Research

Arie Eskenazi Gozluklu Curriculum Vitae Research Teaching Files Class Notes Favorite Links News Extracurricular Photos Contact me

In this page you can find information on my research.

My current research focuses on two diverse strands of empirical asset pricing. On the one hand, I conduct research on long term return predictability extracting information from population age structure (demographics), on the other hand I do empirical work on market microstructure using both high frequency data and asset market experiments to analyze market design. I participate in the IGIER Asset Pricing Research Group and Tilburg University CentER Lab.

Fields of Interest: Financial Econometrics, Empirical Finance, Market Microstructure, Behavioral Economics, Experimental Finance...

Online journal links: jstor, sciencedirect , springerlink and Bocconi Library...

Some Researchers (who provide data): John Campbell , John Cochrane , Aswath Damodaran , Kenneth French , Amit Goyal , Martin Lettau , Syndey Ludvigson , Monika Piazzesi , Michael R. Roberts , Robert Shiller, Jeremy Siegel...

U.S Macro and Financial Data: WRDS, BEA, BLS, Census, Federal Reserve, FRED , NBER, NYSE Factbook...

Financial Markets: Stock Exchanges Worldwide, Dark Pools, Chi-X, Turquoise...

Experimental Markets: jMarkets, QMarket, zTree , JessX ..

Experiments for Teaching:VeconLab, ExLab, FEELE...

Publications

Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns

Carlo A. Favero, Arie E. Gozluklu, Andrea Tamoni

Forthcoming in Journal of Financial and Quantitative Analysis.

Dataset & Replication code

Abstract
This paper documents the existence of a slowly evolving trend in the log dividend-price ratio, dp, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The relation between MY and dp is a prediction of an overlapping generation model. The joint significance of MY and dp in long-horizon forecasting regressions for market returns explain the mixed evidence on the ability of dp to predict stock returns and provide a model-based interpretation of statistical corrections for breaks in the mean of this financial ratio.
KEYWORDS: dynamic dividend growth model, long run returns predictability,demographics.J.E.L. CLASSIFICATION NUMBERS: G14, G19, C10, C11, C22,C53.

Working Papers

Pre-trade Transparency and Informed Trading, An Experimental Approach to Hidden Liquidity

Arie E. Gozluklu

SSRN working paper

Download here modified jMarkets software

Presented at FMA European Meeting 2010, Hamburg, XII Finance Forum, Madrid, ESA European Meeting 2009, Innsbruck, GREQUAM 2009, Aix en Provence, IMEBE 2009, Granada, APESA 2009, Haifa and Bocconi Finance Seminars.

Abstract

We propose an experimental study to pin down the sources of hidden liquidity in electronic limit order books and analyze the implications for market design. Previous literature attributes hidden liquidity either to large liquidity traders or informed trading. We design an asset market experiment in light of recent theory treating private information in isolation. Our results rely on both trading data from experimental sessions and on a questionnaire conducted with professional traders; the main conclusion is that both private information and liquidity concerns play an important role in hidden liquidity provision. But we observe differences in trading strategies in terms of prices and quantities in the presence of informed traders. Our evidence sheds light on potential ways to detect insiders who exploit market opacity. We discuss implications of private information on market quality in the context of pre-trade transparency.We also measure risk attitudes of traders and find a significant link between traders' risk aversion and hidden liquidity supply.

Keywords: Iceberg orders, hidden liquidity, information asymmetry, opacity, insider trading.

Work In Progress

"Real and Nominal Effects of U.S Demographics: Implications for Long-term Investors and the Fed Model".

"Demographics and the Behavior of Interest Rates", with Carlo Favero and Haoxi Yang.

"Green Trading: Compliance, Hedging or Arbitrage? Microstructure Evidence from Multiple Venues", with Barbara Rindi and Yuanji Wen.

"Are Liquidity Contracts Effective in Controlling Excess Volatility?", with Angelo Ranaldo and Barbara Rindi.

Old Work

The Visible Hand of Leadership

Irina Cojuharenco , Arie E. Gozluklu

Graduate Program in Economics, Finance and ManagementUniversitat Pompeu Fabra

Presented at IMEBE 2008

Abstract

We explore how leaders attribute responsibility for the outcomes of coordination in large and small subordinate groups. Members of subordinate groups play a weak-link coordination game, for which the detrimental effects of a large group size are known both theoretically and empirically (e.g., Knez & Camerer, 1994). Leaders observe a 5-period play. Their compensation depends on per-period minimum coordination effort. We find that leaders neglect and misattribute the group size effect. The evidence comes from leaders' explanations of group and individual performance, decisions to reward individuals and bets on the performance of new groups assembled from the members of large and small groups. We test the de-biasing solution based on experience (Mitchell & Kalb, 1982), and discuss the findings.
KEYWORDS: leader, attributions, coordination game, group size effect.
J.E.L. CLASSIFICATION NUMBERS: C92, D23.

Click here for Paper, Instructions_spa, Instructions_eng, Pilot_results (17.03.08).