Working Papers

Bitcoin Markets (2014) – Working Paper (joint with Thomas Johann) [SSRN download]

Dividend Taxation and Dax Futures Prices (2014) – Working Paper (joint with Erik Theissen)

Abstract: The taxation of dividends in Germany underwent major changes. We analyze the implications of these changes for the valuation of DAX futures contracts and test the resulting hypotheses empirically. We find that dividend taxation cannot explain the level of deviations from the cost-of-carry relation, but does have explanatory power for the time series patterns of these deviations. Futures prices are lower in years with higher dividend yields, and prices of the June contract (which is the nearby contract in the quarter in which most firms pay their dividends) are lower than those of the other contracts. Multivariate regressions confirm the finding that dividend taxation affects futures prices.

Conferences : EFMA Rome (June 2014)

Abstract: Glode (2011) shows, both theoretically and empirically, that U.S. equity mutual funds have a systematically better performance during periods of economic downturn and that investors are willing to pay higher fund fees for this recession insurance. In this paper, we test these hypotheses out-of-sample using international mutual fund data from 16 different countries. Surprisingly, we cannot confirm that mutual funds outperform during recessions and do not find that funds with high recession alphas can charge higher fees to investors. Hence, our study raises doubts about the validity of Glode (2011)’s model and looks for alternative explanations of mutual fund’s state-specific performance and optimal fee-setting.

Conferences :  European FMA Maastricht (June 2014), Annual Meeting of the German Finance Association (DGF) (December 2014)

May I Have Your Attention Please: The Market Microstructure of Investor Attention (2014) – Working Paper (joint with Thomas Johann) [SSRN download]

Abstract: This paper analyzes how a stock’s liquidity, turnover, volatility and returns are driven by short term fluctuations in investor attention. Attention-grabbing stocks are identified by their daily Google Search Volume. A newly developed download algorithm allows the creation of a search volume dataset with more frequent observations. In contrast to the existing literature, this paper provides a long term analysis of daily search volume. The dynamics of investor trading on high and low attention days are examined in an attention-adjusted structural model based on Easley et al. (1996). The increase in trading on high attention days is due to more trading by both informed and uninformed investors; however, the probability of informed trading on high attention days is lower. Turnover and volatility of stocks significantly increase on high attention days whereas liquidity and short term returns are not significantly influenced. This relation is more pronounced for large stocks, stocks with a lower level of cross-sectional attention, and stocks with a higher proportion of retail trading and remains robust in several endogeneity checks. The results provide important insights into the trading dynamics on high attention days and show that these days are characterized by high volatility and uninformed trading.

Conferences : HVB Doctoral Symposium (April 2012), GESS Research Day Uni Mannheim (November 2012), Auckland Finance Meetings (December 2012), Campus for Finance Research Conference and PhD Workshop (Jan. 2013), General Online Research Conference (GOR, March 2013), Kölner Finanzmarktkolloquium Asset Management Poster Presentation (April, 2013), European Retail Investment Conference PhD Workshop (ERIC, April 2013), French Finance Association (AFFI, May 2013),  7th Financial Risks International Forum Paris (March 2014).

Prices: Best PhD Paper Award – Campus for Finance Research Conference (Jan. 2013)