Josef Fink joins research platform


Josef Fink took a leave of absence from his job in top management consulting to start working on his PhD in the fall of 2018. Together with this two supervisors, platform members Stefan Palan and Erik Theissen, Josef works on lab experiments studying  the Post-Earnings-Announcement drift, the phenomenon that stock prices tend to exhibit momentum following positive and negative earnings surprises. He plans to run his first experiments in the first half of 2019 and will report on the findings in one of the research days in the same year.

Michael Kirchler gives first FiRe Lecture


Starting a new event format, the FiRe platform held its first FiRe Lecture on December 12, 2018. Our lecturer, Michael Kirchler (University of Innsbruck, University of Gothenburg) presented his research in a talk titled "Heuristiken und Verhaltensanomalien von Finanzprofis". Filling the room with a large audience of interested listeners, Michael managed not to disappoint. He took his listeners on a tour through anchoring and framing effects and questions of risk preferences and perceptions to explore how financial professionals' behavior differs from that of lay people.

The FiRe platform wishes to thank Michael for his exciting and thought-provoking talk. We also thank the Finance Club Graz for their help in organizing the event and the Capital Bank for their sponsoring.

Strong FiRe presence at AWG meeting


November 23 and 24 saw the annual meeting of the Austrian Working Group on Banking and Finance, which this year convened at the University of Salzburg. The FiRe team gave a strong showing with FiRe members presenting 3 of the 10 papers featured at the conference. Specifically, the following papers were presented:

With Stefan Palan also in attendance, the FiRe group also constituted one of the largest delegations to participate in the meeting.

Note that another presenter at the meeting, Julia Reynolds (Università della Svizzera italiana), will also be presenting at our FiRe Research Day on December 13, 2018.

New book published


FiRe members Alexander Brauneis and Roland Mestel recently published the second edition of their book “Finanzmarktinstrumente” (link). The book provides a non-technical introduction into the functioning, use and valuation of a broad range of financial market instruments: fixed income securities, FX, stocks, derivatives, structured products and (new in this edition) cryptocurrencies. The authors also pay particular attention to the risks associated with these instruments. The book is designed as a reference book for financial professionals and can also be used as a textbook in introductory finance courses.

Christian Schitter obtains PhD


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


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


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


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


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


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


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


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.

Stöckl, T., Palan, S., 2018. Catch me if you can. Can human observers identify insiders in asset markets?, Journal of Economic Psychology 67, 1–17, DOI: 10.1016/j.joep.2018.04.004.

Roland Mestel presents new paper


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


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.

Annual Report 2017


Our Annual Report 2017 presents an overview of a very successful year. We have welcomed new members, a number of papers have been published, and we have had excellent research days. Read more here!

New paper on insider trading regulation and market efficiency


A new paper by FiRe member Stefan Palan and his co-author, Thomas Stöckl, titled "When chasing the offender hurts the victim: The case of insider legislation", has recently been published in the Journal of Financial Markets. The authors find that legislation forbidding insider trading has significant negative effects on multiple market dimensions. They find that under insider legislation, (1) markets are less liquid, (2) markets are less informationally efficient, and (3) uninformed traders׳ earnings (before redistribution of illicit insider gains) are lower.

Hans Manner joins research platform


Hans Manner has recently joined the research platform. Hans was recently appointed Professor of Econometrics and Empirical Economic Research at the Department of Economics, University of Graz. He has previously held positions at the TU Dortmund and at the University of Cologne.

New paper presenting online recruiting platform


A new paper by FiRe members Stefan Palan and Christian Schitter, titled " — A subject pool for online experiments" has recently been published (open access) in the Journal of Behavioral and Experimental Finance. It is concerned with a platform for recruiting participants for online experiments, a topic of growing relevance for the entire social sciences. After briefly discussing key advantages and challenges of online experiments relative to lab experiments, the authors trace the platform’s historical development, present its features, and contrast them with requirements for different types of social and economic experiments.

The paper had before been presented at the FiRe Research Day in December 2017.

Ulrich Pferschy joins research platform


Ulrich Pferschy has long been affiliated with the finance team in Graz and has now joined the research platform. Ulrich was appointed Full Professor on February 1, 2018, and chairs the Department of Statistics and Operations at the University of Graz. His research is mainly concerned with the theory and application of linear and non-linear optimization in business administration.

Christian Schitter completes research stay in Berkeley


From August to November 2017, Christian Schitter visited the Institute of European Studies at the University of California at Berkeley. He conducted a series of honesty experiments at XLab and connected with local scholars in behavioral economics and finance. Moreover, he had the opportunity to participate in regular seminars of the Department of Economics, the Haas Business School, and the Institute of European Studies. Part of his stay was funded by the Austrian Marshall Plan Foundation.

New paper on cryptocurrencies


A new paper by FiRe members Alexander Brauneis and Roland Mestel, titled "Price Discovery of Cryptocurrencies: Bitcoin and beyond", has recently been accepted for publication in Economics Letters. The paper had before been presented at the FiRe Research Day in December 2017.

New paper on "Algorithmic Trading and Liquidity"


A new paper by FiRe members Roland Mestel, Michael Murg and Erik Theissen, titled "Algorithmic Trading and Liquidity: Long Term Evidence from Austria", has recently been accepted for publication in Finance Research Letters. The paper had before been presented at the FiRe Research Day in December 2016.

Stefan Palan appointed editor


Stefan Palan has been appointed Co-Editor-in-Chief of the Journal of Behavioral and Experimental Finance (JBEF), beginning on January 1, 2018. Founded only in 2014, JBEF welcomes full-length and short letter papers in the areas of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas. The journal has been growing nicely and is on track to receive an impact factor in 2019. The current journal metrics are a CiteScore of 1.13, Source Normalized Impact per Paper (SNIP) of 0.978 and a SCImago Journal Rank (SJR) of 0.430.

If you work in the field and consider JBEF as an outlet for your next paper, get in touch with Stefan regarding any questions you may have.