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  • Market impact of government communication: The case of presidential tweets 

    Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-10-06)
    "We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ...
  • The salience of ESG ratings for stock pricing: Evidence from (potentially) confused investors 

    Rzeźnik, Aleksandra; Hanley, Kathleen Weiss; Pelizzon, Loriana (2021-10-08)
    We exploit a modification to Sustainalytics' environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show ...
  • OTC Discount 

    de Roure, Calebe; Mönch, Emanuel; Pelizzon, Loriana; Schneider, Michael (2021-10-08)
    We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vast majority of OTC prices are favorable compared to exchange quotes. This ...
  • The Value of Firm Networks: A Natural Experiment on Board Connections 

    Faia, Ester; Mayer, Maximilian; Pezone, Vincenzo (2021-08-03)
    We present causal evidence on the effect of boardroom networks on firm value and compensation policies. We exploit a ban on interlocking directorates of Italian financial and insurance companies as exogenous variation and ...
  • P2P Lending versus Banks: Cream Skimming or Bottom Fishing? 

    Pelizzon, Loriana; Thakor, Anjan; de Roure, Calebe (2021-10-08)
    We derive three testable predictions from a bank-P2P lender model of competition: (a) P2P lending grows when some banks are faced with exogenously higher regulatory costs, (b) P2P loans are riskier than bank loans, and (c) ...
  • Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test 

    Caporina, Massimiliano; Costola, Michele (2021-10-14)
    Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for ...
  • Discount rates, debt maturity, and the fiscal theory 

    Corhay, Alexandre; Kind, Thilo; Kung, Howard; Morales, Gonzalo (2021-10-12)
    This paper examines how the transmission of government portfolio risk arising from maturity operations depends on the stance of monetary/fiscal policy. Accounting for risk premia in the fiscal theory allows the government ...
  • Impact of public news sentiment on stock market index return and volatility 

    Anese, Gianluca; Corazza, Marco; Costola, Michele; Pelizzon, Loriana (2021-10-11)
    Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables ...
  • The geography of banks in the United States (1990-2020) 

    Angeloni, Ignazio; Kasinger, Johannes; Chantawit, Tantsaith (2021-09-20)
    We present new statistical indicators of the structure and performance of US banks from 1990 to today, geographically disaggregated at the level of individual counties. The constructed data set (20 indicators for some 3150 ...
  • The role of disclosure in green finance 

    Steuer, Sebastian; Tröger, Tobias (2021-08-23)
    We study the design features of disclosure regulations that seek to trigger the green transition of the global economy and ask whether such regulatory interventions are likely to bring about sufficient market discipline ...
  • Call of duty: Designated market maker participation in call auctions 

    Theissen, Erik; Westheide, Christian (2021-08-21)
    Many equity markets combine continuous trading and call auctions. Oftentimes designated market makers (DMMs) supply additional liquidity. Whereas prior research has focused on their role in continuous trading, we provide ...
  • Incentives, self-selection, and coordination of motivated agents for the production of social goods 

    Bauer, Kevin; Kosfeld, Michael; von Siemens, Ferdinand (2021-07-24)
    We study, theoretically and empirically, the effects of incentives on the self-selection and coordination of motivated agents to produce a social good. Agents join teams where they allocate effort to either generate ...
  • Momentum-managed equity factors 

    Flögel, Volker; Schlag, Christian; Zunft, Claudia (2019-07-22)
    Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios ...
  • The carrot and the stick: Bank bailouts and the disciplining role of board appointments 

    Mücke, Christian; Pelizzon, Loriana; Pezone, Vincenzo; Thakor, Anjan V. (2021-07-08)
    We empirically examine the Capital Purchase Program (CPP) used by the US government to bail out distressed banks with equity infusions during the Great Recession. We find strong evidence that a feature of the CPP - the ...
  • Expl(AI)ned: The impact of explainable artificial intelligence on cognitive processes 

    Bauer, Kevin; Zahn, Moritzvon; Hinz, Oliver (2021-06-25)
    This paper explores the interplay of feature-based explainable AI (XAI) techniques, information processing, and human beliefs. Using a novel experimental protocol, we study the impact of providing users with explanations ...
  • A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets 

    Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-05-06)
    We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we ...
  • Mirror, Mirror on the Wall: Machine Predictions and Self-Fulfilling Prophecies 

    Bauer, Kevin; Gill, Andrej (2021-04-20)
    We show that disclosing machine predictions to affected parties can trigger self-fulfilling prophecies. In an investment game, we experimentally vary investors’ and recipients’ access to a machine prediction about recipients’ ...
  • Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment 

    Gao, Can; Martin, Ian (2021-03-24)
    We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually ...
  • Separating the Effects of Beliefs and Attitudes on Pricing under Ambiguity 

    Li, Wenhui; Wilde, Christian (2021-03-10)
    The pricing of an ambiguous asset, whose cash flow stream is uncertain, may be affected by three factors: the belief regarding the realization likelihood of cash flows, the subjective attitude towards risk, and the attitude ...
  • The Power of ESG Ratings on Stock Markets 

    Latino, Carmelo; Pelizzon, Loriana; Rze?nik, Aleksandra (2021-03-10)
    This paper studies the impact of environmental, social, and governance (ESG) ratings on investors’ preferences and stock prices. We exploit a change in ESG rating methodology that non-linearly shifted ESG ratings for firms ...

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