Transcript Document

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Making finance mobile
Frankfurt, 11th November
2004
Prof. Dr. Wolfgang König
E-Finace Lab at the Goethe University
Institute for Information Systems
Jan Muntermann
Alerting Notifications – Benefits for Mobile Investors
Chair of M-Commerce
Goethe University Frankfurt
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Agenda
• E-Finance Lab at the Goethe University
•
•
•
•
Introduction of Mobile Alerting Services
Empirical Evidence
Suitable Mobile Information Infrastructures
Summary & Conclusion
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E-Finance Lab
-Prof. Dr. Wolfgang KönigChairman of the Board
Partners: Leading Corporations
of the Financial Service Sector
E-Finance Lab
http://www.efinancelab.de
Focused Research Areas 2004
E-Finance Lab
http://www.efinancelab.de
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Agenda
• E-Finance Lab at the Goethe University
•
•
•
•
Introduction of Mobile Alerting Services
Empirical Evidence
Suitable Mobile Information Infrastructures
Summary & Conclusion
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Introduction
Mobile Banking in the past
• Mobile Banking/Broking were expected to be one of the „killer
applications“ for mobile commerce in the past [Durlacher 1999;
Ericsson 2001]
Problems:
• Mobile banking solution were mainly reproduction of already
existing web-based applications but with fewer functionality.
• Low bandwidth
• High communication costs
• Low functionality
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Mobile Banking today
Problems solved:
• Fast data services (GPRS/UMTS)
• Low data transfer costs (e.g. flat rates)
• More functionality possible (new devices with better displays
and browser functionality)
New mobile banking applications make use of mobile aspects in
order to diversify from existing web-based solutions and to provide
additional value.
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• E.g. alerting services:
– Minimum balances reached
– Deposits made
– Trades executed
• These proactive and “simple” alerting services reduce call
center costs up to 70-90 % (25c vs. $2.77 averaged)
[JupiterResearch 2004]
• But: Existing Mobile Brokerage services are still in a ‘primitive’
state focusing mainly on cost reduction.
Are there any mobile brokerage application domains providing
addition value (which may generate access to new business
segments)?
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• The German Securities Trading Law, §15 (WpHG) regulates
that stock price relevant company news have to be
published via so-called ad hoc disclosures immediately, e.g:
[Ad hoc Disclosure published by Mensch & Maschine AG on 2004-06-21 12:23]10
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These disclosures cause price reactions on the capital market
Mensch & Maschine intraday stock price development 2004-06-21 on Xetra
Publication date of the
Ad hoc Disclosure: 14:06
CDAX Performance Index
N
Price reaction
seemingly induced
by disclosure
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Introduction
• Questions:
How to prove that mobile alerting services can
utilize these price effects?
 Can these price effects be proven?
 What is the respective time frame?
 How can a suitable mobile notification
infrastructure be designed?
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Agenda
• E-Finance Lab at the Goethe University
•
•
•
•
Introduction of Mobile Alerting Services
Empirical Evidence
Suitable Mobile Information Infrastructures
Summary & Conclusion
13
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Price effect analysis
CDAX Performance Index
N
Abnormal return*
AR13:00~1% ri – 0% rCDAX
=1%
Is this potential
Publication
date ofthe
an ad
How
does
hoc disclosure:
12:23 a
reaction
only
market
marketperform?
trend?
Potential
price reaction
(cumulated): ~3%
* corrected by an average abnormal absolute return in a 2nd step
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Price Effect Significance
Significance for abnormal stock returns (AR>0) following company announcements
t1,2
t3,5
t6,10
t11,15
t16,20
Mean
0.0334
0.0112
0.0063
0.0014
-0.0048
t-Value
5.94***
2.43***
0.92
0.22
-0.79
*** indicates significance on the 1% level
(213 observations)
Significant abnormal returns can be proven for the first 5 ticks
(=price fixings on a minute basis) following the announcement.
 A suitable mobile alerting service would have to
inform the investor within this timeframe.
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Price Effect Duration
(After how many minutes are these price effects completed?)
percent
40%
35,8%
35%
30%
25%
24,3%
20%
16,2%
15%
8,1%
10%
6,8%
4,1%
3,4%
5%
1,4%
0%
0-5
5-15
15-30
30-45
45-60
60-90
90-120
>120
minutes
Time conversion of the first five price fixings (n=213)
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Agenda
• E-Finance Lab at the Goethe University
•
•
•
•
Introduction of Mobile Alerting Services
Empirical Evidence
Suitable Mobile Information Infrastructures
Summary & Conclusion
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Notification Scenario
1. The investor holds stocks of company XY.
2. Company XY publishes an ad hoc
disclosure at 2004-06-20 at 10:23 am.
3. This event causes an alerting notification to
be initiated.
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Notification Infrastructure
Notification System Infrastructure
News Feed
Server
Investor
Web Browser
Notification Configuration:
HTTP GET
Price Effect >
and
Effect Delay
1.5 %
>5
min
or no notification will be
sent
Ad hoc Announcement
Mobile Device
Push Initiation
You have 1 new
notification
Portfolio & Limit
Management Server
Service
Indication
(binary)
Service
Indication
(textual)
-User-intrusiveness level:
high
-Expiration Date:
2004-06-20 10:23am
Push Proxy Gateway
Company XY has published
an portfolio relevant ad hoc
disclosure.
HTTP GET
WSP GET
WML
(textual)
WML
(binary)
You hold 156 stocks of this
company (current total
value $15626.54)
<read> disclosure
<sell> <buy> stocks
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Method Proxy Gateway
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Agenda
• E-Finance Lab at the Goethe University
•
•
•
•
Introduction of Mobile Alerting Services
Empirical Evidence
Suitable Mobile Information Infrastructures
Summary & Conclusion
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Summary & Conclusion
• The existence of significant short-term price
effects following company announcements opens
a window of opportunity for non-institutional
investors.
• Appropriate mobile alerting services can provide
benefits for investors AND service providers.
• The push/pull service WAP Push Indication (SI)
combines prompt notification delivery and the
processing of message meta data (e.g. priority
levels).
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Thank you for paying
attention!
Prof. Dr. Wolfgang König
[email protected]
www.efinancelab.com
Jan Muntermann
[email protected]
www.whatismobile.de
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