Latest Publications (Link to Google Scholar)
Research on Social Trading
In my research on social trading I study the interaction-based relations of traders from a large social trading platform and how the behavior of investors changes due to social interactions. For example, in Pelster and Hofmann (2018), we show that peer-to-peer advisors are more susceptible to the disposition effect.
- Pelster, M. (2017): 'I’ll Have What S/he’s Having: A Case Study of a Social Trading Network'’, Proceedings of the International Conference on Information Systems 2017.
- Pelster, M.; Hofmann, A. (2018): 'About the fear of reputational loss: Social trading and the disposition effect', Journal of Banking and Finance 94, 75-88.
- Pelster, M.; Breitmeyer, B. (2019): 'Attracting attention from peers: Excitement in social trading'', Journal of Economic Behavior & Organization 161, 158-179.
- Liêu, M.L.; Pelster, M. (2020): 'Framing and the disposition effect in a scopic regime', Quarterly Review of Economics and Finance 78, 175-185. (Data in Brief)
- Steiger, S.; Pelster, M. (2020): 'Social interactions and asset pricing bubbles', Journal of Economic Behavior & Organization 179, 503-522. (Data)
Research on Investor Trading Behavior
Using brokerage data, I study the trading behavior of retail investors together with co-authors. For example, in a recent paper, I investigate the impact of the COVID-19 outbreak on investors' trading activities (Ortmann et al., 2020). My results show that investors significantly increase their trading activities as the pandemic unfolds, both at the extensive and at the intensive margin. The number of investors who first open a brokerage-account increases, while at the same time established investors increase their average trading activities.
In other work in this area, I study, for example, the impact of terrorist activity on retail investors' trading activities (Hasso et al., 2020). Moreover, I study the background of cryptocurrency investors (Hasso et al. 2019) and their motivation to engage in cryptocurrency trading (Pelster et al. 2019). I also study the effect of investors' cultural background on the disposition effect in Breitmayer et al. (2019).
- Ortmann, R.; Pelster, M.; Wengerek, S.T. (2020): 'COVID-19 and investor behavior', Finance Research Letters 37, 101717.
- Hasso, T.; Pelster, M.; Breitmayer, B. (2020): 'Terror attacks and individual investor behavior: Evidence from the 2015-2017 European terror attacks', Journal of Behavioral and Experimental Finance 28, 100397.
- Pelster, M. (2020): 'The gambler's and hot-hand fallacies: Empirical evidence from trading data', Economics Letters 187, 108887.
- Breitmayer, B.; Hasso, T.; Pelster, M. (2019): 'Culture and the disposition effect', Economics Letters 184, 108653.
- Pelster, M.; Breitmayer, B.; Hasso, T. (2019): 'Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts', Economics Letters 182, 98-100. (Media coverage: yahoo finance, coindesk.com, pressetext)
- Hasso, T.; Pelster, M.; Breitmayer, B. (2019): 'Who trades cryptocurrencies, how do they trade it, and how do they perform? Evidence from brokerage accounts', Journal of Behavioral and Experimental Finance 23, 64-74.
Research on Banking, Financial Penalties, and Regulation
My research studies the effects of financial penalties as well as bank capital, regulation, and supervision on the stock performance and systemic risk of global banks. For example, in Köster and Pelster (2017), we show that announcements of financial penalties are accompanied with increased stock performance. more
- Koester, H.; Pelster, M. (2017): 'Financial penalties and bank performance', Journal of Banking and Finance 79, 57-73. (Latest thinking video)
- Koester, H.; Pelster, M. (2018): 'Financial penalties and the systemic risk of banks', Journal of Risk Finance 19, 154-173.
- Pelster, M; Irresberger, F.; Weiß, G. (2018): 'Bank stock performance and bank regulation around the globe', European Journal of Finance 24, 77-113.
Dependency Structures and Their Implications for Asset Pricing
This project is concerned with the implications of dependency structures on asset pricing. Pelster and Vilsmeier (2018) considers the importance of (non-linear) dependency structures in asset pricing for the case of CDS contracts and shows that CDS price dynamics can be mainly explained by factors describing firms' sensitivity to extreme market movements. Pelster and Schertler (2019) show that, beyond conventional hedging, issuers of structured financial products exploit cross-pricing and cross-issuance of warrants and discount certificates as risk management tools.
- Pelster, M.; Schertler, A. (2019): 'Pricing and issuance dependencies in structured financial product portfolios', Journal of Futures Markets 39, 342-365.
- Pelster, M.; Vilsmeier, J. (2018): 'The determinants of CDS spreads: evidence from the model space', Review of Derivatives Research 21, 63-118.
- Breitmayer, B.; Pelster, M. (2018): 'Affect and stock returns', Journal of Behavioral and Experimental Finance 18, 76-84.
- Pelster, M.; Hagemann, V.; Laporte Uribe, F. (2016): 'Key aspects of a sustainable health insurance System in Germany', Applied Health Economics and Health Policy 14, 293-312.