In weekly intervals, the Swiss stock research firm Obermatt publishes the top 10 stocks in a stock index based on four different investment strategies. This report describes the results of a back testing of this method. It uses prior year year-end financials to identify top 10 stock tips for a...

We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....

If global warming is to stay below 2°C, there are four risks of assets stranding. First, substantial fossil fuel reserves will be stranded at the end of the fossil era. Second, this will be true for exploration capital too. Third, unanticipated changes in present or expected future climate...

I show in a setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced in the absence of excess short-selling costs. This is because the buyer values the asset at the...

The existence of influence among participants on financial markets is affirmed by the theory of behavioural finance through the consideration of sociological aspects. The aim of this paper is to empirically contrast two kinds of social influence, namely herding and individual social interaction....

We assess the magnitude and mechanisms of workers' productivity spillovers by estimating the peer effects among those working in the same occupation across firms using the setting of security analysts. The empirical design exploits one feature of social networks: the existence of partially...

Utilizing the Trade Reporting and Compliance Engine (TRACE) setting as an exogenous shock to bond market transparency, we find that improved bond market transparency leads to lower crash risk in the stock market, consistent with increased information spillover from the bond market into the stock...

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

The aim of this article is to analyse the major sources of transaction costs in financial markets, in particular to find the amounts of such costs on the Warsaw Stock Exchange (WSE). Sources of transaction costs are considered: commissions, bid-ask spread and market impact. The commissions are...