Financial Markets
The department Financial Markets is studying the functioning and transition of financial markets which today are essentially determined by technology and regulation. Research issues arise on the consequences for pricing (asset pricing), competition, liquidity in secondary markets, market stability, and systemic risk as well as for consumer protection. Specific regulatory measures, such as the EU Directive on Markets and Financial Instruments MiFID II, or secular trends, for example, demographic change or climate change affect the functioning of the markets or the investment decisions of investors and are therefore also part of the department's research.
The department is (co-)organizing the following conference series:
Publications
| 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 Sentimentforthcoming in Journal of Finance | Can Gao, Ian Martin | Financial Markets | bubbles, Option prices, sentiment, valuation ratios, volatility | 2021 |
| 2021 | The FOMC Risk Shiftforthcoming in Journal of Monetary Economics | Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf | Financial Markets | 2021 | |
| 2020 | Equilibrium Asset Pricing in Directed Networksforthcoming in Review 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 | 2020 |
| 2020 | Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Modelsforthcoming in Management Science | Christian Schlag, Michael Semenischev, Julian Thimme | Financial Markets | Asset pricing, cross-section of stock returns, predictability | 2020 |
| 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 | Elena Carletti, 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 | Hengije 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 | |
| 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
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 |
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 |
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 |
Financing Asset Growth | Michael Brennan, Holger Kraft | 26 | Financial Markets | 2013 | 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 |
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 |
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 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 |
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 |
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 |
Anchoring in Experimental Asset Markets | Sascha Baghestanian, Todd B. Walker | 54 | Financial Markets, Experiment Center | 2014 | Experimental Asset Markets, Anchoring, Bubbles | 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 |
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 |
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 |
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 |
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 |
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 |
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 |
"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors | Nicole Branger, Christian Schlag, Lue Wu | 114 | Financial Markets | 2015 | General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence | 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 |
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 |
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 |
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 |
Optimal Consumption and Portfolio Choice with Loss Aversion | Giuliano Curatola | 130 | Financial Markets | 2016 | Loss-aversion, Habit-formation, Consumption-portfolio choice | 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 |
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 |
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 |
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 |
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 |
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 | Dec 2016 |
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 | Dec 2016 |
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 | Oct 2017 |
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 |
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 | Dec 2016 |
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 |
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 |
Liquidity Premia in CDS Markets | Christel Merlin Kuate Kamga, Christian Wilde | 173 | Financial Intermediation, Financial Markets | 2017 | CDS, liquidity | 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 |
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 |
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 |
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 |
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 | Oct 2017 |
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 |
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 |
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 |
Circuit Breakers – A Survey among International Trading Venues | Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz | 197 | Financial Markets | 2018 | Feb 2018 | |
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 |
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 |
Volatility-of-Volatility Risk | Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme | 210 | Financial Markets | 2018 | volatility of volatility, hedging errors, risk premiums | May 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 |
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 |
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 |
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 |
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 |
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 |
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 | Oct 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 |
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 | Dec 2018 |
Designated Market Makers: Competition and Incentives | Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | 247 | Financial Markets, Systemic Risk Lab | 2019 | esignated Market Makers (DMMs), Liquidity Provision | Mar 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 | Mar 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 |
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 | |
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 |
Horizontal Industry Relationships and Return Predictability | Christian Schlag, Kailin Zeng | 256 | Financial Markets | 2019 | Connected industries, information flow, return predictability | Aug 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 | Oct 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 | Oct 2019 |
The Collateralizability Premium | Hengije Ai, Jun E. Li, Kai Li, Christian Schlag | 264 | Financial Markets | 2019 | Oct 2019 | |
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 |
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 | Mar 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 | Mar 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 | |
Does Monetary Policy Impact International Market Co-Movements? | Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi | 276 | Financial Markets, Macro Finance | 2020 | May 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 | |
The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy | Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam | 285 | Financial Markets | 2020 | COVID-19, pandemics, losses, distress, equity, recapitalization. | Jul 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 |
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 |
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 | Oct 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. | Oct 2020 |
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 | Dec 2020 |
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 |
Global Realignment in Financial Market Dynamics: Evidence from ETF Networks | 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 |
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 |
The Power of ESG Ratings on Stock Markets | Carmelo Latino, Loriana Pelizzon | 310 | Financial Markets | 2021 | Corporate Social Responsibility, ESG Rating Agencies, Sustainable Invest- ments, Socially responsible investing, ESG, Portfolio choice | Mar 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 | Mar 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 |
A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets | 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. | May 2021 |
Policy Papers
| Mar 2021 | BaFin (in)dependence – A reform proposal | Patrick Blank, Ann-Katrin Kaufhold, Jan Pieter Krahnen, Katja Langenbucher | Law and Finance, Financial Markets | Capital markets, supervision, Wirecard | Mar 2021 |
| Mar 2021 | Non-performing Loans - New risks and policies? | Johannes Kasinger, Jan Pieter Krahnen, Steven Ongena, Loriana Pelizzon, Maik Schmeling, Mark Wahrenburg | Financial Markets | Covid-19, Non-performing Loans, Bank Resolution, Secondary Loan Markets, BRRD | Mar 2021 |
| Jan 2021 | Corona and banking - A financial crisis in slow motion? An evaluation of the policy options | Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam | Financial Markets | Bank Capitalization, Financial Crisis, Covid-19, Non-performing Loans, Asset Management Companies, Forbearance | Jan 2021 |
| Dec 2020 | Captured by financial institutions? New academic insights for European policymakers | Thomas Mosk | Financial Markets | Regulatory Capture, Lobbying, Transparency, Quid-pro-quo Mechanism | Dec 2020 |
| Nov 2020 | What are the wider supervisory implications of the Wirecard case? | Jan Pieter Krahnen, Katja Langenbucher, Christian Leuz, Loriana Pelizzon | Financial Markets | Wirecard, Supervisory Achitecture, Auditing, Internal Controls, Market Oversight , Investor Protection, Market Integrity | Nov 2020 |
| Jul 2020 | The Wirecard lessons: A reform proposal for the supervision of securities markets in Europe | Jan Pieter Krahnen, Katja Langenbucher | Financial Markets | Wirecard, securities markets, market supervision | Jul 2020 |
| May 2020 | Pandemic Insurance through Pandemic Partnership Bonds: A Fully Funded Insurance Solution in a Public Private Partnership | Helmut Gründl, Fabian Regele | Financial Markets | Covid-19-Crisis, catastrophe bond, public private partnership, pandemic insurance | May 2020 |
| May 2020 | Priorities for the CMU agenda | Jan Pieter Krahnen, Loriana Pelizzon | Financial Markets | CMU, High-Level-Forum, Interim Report | May 2020 |
| Apr 2020 | Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund | Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam | Financial Markets | Coronavirus, Risk sharing, Financial stability, Policy measures in the EU, Equity fund | Apr 2020 |
| Mar 2020 | Corona and Financial Stability 3.0: Try equity -risk sharing for companies, large and small | Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam | Financial Markets | Coronavirus, Financial stability, Risk sharing, Policy measures in the EU | Mar 2020 |
| Mar 2020 | Corona and Financial Stability 2.0: Act jointly now, but also think about tomorrow | Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam | Financial Markets | coronavirus, financial stability, systemic risk, strategies | Mar 2020 |
| Mar 2020 | Zur Reform der Einlagensicherung: Elemente einer anreizkompatiblen Europäischen Rückversicherung | Klaus Adam, Thiess Büttner, Joachim Hennrichs, Jan Pieter Krahnen, Jörg Rocholl | Financial Markets | Einlagensicherung, EDIS, Bankenunion | Mar 2020 |
| Mar 2020 | The Coronavirus and Financial Stability | Arnoud Boot, Elena Carletti, Rainer Haselmann, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Stephen Schaefer, Marti Subrahmanyam | Financial Markets | coronavirus, financial stability, banking, strategies | Mar 2020 |
| Dec 2019 | What are the main factors for the subdued profitability of significant banks in the Banking Union, and is the ECB’s supervisory response conclusive and exhaustive? | Tatiana Farina, Jan Pieter Krahnen, Loriana Pelizzon, Mark Wahrenburg | Financial Markets | Bank Profitability, Supervisory Guidance, Banking Union, Financial regulation | Dec 2019 |
| Sep 2019 | What is Libra? Understanding Facebook´s Currency | Maik Schmeling | Financial Markets | Libra, cryptocurrency, currency board | Sep 2019 |
| Jan 2019 | Target Balances and Financial Crises | Jan Pieter Krahnen | Financial Markets | Target 2, payment system, central banks, Eurosystem | Jan 2019 |
| Aug 2018 | Über Scheinriesen: Was TARGET-Salden tatsächlich bedeuten Eine finanzökonomische Überprüfung | Jan Pieter Krahnen | Financial Markets | TARGET-Salden, TARGET2, europäischer Zahlungsverkehr, Zentralbankensystem, Eurosystem | Aug 2018 |
| May 2018 | Why the Initial Regulation of Financial Innovations is Decisive − Regulatory Arbitrage and Off-Balance-Sheet Leasing in Germany | Jan Friedrich, Matthias Thiemann | Financial Markets | financial innovations, regulation, regulatory arbitrage, leasing | May 2018 |
| Mar 2018 | Governing Cryptocurrencies through Forward Guidance? | Matthias Goldmann, Grygoriy Pustovit | Financial Markets | cryptocurrencies, blockchain, distributed ledger technology, regulation, forward guidance | Mar 2018 |
| Feb 2018 | Financial Stability in the EU: A Case for Micro Data Transparency | Johannes Kasinger, Loriana Pelizzon | Financial Markets, Systemic Risk Lab | micro data transparency, financial stability, financial market data | Feb 2018 |
| Dec 2017 | Systemic Risk in Insurance: Towards a new Approach | Elia Berdin, Matteo Sottocornola | Financial Markets | systemic risk, macroprudential franework, insurance, financial stability | Dec 2017 |
| Mar 2017 | Financial Resilience Revisited: Why Consistency in Regulation is now Paramount – Across Sectors and Regions, and Over Time | Franklin Allen, Jan Pieter Krahnen, Holger Lüthen, Hélène Rey | Financial Intermediation, Financial Markets | financial resilience, financial markets regulation, banking regulation | Mar 2017 |
| Dec 2017 | Skin-in-the-Game in ABS Transactions: A Critical Review of Policy Options | Jan Pieter Krahnen, Christian Wilde | Financial Markets | Structured finance, ABS, STS (simple, transparent, and standardized securitizations), regulation, retention, Dodd-Frank Act | Dec 2017 |
| Jan 2017 | SME Funding Without Banks? On the Interplay of Banks and Markets | Günter Franke, Jan Pieter Krahnen | Financial Intermediation, Financial Markets | SME, funding, capital markets, lending instruments, banks | Jan 2017 |
| Sep 2016 | "Predatory" Margins and the Regulation and Supervision of Central Counterparty Clearing Houses (CCPs) | Jan Pieter Krahnen, Loriana Pelizzon | Financial Markets, Systemic Risk Lab | central counterparties, CCP, derivatives, financial market regulation, financial market supervision | Sep 2016 |
| Feb 2016 | The German Equity Trading Landscape | Peter Gomber | Financial Markets | MiFID II, MiFIR, equity trading, electronic trading, cash equity markets | Feb 2016 |
| Nov 2016 | Structural Reforms in Banking: The Role of Trading | Jan Pieter Krahnen, Felix Noth, Ulrich Schüwer | Financial Intermediation, Financial Markets | proprietary trading, banking separation proposals, bank risk | Nov 2016 |
| Nov 2015 | Impairments of Greek Government Bonds under IAS 39 and IFRS 9: A Case Study | Günther Gebhardt | Financial Markets | government bonds, IFRS 9, credit losses | Nov 2015 |
| May 2015 | Comments on the EU Commission’s Capital Markets Union Project | Volker Brühl, Helmut Gründl, Andreas Hackethal, Hans-Helmut Kotz, Jan Pieter Krahnen, Tobias Tröger | Financial Markets | Capital Markets Union, functional finance approach, level playing field, financial services | May 2015 |
| May 2014 | MiFID: Eine systematische Analyse der Zielerreichung | Peter Gomber, Benedikt Thomas Jaeger | Financial Markets | MiFID, Wettbewerb, Integration, Transparenz, Integrität | May 2014 |
| Sep 2014 | Neuordnung der Finanzmärkte in Europa durch MiFID II/MiFIR | Peter Gomber, Frank Nassauer | Financial Markets | MiFID II, MiFIR, Derivatehandel, Hochfrequenzhandel | Sep 2014 |
| Oct 2014 | What Does U.S. Money Market Mutual Fund Reform Portend for the European Union? | Craig Lewis, Christian Schlag | Financial Markets | money market funds, liquidity runs, floating net asset value (FNAV) | Oct 2014 |
| Feb 2015 | The Regulation of Repo Markets: Incorporating Public Interest through a Stronger Role of Civil Society | Matthias Thiemann | Financial Markets | Repo Markets, Shadow Banking, Non-governmental Organizations | Feb 2015 |
| May 2013 | Mindfully Resisting the Bandwagon – IT Implementation and Its Consequences in the Financial Crisis | Roman Beck, Wolfgang König, Immanuel Pahlke, Martin Wolf | Financial Markets | IT innovations, financial services | May 2013 |
| Sep 2011 | High-Frequency-Trading: Zwischen Nutzeffekten und Risiken | Peter Gomber | Financial Markets | Wertpapiermärkte, High Frequency Trading, Regulierung | Sep 2011 |
| Apr 2011 | High Frequency Trading | Björn Arndt, Peter Gomber, Marco Lutat, Tim Uhle | Financial Markets | algorithmic trading, high-frequency trading, regulation | Apr 2011 |
| Dec 2010 | Competition Among Electronic Markets and Market Quality | Peter Gomber, Markus Gsell, Marco Lutat | Financial Markets | MiFID, market fragmentation,liquidity | Dec 2010 |
| Nov 2010 | MiFID - Spirit and Reality of a European Financial Markets Directive | Peter Gomber, Axel Pierron | Financial Markets | MiFID, regulation, securities trading | Nov 2010 |
| Nov 2011 | Rational Learning About Rare-Disaster Frequencies: A Persistent Source of Asset-Price Overreaction | Volker Wieland | Financial Markets | asset prices, comsumer beliefs, Bayesian learning | Nov 2011 |
Ongoing Research Projects
| Publication Count | ||||||
|---|---|---|---|---|---|---|
| Financial Markets | Mainstreaming Transparent Assessment of Energy Efficiency in Environmental Social Governance Ratings (TranspArEEnS) | 2021 | 138106 | 1 | ||
| Financial Markets | Safe Asset Shortage and Collateral Re-Use | Emanuel Moench, Michael Schneider | 2021 | safe assets, government bonds, collateral re-use, rehypothecation, repo market, securities lending | 1 | |
| Financial Markets, Experiment Center | (Tho)roughly Explained: The Impact of Algorithmic Transparency on Beliefs and Human Decision Making | Kevin Bauer | 2020 | 232301 | 1 | |
| Financial Markets | Information or Impulse: The Impact of Trump’s Tweets on Financial Markets | Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon | 2020 | 1 | ||
| Financial Markets | Securities Lending and Quantitative Easing | Virginia Gianinazzi, Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio | 2020 | Quantitative Easing, Security Lending Facility, Repo Market | 133103 | 1 |
| Financial Markets | Risk Pricing & Trading | Matteo Bagnara, Nicole Branger, Mariano Massimiliano Croce, Robert F. Dittmar, Holger Kraft, Satchit Sagade, Christian Schlag, Ivan Shaliastovich, Julian Thimme, Rüdiger Weber | 2020 | Market microstructure, asset pricing, macrofinance, sustainable finance, Green bonds, ETF, systemic risk, intermediary asset pricing | 133101 | 1 |
| Financial Markets | ESG Factors and Climate Change for Credit Analysis and Rating | Monica Billio, Nuno Cassola, Vittoria Cerasi, Michele Costola, Enrica De Cian, Iva Hristova, Carmelo Latino, Matteo Manera, Irene Monasterolo, Claudio Morana, Loriana Pelizzon | 2019 | 1 | ||
| Financial Markets | Algorithmic Discrimination | Benjamin M. Abdel-Karim, Oliver Hinz, Nicolas Winfried Pfeuffer | 2019 | Algorithmic ,discrimination, data mining | 21430 | 1 |
| Financial Markets, Systemic Risk Lab | EMIR and MIFID II Regulatory Reform | Mila Getmansky Sherman, Xu Liu, Loriana Pelizzon, Martin Scheicher, Zorka Simon, Haoxiang Zhu | 2019 | OTC market, Interest rate swaps, CCP, sovereign bond market | 22525 | 1 |
| Financial Markets | Internalization in a Post-MiFID 2 World | Satchit Sagade, Erik Theissen, Christian Westheide | 2019 | Internalization; Liquidity; Price Efficiency; Cream-Skimming; MiFID 2; Best Execution; High-Frequency Trading | 21428 | 1 |
| Financial Markets, Experiment Center | Experimental Asset Markets - Price Formation in the Presence of Ambiguity | Wenhui Li, Peter Ockenfels, Christian Wilde | 2019 | Experimental asset markets, information transmission, price formation, ambiguity | 133102 | 1 |
| Financial Markets | A New Look at Market Volatility and Market Risk Premia | Constantin Hanenberg, Christian Schlag, Ivan Shaliastovich, Amir Yaron | 2019 | Idiosyncratic market risk, expected returns, option prices, present-value model | 21427 | 1 |
| Financial Markets | Fee-Based Competition between Trading Venues | Benjamin Clapham, Peter Gomber, Olga Klein, Jens Lausen, Sven Panz, Satchit Sagade, Christian Westheide, Christian Wilde | 2018 | 21620 | 1 | |
| Financial Markets | Pricing Sin Stocks: Ethical Preference vs. Risk Aversion | Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | 2018 | Asset Pricing, General Equilibrium, Sin Stocks, ethical preferences | 21429 | 1 |
| Financial Markets | The FOMC Risk Shift | Nan Hu, Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf | 2018 | 21426 | 1 | |
| Financial Markets | Information in Option Prices | Milad Goodarzi, Christian Schlag, Rüdiger Weber | 2018 | Option prices, information, equilbirium model, preferences | 21425 | 1 |
| Financial Markets | MiFID II: A First Empirical Evaluation of its Effects on Equity Markets | Peter Gomber, Thomas Johann, Jan Pieter Krahnen, Francesco Poli, Satchit Sagade, Erik Theissen, Christian Westheide | 2018 | 21620 | 1 | |
| Financial Markets | Optimism, Pessimism, Disagreement and Stock Returns | Giuliano Curatola, Ilya Dergunov, Christian Schlag | 2018 | eneral equilibrium; preference interdependence; international capital markets; portfolios. | 21423 | 1 |
| Financial Markets, Systemic Risk Lab | Econometric Methods for High-Frequency Financial Data Analysis | Aleksey Kolokolov, Davide Pirino, Roberto Renò | 2018 | High-frequency data, continuous-time asset price modelling, semimartingale hypothesis, jump activity, flat trading | 21424 | 1 |
| Financial Markets, Systemic Risk Lab, Data Center | Digging into High Frequency Data: Present and Future Risks and Opportunities | Mario Bellia, Patrice Fontaine, Mila Getmansky Sherman, Terrence John Hendershott, Aleksey Kolokolov, Andrea Modena, Loriana Pelizzon, Francesco Poli, Satchit Sagade, Peter Sarlin, Michael Schneider, Jean-Pierre Zigrand | 2017 | 22590 | 1 | |
| Household Finance, Financial Markets | Preference Heterogeneity, Non-Price-Taking Behavior and Asset Prices | Giuliano Curatola, Ilya Dergunov, Alessandro Gioffré, Roberto Panzica | 2017 | Networks, social interactions, asset prices | 21650 | 1 |
| Financial Markets | Competition-Enhancing Changes in Secondary Corporate Bonds | Satchit Sagade, Christian Westheide | 2017 | competition, corporate bond, liquidity | 21640 | 1 |
| Financial Markets | The Informational Role of Inflation for Real Asset Prices | Ilya Dergunov, Christoph Meinerding, Christian Schlag | 2017 | Inflation, recursive preferences, filtering, equilibrium asset pricing | 21422 | 1 |
| Financial Markets | The Dynamics of (De-)Listing Decisions – The Impact of Regulatory Changes and Economic Policy Events in Germany 1870-1933 | Andrej Gill, Marius Liebald, Uwe Walz | 2017 | Corporate Governance, Going Public, Going Private, Historical Data, Regulation | 21225 | 1 |
| Financial Markets | Evaluation of Bidding Groups in First-Price Auctions | Klaus Gugler, Michael Weichselbaumer, Christine Zulehner | 2016 | 21004 | 1 | |
| Financial Markets | M&A(dvertising) | Rainer Haselmann, Alexander Hillert, Anja Kunzmann, Stefan Ruenzi | 2016 | mergers and acquisitions, advertising, investor attention, overvaluation, managerial opportunistic behavior | 21124 | 1 |
| Financial Markets | Globalization and International Financial Markets | Craig Lewis, Jun E. Li, Christoph Meinerding, Nikolai Roussanov, Christian Schlag, Ivan Shaliastovich | 2016 | international trade networks; asset pricing; | 21420 | 1 |
| Financial Markets | Climate Change, Business Cycle and Asset Prices | Michael Donadelli, Patrick Grüning, Renatas Kizys, Max Riedel, Christian Schlag | 2016 | 21920 | 1 | |
| Financial Markets | Exchange Systems and International Comovement of Return and Liquidity | Ryan Riordan, Satchit Sagade, Christian Westheide | 2016 | Stock exchange systems, non-fundamental comovement, market integration, excess comovement, commonality, algorithmic trading | 21922 | 1 |
| Financial Markets, Macro Finance | The Impact of QE Interventions on Sovereign Bond Market Microstructure | Zhiwu Hong, LinLin Niu, Loriana Pelizzon, Marti Subrahmanyam, Reiko Tobe, Davide Tomio, Jun Uno | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance | Macroeconomic Asset Price Risks in the Presence of the Zero Lower Bound | Nicole Branger, Jun E. Li, Loriana Pelizzon, Christian Schlag, Ivan Shaliastovich, Dongho Song | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance | QE, Foreigner Behavior and Market Fragility in the Indian NSE Electronic Equity Order Book Markets | Viral Acharya, Loriana Pelizzon | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance | Signalling and Portfolio Balance Effects of QE Announcements on China’s Yield Curve | Mucai Lin, LinLin Niu | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance | Quantitative Easing and Channels of Systemic Risk | Allan Davids, Co-Pierre Georg, Tina Koziol, Jesper Riedler | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance | The Regulatory Debate Regarding Quantitative Easing and Systemic Risk | Vanessa Endrejat, Jan Pieter Krahnen, Matthias Max Nagel, Christian Resch, Matthias Thiemann | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance | Private Short Term Funding and ECB Unconventional Monetary Policies | Viral Acharya, Diane Pierret, Sascha Steffen | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance | Unconventional Monetary Policy, International Spillovers, and Systemic Risk | Co-Pierre Georg, Tina Koziol, Jesper Riedler | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance | The topology of the South Africa interbank network | Co-Pierre Georg, Jan Pieter Krahnen | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance | The Impact of Unconventional Monetary Policies on European Financial Markets | Massimiliano Caporin, Xu Liu, Loriana Pelizzon, Alberto Plazzi, Max Riedel | 2016 | 21480 | 1 | |
| Financial Markets, Macro Finance, Systemic Risk Lab | Quantitative Easing and Financial (In)Stability | Marcel Bluhm, Co-Pierre Georg, Jan Pieter Krahnen, Jun E. Li, Xu Liu, Loriana Pelizzon, Mihaela-Simina Puscasu, Christian Schlag, Sascha Steffen, Marti Subrahmanyam, Matthias Thiemann, Jun Uno | 2016 | 21480 | 1 | |
| Financial Intermediation, Financial Markets | The Impact of Introducing Intraday Auctions on LSE | Peter Gomber, Satchit Sagade, Stefan Scharnowski, Erik Theissen, Christian Westheide | 2016 | 21620 | 1 | |
| Financial Markets, Macro Finance | Macroeconomic Bond Risks in the Presence of the Zero Lower Bound | Nicole Branger, Liu Liu, Christian Schlag, Ivan Shaliastovich, Dongho Song | 2016 | Macrofinance, bond pricing, market expectations, inflation, growth | 21630 | 1 |
| Financial Markets, Systemic Risk Lab | Network Representations of Interconnections and Contagion | Nils Bertschinger, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger | 2016 | 21610 | 1 | |
| Household Finance, Financial Markets | Bequeathing Illiquid Assets across Generations in an Aging Society | Holger Kraft, Farina Weiss | 2016 | demographic change, overlapping generations, household finance, asset pricing, welfare, life cycle | 21660 | 1 |
| Financial Markets, Systemic Risk Lab | Network Connectivity, Systemic and Systematic Risk | Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon | 2016 | 21610 | 1 | |
| Financial Markets | The Role of Tick Size in Market Quality and in SME Financing | Alejandro Bernales, Richard Payne, Satchit Sagade, Christian Westheide, Christian Wilde | 2016 | 21620 | 1 | |
| Financial Markets | Innovations in Secondary Markets and their Impact on Market Quality | Alejandro Bernales, Jasmin Gider, Peter Gomber, Martin Haferkorn, Satchit Sagade, Stefan Scharnowski, Simon N. M. Schmickler, Erik Theissen, Christian Westheide | 2016 | high frequency trading, competition, intermediation, order anticipation | 21640 | 1 |
| Household Finance, Financial Markets | Time-Varying Preferences and International Capital Markets | Giuliano Curatola, Ilya Dergunov | 2016 | Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice | 21650 | 1 |
| Financial Markets | Behavior of Designated Market Makers (DMMs) in Electronic Limit Order Markets and their Role in Enhancing Liquidity of SME Stocks | Monika Gehde-Trapp, Satchit Sagade, Erik Theissen, Christian Westheide | 2016 | 21620 | 1 | |
| Financial Markets, Systemic Risk Lab | An Examination of the Strategic Behavior of High-Frequency Traders (HFTs) | Loriana Pelizzon, Ryan Riordan, Satchit Sagade, Marti Subrahmanyam, Jun Uno, Jan Viebig, Christian Westheide | 2016 | 21620 | 1 | |
| Financial Markets, Systemic Risk Lab | The Impact of Unconventional Monetary Policies on European Financial Markets (T4) | Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon | 2016 | 21630 | 1 | |
| Financial Markets, Systemic Risk Lab | The Impact of QE Interventions on Market Liquidity and Limits to Arbitrage | Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam, Davide Tomio, Jun Uno, Clara Vega | 2016 | 21630 | 1 | |
| Financial Markets, Experiment Center | Experimental Asset Markets – Regulation and Design of Fragmented Markets | Peter Ockenfels, Christian Wilde | 2016 | 21620 | 1 | |
| Financial Intermediation, Law and Finance, Financial Markets, Macro Finance, Experiment Center | Capital Requirements and Financial Stability: Experimental Evidence | Paul Gortner, Baptiste Massenot | 2016 | 21650 | 1 | |
| Financial Markets | The Effect of EU Short Selling Regulations on Liquidity and Price Efficiency | Satchit Sagade, Stefan Scharnowski, Erik Theissen, Christian Westheide | 2016 | 21620 | 1 | |
| Financial Markets, Systemic Risk Lab | Network Connectivity and General Equilibrium Asset Prices | Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag | 2016 | Asset pricing, general equilibrium, recursive preferences, dynamic networks, mutually exciting processes, directed shocks | 21610 | 1 |
| Financial Markets | Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets | Adrian Buss, Raman Uppal, Grigory Vilkov | 2016 | 21650 | 1 | |
| Financial Markets | Management of Market Risks: Regulation and Coordination of Volatility Interruptions in Europe | Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch, Sven Panz | 2015 | Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design, Coordination, Market Fragmentation, Volume Migration | 21490 | 1 |
| Financial Markets | Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street? | Michael Donadelli, Renatas Kizys, Max Riedel | 2015 | 1 | ||
| Financial Markets | Which Market Integration Measure? | Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel | 2015 | 1 | ||
| Financial Markets | Investment-Specific Shocks, Business Cycles and Asset Prices | Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding | 2015 | 1 | ||
| Financial Markets, Systemic Risk Lab | Strategic Behavior of High Frequency Traders During the Market Pre-Opening Period | Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | 2014 | High Frequency Traders, Order Submission, Order Cancellation, Pre-Opening, Price Discovery, Liquidity Provision | 12150 | 1 |
| Financial Markets | International Models of Growth | Michael Donadelli, Alessandro Gioffré, Christian Schlag | 2014 | Endogenous Growth, Innovation, Product Market Competition, Long-run Risk, International Finance | 11431 | 1 |
| Financial Markets | Emotion-Driven Risk Preferences | Ian Gould, Evelyne Lepron | 2014 | dynamic decision making, anxiety, experimental economics, bubbles, risk aversion | 11339 | 1 |
| Financial Markets | Why Do Different Stocks Fragment Differently? | Peter Gomber, Moritz Christian Weber | 2014 | Fragmentation, Liquidity, Equitiy Trading, MTF | 11429 | 1 |
| Financial Markets, Systemic Risk Lab | Limits to Arbitrage in Sovereign Bonds: Price and Liquidity Discovery in High Frequency Quote Driven Markets | Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | 2014 | Sovereign bonds, Liquidity, futures markets, ECB interventions, futures-bond basis, arbitrage | 12126 | 1 |
| Financial Markets | Network Connectivity, Self-Exciting Jumps and General Equilibrium Asset Prices | 2014 | Asset Pricing, General Equilibrium, Recursive Preferences, Dynamic Networks, Mutually Exciting Processes, Jump Processes, Contagion Risk, Network Connectivity | 11428 | 1 | |
| Financial Markets, Systemic Risk Lab, Transparency Lab | Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs | Grigory Vilkov, Kailin Zeng | 2014 | 11422 | 1 | |
| Financial Markets | Financialization in Commodity Markets | Patrick Grüning | 2014 | financialization, commodities, heterogenous agents | 11427 | 1 |
| Financial Markets, Experiment Center | Excessive Risk Taking, Compensation Schemes and Financial Market Stability | Paul Gortner | 2014 | Compensation Schemes, Bubbles, Risk Seeking, Liquidity, Experimental Asset Markets | 11226 | 1 |
| Financial Markets, Experiment Center | Non-Standard Preferences in Experimental Asset Markets | Matthias Blonski, Paul Gortner | 2014 | laboratory experiments, experimental asset markets, peer effects, social preferences | 11231 | 1 |
| Financial Markets | The Continuous-Time Limit of Recursive Utility | Holger Kraft, | 2014 | stochastic differential utility, recursive utility, convergence, backward stochastic differential equation | 11426 | 1 |
| Financial Markets | Sentiment and the Economy: A General Equilibrium Analysis | Grigory Vilkov | 2014 | 11425 | 1 | |
| Financial Markets, Systemic Risk Lab, Transparency Lab | Determinants of OTC Trading Volume | Peter Gomber, Erik Theissen, Moritz Christian Weber | 2013 | OTC Trading, Dark Pools, MiFID | 11424 | 1 |
| Financial Markets, Systemic Risk Lab, Transparency Lab | Asset Pricing with Recursive Utility and Heterogenous Investors | Christopher Scheins, Christian Schlag | 2013 | recursive utility, heterogenous investors, differences in beliefs | 11421 | 1 |
| Financial Markets, Systemic Risk Lab, Transparency Lab | General Equilibrium with Contagion Effects | 2013 | General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility, Asset Pricing, Jump Processes | 11423 | 1 |
Current Research Team
In this Section: