http://hdl.handle.net/10993/65 Search this channel search http://orbilu.uni.lu/simple-search http://hdl.handle.net/10993/41635 Title: Underpricing of initial public offerings in experimental asset markets <br/> <br/>Author, co-author: Neugebauer, Tibor; Füllbrunn, Sascha; Nicklisch, Andreas http://hdl.handle.net/10993/41560 Title: The collateral channel of open market operations <br/> <br/>Author, co-author: Koulischer, François; Cassola, Nuno http://hdl.handle.net/10993/41489 Title: Member, Management Board, European Banking Center Network <br/> <br/>Author, co-author: Wolff, Christian http://hdl.handle.net/10993/41449 Title: Essays on Convertibles and Stock Markets <br/> <br/>Author, co-author: Abed Masror Khah, Sara http://hdl.handle.net/10993/41443 Title: A performance evaluation of weight-constrained conditioned portfolio optimization <br/> <br/>Author, co-author: Schiltz, Jang; Boissaux, Marc http://hdl.handle.net/10993/41438 Title: Local Organiser, European Shadow Financial Regulatory Committee Meeting <br/> <br/>Author, co-author: Wolff, Christian http://hdl.handle.net/10993/41435 Title: Associate Editor, Journal of International Financial Markets, Institutions and Money <br/> <br/>Author, co-author: Wolff, Christian http://hdl.handle.net/10993/41433 Title: Associate Editor, Pacific Basin Finance Journal <br/> <br/>Author, co-author: Wolff, Christian http://hdl.handle.net/10993/41297 Title: Dividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies <br/> <br/>Author, co-author: Wolff, Christian <br/> <br/>Abstract: In this paper we examine the relationship between ownership concentration and dividend policy for Thai publicly listed companies. High family ownership firms have higher dividend payouts than low family ownership firms, which we interpret to mean high family ownership firms follow a more rational dividend policy. This finding is consistent with the prediction that agency conflicts between the managers and shareholders are lower at firms with a controlling shareholder. The evidence is robust through different econometric specifications, robust when the level used to determine the extent of family ownership (family control) is lowered to 10 percent of the outstanding shares, and robust to the inclusion of the ownership wedge as a proxy for the severity of agency conflicts. http://hdl.handle.net/10993/41296 Title: Spillovers to small business credit risk <br/> <br/>Author, co-author: Wolff, Christian <br/> <br/>Abstract: Do large credit risk shocks spill over to small businesses and affect their real economic activity? Using information on small business credit risk, we find that small businesses show increased default and bankruptcy rates following a shock to a customer industry. On an industry level, the shock to a customer industry is followed by a decrease in industry markups, disproportionate closure of firms, and cutbacks in inventories. Our analysis quantifies the elevated credit risk among small businesses and suggests a non-negligible 0.83% increase in expected losses on a diversified loan portfolio following a credit risk shock. This study provides banks and supervisors with greater clarity on timing and on the extent of elevated small business credit risk. It also allows them to assess the exposure of a bank portfolio to fluctuations in small business default rate. Such improved default prediction reduces credit rationing to the small business economy. http://hdl.handle.net/10993/41269 Title: Reliability and relevance of fair values: private equity investments and investee fundamentals <br/> <br/>Author, co-author: Kräussl, Roman; Ferreira., Petrus H.; Landsman, Wayne R.; Borysoff, Maria Nykyforovych; Pope, Peter F. http://hdl.handle.net/10993/41125 Title: Why is the Market Skewness-Return Relationship Negative? <br/> <br/>Author, co-author: Lehnert, Thorsten <br/> <br/>Abstract: The observed negative relationship between market skewness and excess return or the negative price of market skewness risk in the cross-section of stock returns is somewhat counterintuitive when we consider the usual interpretation of e.g. option-implied skewness as an indicator of jump risk or downside risk. One possible explanation for this inconsistency is that there are factors affecting option-implied market skewness other than jump risk in the stock market. In this paper, I find that price pressure associated with “crowded trades” of mutual funds is an important endogenous factor. Given that retail investors are prone to herding, the directional trading of mutual funds is correlated, and their collective actions can generate short-term price pressure on aggregate stock prices. Short sellers systematically exploit these patterns not only in the equity lending market, but also in the options market. In line with this economic channel, I find that firstly, the significant negative relationship between market skewness and returns becomes insignificant, once I control for price pressure. Secondly, the negative relationship is only present for the “bad” downside component of risk-neutral skewness, associated with out-of-the-money put options. For the “good” upside component of risk-neutral skewness, associated with out-of-the-money call options, the relationship is always positive. Thirdly, price pressure affects the skewness-return relationship, which can be clearly distinguished from the impact of flows on the volatility-return relationship in terms of the leverage effect. http://hdl.handle.net/10993/41124 Title: THE MARKET SKEWNESS-RETURN RELATIONSHIP <br/> <br/>Author, co-author: Lehnert, Thorsten <br/> <br/>Abstract: The observed negative relationship between market skewness and excess return or the negative price of market skewness risk in the cross-section of stock returns is somewhat counterintuitive when we consider the usual interpretation of e.g. option-implied skewness as an indicator of jump risk or downside risk. One possible explanation for this inconsistency is that there are factors affecting option-implied market skewness other than jump risk in the stock market. In this paper, I find that price pressure associated with “crowded trades” of mutual funds is an important endogenous factor. Given that retail investors are prone to herding, the directional trading of mutual funds is correlated, and their collective actions can generate short-term price pressure on aggregate stock prices. Short sellers systematically exploit these patterns not only in the equity lending market, but also in the options market. In line with this economic channel, I find that firstly, the significant negative relationship between market skewness and returns becomes insignificant, once I control for price pressure. Secondly, the negative relationship is only present for the “bad” downside component of risk-neutral skewness, associated with out-of-the-money put options. For the “good” upside component of risk-neutral skewness, associated with out-of-the-money call options, the relationship is always positive. Thirdly, price pressure affects the skewness-return relationship, which can be clearly distinguished from the impact of flows on the volatility-return relationship in terms of the leverage effect. http://hdl.handle.net/10993/41123 Title: Why is the Market Skewness-Return Relationship Negative? <br/> <br/>Author, co-author: Lehnert, Thorsten <br/> <br/>Abstract: The observed negative relationship between market skewness and excess return or the negative price of market skewness risk in the cross-section of stock returns is somewhat counterintuitive when we consider the usual interpretation of e.g. option-implied skewness as an indicator of jump risk or downside risk. One possible explanation for this inconsistency is that there are factors affecting option-implied market skewness other than jump risk in the stock market. In this paper, I find that price pressure associated with “crowded trades” of mutual funds is an important endogenous factor. Given that retail investors are prone to herding, the directional trading of mutual funds is correlated, and their collective actions can generate short-term price pressure on aggregate stock prices. Short sellers systematically exploit these patterns not only in the equity lending market, but also in the options market. In line with this economic channel, I find that firstly, the significant negative relationship between market skewness and returns becomes insignificant, once I control for price pressure. Secondly, the negative relationship is only present for the “bad” downside component of risk-neutral skewness, associated with out-of-the-money put options. For the “good” upside component of risk-neutral skewness, associated with out-of-the-money call options, the relationship is always positive. Thirdly, price pressure affects the skewness-return relationship, which can be clearly distinguished from the impact of flows on the volatility-return relationship in terms of the leverage effect. http://hdl.handle.net/10993/41050 Title: Implied Volatility Sentiment: A Tale of Two Tails <br/> <br/>Author, co-author: Kräussl, Roman; Félix; Philip, Stork http://hdl.handle.net/10993/41009 Title: Islamic Banking and Economic Growth <br/> <br/>Author, co-author: Kchouri, Bilal; Lehnert, Thorsten http://hdl.handle.net/10993/40806 Title: Signaling or Marketing? The Role of Discount Control Mechanisms <br/> <br/>Author, co-author: Kräussl, Roman; Stefanova, Denitsa; Joshua, Pollet http://hdl.handle.net/10993/40805 Title: Signaling or Marketing? The Role of Discount Control Mechanisms <br/> <br/>Author, co-author: Kräussl, Roman; Stefanova, Denitsa; Pollet, Joshua http://hdl.handle.net/10993/40796 Title: Algorithmic Trading: An Introduction and Preliminary Experimental Results <br/> <br/>Author, co-author: Neugebauer, Tibor <br/> <br/>Abstract: Algorithmic robot trading involves computer programmes for placing orders in financial markets. More than half of all transactions in financial markets involve algorithm traders. Algorithm traders have been thought of being responsible for recently observed flash crashes, i.e. instances when the market crashes and instantly recovers. A common function of algorthmic trading is to profit from arbitrage, but little is known about the impacts of such trading algorithms in the market. By exploiting riskless arbitrage or statistical arbitrage in financial markets, arbitrage trading algorithms in theory instate efficiency and eventually establish no-arbitrage conditions in a market. A natural starting point for experimental finance research is the study of the impact of arbitrage bots in the market. The presentation introduces to algorithm trading, advanced results from the financial literature and recent results from experiments. http://hdl.handle.net/10993/40795 Title: A test of the Modigliani Miller Invariance Theorem and Arbitrage in Experimental Asset Markets <br/> <br/>Author, co-author: Neugebauer, Tibor; Charness, Gary <br/> <br/>Abstract: Modigliani and Miller (1958) show that a repackaging of asset return streams to equity and debt has no impact on the total market value of the firm if pricing is arbitrage-free. We test the empirical validity of this invariance theorem in experimental asset markets with simultaneous trading in two shares of perfectly-correlated returns. Our data support value invariance for assets of identical risks when returns are perfectly correlated. However, exploiting price discrepancies has risk when returns have the same expected value but are uncorrelated, and we find that the law of one price is violated in this case. Discrepancies shrink in consecutive markets, but seem to persist even with experienced traders. In markets where overall trader acuity is high, assets trade closer to parity.