Financial Markets
Die Abteilung Financial Markets befasst sich mit der Funktionsweise und dem Wandel der Finanzmärkte, welche heute wesentlich technologisch und regulatorisch bestimmt sind. Es ergeben sich Forschungsfragen zu den Folgen für Preisbildung (Asset Pricing), Wettbewerb, Liquidität auf Sekundärmärkten, Marktstabilität und systemisches Risiko sowie für den Verbraucherschutz. Spezifische Regulierungsmaßnahmen, wie die EU-Richtlinie über Märkte und Finanzinstrumente MiFID II, oder säkulare Trends wie der demografische Wandel oder der Klimawandel beeinflussen die Funktionsweise der Märkte bzw. die Anlageentscheidungen der Investor/innen und gehen deshalb ebenfalls in die Forschung des Bereichs ein.
Die Abteilung ist Mitorganisator der folgenden Konferenzreihen:
Publikationen
| 2022 | Extreme Inflation and Time-Varying Expected Consumption Growthforthcoming in Management Science | Ilya Dergunov, Christoph Meinerding, Christian Schlag | Financial Markets | 2022 | |
| 2019 | Estimation and Model-Based Combination of Causality NetworksJournal of Empirical Finance | Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica | Financial Markets | Granger causality, quantile causality, multi-layer network, network combination | 2019 |
| 2021 | Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and WelfareThe North American Journal of Economics and Finance | Michael Donadelli, Patrick Grüning | Financial Markets | Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation | 2021 |
| 2021 | Global Temperature, R&D Expenditure, and GrowthEnergy Economics | Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys | Financial Markets | Global Temperature, R&D, Welfare Costs | 2021 |
| 2021 | Popular News Are Relevant News! How Investor Attention Affects Algorithmic Decision-Making and Decision Support in Financial MarketsInformation Systems Frontiers | Benjamin Clapham, Peter Gomber, Michael Siering | Financial Markets | 2021 | |
| 2021 | To Bundle or Not to Bundle? A Review of Soft Commissions and Research UnbundlingFinancial Analysts Journal | Micha Bender, Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch | Financial Markets | 2021 | |
| 2021 | Research Unbundling and COVID-19: Will Europe's Capital Markets Recovery Package Help?Journal of Investing | Micha Bender, Tino Cestonaro, Peter Gomber, Jascha-Alexander Koch | Financial Markets | 2021 | |
| 2021 | Correction to: A Meta-Measure of Performance Related to Both Investors and Investments Characteristics forthcoming in Annals of Operations Research | Monica Billio, Bertrand B. Maillet, Loriana Pelizzon | Financial Markets | 2021 | |
| 2021 | Short Selling – On Ethics, Politics, and CultureZeitschrift für Bankrecht und Bankwirtschaft | Katja Langenbucher, Loriana Pelizzon | Financial Markets | 2021 | |
| 2021 | On the “Mementum” of Meme StocksEconomics Letters | Michele Costola, Matteo Iacopini, Carlo R.M.A. Santagiustina | Financial Markets | Meme stocksSocial mediaSocial tradingCointegrationRegime switching | 2021 |
| 2021 | Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Caseforthcomig in Journal of Real Estate Finance and Economics | Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | Financial Markets, Systemic Risk Lab | Mortgages, Energy Eciency, Credit Risk | 2021 |
| 2021 | Inside the ESG Ratings: (Dis)agreement and Performanceforthcoming in Corporate Social Responsibility and Environmental Management | Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon | Financial Markets | 2021 | |
| 2021 | Recovery from Fast Crashes: Role of Mutual Fundsforthcoming in Journal of Financial Markets | Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | Financial Markets, Systemic Risk Lab, Data Center | Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital | 2021 |
| 2021 | Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market SentimentJournal of Finance | Can Gao, Ian Martin | Financial Markets | bubbles, Option prices, sentiment, valuation ratios, volatility | 2021 |
| 2021 | The FOMC Risk ShiftJournal of Monetary Economics | Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf | Financial Markets | 2021 | |
| 2021 | Equilibrium Asset Pricing in Directed NetworksReview of Finance | Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag | Financial Markets, Systemic Risk Lab | Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences | 2021 |
| 2021 | Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing ModelsManagement Science | Christian Schlag, Michael Semenischev, Julian Thimme | Financial Markets | Asset pricing, cross-section of stock returns, predictability | 2021 |
| 2009 | Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency DataJournal of Alternative Investments | Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon | Financial Markets | Hedge Funds, Risk Management, High frequency data | 2009 |
| 2020 | The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from ItalyThe Review of Corporate Finance Studies | Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam | Financial Markets | COVID-19, pandemics, losses, distress, equity, recapitalization. | 2020 |
| 2020 | Statistical Inferences for Price StalenessJournal of Econometrics | Aleksey Kolokolov, Giulia Livieri, Davide Pirino | Financial Markets | staleness, idle time, liquidity, zero returns, stable convergence | 2020 |
| 2021 | Implied Volatility Duration: A Measure for the Timing of Uncertainty ResolutionJournal of Financial Economics | Christian Schlag, Julian Thimme, Rüdiger Weber | Financial Markets | Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing | 2021 |
| 2020 | The Collateralizability PremiumReview of Financial Studies | Hengjie Ai, Jun E. Li, Kai Li, Christian Schlag | Financial Markets | 2020 | |
| 2019 | Pricing Sin Stocks: Ethical Preference vs. Risk AversionEuropean Economic Review | Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | Financial Markets | 2019 | |
| 2020 | Call of Duty: Designated Market Maker Participation in Call AuctionsJournal of Financial Markets | Erik Theissen, Christian Westheide | Financial Markets | 2020 | |
| 2019 | Horizontal Industry Relationships and Return PredictabilityJournal of Empirical Finance | Christian Schlag, Kailin Zeng | Financial Markets | Connected industries, information flow, return predictability | 2019 |
| 2019 | Volatility-of-Volatility RiskJournal of Financial and Quantitative Analysis | Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme | Financial Markets | 2019 | |
| 2020 | Optimists and Pessimists in (In)Complete MarketsJournal of Financial and Quantitative Analysis | Nicole Branger, Patrick Konermann, Christian Schlag | Financial Markets | 2020 | |
| 2019 | Peer Effects and Risk Sharing in Experimental Asset MarketsEuropean Economic Review | Sascha Baghestanian, Paul Gortner, Joël van der Weele | Household Finance, Financial Markets, Experiment Center | peer effects, laboratory experiments, risk taking, asset markets | 2019 |
| 2017 | Dark Trading under MiFID IIRegulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press) | Peter Gomber, Ilya Gvozdevskiy | Financial Markets | 2017 | |
| 2019 | Pricing Sin Stocks: Ethical Preference vs. Risk AversionEuropean Economic Review | Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | Financial Markets | 2019 | |
| 2017 | Systemic Co-JumpsJournal of Financial Economics | Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò | Financial Markets, Systemic Risk Lab | Jumps; Return predictability; Systemic events; Variance risk premium | 2017 |
| 2019 | A Quasi Real-Time Leading Indicator for the EU Industrial ProductionThe Manchester School | Michael Donadelli, Antonio Paradiso, Max Riedel | Financial Markets | Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule | 2019 |
| 2018 | Leaning Against the Wind: Debt Financing in the Face of AdversityFinancial Management | Michael Brennan, Holger Kraft | Financial Markets | Capital structure, financing policy, managerial incentives | 2018 |
| 2018 | Measuring Sovereign Contagion in EuropeJournal of Financial Stability | Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon | Financial Markets, Systemic Risk Lab | 2018 | |
| 2018 | Denouncing Odious DebtsJournal of Business Ethics | Stephanie Collet, Kim Oosterlinck | Financial Markets, Data Center | Ethics, Odious debt, Repudiation, Financial history, Sovereign debt, Russia | 2018 |
| 2019 | Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings SurprisesBritish Journal of Management | Massimiliano Caporin, Luca Corazzini, Michele Costola | Financial Markets, Systemic Risk Lab | 2019 | |
| 2017 | High-Frequency Trading and its Role in Fragmented MarketsJournal of Information Technology | Martin Haferkorn | Financial Markets | Eelectronic market hypothesis, High-frequency trading, Market efficiency, Regulation, Securities trading | 2017 |
| 2018 | Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and MacroeconomicsFinance Research Letters | Patrick Grüning | Financial Markets | Heterogeneous innovation; Technology spillover; Endogenous growth; Creative destruction; International finance | 2018 |
| 2017 | Ensuring Market Integrity and Stability: Circuit Breakers on International Trading VenuesJournal of Trading | Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz | Financial Markets | 2017 | |
| 2018 | Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond MarketQuantitative Finance | Fabrizio Lillo, Loriana Pelizzon, Michael Schneider | Financial Markets, Systemic Risk Lab | Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market | 2018 |
| 2018 | Level and Slope of Volatility Smiles in Long-Run Risk ModelsJournal of Economic Dynamics and Control | Nicole Branger, Paulo Rodrigues, Christian Schlag | Financial Markets, Systemic Risk Lab | Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile | 2018 |
| 2017 | Temperature Shocks and Welfare CostsJournal of Economic Dynamics and Control | Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag | Financial Markets | Temperature shocks, long-run growth, asset prices, welfare costs, adaptation | 2017 |
| 2018 | Growth Options and Firm ValuationEuropean Financial Management | Holger Kraft, Eduardo S. Schwartz, Farina Weiss | Financial Markets | Firm valuation, Real options, Volatility, R&D expenses | 2018 |
| 2017 | Optimal Portfolio Choice with Loss Aversion Over ConsumptionQuarterly Review of Economics and Finance | Giuliano Curatola | Financial Markets | Loss-aversion, Habit-formation, Consumption–portfolio choice | 2017 |
| 2017 | International Endogenous Growth, Macro Anomalies, and Asset PricesJournal of Economic Dynamics and Control | Patrick Grüning | Financial Markets | Innovation, Technology spillover, Endogenous growth, Long-run risk, International finance | 2017 |
| 2017 | Dangerous Infectious Diseases: Bad News for Main Street, Good News for Wall Street?Journal of Financial Markets | Michael Donadelli, Renatas Kizys, Max Riedel | Financial Markets | WHO alerts, investor sentiment, pharmaceutical industry, trading strategies | 2017 |
| 2016 | Which Market Integration Measure?Journal of Banking and Finance | Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel | Financial Markets | Equity market integration, dynamic correlation, principal components, international diversification benefits | 2016 |
| 2017 | Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation DebateJournal of Economic Surveys | Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | Financial Markets | Competition, Fragmentation, Market Structure, Liquidity, Price Discovery | 2017 |
| 2017 | Optimal Consumption and Investment with Epstein-Zin Recursive UtilityFinance and Stochastics | Holger Kraft, Thomas Seiferling, Frank Thomas Seifried | Financial Markets | consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE | 2017 |
| 2016 | Labor Market Dynamics, Endogenous Growth and Asset PricesEconomics Letters | Michael Donadelli, Patrick Grüning | Financial Markets | http://www.sciencedirect.com/science/article/pii/S0165176516300933 | 2016 |
| 2016 | The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium AnalysisJournal of Monetary Economics | Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov | Financial Markets | Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion | 2016 |
| 2014 | Market Structure and Market Performance in E-CommerceEuropean Economic Review | Franz Hackl, Michael Kummer, Rudolf Winter-Ebmer, Christine Zulehner | Financial Markets | Retailing, Product life cycle, Market structure, Market performance, Markup, Price dispersion | 2014 |
| 2015 | Matching the BRIC equity premium: A structural approachEmerging Markets Review | Giuliano Curatola, Michael Donadelli, Patrick Grüning | Financial Markets | BRIC countries, Equity risk premium, Long-run risk, Persistence | 2015 |
| 2015 | Loss aversion, habit formation and the term structures of equity and interest ratesJournal of Economic Dynamics and Control | Giuliano Curatola | Financial Markets, Macro Finance | Loss-aversion, Habit formation, Yield curve, Dividend strips, General equilibrium | 2015 |
| 2015 | Going Public: How Stock Market Participation Changes Firm Innovation BehaviorJournal of Marketing Research | Christine Moorman, Simone Wies | Financial Markets | Innovation, breakthrough innovation, stock market impact, IPO, marketing-finance interface, consumer packaged goods | 2015 |
| 2015 | International Capital Markets Structure, Preferences and Puzzles: A US-China WorldJournal of International Financial Markets, Institutions and Money | Guglielmo Maria Caporale, Michael Donadelli, Alessia Varani | Financial Markets | Macro-anomalies, Financial autarky, Complete markets, Long-run innovations, Home bias | 2015 |
| 2015 | The State of Play in European Over-the-Counter Equities TradingJournal of Trading | Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | Financial Markets | 2015 | |
| 2014 | MiFID: Eine systematische Analyse der ZielerreichungZeitschrift für Bankrecht und Bankwirtschaft | Peter Gomber, Benedikt Thomas Jaeger | Financial Markets | 2014 | |
| 2014 | Stochastic Differential Utility as the Continuous-Time Limit of Recursive UtilityJournal of Economic Theory | Holger Kraft, Frank Thomas Seifried | Financial Markets | stochastic differential utility, recursive utility, convergence, backward stochastic differential equation | 2014 |
| 2014 | Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio OptimizationJournal of Economic Dynamics and Control | Nicole Branger, Holger Kraft, Christoph Meinerding | Financial Markets, Systemic Risk Lab, Transparency Lab | Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes | 2014 |
| 2014 | Mutual Excitation in Eurozone Sovereign CDSJournal of Econometrics | Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon | Financial Markets, Macro Finance, Systemic Risk Lab | CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response | 2014 |
| 2015 | Anchoring in Experimental Asset MarketsJournal of Economic Behavior & Organization | Sascha Baghestanian, Todd B. Walker | Financial Markets, Experiment Center | Experimental Asset Markets, Anchoring, Bubbles | 2015 |
| 2015 | "Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering ErrorsJournal of Economic Dynamics and Control | Nicole Branger, Christian Schlag, Lue Wu | Financial Markets | General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence | 2015 |
| 2016 | The Dynamics of Crises and the Equity PremiumReview of Financial Studies | Nicole Branger, Holger Kraft, Christoph Meinerding | Financial Markets, Systemic Risk Lab | General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models | 2016 |
| 2016 | When Do Jumps Matter for Portfolio Optimization?Quantitative Finance | Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried | Financial Markets | Optimal investment, jumps, stochastic volatility, welfare loss | 2016 |
| 2016 | Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?Journal of Financial Economics | Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | Financial Markets, Systemic Risk Lab | Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market | 2016 |
Working Papers
Extreme Inflation and Time-Varying Expected Consumption Growth | Ilya Dergunov, Christoph Meinerding, Christian Schlag | 334 | Financial Markets | 2022 | Jan 2022 | |
The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times | Ruggero Jappelli, Loriana Pelizzon, Alberto Plazzi | 331 | Financial Markets | 2021 | Dez 2021 | |
Non-Standard Errors | Fincap Team, Jan Pieter Krahnen, Loriana Pelizzon, Christian Westheide | 327 | Financial Intermediation, Financial Markets | 2021 | non-standard errors, multi-analyst approach, liquidity | Nov 2021 |
The Effect of Ambiguity on Price Formation and Trading Behavior in Financial Markets | Wenhui Li, Peter Ockenfels, Christian Wilde | 326 | Financial Markets | 2021 | ambiguity, financial market, market price, volatility, trading activity, bid- ask spread, market-based measure of ambiguity, laboratory experiment | Nov 2021 |
Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test | Massimiliano Caporin, Michele Costola | 324 | Financial Markets | 2021 | Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19 | Okt 2021 |
Impact of Public News Sentiment on Stock Market Index Return and Volatility | Gianluca Anese, Marco Corazza, Michele Costola, Loriana Pelizzon | 322 | Financial Markets | 2021 | Public financial news, Stock market, NLP, Dictionary, LSTM neural net- works, Investor sentiment, S&P 500 | Okt 2021 |
Call of Duty: Designated Market Maker Participation in Call Auctions | Erik Theissen, Christian Westheide | 319 | Financial Markets | 2020 | Aug 2020 | |
Momentum-Managed Equity Factors | Volker Flögel, Christian Schlag, Claudia Zunft | 317 | Financial Markets | 2021 | factor timing, time series momentum, anomalies | Jul 2021 |
The Carrot and the Stick: Bank Bailouts and the Disciplining Role of Board Appointments | Christian Mücke, Loriana Pelizzon, Vincenzo Pezone, Anjan Thakor | 316 | Financial Markets | 2021 | Bank Bailout, TARP, Capital Purchase Program, Dividend Pay- ments, Board Appointments, Bank Recapitalization | Jul 2021 |
Expl(AI)ned: The Impact of Explainable Artificial Intelligence on Cognitive Processes | Kevin Bauer, Oliver Hinz, Moritz von Zahn | 315 | Financial Markets, Experiment Center | 2021 | XAI, explainable machine learning, Information Processing, Belief up-dating, algorithmic transparency | Jun 2021 |
Market Impact of Government Communication: The Case of Presidential Tweets | Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon | 314 | Financial Markets | 2021 | Market efficiency, Social media, Twitter, High-frequency event study, Machine learning, ETFs. | Mai 2021 |
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment | Can Gao, Ian Martin | 312 | Financial Markets | 2021 | bubbles, Option prices, sentiment, valuation ratios, volatility | Jan 2021 |
Separating the Effects of Beliefs and Attitudes on Pricing under Ambiguity | Wenhui Li, Christian Wilde | 311 | Financial Markets | 2021 | ambiguity, belief estimation, belief effect, ambiguity premium, laboratory experiments | Mär 2021 |
Investor Reliance on ESG Ratings and Stock Price Performance | Loriana Pelizzon, Aleksandra Rzeźnik, Kathleen Weiss Hanley | 310 | Financial Markets | 2021 | Corporate Social Responsibility, ESG Rating Agencies, Sustainable Invest- ments, Socially responsible investing, ESG, Portfolio choice | Mär 2021 |
Obfuscation and Rational Inattention in Digitalized Markets | Aljoscha Janssen, Johannes Kasinger | 306 | Financial Intermediation, Financial Markets | 2021 | Rational Inattention, Obfuscation, Price Competition, Digitalized Markets | Feb 2021 |
Global Realignment in Financial Market Dynamics | Monica Billio, Mila Getmansky Sherman, Andrew Lo, Loriana Pelizzon, Abalfazl Zareei | 304 | Financial Markets | 2021 | Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance | Feb 2021 |
The FOMC Risk Shift | Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf | 302 | Financial Markets | 2021 | Monetary Policy Surprises; Equity Premium; Fund Flows; Portfolio Rebalanc- ing; Price Pressures | Jan 2021 |
OTC Discount | Emanuel Moench, Loriana Pelizzon, Michael Schneider, Calebe de Roure | 298 | Financial Markets, Systemic Risk Lab, Data Center | 2020 | Market Microstructure, Hybrid Markets, Venue Choice, Interdealer Brokerage, Fixed-Income, OTC Markets, Search Frictions, Information Frictions | Dez 2020 |
Recapitalization, Bailout, and Long-run Welfare in a Dynamic Model of Banking | Andrea Modena | 292 | Financial Markets | 2020 | Banks, bailout, general equilibrium, financial frictions, recapitalization, welfare. | Okt 2020 |
Resiliency: Cross-Venue Dynamics with Hawkes Processes | Loriana Pelizzon, Satchit Sagade, Katia Vozian | 291 | Financial Markets | 2020 | liquidity, resiliency, fragmentation, competition, high-frequency data, Hawkes processes | Okt 2020 |
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models | Christian Schlag, Michael Semenischev, Julian Thimme | 289 | Financial Markets | 2020 | Asset pricing, cross-section of stock returns, predictability | Sep 2020 |
Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions | Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon | 288 | Financial Markets | 2020 | COVID-19 news, Sentiment Analysis, Stock Markets | Sep 2020 |
The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy | Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam | 285 | Financial Markets | 2020 | COVID-19, pandemics, losses, distress, equity, recapitalization. | Jul 2020 |
Inside the ESG Ratings: (Dis)agreement and Performance | Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon | 284 | Financial Markets | 2020 | Jun 2020 | |
Does Monetary Policy Impact Sovereign Credit Risk Comovement? | Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi | 276 | Financial Markets, Macro Finance | 2020 | Mai 2020 | |
Collateral Eligibility of Corporate Debt in the Eurosystem | Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam | 275 | Financial Markets, Macro Finance, Systemic Risk Lab | 2020 | Apr 2020 | |
Risk Pooling, Leverage, and the Business Cycle | Pietro Dindo, Andrea Modena, Loriana Pelizzon | 271 | Financial Markets, Macro Finance | 2020 | Amplification, business cycle, efficiency, dampening, restricted market participation, risk pooling | Mär 2020 |
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? | Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò | 270 | Financial Markets, Systemic Risk Lab | 2020 | Mär 2020 | |
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution | Christian Schlag, Julian Thimme, Rüdiger Weber | 265 | Financial Markets | 2020 | Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing | Jan 2020 |
The Collateralizability Premium | Hengjie Ai, Jun E. Li, Kai Li, Christian Schlag | 264 | Financial Markets | 2019 | Okt 2019 | |
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study | Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon | 262 | Financial Markets, Systemic Risk Lab | 2019 | credit scoring; probability of default; small and medium enterprises; assetbacked securities | Okt 2019 |
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case | Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | 261 | Financial Markets, Systemic Risk Lab | 2019 | Mortgages, Energy Eciency, Credit Risk | Okt 2019 |
Horizontal Industry Relationships and Return Predictability | Christian Schlag, Kailin Zeng | 256 | Financial Markets | 2019 | Connected industries, information flow, return predictability | Aug 2019 |
The Anatomy of the Euro Area Interest Rate Swap Market | Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher | 255 | Financial Markets, Systemic Risk Lab | 2019 | OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging | Aug 2019 |
Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives | Thomas Johann, Talis Putnins, Satchit Sagade, Christian Westheide | 253 | Financial Markets | 2019 | Jan 2019 | |
Optimists and Pessimists in (In)Complete Markets | Nicole Branger, Patrick Konermann, Christian Schlag | 252 | Financial Markets | 2019 | Jun 2019 | |
Belief Formation and Belief Updating under Ambiguity: Evidence from Experiments | Wenhui Li, Christian Wilde | 251 | Financial Markets, Experiment Center | 2019 | ambiguity, learning strategy, belief updates, non-Bayesian updates, pessimism, laboratory experiments | Jun 2019 |
High-Frequency Trading and Price Informativeness | Jasmin Gider, Peter Gomber, Simon N. M. Schmickler, Christian Westheide | 248 | Financial Markets | 2019 | High-Frequency Trading, Price Efficiency, Information Acquisition, Information Production | Mär 2019 |
Market Liquidity and Competition Among Designated Market Makers | Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | 247 | Financial Markets, Systemic Risk Lab | 2019 | esignated Market Makers (DMMs), Liquidity Provision | Mär 2019 |
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds | Joost Driessen, Theo E. Nijman, Zorka Simon | 238 | Financial Markets, Systemic Risk Lab | 2018 | Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy | Dez 2018 |
Statistical Inferences for Price Staleness | Aleksey Kolokolov, Giulia Livieri, Davide Pirino | 236 | Financial Markets | 2018 | staleness, idle time, liquidity, zero returns, stable convergence | Nov 2018 |
Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk | Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide | 234 | Financial Markets | 2018 | Fragmentation, Competition, Liquidity, Price Efficiency | Okt 2018 |
Liquidity Provider Incentives in Fragmented Securities Markets | Benjamin Clapham, Peter Gomber, Jens Lausen, Sven Panz | 231 | Financial Markets | 2018 | Liquidity, Trading Volume, Market Fragmentation, Liquidity Provider Incentives, Transaction Costs | Jul 2018 |
Lighting up the Dark: Liquidity in the German Corporate Bond Market | Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam | 230 | Financial Markets, Systemic Risk Lab | 2018 | Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets | Sep 2018 |
Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections | Roberto Panzica | 228 | Financial Markets, Systemic Risk Lab | 2018 | Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality | Aug 2018 |
Recovery from Fast Crashes: Role of Mutual Funds | Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | 227 | Financial Markets, Systemic Risk Lab, Data Center | 2018 | Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital | Jul 2018 |
Central Bank-Driven Mispricing | Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | 226 | Financial Markets, Macro Finance, Systemic Risk Lab | 2018 | Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage | Aug 2018 |
Pricing Sin Stocks: Ethical Preference vs. Risk Aversion | Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | 216 | Financial Markets | 2018 | Asset Pricing, General Equilibrium, Sin Stocks | Jul 2018 |
Volatility-of-Volatility Risk | Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme | 210 | Financial Markets | 2018 | volatility of volatility, hedging errors, risk premiums | Mai 2018 |
The Impact of Monetary Policy Interventions on the Insurance Industry | Loriana Pelizzon, Matteo Sottocornola | 204 | Financial Markets, Macro Finance, Systemic Risk Lab | 2018 | Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry | Apr 2018 |
Circuit Breakers – A Survey among International Trading Venues | Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz | 197 | Financial Markets | 2018 | Feb 2018 | |
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets | Benjamin Clapham, Peter Gomber, Sven Panz | 196 | Financial Markets | 2018 | Circuit Breaker, Volatility Interruption, Market Fragmentation, High-Frequency Trading, Stock Market, Regulation, Liquidity | Feb 2018 |
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers | Benjamin Clapham, Peter Gomber, Martin Haferkorn, Sven Panz | 195 | Financial Markets | 2018 | Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design | Feb 2018 |
Global Temperature, R&D Expenditure, and Growth | Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys | 188 | Financial Markets | 2017 | Global Temperature, R&D, Welfare Costs | Nov 2017 |
Level and Slope of Volatility Smiles in Long-Run Risk Models | Nicole Branger, Paulo Rodrigues, Christian Schlag | 186 | Financial Markets, Systemic Risk Lab | 2017 | Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile | Nov 2017 |
Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics | Patrick Grüning | 185 | Financial Markets | 2017 | Heterogeneous innovation, Technology spillover, Endogenous growth, Creative destruction, International finance | Okt 2017 |
The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets | Joost Driessen, Theo E. Nijman, Zorka Simon | 183 | Financial Markets | 2017 | Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle | Sep 2017 |
Coming Early to the Party | Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | 182 | Financial Markets, Systemic Risk Lab | 2017 | High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery | Sep 2017 |
Temperature Shocks and Welfare Costs | Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag | 177 | Financial Markets | 2017 | Temperature shocks, long-run growth, asset prices, welfare costs, adaptation | Aug 2017 |
International Capital Markets with Time-Varying Preferences | Giuliano Curatola, Ilya Dergunov | 176 | Household Finance, Financial Markets | 2017 | Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice | Aug 2017 |
Liquidity Premia in CDS Markets | Christel Merlin Kuate Kamga, Christian Wilde | 173 | Financial Intermediation, Financial Markets | 2017 | CDS, liquidity | Aug 2017 |
Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil | Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed Khalifa | 172 | Financial Intermediation, Financial Markets, Systemic Risk Lab | 2017 | Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies | Nov 2017 |
Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare | Michael Donadelli, Patrick Grüning | 171 | Financial Markets | 2017 | Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation | Apr 2017 |
The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification | Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon | 166 | Financial Markets, Systemic Risk Lab | 2016 | CAPM, volatility, network, interconnections, systematic risk | Dez 2016 |
Estimation and Model-Based Combination of Causality Networks | Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica | 165 | Financial Markets | 2017 | Granger causality, quantile causality, multi-layer network, network combination | Jan 2017 |
Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices | Giuliano Curatola, Michael Donadelli, Patrick Grüning | 163 | Financial Markets | 2017 | Technology Adoption, R&D Investment, Asymmetric Tax Regimes, Asset Prices | Okt 2017 |
Which Market Integration Measure? | Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel | 159 | Financial Markets | 2016 | Equity market integration, dynamic correlation, principal components, international diversification benefits | Dez 2016 |
Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street? | Michael Donadelli, Renatas Kizys, Max Riedel | 158 | Financial Markets | 2016 | WHO alerts, investor sentiment, pharmaceutical industry, trading strategies | Dez 2016 |
How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis | Fabrizio Lillo, Loriana Pelizzon, Michael Schneider | 151 | Financial Markets, Systemic Risk Lab | 2016 | Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing. | Jan 2016 |
Systemic Co-Jumps | Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò | 149 | Financial Markets, Systemic Risk Lab | 2016 | Jumps, Return predictability, Systemic events, Variance Risk Premium | Jan 2016 |
Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods | Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | 144 | Financial Markets, Systemic Risk Lab | 2016 | High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision. | Jan 2016 |
Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets | Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | 143 | Financial Markets, Systemic Risk Lab | 2016 | Dark Trading, Fragmentation, Anonymity, Immediacy | Jan 2016 |
Commodities, Financialization, and Heterogeneous Agents | Nicole Branger, Patrick Grüning, Christian Schlag | 131 | Financial Markets | 2016 | Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets | Jan 2016 |
Optimal Consumption and Portfolio Choice with Loss Aversion | Giuliano Curatola | 130 | Financial Markets | 2016 | Loss-aversion, Habit-formation, Consumption-portfolio choice | Jan 2016 |
Investment-Specific Shocks, Business Cycles, and Asset Prices | Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding | 129 | Financial Markets | 2016 | General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks, Nominal Rigidities | Jan 2016 |
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis | Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov | 124 | Financial Markets | 2016 | Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion | Jan 2016 |
Leaning Against the Wind: Debt Financing in the Face of Adversity | Michael Brennan, Holger Kraft | 119 | Financial Markets | 2015 | Capital structure, financing policy, managerial incentives | Jan 2015 |
A Quasi Real-Time Leading Indicator for the EU Industrial Production | Michael Donadelli, Antonio Paradiso, Max Riedel | 118 | Financial Markets | 2015 | Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule | Jan 2015 |
"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors | Kevin Bauer, Nicole Branger, Christian Schlag, Lue Wu | 114 | Financial Markets | 2015 | General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence | Jan 2015 |
Measuring Sovereign Contagion in Europe | Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon | 103 | Financial Markets, Systemic Risk Lab | 2015 | Sovereign Risk, Contagion, Disintegration | Jan 2015 |
Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? | Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | 95 | Financial Markets, Systemic Risk Lab | 2015 | Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market | Jan 2015 |
International Endogenous Growth, Macro Anomalies, and Asset Prices | Patrick Grüning | 83 | Financial Markets | 2015 | Innovation, Product Market Competition, Endogenous Growth, Long-run Risk, International Finance | Jan 2015 |
Equilibrium Asset Pricing in Directed Networks | Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag | 74 | Financial Markets, Systemic Risk Lab | 2014 | Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences | Jan 2014 |
Peer Effects and Risk Sharing in Experimental Asset Markets | Sascha Baghestanian, Paul Gortner, Joël van der Weele | 67 | Household Finance, Financial Markets, Experiment Center | 2014 | peer effects, laboratory experiments, risk taking, asset markets | Jan 2014 |
Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries | Giuliano Curatola, Michael Donadelli, Alessandro Gioffré, Patrick Grüning | 56 | Financial Markets | 2014 | Austerity Measures, Fiscal Policy, Endogenous Growth, R&D | Jan 2014 |
Measuring Ambiguity Aversion: A Systematic Experimental Approach | Jan Pieter Krahnen, Peter Ockenfels, Christian Wilde | 55 | Financial Intermediation, Financial Markets, Transparency Lab, Experiment Center | 2014 | ambiguity, valuation discount, experimental economics | Jan 2014 |
Anchoring in Experimental Asset Markets | Sascha Baghestanian, Todd B. Walker | 54 | Financial Markets, Experiment Center | 2014 | Experimental Asset Markets, Anchoring, Bubbles | Jan 2014 |
Optimal Consumption and Investment with Epstein-Zin Recursive Utility | Holger Kraft, Thomas Seiferling, Frank Thomas Seifried | 52 | Financial Markets | 2014 | consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE | Jan 2014 |
Mutual Excitation in Eurozone Sovereign CDS | Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon | 51 | Financial Markets, Macro Finance, Systemic Risk Lab | 2014 | CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response | Jan 2014 |
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs | Adrian Buss, Raman Uppal, Grigory Vilkov | 41 | Financial Markets | 2014 | liquidity premium, incomplete markets, portfolio choice, heterogeneous agents | Jan 2014 |
Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate | Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | 35 | Financial Markets | 2013 | Competition, Fragmentation, Market Structure, Liquidity, Price Discovery | Jan 2013 |
Asset Pricing Under Uncertainty About Shock Propagation | Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag | 34 | Financial Markets | 2013 | General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility | Jan 2013 |
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization | Nicole Branger, Holger Kraft, Christoph Meinerding | 28 | Financial Markets, Systemic Risk Lab, Transparency Lab | 2013 | Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes | Jan 2013 |
Financing Asset Growth | Michael Brennan, Holger Kraft | 26 | Financial Markets | 2013 | Jan 2013 | |
Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility | Holger Kraft, Frank Thomas Seifried | 17 | Financial Markets | 2013 | stochastic differential utility, recursive utility, convergence, backward stochastic differential equation | Jan 2013 |
When Do Jumps Matter for Portfolio Optimization? | Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried | 16 | Financial Markets | 2013 | Optimal investment, jumps, stochastic volatility, welfare loss | Jan 2013 |
The Dynamics of Crises and the Equity Premium | Nicole Branger, Holger Kraft, Christoph Meinerding | 11 | Financial Markets, Systemic Risk Lab | 2013 | General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models | Jan 2013 |
Growth Options and Firm Valuation | Holger Kraft, Eduardo S. Schwartz, Farina Weiss | 6 | Financial Markets, Transparency Lab | 2013 | Firm valuation, Real options, Volatility, R&D expenses | Jan 2013 |
Option-Implied Information and Predictability of Extreme Returns | Grigory Vilkov, Yan Xiao | 5 | Financial Markets | 2013 | extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization | Jan 2013 |
Policy Papers
Forschungsprojekte
Aktuelles Forschungsteam
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