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Taming Models of Prospect Theory in the Wild? Estimation of Vlcek and Hens (2011)
(2016-02-01)
Shortcomings revealed by experimental and theoretical researchers such as Allais (1953), Rabin (2000) and Rabin and Thaler (2001) that put the classical expected utility paradigm von Neumann and Morgenstern (1947) into ...
Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods
(2015-03-01)
We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening ...
Systemic Co-Jumps
(2016-10-10)
The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ...
Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street?
(2016-12-12)
This paper examines whether investor mood, driven by World Health Organization (WHO) alerts and media news on globally dangerous diseases, is priced in pharmaceutical companies' stocks in the United States. We concentrate ...
Which Market Integration Measure?
(2017-08-04)
This paper compares the dynamics of the financial integration process as described by different empirical approaches. To this end, a wide range of measures accounting for several dimensions of integration is employed. In ...
Abandon Ship: Deferred Compensation and Risk-Taking Incentives in Bad Times
(2017-05-23)
We study how US chief executive officers (CEOs) invest their deferred compensation plans depending on the firm's profitability. By looking at the correlation between the CEO's return on these plans and the firm's stock ...
Does feedback on personal investment success help?
(2016-12-06)
In a field study with more than 1.500 customers of an online-broker we test what happens when investors receive repeated feedback on their investment success in a monthly securities account report. The reports show investors’ ...
Women form social networks more selectively and less opportunistically than men
(2017-03-01)
We test two hypotheses, based on sexual selection theory, about gender differences in costly social interactions. Differential selectivity states that women invest less than men in interactions with new individuals. ...
Optimal Social Security Claiming Behavior under Lump Sum Incentives: Theory and Evidence
(2017-01-31)
People who delay claiming Social Security receive higher lifelong benefits upon retirement. We survey individuals on their willingness to delay claiming later, if they could receive a lump sum in lieu of a higher annuity ...
The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
(2016-10-01)
We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...