Finance Research Graz (FiRe)
FiRe Graz is a loosely organized research platform, affiliated with the University of Graz. Founded and operated by the Institute of Banking and Finance and the Institute of Finance, the platform is open to all finance researchers with a connection to the University of Graz and is intended to reach out across organisational boundaries. Its main areas of interest are empirical and experimental research in finance.
Josef Fink completes PhD with top grade07.05.2021
Today Josef Fink completed his doctoral studies with a dissertation defense that the committee graded "Sehr gut", the top grade in the Austrian grading system. Josef's dissertation, titled "Experiments on the Post-Earnings-Announcement Drift", was also graded "Sehr gut". In its core, it is made up of three papers studying the phenomenon of stock prices drifting in the direction of the surprise component of a company's announced earnings for up to four quarters following the initial announcement.
In his first paper, titled "A Review of the Post-Earnings-Announcement Drift" and published in the Journal of Behavioral and Experimental Finance, Josef provides the most comprehensive (by a wide margin) review of the literature on the PEAD phenomenon to date. In his second paper, titled "Earnings Autocorrelation and the Post-Earnings-Announcement Drift", Josef studies the role of autocorrelation in the earnings process on the drift. In his third paper, titled "Trading Frictions and the Post-Earnings-Announcement Drift", Josef investigates the role of frictions (i.e., a short-selling ban and transaction fees) on the drift.
We congratulate Josef and express our pride of him for this achievement!
New Paper on Measuring Liquidity of Cryptocurrency Markets09.02.2021
The growing importance of bitcoin for payments and investments is dependent on an efficient exchange of bitcoin for other currencies on cryptocurrency exchanges. The number of exchanges has exploded, making it difficult for investors to select an exchange for trading and hedging. While trading has become relatively frequent in cryptocurrencies the liquidity of these markets is difficult to determine.
In this paper, platform members Alexander Brauneis, Roland Mestel and Erik Theissen as well as their co-author Ryan Riordan from Queen’s University, investigate the efficacy of low-frequency transaction based liquidity measures to describe actual (high-frequency) liquidity. The authors show that the Corwin and Schultz (2012) and Abdi and Ranaldo (2017) estimators outperform other measures in describing time-series variations, irrespective of the observation frequency, trading venue, high-frequency liquidity benchmark, and cryptocurrency. Both measures perform well during high and low return, volatility and volume periods. The Kyle and Obizhaeva (2016) estimator and the Amihud (2002) illiquidity ratio outperform when estimating liquidity levels. These two estimators also reliably identify liquidity differences between trading venues. Overall, the results suggest that there is not yet a universally best measure but there are reasonably good low-frequency measures.
The paper was presented at the FiRe Research Day in December 2019 and has recently been accepted for publication in The Journal of Banking and Finance.
Brauneis, A., Mestel, R., Riordan, R., Theissen, E. (2021). How to measure the liquidity of cryptocurrency markets?, Journal of Banking and Finance, Vol. 124, DOI: https://doi.org/10.1016/j.jbankfin.2020.106041