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. 

Currently, I am active in the IGIER Asset Pricing Research Group and Tilburg University CentER Lab. My current research focuses on two diverse strands of empirical asset pricing. On the one hand, I conduct empirical research on stock market predictability and long run risk, on the other hand I design asset market experiments to analyze phenomena such as hidden liquidity (market microstructure literature)  and study the implications for regulators.

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

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

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

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...   

 Work In Progress 

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

Arie E. Gozluklu

Presented at 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 disentangle different motivations for providing hidden liquidity to an electronic limit order book (LOB). Previous literature provides two different views; a) Informed traders conceal private information via hidden liquidity and thus minimize price impact of large orders, b) Liquidity traders submit hidden (Iceberg) orders to avoid competition for liquidity provision and scalping. We design an asset market experiment in light of recent theory and provide complementary evidence on hidden order use in fi…nancial markets with a particular focus on traders' ’behavior. We find that two views are not mutually exclusive; private information and liquidity concerns both play an important role in hidden liquidity provision. Yet, we observe di¤erences in trading strategies in terms of prices and quantities in the presence of private information. Traders’ risk aversion partly explains individual di¤erences in Iceberg order use. We analyze further implications of private information on market quality in the context of pre-trade transparency. A questionnaire with professional traders confirm our experimental results.  

 

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

 

 

Demographic Trends, Low Frequency Fluctuations in the Aggregate Dividend/Price Ratio and the Predictability of Long-Run Stock Market Returns

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

IGIER Working paper

Bocconi University

Presented at Banque de France, Tilburg University, ICEEE 2009, Dondena Seminar, EFA 2009.  

 

Abstract

We analyze aggregate long-run stock market return predictability within the dynamic dividend growth model. The crucial assumption of the model for long-run predictability is that of stationarity of the log dividend price ratio. The validity of this assumption has been challenged in the recent literature and its failure has been highlighted as a potential explanation for the mixed evidence on the forecasting per-formance of the model. We document the existence of a slowly evolving trend in the mean dividend/price determined by demographic variables. Deviations from this slowly evolving long-run component explain transitory (business cycle) movements of aggregate excess stock market returns and increase out-of-sample predictability. On the basis of this evidence, we exploit the exogeneity and predictability of demographic variables to simulate equity risk premium up to 2050.


KEYWORDS: error correction model, long run predictability, equity premium, cointegration, stock market, demographics.
J.E.L. CLASSIFICATION NUMBERS: G14, G19, C10, C11, C22,C53.

Click here for Paper, Presentation.


 

The Visible Hand of Leadership

Irina Cojuharenco , Arie E. Gozluklu

Work in progress

Graduate Program in Economics, Finance and Management

Universitat 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).