs best. They compare simple means and medians and more complex, market-based mechanisms. They find that the continuous double auction outperforms all other mechanisms in terms of prediction accuracy.

Palan, S., Huber, J., Senninger, L., Forthcoming. Aggregation mechanisms for crowd predictions, Experimental Economics, DOI: 10.1007/s10683-019-09631-0.

New paper studying information aggregation

posted Nov 11, 2019, 5:15 AM by Graz FinanceResearch   [ updated Apr 21, 2020, 6:27 AM ]

Cover of Experimental Economics
The term "wisdom of crowds" is well-recognized at least since the publication of James Surowiecki's book with the same title. It refers to the phenomenon that the aggregated estimates of many different individuals often constitute a surprisingly accurate predictor of the unknown quantity or quality to be estimated. In a recent paper by platform researcher Stefan Palan, co-authored with Jürgen Huber and Larissa Senninger from the University of Innsbruck, the authors study which aggregation mechanism performs best. They compare simple means and medians and more complex, market-based mechanisms. They find that the continuous double auction outperforms all other mechanisms in terms of prediction accuracy.

Palan, S., Huber, J., Senninger, L., Forthcoming. Aggregation mechanisms for crowd predictions, Experimental Economics, DOI: 10.1007/s10683-019-09631-0.

Andrea Schertler joins research platform

posted Oct 22, 2019, 12:29 AM by Graz FinanceResearch   [ updated Oct 22, 2019, 12:29 AM ]

Andrea Schertler has joined the research platform after she was recently appointed Professor of Finance and Business Analytics at the Department of Banking and Finance, University of Graz. Andrea has previously held positions at Leuphana University and University of Groningen. Her research will deal with empirical banking, especially risk and regulation. Currently, Andrea is working on projects concerned with money laundering and risk governance. We warmly welcome Andrea to our team.

New paper studying risk perception in markets

posted Sep 16, 2019, 3:49 AM by Graz FinanceResearch   [ updated Sep 29, 2019, 11:58 PM by Stefan Palan ]

Cover, Journal of Banking and Finance
What do investors perceive as being risky? And if what they perceive as being risky differs from what finance theory suggests constitues risk - does the market eliminate any potential biases from individual risk perceptions? These are the core questions pursued by platform member Stefan Palan in a joint paper with Jürgen Huber and Stefan Zeisberger. Their research was recently 
published (online first) in the Journal of Banking and Finance. Titled "Does Investor Risk Perception Drive Asset Prices in Markets? Experimental Evidence", the paper finds that investors nearly exclusively focus on an asset's probabilty of yielding negative returns. In other words, risk perception is driven by the probability of losses, while for example the size of the potential losses does not seem to receive investors' attention.

While this result confirms prior research by some of the authors, finance theorists would rely on a market to eliminate any individual biases, yielding efficient prices, which properly reflect more comprehensive risk measures. Yet the paper's most important finding is precisely that this mechanism does not work. The results show that real-money experimental asset market prices fully reflect the individual risk perceptions. Assets with a higher probability of negative returns fetch lower prices in the market and vice versa. This has important implications for markets outside of the lab, for individual investors, and for investment advisors, who should account for this bias.

Huber, J., Palan, S., Zeisberger, S., Forthcoming. Does Investor Risk Perception Drive Asset Prices in Markets? Experimental Evidence, Journal of Banking & Finance 108(105635)., DOI 10.1016/j.jbankfin.2019.105635.

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