This page lists finance-related publications of platform researchers since its year of inception, 2015, or since the respective researcher's joining the platform. For the authors' other publications, please see their individual websites.
Showing 51 items
TitleAuthorsPublication outletYearDescription
TitleAuthorsPublication outletYearDescription
Impact of futures expiration on underlying stocks: intraday analysis for Warsaw Stock Exchange Gurgul, H.; Suliga, M. Central European Journal of Operations Research Forthcoming Study investigating the effects of stock futures expirations on the spot market on the Warsaw Stock Exchange. 
Aggregation Mechanisms for Crowd Predictions Palan, S.; Huber, J.; Senninger, L. Experimental Economics Forthcoming The paper studies the best mechanism for aggregating estimates by a crowd of people. 
What drives the liquidity of cryptocurrencies? A long-term analysis Brauneis, A., Mestel, R. and Theissen, E. Finance Research Letters forthcoming Using a sample of 4 cryptocurrencies traded on 4 venues we compare their liquidity across currencies and trading venues and analyze the determinants of liquidity. 
Underpricing in the Euro Area Bond Market: New Evidence from Post-Crisis Regulation and Quantitative Easing Rischen, T. and Theissen, E.  Journal of Financial Intermediation forthcoming An extensive analysis of underpricing in European bond markets before, during and after the financial crisis 
Finanzwirtschaftliche Anwendungen der Blockchain-Technologie Schuster, P. and Theissen, E. and Uhrig-Homburg, M. Zeitschrift für betriebswirtschaftliche Forschung forthcoming Der Beitrag gibt einen Überblick über die Blockchain-Technologie sowie wichtige finanzwirtschaftlichen Anwendungen (Kryptowährungen, Smart Contracts, Initial Coin Offerings, die Abwicklung von Wertpapiergeschäften und Auswirkungen auf die Corporate Governance).  
Call of Duty: Designated Market Maker Participation in Call Auctions Theissen, E. and Westheide, C. forthcoming The paper provides a detailed analysis of the activity of designated market makers in call auctions.  
Cryptocurrency-portfolios in a mean-variance framework Brauneis, A.; Mestel, R. Finance Research Letters 28, 259-264 2019 The first paper to investigate crypto-only portfolios in a traditional mean-variance framework. 
What Can we Learn from Stock Prices?: Cash Flow, Risk, and Shareholder Welfare: Comment Erik Theissen Journal of Institutional and Theoretical Economics (JITE) 175, 200-204 2019 Comment on a (theoretical) paper by Joshua Mitts 
How to choose between fixed- and variable-rate loans Fischer, E. O.; Kampl, L. Österreichisches Bankarchiv 67(2), 125-135 2019 Paper proposing different criteria for choosing between fixed- and variable-rate loans. 
Debt Restructuring: When Do Loan and Bond Prepayments Pay Off? Fischer, E. O.; Wöckl, I. Österreichisches Bankarchiv 67(1), 39-49 2019 Analysis of the favourability of debt restructuring providing critical limits for the nominal interest rate of the new loan up to which prepayment is optimal. 
Who inflates the bubble? Analysts and traders in experimental asset markets. Giamattei, M.; Huber, J.; Lambsdorff, J.; Nicklisch, A.; Palan, S. Journal of Economic Dynamics and Control 110(103718) 2019 Paper studying the interaction between analysts and traders. 
Dependence Structure of Volatility and Illiquidity on Vienna and Warsaw Stock Exchanges Gurgul, H.; Syrek, R. Czech Journal of Economics and Finance 69(3), 198-221 2019 Paper studying dependence structures between stocks listed at teh Vienna and Warsaw stock exchanges. 
Does Investor Risk Perception Drive Asset Prices in Markets? Experimental Evidence. Huber, J.; Palan, S.; Zeisberger, S. Journal of Banking and Finance 108(105635) 2019 Investigation into investors' perception of risk in a market context. 
Illiquidity Transmission from Spot to Futures Markets Korn, O.; Krischak, P.; Theissen, E. Journal of Futures Markets 39, 1228-1249 2019 The paper develops a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory of Cho and Engle (1999) and tests the model’s predictions with market data. 
Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae Manner, H.; Alavi Fard, F.; Pourkhanali, A.; Tafakori, L. Energy Economics 78, 143-164 2019 Paper proposing an estimation approach for forecasting electricity prices in the Australian territories. 
Testing for structural breaks in factor copula models Manner, H.; Stark, F.; Wied, D. Journal of Econometrics 208(2), 324-345 2019 Paper proposing new fluctuation tests for detecting structural breaks in factor copula models. 
To claim or not to claim: Anonymity, symmetric externalities and honesty Schitter, C.; Fleiß, J.; Palan, S. Journal of Economic Psychology 71, 13-36 2019 Experiment investigating insurance claims under (in)transparency and risk pooling. 
Liquidity in the German Stock Market Thomas Johann, Stefan Scharnowski, Erik Theissen, Christian Westheide and Lukas Zimmermann Schmalenbach Business Review 71, 443-473 2019 This paper presents the most extensive analysis of liquidity in the German equity market so far.  
Open Market Share Repurchases in Germany: A Conditional Event Study Approach. Andres, C.; Betzer, A.; Doumet, M.; Theissen, E. Abacus 54, 417-444 2018 Study analyzing the decision to announce an open market share repurchase and the share price reaction to the announcement. 
Price discovery of cryptocurrencies: Bitcoin and beyond Brauneis, A.; Mestel, R. Economics Letters 165, 58-61 2018 Study testing efficiency of several cryptocurrencies and linking efficiency to measures of liquidity.  
Are Commodity Hedge Funds interesting for institutional Investors? Lechner, G.; Beinhauer, R. Journal of Finance and Investment Analysis 7(1), 1-12 2018 Study investigating whether commodity hedge funds are a valuable addition to an institutional portfolio. 
Algorithmic Trading and Liquidity: Long Term Evidence from Austria Mestel, R.; Murg, M.; Theissen, E. Finance Research Letters 26, 198-203 2018 A paper documenting the extent of algorithmic trading in the Austrian equity market and its interaction with liquidity. - A subject pool for online experiments Palan, S.; Schitter, C. Journal of Behavioral and Experimental Finance 17, 22-27 2018 Article presenting, a new online recruitment system for experiments in the economic and social sciences.  
Catch me if you can. Can human observers identify insiders in asset markets? Stöckl, T.; Palan, S. Journal of Economic Psychology 67, 1-17 2018 Paper investigating the ability of market authorities to recognize informed trading from market data. 
The impact of asynchronous trading on Epps effect on Warsaw Stock Exchange Gurgul, H.; Machno, A. Central European Journal of Operations Research 25(2), 287-301. 2017 Test whether asynchronicity in transaction times is a considerable cause of the Epps effect on the Warsaw Stock Exchange. 
Relationship of Commodity and Equity Indices on Hedge funds Performance Lechner, G.; Beinhauer, R. Journal of Finance and Economics 5(3), 136-144 2017 Investigation into the impact of the Dodd-Frank act on the hedge fund industry. 
When chasing the offender hurts the victim: The case of insider legislation Palan, S.; Stöckl, T. Journal of Financial Markets 35(129), 104-129 2017 Experimental study on the impact of insider trading and financial market authority oversight on trader behavior and market performance. 
The Choice Architecture of Sustainable and Responsible Investment: Nudging Investors toward Ethical Decision-Making Pilaj, H. Journal of Business Ethics 140(4), 743–753 2017 A conceptual framework to improve the effectiveness of SRI policy-making, based on a model of the individual decision for or against SRI. 
Das Spendenabzugsbemessungsgrundlagenkarussell Zirngast, Sabine; Brauneis, Alexander Österreichische Steuerzeitung 2017/255 2017 A study recommending changes to the Austrian law governing the tax-deductibility of donations. 
Ich bin dann mal weg: Werteffekte von Delistings deutscher Aktiengesellschaften nach dem Frosta-Urteil.  Doumet, M.; Limbach, P.; Theissen, E. Zeitschrift für betriebswirtschaftliche Forschung 68, 253 2016 Effect of a regulatory change facilitating delistings on shareholder profits. 
Impact of US macroeconomic news announcements on intraday causalities on selected European stock markets Gurgul, H.; Lach, Ł.; Wojtowicz, T. Czech Journal of Economics and Finance 66(5), 405-425 2016 Study investigating the impact of US macroeconomic news announcements on three European stock markets. 
Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach Gurgul, H.; Machno, A. Central European Journal of Operations Research 24(3), 763-786 2016 Paper investigating the structure of dependence among 24 European and Asia-Pacific markets. 
Intraday effects of analysts' recommendations on international stock markets Murg, M. International Conference on Accounting and Finance Proceedings 2016 Investigation into the short-term impact of analyst recommendations on markets in Austria, Germany, Italy and the U.S. 
The impact of analyst recommendations on stock prices in Austria (2000-2014): evidence from a small and thinly traded market Murg, M.; Pachler, M.; Zeitlberger, A. Central European Journal of Operations Research 24(3), 595-616 2016 Paper studying short-term market reactions to analyst recommendations. 
The Lintner model revisited: Dividends vs. total payouts. Andres, C.; Doumet, M.; Fernau, E.; Theissen, E. Journal of Banking and Finance 55, 56-69 2015 Investigation on the effect of the introduction of repurchases on the payout policy of German firms. 
Stealth Trading and Trade Reporting by Corporate Insiders Betzer, A.; Gider, J.; Metzger, D.; Theissen, E. Review of Finance 19, 865-905 2015 We show that corporate insiders in the US in the pre-SOX era timed the report of their trades strategically.  
Finanzmarktinstrumente: Funktionsweisen-Einsatzmöglichkeiten-Bewertungsgrundlagen Brauneis, A.; Mestel, R. ISBN: 9783851361087 2015 Book presenting the basic functionality and pricing of financial market securities. 
Finanzwissen-allgemein verständlich: Investmentfonds Brauneis, A.; Mestel, R. BankArchiv 63(4) 2015 Presentation of the basic functionality and pricing of mutual funds in financial markets. 
Finanzwissen-allgemein verständlich: Zertifikate  Brauneis, A.; Mestel, R. BankArchiv 63(3) 2015 Presentation of the basic functionality and pricing of certificates in financial markets. 
Market Abuse and Price Manipulation on Security Markets: Forensic Finance Corluka, M.; Murg, M. ISBN-10: 3659692573 2015 In this research, we discuss the so-called "turbo scandal", an event that agitated Austrian public in 2009 when information about the alleged manipulation of turbo-certificates on the Vienna Stock Exchange appeared. 
A combined regime-switching and Black–Litterman model for optimal asset allocation Fischer, E.; Murg, M. Journal of Investment Strategies 4(3), 1–36 2015 This paper shows the effects of Black-Litterman-Portfolios in a regime switching framework on asset allocation and portfolio performance 
The Value of a Fallback Option  Füllbrunn, S.; Kreiner, S.; Palan, S. Central European Journal of Operations Research 23(2), 375-388 2015 An investigation into subjects' perception of the value of different fallback options in a second-price auction.  
A Partially Linear Approach to Modelling the Dynamics of Spot and Futures Prices Gaul, J.; Theissen, E. Journal of Futures Markets 35, 371-384 2015 This paper proposes a partially linear error correction model of the dynamics of spot and futures prices in the presence of arbitrage. The adjustment coefficient is allowed to depend non-linearly on the lagged price difference.  
The state of play in European OTC Equities Trading Gomber, P.; Sagade, S.; Theissen, E.; Weber, M. C.; Westheide, C. Journal of Trading 10(2), 23-32 2015 This paper analyzes OTC trading in European equity markets and finds that OTC trades are frequent and small. This is at odds with the MiFID definition of OTC trades.  
Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate Gomber, P., Sagade, S., Theissen, E., Weber, M., Westheide, C. Journal of Economic Surveys 31, 792-814 2015 A survey of the literature on consolidation versus fragmentation of equity markets 
Liquidity Dynamics in an Electronic Open Limit Order Book: An Event Study Approach. Gomber, P.; Schweickert, U.; Theissen, E. European Financial Management 21, 52-78 2015 We use intraday event study methodology to analyze the resiliency after large liquidity shocks.  
The response of intraday ATX returns to U. S. macroeconomic news Gurgul, H.; Wojtowicz, T. Czech Journal of Economics and Finance 65(3), 230-253. 2015 Study of the impact of U.S. macroeconomic data announcements on the Vienna Stock Exchange. 
A Good Beginning Makes a Good Market: The Effect of Different Market Opening Structures on Market Quality Hinterleitner, G.; Leopold-Wildburger, U.; Mestel, R.; Palan, S. Scientific World Journal, Article ID 307808 2015 Paper studying the impact of market opening structure (transparent/intransparent call auction followed by a continuous double auction, or stand-alone continuous double auction) on market efficiency in a market with homogenously informed traders. 
Insider Behavior under Different Market Structures - Experimental Evidence on Trading Patterns, Manipulation and Profitability Hornung, P.; Leopold-Wildburger, U.; Mestel, R.; Palan, S. Central European Journal of Operations Research 23(2), 357-373 2015 Paper studying the impact of market opening structure (transparent/intransparent call auction followed by a continuous double auction, or stand-alone continuous double auction) on market efficiency in a market with non-informed and informed traders. 
GIMS - A Software for Asset Market Experiments Palan, S. Journal of Behavioral and Experimental Finance 5, 1-14 2015 Paper describing a software for experimental asset market experiments. 
Geldanlage mit gutem Gewissen? Eine Privatanleger-Befragung zu nachhaltigen Investments Pilaj, H.; Reisinger, B. BankArchiv 63(10), 740-746 2015 An investigation into the barriers and drivers of SRI for retail investors. 
Showing 51 items