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Hornuf, Lars; Momtaz, Paul P.; Nam, Rachel J.; Yuan, Ye - 2023

We propose a taxonomy of cybercrime on the Ethereum blockchain and examine how cybercrime impacts victims' risk-taking and returns. Our difference-in-differences analysis of a sample of victims and matched non-victims suggests that victims increase their long-term total risk-taking and earn...

Persistent link: https://www.econbiz.de/10014377572

Cybercrime on the Ethereum Blockchain

Hornuf, Lars; Momtaz, Paul P.; Nam, Rachel J.; Yuan, Ye - 2023

We propose a taxonomy of cybercrime on the Ethereum blockchain and examine how cybercrime impacts victims’ risk-taking and returns. Our difference-in-differences analysis of a sample of victims and matched non-victims suggests that victims increase their long-term total risk-taking and earn...

Persistent link: https://www.econbiz.de/10014352598

US Municipal Green Bonds and Financial Integration

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK...

Persistent link: https://www.econbiz.de/10014290233

Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem; Johnsson, Ida - 2016

This paper proposes a new double-question survey method that elicits information about how individuals.subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...

Persistent link: https://www.econbiz.de/10011615827

High Frequency Trading and Fragility

Cespa, Giovanni; Vives, Xavier - 2016

frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders’ liquidity … consumption decisions: traders demand more liquidity when the market becomes less liquid, which in turn makes the market more … illiquid, fostering the initial demand hike. This can generate market instability, where an initial dearth of liquidity …

Persistent link: https://www.econbiz.de/10011615834

Treasury Auctions and Secondary Market Dynamics. An Analysis Based on the MTS Market for Italy.

Cafiso, Gianluca - 2015

Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...

Persistent link: https://www.econbiz.de/10010531827

Long run and cyclical dynamics in the US stock market

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2007

This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...

Persistent link: https://www.econbiz.de/10010264167

No-trade in the laboratory

Angrisani, Marco; Guarino, Antonio; Huck, Steffen; … - 2008

We test the no-trade theorem in a laboratory financial market where subjects can trade an asset whose value is unknown. Subjects receive clues on the asset value and then set a bid and an ask at which they are willing to buy or to sell from the other participants. In treatments with no gains...

Persistent link: https://www.econbiz.de/10010264465

A critique of the literature on the US financial debt crisis

Stein, Jerome L. - 2010

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

Persistent link: https://www.econbiz.de/10010266065

Dynamic trading and asset prices : Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Persistent link: https://www.econbiz.de/10010272747

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