Presentations of current working papers at the 29th Annual Meeting of the German Finance Association (DGF)

At this year's Annual Meeting of the German Finance Association (DGF) at the University of Hohenheim, Prof. Dr. Hornuf presented his recent working paper entitled The Financial and Non-Financial Performance of Token-Based Crowdfunding, which was co-authored with Niclas Dombrowski, Wolfgang Drobetz and Paul P. Momtaz, in the Digital Finance Session. The authors investigate the operating and financial performance of ventures conducting ICOs with different types of investors at different points in the ventures’ life cycle. They find that, relative to purely crowdfunded ICO ventures, institutional investor-backed ICO ventures exhibit poorer operating performance and fail earlier. However, conditional on their survival, these ventures financially outperform those that do not receive institutional investor support. To explain these results, the authors propose a theory of certification arbitrage; i.e., institutional investors use their reputation to drive up valuations and quickly exit the venture post-ICO. You can find the full paper here: SSRN.

Moreover, our PhD student Tom Dudda presented his working paper on Common Drivers of Commodity Futures, co-authored by Tony Klein, Duc K. Nguyen und Thomas Walther. This study examines the informativeness of various macroeconomic and financial variables for the returns of multiple commodities by applying Mixed-Frequency Vector Autoregression. The authors show that primarily stock market returns predict short-term commodity returns, whereas global real economic activity and macroeconomic uncertainty are significantly associated with long-term returns. Additionally they find that using these results together with a mixed-frequency model results in economically significant trading returns. You can find the full paper here: SSRN. 

Also our research fellow Dr. Thomas Walther presented his working paper on Relative Investor Sentiment Measurement, which is co-authored by Xiang Gao, Kees Koedijk, and Zhan Wang. The authors propose a new method to gauge investor sentiment from option prices. They show that the resulting relative investor sentiment has strong predictability for the returns of momentum portfolios. You can find the full paper here: SSRN.

Prof. Dr. Hornuf, Tom Dudda and Dr. Walther were able to take away valuable comments and many new impressions from a very successful conference full of interesting presentations from current finance research. The complete conference booklet can be found here: https://bank.uni-hohenheim.de/dgf2023.