Auflistung LIF-SAFE Working Papers nach Forschungsbereich "Financial Markets"
Anzeige der Dokumente 21-40 von 98
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Expl(AI)ned: The impact of explainable artificial intelligence on cognitive processes
(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 ... -
Global Realignment in Financial Market Dynamics: Evidence from ETF Networks
(2021-02-04)The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using ... -
Global Temperature, R&D Expenditure, and Growth
(2017-11-15)We shed new light on the macroeconomic effects of rising temperatures. In the data, a shock to global temperature dampens expenditures in research and development (R&D). We rationalize this empirical evidence within a ... -
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 ... -
Growth Options and Firm Valuation
(2013-11-01)"This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, ... -
Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics
(2017-10-17)Empirical evidence suggests that investments in research and development (R&D) by older and larger firms are more spread out internationally than R&D investments by younger and smaller firms. In this paper, I explore the ... -
High-Frequency Trading and Price Informativeness
(2019-03-09)We study how stock price informativeness changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT presence ... -
High-Frequency Trading and Price Informativeness
(2019-03-01)We study how the informativeness of stock prices changes with the presence of high-frequency trading (HFT). Our estimate is based on the staggered start of HFT participation in a panel of international exchanges. With HFT ... -
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
(2020-03-01)We show that High Frequency Traders (HFTs) are not beneficial to the stock market during flash crashes. They actually consume liquidity when it is most needed, even when they are rewarded by the exchange to provide immediacy. ... -
Horizontal Industry Relationships and Return Predictability
(2019-08-09)It has been documented that vertical customer-supplier links between industries are the basis for strong cross-sectional stock return predictability (Menzly and Ozbas (2010)). We show that robust predictability also arises ... -
How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis
(2016-09-28)Amid increasing regulation, structural changes of the market and Quantitative Easing as well as extremely low yields, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to ... -
Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections
(2018-08-08)The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed ... -
Impact of public news sentiment on stock market index return and volatility
(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 ... -
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
(2020-01-27)We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ... -
Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare
(2017-04-13)"We study the general equilibrium implications of different fiscal policies on macroeconomic quantities, asset prices, and welfare by utilizing two endogenous growth models. The expanding variety model features only ... -
Inside the ESG Ratings: (Dis)agreement and Performance
(2020-07-31)We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. ... -
International Capital Markets with Time-Varying Preferences
(2017-08-02)We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on ... -
International Endogenous Growth, Macro Anomalies, and Asset Prices
(2016-07-20)"This paper studies a two-country production economy with complete and frictionless financial markets and international trade in which competition in R&D leads to endogenous new firm creation and economic growth. Current ... -
Investment-Specific Shocks, Business Cycles, and Asset Prices
(2016-03-14)We introduce long-run investment productivity risk in a two-sector production economy to explain the joint behavior of macroeconomic quantities and asset prices. Long-run productivity risk in both sectors, for which we ... -
Leaning Against the Wind: Debt Financing in the Face of Adversity
(2016-12-29)We offer evidence of a new stylized feature of corporate financing decisions: the tendency of managers to rely more on debt financing when earnings prospects are poor. We term this 'leaning against the wind' and consider ...