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Hornuf, Lars; Momtaz, Paul; 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/10014323138

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/10014234020

Cash flow duration and the term structure of equity returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10011521939

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012029090

Monetary policy through production networks : evidence from the stock market

Ozdagli, Ali; Weber, Michael - 2017 - This version: May 2017

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

Persistent link: https://www.econbiz.de/10011657891

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/10011586267

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/10011587522

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/10010519950

Monetary policy with diverse private expectations

Kurz, Mordecai; Motolese, Maurizio; Piccillo, Giulia; … - 2015 - This version, January 26, 2015

We study the impact of diverse beliefs on conduct of monetary policy. We use a New Keynesian Model solved with a quadratic approximation. Aggregation renders the belief distribution an aggregate state variable. Diverse expectations change standard results about a smooth trade-off between...

Persistent link: https://www.econbiz.de/10010496147

Market efficiency in the age of big data

Martin, Ian; Nagel, Stefan - 2019

Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...

Persistent link: https://www.econbiz.de/10012156724

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