Berivan Gürel wins Reinhard Selten-Stipendium

FiRe is pleased to announce that platform researcher Berivan Gürel won the Reinhard Selten-Stipendium of the Gesellschaft für experimentelle Wirtschaftsforschung e.V. (GfeW) for her research proposal "Risk, Risk Tolerance, and Risk Perception: Experiments studying the role of sex and gender". We are confident that the research project funded by this award will make an important contribution to the rapidly growing literature studying gender differences in financial behavior.

Michael Eggerer joins research platform

Michael Eggerer recently joined the research platform after accepting a position as a project assistant at the Institute of Banking and Finance. Michael is currently completing his master’s degree in business administration at the University of Graz and is about to start his doctoral studies under the supervision of Prof. Andrea Schertler. Together with his supervisor, he will work on a project on infractions of anti-money laundering rules in banks.

Erik Theissen wins 'Best Paper Award' at DGF 2023

For his paper "Payment for Order Flow and Market Quality: A Field Experiment" ,  Erik Theissen received the "Best Paper Award" at the 29th Annual Meeting of the German Finance Association (DGF) at the at the University of Hohenheim. During the three-day conference starting on September 28, 2023, participants got a glimpse of the latest research in various areas of finance, with more than 90 papers being presented. We congratulate Erik for presenting the best paper!

Talking about sustainability at financial planner congress

Stefan Palan recently gave a talk at the Financial Planner Forum 2023, held at Merriott Hotel, Vienna, and organized by Prof. Otto Lucius. Speaking in front of around 300 financial professionals, he presented his joint research with Marcel Seifert, Florian Spitzer, Simone Haeckl, Alexia Gaudeul, Erich Kirchler and Katharina Gangl studying ways to promote sustainable investments in the wake of the EU's Green Deal Action Plan on Sustainable Finance. 

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.

"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.

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.