We study the role of stress induced by time constraints on investors’ decision making. The need to perform contemporaneous tasks and external interference such as arriving unexpectedly late to work, might exacerbate acute stress and its impact on decision making. Accumulated laboratory...

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

We investigate the impact of product market advertising on investor attention and financial market outcomes. Using daily advertising data allows us to identify short-term effects of advertising. We measure daily investor attention based the company's number of Wikipedia page views. We show that...

Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key element is missing: liquidity also depends on (3) an asset...

We investigate the price dynamics of two illiquid agricultural futures contracts traded at the European Exchange in Frankfurt. Based on constant and time-varying vector error correction models, we measure the contribution of each futures market to price discovery. Although results from the...

Technological progress allows Internet Service Providers (ISPs) to carry out network manage-ment practices in a discriminatory fashion without being detected by their customers. This creates an opportunity that providers will exploit this information asymmetry in an opportunistic way by blocking...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...

Using the contingent claim approach and market data on sovereign credit default swaps we assess the drivers of a country s risk perception. Deriving market-based asset values for a set of advanced economies we gain insights into the capital markets perspectives on sovereign creditworthiness. We...

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale measure is a folk theorem, see...

Network neutrality and alleged discriminatory practices on the part of ISPs regarding the transmission of Internet data packets has been the subject of notable scholarly discussion and appears to be a widespread phenomenon. However, it is noteworthy that actual consumer discrimination has only...