... 2022.106627Jeffrey L. Coles, Davidson Heath, Matthew C. Ringgenberg On index investing, Journal of Financial Economics 145, ... 1007/s10479-018-2849-4Jonathan Brogaard, Matthew C Ringgenberg, David Sovich The Economic Impact of Index Investing, ... 10.12677/FIN.2017.72012Jonathan Brogaard, Matthew C. Ringgenberg, David Sovich The Economic Impact of Index Investing, ... 2139/ssrn.3054618Jeffrey L. Coles, Davidson Heath, Matthew Ringgenberg On Index Investing, SSRN Electronic Journal (Jan 2017). ...
Tópico(s): Economic theories and models
1987 - University of Chicago Press | Journal of Political Economy
Jonathan Brogaard, Matthew C. Ringgenberg, DOMINIK ROESCH,
ABSTRACT Although algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID‐19. Using a difference‐in‐differences analysis around the closure of the floor, we find that floor traders are important contributors to market quality. The suspension of floor trading leads to higher spreads and larger pricing errors for treated stocks relative to control stocks. To explore the mechanism, we ...
Tópico(s): Monetary Policy and Economic Impact
2024 - Wiley | The Journal of Finance
Davidson Heath, Daniele Macciocchi, Roni Michaely, Matthew C. Ringgenberg,
Abstract Using micro-level data, we examine the behavior of socially responsible investment (SRI) funds. SRI funds select firms with lower pollution, more board diversity, higher employee satisfaction, and better workplace safety. Yet, both in the cross-section and using an exogenous shock to SRI capital, we find that SRI funds do not significantly change firm behavior. Moreover, we find little evidence that they try to impact firm behavior using shareholder proposals. Our results suggest that SRI ...
Tópico(s): Environmental Sustainability in Business
2023 - Oxford University Press | Review of Finance
Peter H. Haslag, Matthew C. Ringgenberg,
Abstract U.S. equity exchanges have experienced a dramatic increase in competition from new entrants, resulting in the fragmentation of trading across venues. While market quality has generally improved over this period, we show most of the improvements have accrued to the largest stocks. We then show this bifurcation in market quality is related to the fragmentation of trading. Theoretically, more exchange competition should reduce trading costs, yet it may also increase adverse selection for liquidity ...
Tópico(s): Complex Systems and Time Series Analysis
2023 - Cambridge University Press | Journal of Financial and Quantitative Analysis
Davidson Heath, Matthew C. Ringgenberg, Mehrdad Samadi, Ingrid M. Werner,
ABSTRACT After a natural experiment is first used, other researchers often reuse the setting, examining different outcome variables. We use simulations based on real data to illustrate the multiple hypothesis testing problem that arises when researchers reuse natural experiments. We then provide guidance for future inference based on popular empirical settings including difference‐in‐differences, instrumental variables, and regression discontinuity designs. When we apply our guidance to two extensively ...
Tópico(s): Experimental Behavioral Economics Studies
2023 - Wiley | The Journal of Finance
Sheng Huang, Matthew C. Ringgenberg, Zhe Zhang,
Asset prices remain depressed for years following mutual fund fire sales, but little is known about the causes of these price drops. We show that asymmetric information generates price pressure during fire sales. We separate trades into expected trades, which assume fund managers scale down their portfolio, and discretionary trades. We find that discretionary trades contain fundamental information, whereas expected trades do not. Moreover, other traders cannot distinguish between discretionary and ...
Tópico(s): Market Dynamics and Volatility
2022 - Institute for Operations Research and the Management Sciences | Management Science
Joseph Engelberg, R. David McLean, Jeffrey Pontiff, Matthew C. Ringgenberg,
Abstract Firm-level variables that predict cross-sectional stock returns, such as price-to-earnings and short interest, are often averaged and used to predict market returns. Using various samples of cross-sectional predictors and accounting for the number of predictors and their interdependence, we find only weak evidence that cross-sectional predictors make good time-series predictors, especially out-of-sample. The results suggest that cross-sectional predictors do not generally contain systematic ...
Tópico(s): Corporate Finance and Governance
2022 - Cambridge University Press | Journal of Financial and Quantitative Analysis
Nathalie Ringgenberg, Sarah Mildner, Marcia Hapig, Sarah Hermann, Katharina Kruszewski, Anna Lisa Martin‐Niedecken, Katja Rogers, Alexandra Schättin, Frank Behrendt, Sonja Böckler, Stefan Schmidlin, Roman Jurt, Stephan Niedecken, Christian Brenneis, Leo H. Bonati, Corina Schuster‐Amft, Barbara Seebacher,
Abstract Background Exergames are playful technology-based exercise programs. They train physical and cognitive functions to preserve independence in older adults (OAs) with disabilities in daily activities and may reduce their risk of falling. This study gathered in-depth knowledge and understanding of three different user groups’ experiences in and relevant needs, worries, preferences, and expectations of technology-based training, to develop an exergame training device for OAs. Methods We conducted ...
Tópico(s): Cardiovascular and exercise physiology
2022 - BioMed Central | Journal of NeuroEngineering and Rehabilitation
Jeffrey L. Coles, Davidson Heath, Matthew C. Ringgenberg,
We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An exogenous increase in index investing leads to lower information production as measured by Google searches, EDGAR views, and analyst reports, yet price informativeness remains unchanged. These findings are consistent with an equilibrium in which investors choose to gather private information whenever it is profitable. As index investing increases, there are fewer privately-informed ...
Tópico(s): Financial Literacy, Pension, Retirement Analysis
2022 - Elsevier BV | Journal of Financial Economics
Davidson Heath, Daniele Macciocchi, Roni Michaely, Matthew C. Ringgenberg,
Socially responsible investment (SRI) funds are increasing in popularity. Yet, it is unclear if these funds improve corporate behavior. Using novel micro-level data, we find that SRI funds select firms with higher environmental and social standards: the firms they hold exhibit lower pollution, greater board diversity, higher employee satisfaction, and higher workplace safety. Yet, using an exogenous shock to SRI capital, we find no evidence that SRI funds improve firm behavior. The results suggest ...
Tópico(s): Entrepreneurship Studies and Influences
2021 - RELX Group (Netherlands) | SSRN Electronic Journal
Davidson Heath, Daniele Macciocchi, Roni Michaely, Matthew C. Ringgenberg,
Abstract Passively managed index funds now hold over 30$\%$ of U.S. equity fund assets; this shift raises fundamental questions about monitoring and governance. We show that, relative to active funds, index funds are less effective monitors: (a) they are less likely to vote against firm management on contentious governance issues; (b) there is no evidence they engage effectively publicly or privately; and (c) they promote less board independence and worse pay-performance sensitivity at their portfolio ...
Tópico(s): Banking stability, regulation, efficiency
2021 - Oxford University Press | Review of Financial Studies
Chenwei Xue, Ming Liu, Zhi-Ang Zhang, Jianwei Han, Chengyun Wang, Limin Wang, Zuobing Xiao, Weihong Zhu,
... 672. Google Scholar 5. Quellet C.; Schudel M.; Ringgenberg R.Flavors & Fragrance Delivery Systems.Chimia2001, 55, 421– ...
Tópico(s): Contact Dermatitis and Allergies
2020 - Chinese Chemical Society | CCS Chemistry
David Brown, Shaun Davies, Matthew C. Ringgenberg,
Abstract Non-fundamental demand shocks have significant effects on asset prices, but observing these shocks is challenging. We use the exchange-traded fund (ETF) primary market to study non-fundamental demand. Unique to the ETF market, specialized arbitrageurs called authorized participants correct violations of the law of one price between an ETF and its underlying assets by creating or redeeming ETF shares. We show theoretically and empirically that creation and redemption activities (ETF flows) ...
Tópico(s): Market Dynamics and Volatility
2020 - Oxford University Press | Review of Finance
Produção Nacional
Revisado por pares
Augusto Ferreira da Costa Neto, Marcelo Cabús Klötzle, Antônio Carlos Figueiredo Pinto,
... in studies regarding ETF markets (Brown, Davies and Ringgenberg, 2018). Originality/value The behavior of investors was ...
Tópico(s): Complex Systems and Time Series Analysis
2019 - Emerald Publishing Limited | International Journal of Emerging Markets
Davidson Heath, Matthew C. Ringgenberg, Mehrdad Samadi, Ingrid M. Werner,
After a natural experiment is first used, other researchers often reuse the setting, examining different outcome variables. We use simulations based on real data to illustrate the multiple hypothesis testing problem that arises when researchers reuse natural experiments. We then provide guidance for future inference based on popular empirical settings including difference-in-differences regressions, instrumental variables regressions, and regression discontinuity designs. When we apply our guidance ...
Tópico(s): Statistical Methods in Clinical Trials
2019 - RELX Group (Netherlands) | SSRN Electronic Journal
Jonathan Brogaard, Matthew C. Ringgenberg, David Sovich,
Abstract We study the impact of index investing on firm performance by examining the link between commodity indices and firms that use index commodities. Around 2004, commodity index investing dramatically increased. This event is referred to as the financialization of commodity markets. Following financialization, firms that use index commodities make worse production decisions, earn 40% lower profits, and have 6% higher costs. Consistent with a feedback channel in which market participants learn ...
Tópico(s): Economic theories and models
2018 - Oxford University Press | Review of Financial Studies
Matthew J. Rogatzki, Sydney A. Keuler, Abigail E. Harris, Scott W. Ringgenberg, Ryanne E. Breckenridge, Jeffrey White, Julien S. Baker,
To determine if serum S100B increases similarly as a result of playing American football compared to exercise alone.Serum S100B was measured in division III collegiate football players before and after every home game during a single football season. Serum S100B was also measured before and after subjects walked on a treadmill for 30 minutes at a leisurely pace, ran on a treadmill while wearing and not wearing a football helmet at 6 mph for 8 minutes, and performed low-, moderate-, or high-intensity ...
Tópico(s): Traumatic Brain Injury Research
2018 - Wiley | Scandinavian Journal of Medicine and Science in Sports
Joseph Engelberg, Adam V. Reed, Matthew C. Ringgenberg,
ABSTRACT Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that short‐selling risk affects prices among the cross‐section of stocks. Stocks with more short‐selling risk have lower returns, less price efficiency, and less short selling.
Tópico(s): Housing Market and Economics
2017 - Wiley | The Journal of Finance
Sophie Brajon, Nadine Ringgenberg, Stephanie Torrey, Renée Bergeron, Nicolas Devillers,
Prenatal stress (PNS) can have detrimental effects on behaviour and welfare, such as decreased exploration. Whether housing enrichment before weaning compensate negative effect of PNS in commercial pigs is unknown. To address this question, 44 sows were assigned to either a mixing stress (T) or a control (C) treatment in mid-gestation. During lactation, half of the T and C sows were housed with their 12-piglets litter in straw enriched pens (E) while the others were housed in standard farrowing crates ( ...
Tópico(s): Rabbits: Nutrition, Reproduction, Health
2017 - Elsevier BV | Applied Animal Behaviour Science
Wendy Ringgenberg, Corinne Peek‐Asa, Kelley J. Donham, Marizen Ramirez,
We examined work-related homicides and suicides among farm operators/workers in the United States from 1992 to 2010.Work-related homicide and suicide cases from 1992 to 2010 were obtained from the Census of Fatal Occupational Injuries. To calculate rates, denominator data on the US working population were also obtained from 2003 to 2010 Current Population Survey. Logistic regression was used to identify factors that were differentially associated with homicide and suicide.Over these 19 years, 171 ...
Tópico(s): Pesticide Exposure and Toxicity
2017 - Wiley | The Journal of Rural Health
David E. Rapach, Matthew C. Ringgenberg, Guofu Zhou,
We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R2 statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector autoregression decomposition shows that the economic source of short interest’s predictive power stems predominantly from a cash flow ...
Tópico(s): Corporate Finance and Governance
2016 - Elsevier BV | Journal of Financial Economics
Nadine Ringgenberg, Ernst K.F. Fröhlich, Alexandra Harlander-Matauschek, Michael J. Toscano, Hanno Würbel, Béatrice A. Roth,
Laying hens in loose-housing systems select a nest daily in which to lay their eggs among many identical looking nests, they often prefer corner nests. We investigated whether heterogeneity in nest curtain appearance – via colours and symbols – would influence nest selection and result in an even distribution of eggs among nests. We studied pre-laying behaviour in groups of 30 LSL hens across two consecutive trials with eight groups per trial. Half of the groups had access to six identical rollaway ...
Tópico(s): Animal Behavior and Reproduction
2015 - Elsevier BV | Applied Animal Behaviour Science
Nadine Ringgenberg, Ernst K.F. Fröhlich, Alexandra Harlander-Matauschek, Michael J. Toscano, Hanno Würbel, Béatrice A. Roth,
Nest choice in loose-housed laying hens is influenced by nest characteristics, position and social factors. We examined the relative preference of laying hens for two group-nests differing in the presence or absence of a partition in the middle of the nest and whether this was influenced by social status. We hypothesized that hens would prefer the partitioned nest as it provides more enclosure, and that social status would affect nest choice. Relative preference for the nests was assessed in a free ...
Tópico(s): Livestock and Poultry Management
2015 - Elsevier BV | Applied Animal Behaviour Science
David E. Rapach, Matthew C. Ringgenberg, Guofu Zhou,
We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual r-squared statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector autoregression decomposition shows that the economic source of short interest’s predictive power stems predominantly from a cash ...
Tópico(s): Credit Risk and Financial Regulations
2014 - RELX Group (Netherlands) | SSRN Electronic Journal
Nadine Ringgenberg, Ernst K.F. Fröhlich, Alexandra Harlander-Matauschek, Hanno Würbel, Béatrice A. Roth,
Laying hens in loose housing systems have access to group-nests which provide space for several hens at a time to lay their eggs. They are thus rather large and the trend in the industry is to further increase the size of these nests. Though practicality is important for the producer, group-nests should also cater to the egg-laying behaviour of hens to promote good welfare. One of the factors playing a role in the attractiveness of a nest is the amount of enclosure: hens prefer more enclosure when ...
Tópico(s): Animal Behavior and Reproduction
2014 - Elsevier BV | Applied Animal Behaviour Science
Joseph Engelberg, Adam V. Reed, Matthew C. Ringgenberg,
Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We show that short-selling risk affects prices among the cross-section of stocks. Stocks with more short-selling risk have lower returns, less price efficiency, and less short selling.
Tópico(s): Housing Market and Economics
2013 - RELX Group (Netherlands) | SSRN Electronic Journal
Nadine Ringgenberg, Renée Bergeron, Marie-Christine Meunier-Salaün, Nicolas Devillers,
Abstract The impact of a social stress in gestation and an enriched pen in lactation on components of sow maternal behavior was studied in a 2 × 2 factorial experiment. At breeding, 41 sows were assigned to a social mixing stress treatment (T) during mid-gestation or a control group (C). During lactation, half of the T and C sows were housed in straw enriched pens (E) (1.57 m × 4.10 m) and the others in standard farrowing crates (S) (0.68 m × 2.10 m). The mixing stress consisted in introducing each T ...
Tópico(s): Human-Animal Interaction Studies
2012 - Elsevier BV | Applied Animal Behaviour Science
Elise Ringgenberg, Marcela Alexander, Milena Corredig,
The molecular details of the aggregation of soy protein particles in soymilk during acid-induced gelation using glucono-delta-lactone (GDL) were investigated. Soymilk samples were prepared from different water-to-bean ratios and contained approximately 4% and 7% protein. The effects of protein concentration and incubation temperature (30 or 7 °C) on soymilk gelation were observed using rheology and diffusing wave spectroscopy at two different GDL concentrations. During acidification, there was a decrease ...
Tópico(s): Meat and Animal Product Quality
2012 - Elsevier BV | Food Hydrocolloids
Joseph Engelberg, Adam V. Reed, Matthew C. Ringgenberg,
We find that a substantial portion of short sellers' trading advantage comes from their ability to analyze publicly available information. Using a database of short sales combined with a database of news releases, we show that the well-documented negative relation between short sales and future returns is twice as large on news days and four times as large on days with negative news. Further, we find that the most informed short sales are not from market makers but rather from clients, and we find ...
Tópico(s): Corporate Finance and Governance
2012 - Elsevier BV | Journal of Financial Economics
Adam C. Kolasinski, Adam V. Reed, Matthew C. Ringgenberg,
ABSTRACT Using unique data from 12 lenders, we examine how equity lending fees respond to demand shocks. We find that, when demand is moderate, fees are largely insensitive to demand shocks. However, at high demand levels, further increases in demand lead to significantly higher fees and the extent to which demand shocks impact fees is also related to search frictions in the loan market. Moreover, consistent with search models, we find significant dispersion in loan fees, with this dispersion increasing ...
Tópico(s): Housing Market and Economics
2012 - Wiley | The Journal of Finance