A 'risky' investment in the pension is the best strategy


As part of the FiRe Lecture series, Prof. Dr. Martin Weber was a guest at the University of Graz on May 27, 2023. In his lecture, he emphasized the importance of private financial retirement planning and the issues to be considered in this context. In addition to the aspect of the "correct" savings strategy in retirement, personal responsibility and the advantage of starting to save early were also addressed.

A particularly interesting conclusion that Prof. Weber presented to the nearly 80 people in the audience was the fact that a diversified investment in the capital market is in most cases better than simply relying on a savings book or savings account, not only in the savings phase but also during retirement. Thus, by consciously taking a certain risk, in most cases a higher standard of living can be achieved even beyond the savings phase.

The Institute of Banking and Finance would like to thank Prof. Weber for the exciting lecture, Raiffeisen-Landesbank Steiermark AG for the catering, the SoWi-Absolvent:innenverein and the Finance Club Graz for supporting the event.

A person in a lecture hall gives a presentation to a group of people
Photo: © Paulus Mayr

Earnings autocorrelation promotes post-earnings-announcement drift


A paper recently accepted in the Journal of Financial and Quantitative Analysis studies the post-earnings-announcement drift. Platform members Josef Fink, Stefan Palan and Erik Theissen are the first to use experiments to study this well-documented market anomaly. Specifically, they focus on the question of whether post-earnings-announcement drift is driven by investors insufficiently accounting for autocorrelation in companies' earnings announcements.

The paper first documents that post-earnings-announcement drift can be observed in the controlled environment of the experimental lab, opening the door to future experiments studying this and other mispricing anomalies. In the research team's second and main result, they show that, while prices drift even in the absence of earnings autocorrelation, the drift is considerably more pronounced in the presence of earnings autocorrelation. The specific price patterns observed suggest that the phenomenon is indeed driven by underreaction to autocorrelation. Finally, the authors show that - at least in their lab setting - the observed drift can be exploited to earn excess profits.

The study is part of a larger research project funded by the Austrian Science Fund (FWF) and led by platform members Stefan Palan and Erik Theissen that has so far generated two published papers, two that are under review, and two that the research team is planning to submit to a journal soon.

Cover image of the Journal of Financial and Quantitative Analysis.

"Non-standard errors" forthcoming in Journal of Finance


Stefan Palan, Andrea Schertler and Erik Theissen, together with another 340 authors around the globe, recently participated in a large (obviously), cooperative, international research project to study "non-standard errors". As members of one of more than 160 one- or two-researcher teams, they analyzed the same dataset of financial market transactions with the aim of answering the same six questions. Their research shows that there is large variation in the results (i.e., the answers on the six research questions). The "non-standard errors" are similar in magnitude as the (mean) standard error and even looking only at a sub-sample of “highest quality results” does not change the picture much.

In other words, they find that if you ask different expert researchers to study a question using the same data, you may still get different answers. Furthermore, the researchers themselves underestimate the variation in the answers that different researchers or research teams provide. Read more about this somewhat depressing but nevertheless exciting and definitely relevant research under the following links:

Link to the project website | Link to the working paper

Oh, and if you want a more humorous take on the issue, watch the below interview with Albert Menkveld, one of the lead authors on the paper.

Cover image of the Journal of Finance.

Christof Haar joins research platform


Christof Haar is university assistant and PhD student at the Institute of Finance and student of Computational Social Systems. For his doctoral thesis, he will deal with the long-term impact of ECB's unconventional monetary policy, the COVID-19 crisis financial supports by governments and external factors, like increasing energy prices, on the relatively high inflation rates in the Euro area.

The focus of Christof's dissertation is on the extent to which each of these factors, and potentially others, are contributing to price increases within the euro area, and what the long-term effects of the measures implemented may be on inflation.