2016
Gomber, P.; Clapham, B.; Panz, S. (2016)
Response to the ESMA Consultation Paper Regarding Guidelines on the Calibration, Publication and Reporting of Trading Halts
Category: Miscellaneous [Find it]
Reference No.: 2016-121
Siering, M.; Koch, J.; Deokar, A. (2016)
Detecting Fraudulent Behavior on Crowdfunding Platforms: The Role of Linguistic and Content-Based Cues in Static and Dynamic Contexts
In: Journal of Management Information Systems, Vol. 33, No. 2, pp. 421-455
Category: Publications in scientific journals [Find it]
AbstractCrowdfunding platforms offer founders the possibility to collect funding for project realization. With the advent of these platforms, the risk of fraud has risen. Fraudulent founders provide inaccurate information or pretend interest toward a project. Within this study, we propose deception detection support mechanisms to address this novel type of Internet fraud. We analyze a sample of fraudulent and nonfraudulent projects published at a leading crowdfunding platform. We examine whether the analysis of dynamic communication during the funding period is valuable for identifying fraudulent behavior - apart from analyzing only the static information related to the project. We investigate whether content-based cues and linguistic cues are valuable for fraud detection. The selection of cues and the subsequent feature engineering is based on theories in areas of communication, psychology, and computational linguistics. Our results should be helpful to the stakeholders of crowdfunding platforms and researchers of fraud detection.
Reference No.: 2016-94
Glaser, F.; Panz, S. (2016)
(Pro?)-Cyclicality of Collateral Haircuts and Systemic Illiquidity
In: European Systemic Risk Board (ESRB) Working Paper Series, No 27 / October 2016
Category: Miscellaneous [Find it]
AbstractProcyclicality of collateral haircuts and margins has become a widely proclaimed behavior and is currently discussed not only by academic literature but also by regulatory authorities in Europe. Procyclicality of haircuts is assumed to be a trigger of liquidity spirals due to its tightening effect of collateral portfolio values in times of market distress. However, empirical evidence on this topic is quite sparse and the discussions are primarily driven by insights derived from theoretical models. Nonetheless, oversight bodies are discussing macroprudential haircut add-ons in order to curb with the potential effects of procyclicality in distressed periods.
Based on a unique data set provided by a large European Central Counterparty we construct a measure of systemic illiquidity of bond collaterals and analyze the relationship between haircuts, the development of periods with explosive behavior and systemic illiquidity. We estimate the noise of bond yields to measure systemic illiquidity with and without considering haircuts. We then apply an explosive roots bubble detection technique to identify irrational periods of each of these two time series and to a combination of both. Finally, we propose a quantitative trigger and design for macroprudential haircut add-ons.
Our results confirm that (1) bond collateral markets face irrational, i.e. bubble-like illiquidity during periods of systemic distress. The results indicate that (2) haircuts are not amplifying or increasing with systemic illiquidity. (3) The proposed haircut add-on mechanism exhibits desirable features to mitigate systemic illiquidity during lasting periods of distress.
Reference No.: 2016-93
Glaser, F.; Risius, M. (2016)
Effects of Transparency. Analyzing Social Biases on Trader Performance in Social Trading
In: Journal of Information Technology (forthcoming)
Category: Publications in scientific journals [Find it]
Reference No.: 2016-92
Panz, S.; Wolters, G. (2016)
Traditional Life Insurance Products are Under Pressure
In: Non-traditional Life Insurance Products with Guarantees, Eds.: T. Kalberer and K. Ravindran; Risk Books, London
Category: Chapter in book [Find it]
Reference No.: 2016-90
Escobar, M.; Panz, S. (2016)
A Note on the Impact of Parameter Uncertainty on Barrier Derivatives
In: Risks, Vol. 4, No. 4, 35
Category: Publications in scientific journals [Find it]
AbstractThis paper presents a comprehensive extension of pricing two-dimensional derivatives depending on two barrier constraints. We assume randomness on the covariance matrix as a way of generalizing. We analyse common barrier derivatives, enabling us to study parameter uncertainty and the risk related to the estimation procedure (estimation risk). In particular, we use the distribution of empirical parameters from IBM and EURO STOXX50. The evidence suggests that estimation risk should not be neglected in the context of multidimensional barrier derivatives, as it could cause price differences of up to 70%.
Reference No.: 2016-88
Risius, M.; Benthaus, J.; Akolk, F. (2016)
Increasing Sales Performance through Social Media Activities
In: EFL Quarterly 4/2016; Frankfurt am Main, Germany
Category: Miscellaneous [Find it]
Reference No.: 2016-87
Gomber, P.; Clapham, B.; Haferkorn, M.; Panz, S.; Jentsch, P. (2016)
Circuit Breakers - A Survey among International Trading Venues
In: WFE Research Studies & Reports
Category: Miscellaneous [Find it]
AbstractBetween April and June 2016, the Chair of e-Finance and the World Federation of Exchanges (WFE) conducted an international survey on market safeguards (so-called circuit breakers). In total, 44 of the 72 contacted trading venues answered the questionnaire resulting in a response rate of about 61%. Among the participants are well-known exchanges such as Deutsche Boerse, New York Stock Exchange, Nasdaq and the Chicago Mercantile Exchange. The results show that 38 of 44 exchanges already implemented circuit breakers. Compared to an earlier WFE-survey from 2008, the proportion of exchanges which use circuit breakers increased from 60% to 86%. By analyzing the different types of circuit breakers, it can be observed that market-wide trading interruptions (complete suspension of trading) and volatility interruptions (interruption of continuous trading by a call auction) are most widely used. Exchanges were also asked about the coordination of circuit breakers among several trading venues. In this context, 69% of the answering exchanges support a stronger coordination, however, only 32% already coordinate their circuit breakers.
Reference No.: 2016-86
Glaser, F.; Panz, S. (2016)
(Pro?)-Cyclicality of Collateral Haircuts and Systemic Illiquidity
In: 23rd Annual Meeting of the German Finance Association (DGF 2016); Bonn, Germany
Category: Proceedings
AbstractProcyclicality of collateral haircuts and margins has become a widely proclaimed behavior and is currently discussed not only by academic literature but also by regulatory authorities in Europe. Procyclicality of haircuts is assumed to be a trigger of liquidity spirals due to its tightening effect of collateral portfolio values in times of market distress. However, empirical evidence on this topic is quite sparse and the discussions are primarily driven by insights derived from theoretical models. Nonetheless, oversight bodies are discussing macroprudential haircut add-ons in order to curb with the potential effects of procyclicality in distressed periods.
Based on a unique data set provided by a large European Central Counterparty we construct a measure of systemic illiquidity of bond collaterals and analyze the relationship between haircuts, the development of periods with explosive behavior and systemic illiquidity. We estimate the noise of bond yields to measure systemic illiquidity with and without considering haircuts. We then apply an explosive roots bubble detection technique to identify irrational periods of each of these two time series and to a combination of both. Finally, we propose a quantitative trigger and design for macroprudential haircut add-ons.
Our results confirm that (1) bond collateral markets face irrational, i.e. bubble-like illiquidity during periods of systemic distress. The results indicate that (2) haircuts are not amplifying or increasing with systemic illiquidity. (3) The proposed haircut add-on mechanism exhibits desirable features to mitigate systemic illiquidity during lasting periods of distress.
Reference No.: 2016-84
Wunderlich, N.; Beck, R. (2016)
Time for Climate Change: Leadership, IT Climate, and their Impact on Organizational Performance
In: Proceedings of the 50th Hawaii International Conference on System Sciences (HICSS 2017); Big Island, Hawaii, USA
Category: Proceedings
Reference No.: 2016-83
Risius, M.; Benthaus, J.; Akolk, F. (2016)
Is it Worth it? Dismantling the Process of Social Media Related Sales Performance
In: Proceedings of the 24th European Conference on Information Systems (ECIS 2016); Istanbul, Turkey
Category: Proceedings [Find it]
Reference No.: 2016-70
Risius, M.; Akolk, F.; Beck, R. (2016)
Mit Social-Media-Stimmungen Börsenkursbewegungen vorhersagen
In: Wirtschaftsinformatik & Management, 3/2016
Category: Publications in journals
Reference No.: 2016-69
Janze, C. (2016)
Spillover Effects in User-Generated Content: Evidence from Online Reviews of Interdependent Service Chains
In: Proceedings of the 20th Pacific Asia Conference on Information Systems (PACIS 2016); Chiayi, Taiwan
Category: Proceedings [Find it]
Reference No.: 2016-65
Haferkorn, M.; Weber, M. (2016)
Self-Presentation in Online Dating - An Analysis of Behavioural Diversity
In: Proceedings of the 20th Pacific Asia Conference on Information Systems (PACIS 2016, nominated for Best Paper Award); Chiayi, Taiwan
Category: Proceedings [Find it]
Reference No.: 2016-64
Koch, J.; Cheng, Q. (2016)
The Role of Qualitative Success Factors in the Analysis of Crowdfunding Success: Evidence From Kickstarter
In: Proceedings of the 20th Pacific Asia Conference on Information Systems (PACIS 2016); Chiayi, Taiwan
Category: Proceedings [Find it]
AbstractIn recent years, crowdfunding has become a valuable mean for initiators to raise funds for realizing projects and start-up ideas. These initiators are highly interested in the question of what factors contribute to successfully collecting a certain amount of funding in crowdfunding campaigns. For that reason, research has addressed this question by analyzing factors that influence funding success. However, research has concentrated on quantitative factors and has not yet tapped the full potential of qualitative factors when analyzing crowdfunding campaign success. The human decision making processes are not strictly based on objective figures but on qualitative aspects as well. Thus, we hold it to be substantial to take qualitative factors into consideration to gain deeper insights of crowdfunding success. Therefore, we propose a research model that combines quantitative as well as qualitative factors to show the relevance of incorporating qualitative aspects. Our evaluation gives evidence that the inclusion of qualitative factors unveils new details about funding success and allows to give more detailed advice to founders. While previous research on crowdfunding base primarily on the notion of founders' preparedness, our results allow to infer that also subjective perception of information, media, and founders has an important influence on funding success.
Reference No.: 2016-61
Koch, J. (2016)
The Phenomenon of Project Overfunding on Online Crowdfunding Platforms - Analyzing the Drivers of Overfunding
In: Proceedings of the 24th European Conference on Information Systems (ECIS 2016); Istanbul, Turkey
Category: Proceedings [Find it]
AbstractOn online crowdfunding platforms, three stakeholder groups, i.e., platform operators, project founders, and funders, encounter each other and influence funding outcomes by their actions and behaviors. Interestingly, among the successfully funded projects, some projects are heavily overfunded. By our research paper, we address this phenomenon of project overfunding. Especially in reward-based crowdfunding, massive overfunding can lead to severe problems for project founders when vast amounts of rewards have to be delivered. Some people even argue that the amount of money that leads to overfunding should better be pledged to good but undervalued projects that fail to reach their fund-ing goal. However, it is also a powerful mean to generate publicity and to sell products. In order to help understanding this phenomenon, we analyze its drivers. Our analysis gives evidence for all three stakeholder groups contributing to overfunding. We provide arguments for all three stakeholder groups to have certain egoistic incentives for a further backing of already funded projects instead of prioritizing a more demand-oriented distribution of funding. Our findings extend the understanding of funding processes on crowdfunding platforms and are of high interest for practitioners in the field.
Reference No.: 2016-40
Janze, C.; Siering, M. (2016)
How Status Shapes Objectivity in User-Generated Content
In: EFL Quarterly, 2/2016; Frankfurt am Main
Category: Miscellaneous [Find it]
Reference No.: 2016-35
Gomber, P. (2016)
The German Equity Trading Landscape
In: SAFE White Paper No. 34
Category: Miscellaneous [Find it]
AbstractThis paper describes cash equity markets in Germany and their evolution against the background of technological and regulatory transformation. The development of these secondary markets in the largest economy in Europe is first briefly outlined from a historical perspective. This serves as the basis for the description of the most important trading system for German equities, the Xetra trading system of Deutsche Boerse AG. Then, the most important regulatory change for European and German equity markets in the last ten years is illustrated: the introduction of the Markets in Financial Instruments Directive (MiFID) in 2007. Its implications on equity trading in Germany are analyzed against the background of the current status of competition in Europe. Recent developments in European equity markets like the emergence of dark pools and algorithmic / high frequency trading are portrayed, before an outlook on new regulations (MiFID II, MiFIR) that will likely come into force in early 2018 will close the paper.
Reference No.: 2016-8
Benthaus, J.; Risius, M.; Beck, R. (2016)
Social Media Management Strategies for Organizational Impression Management and their Effect on Public Perception
In: The Journal of Strategic Information Systems (25, 2)
Category: Publications in scientific journals
AbstractWith the growing importance of social media, companies increasingly rely on social media management tools to analyze social media activities and to professionalize their social media engagement. In this study, we evaluate how social media management tools, as part of an overarching social media strategy, help companies to positively influence the public perception among social media users. A mixed methods approach is applied, where we quantitatively analyze 15 million user-generated Twitter messages containing information about 45 large global companies highly active on Twitter, as well as almost 160 thousand corresponding messages sent from these companies via their corporate Twitter accounts. Additionally, we conducted interviews with six social media experts to gain complementary insights. By these means, we are able to identify significant differences between different social media management strategies and measure the corresponding effects on the public perception.
Reference No.: 2016-5
Ringel, D.; Skiera, B. (2016)
Visualizing Asymetric Competition among More than 1,000 Products Using Big Search Data
In: Marketing Science, Vol. 35, Issue 3, 511-534
Category: Publications in scientific journals [Find it]
Reference No.: 2016-59
Clapham, B.; Zimmermann, K. (2016)
Price Discovery and Convergence in Fragmented Securities Markets
In: International Journal of Managerial Finance, Vol. 12, No. 4, pp. 381-407
Category: Publications in scientific journals [Find it]
AbstractThis paper studies price discovery and price convergence in securities trading within a fragmented market environment where stocks are traded on multiple venues. Although alternative venues currently increase their market share, trading on these venues instantly dries out in case the dominant market switches to a call auction. In this situation, alternative markets await and adopt the official price signal of the dominant market although prices on these venues indicate price discovery. This phenomenon remains persistent at different levels of market fragmentation, indicating that alternative trading venues fully accept the price leadership role of the dominant market during call auctions, no matter their own market share.
Reference No.: 2016-40
Gomber, P.; Haferkorn, M.; Zimmermann, K. (2016)
Securities Transaction Tax and Market Quality - The Case of France
In: European Financial Management, Vol. 22, No. 2, pp. 313-337
Category: Publications in scientific journals [Find it]
AbstractWe study the French Securities Transaction Tax implementation of 1 August 2012. Although a similar tax is planned to be introduced across 11 European countries, consequences for market quality are yet to be thoroughly assessed. We show that liquidity demand and supply significantly drop. Even though the French proposal exempts professional liquidity provision, we find increased spreads and a declined order book depth resulting in additional transaction costs for market participants besides the tax. As all venues trading French stocks are affected, we further find that STT threatens inter-market information transmission by impairing price coordination among fragmented markets in Europe.
Reference No.: 2016-33
