RESEARCH

Sustainable Investments as Carbon Offsets (2023)
With Jakob Famulok and Daniel Worring.
Formerly: Do Investors Compensate for Unsustainable Consumption Using Sustainable Assets?
Earlier version available at SSRN.

Presented at:

• CEPR European Conference on Household Finance 2023 (Torino)

• Experimental Finance 2023 (Sofia)

• DGF 2023 (29th Annual Meeting of the German Finance Association, Hohenheim) 

• 16th International Conference on Computational and Financial Econometrics
  (CFE 2022, King's College, London)

• Tri-City Day-Ahead Workshop on the Future of Financial Intermediation 2022
  (Frankfurt School of Finance & Management, Bayes Business School, University of Zurich, and Leibniz Institute SAFE in coordination with Regulating Financial Markets)

Abstract:
Based on an experiment with over 4,000 clients of a large German bank, we provide novel, causal evidence that retail investors use sustainable assets to offset their (perceived) carbon footprints. Mirrored by empirical findings for 6,151 clients of the same bank, we show that investors who have higher footprints than their peers subsequently increase their sustainable asset share. Our experimental findings are primarily driven by investors with moderate, or influenceable, prior impact beliefs of sustainable assets. In contrast, investors with more extreme (stable) beliefs are unaffected by the exogenous shock administered during the experiment, resorting to more traditional drivers of portfolio choice such as return expectations or asset preferences.

The President Reacts to News Channel of Government Communication (2023)
With Farshid Abdi, Loriana Pelizzon, Mila Getmansky Sherman, and Zorka Simon. 

SAFE Working Paper No. 314, available at SSRN. 

Presented at:

• 28th Annual Meeting of the German Finance Association 2022 (DGF)

• Annual Meeting of the Swiss Society for Financial Market Research (SGF Conference) 2022

• 15th International Conference on Computational and Financial Econometrics (CFE) 2021

• Annual Financial Market and Liquidity Conference (AFML) Budapest 2021

Abstract:
Studying about 1,200 economy-related tweets of President Trump, we establish the "President reacts to news" channel of stock returns. Using high-frequency identification of market movements and machine learning to classify the topics and textual sentiment of tweets, we address the observed heterogeneity in the aggregate stock market response to these messages. After controlling for market trends preceding tweets, we find that 80% of tweets are reactive and predictable rather than novel and informative. The exceptions are trade war tweets, where the President has direct policy authority, and his tweets can reveal investable private information or information about his policy function.

Do Gamblers Invest in Lottery Stocks? (2023)
With Tobin Hanspal and Andreas Hackethal. 

SAFE Working Paper No. 373, available at SSRN.

Presented at:

• 6th Household Finance Workshop 2022 (Leibniz Institute SAFE) 

Media coverage: 

• Frankfurter Allgemeine Zeitung (F.A.Z.), on February 19, 2023

Abstract:
Previous studies document a relationship between gambling activity at the aggregate level and investments in securities with lottery-like features. We combine data on individual gambling consumption with portfolio holdings and trading records to examine whether gambling and trading act as substitutes or complements. We find that gamblers are more likely than the average investor to hold lottery stocks, but significantly less likely than active traders who do not gamble. Our results suggest that gambling behavior across domains is less relevant compared to other portfolio characteristics that predict investing in high-risk and high-skew securities, and that gambling on and off the stock market act as substitutes to satisfy the same need, e.g., sensation seeking.