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:

International Conference on Sovereign Bond Markets

SAFE Asset Pricing Workshop

Publications

Published	Title	Author/s	Program Area	Keywords	Published
2020	Equilibrium Asset Pricing in Directed Networks forthcoming 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 Models forthcoming 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 Data Journal 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 Italy The 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 Staleness Journal of Econometrics	Aleksey Kolokolov, Giulia Livieri, Davide Pirino	Financial Markets	staleness, idle time, liquidity, zero returns, stable convergence	2020
2020	Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution forthcoming in Journal 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	2020
2020	The Collateralizability Premium Review of Financial Studies	Hengije Ai, Jun E. Li, Kai Li, Christian Schlag	Financial Markets		2020
2019	Pricing Sin Stocks: Ethical Preference vs. Risk Aversion European Economic Review	Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré	Financial Markets		2019
2020	Call of Duty: Designated Market Maker Participation in Call Auctions Journal of Financial Markets	Erik Theissen, Christian Westheide	Financial Markets		2020
2019	Horizontal Industry Relationships and Return Predictability Journal of Empirical Finance	Christian Schlag, Kailin Zeng	Financial Markets	Connected industries, information flow, return predictability	2019
2019	Volatility-of-Volatility Risk Journal of Financial and Quantitative Analysis	Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme	Financial Markets		2019
2020	Optimists and Pessimists in (In)Complete Markets Journal of Financial and Quantitative Analysis	Nicole Branger, Patrick Konermann, Christian Schlag	Financial Markets		2020
2019	Peer Effects and Risk Sharing in Experimental Asset Markets European 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 II Regulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press)	Peter Gomber, Ilya Gvozdevskiy	Financial Markets		2017
2017	Systemic Co-Jumps Journal 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 Production The 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 Adversity Financial Management	Michael Brennan, Holger Kraft	Financial Markets	Capital structure, financing policy, managerial incentives	2018
2018	Measuring Sovereign Contagion in Europe Journal of Financial Stability	Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon	Financial Markets, Systemic Risk Lab		2018
2018	Denouncing Odious Debts Journal 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 Surprises British Journal of Management	Massimiliano Caporin, Luca Corazzini, Michele Costola	Financial Markets, Systemic Risk Lab		2019
2017	High-Frequency Trading and its Role in Fragmented Markets Journal 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 Macroeconomics Finance 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 Venues Journal 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 Market Quantitative 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 Models Journal 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 Costs Journal 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 Valuation European 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 Consumption Quarterly 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 Prices Journal 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 Debate Journal 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 Utility Finance 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 Prices Economics 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 Analysis Journal 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-Commerce European Economic Review	Franz Hackl, Michael Kummer, Rudolf Winter-Ebmer	Financial Markets	Retailing, Product life cycle, Market structure, Market performance, Markup, Price dispersion	2014
2015	Matching the BRIC equity premium: A structural approach Emerging Markets Review		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 rates Journal of Economic Dynamics and Control		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 Behavior Journal of Marketing Research	Christine Moorman	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 World Journal of International Financial Markets, Institutions and Money	Guglielmo Maria Caporale, 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 Trading Journal of Trading	Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide	Financial Markets		2015
2014	MiFID: Eine systematische Analyse der Zielerreichung Zeitschrift für Bankrecht und Bankwirtschaft	Benedikt Thomas Jaeger	Financial Markets		2014
2014	Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility Journal 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 Optimization Journal 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 CDS Journal 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 Markets Journal 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 Errors Journal 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 Premium Review 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

More Research PublicationsLess Research Publications

Working Papers

Title	Author/s	No.	Program Area	Year	Keywords	Published
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	Eduardo S. Schwartz	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	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	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		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	Moritz Christian Weber	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	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	Thomas Seiferling	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		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		56	Financial Markets	2014	Austerity Measures, Fiscal Policy, Endogenous Growth, R&D	Jan 2014
Peer Effects and Risk Sharing in Experimental Asset Markets	Paul Gortner	67	Household Finance, Financial Markets, Experiment Center	2014	peer effects, laboratory experiments, risk taking, asset markets	Jan 2014
Equilibrium Asset Pricing in Directed Networks		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		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, 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	0		Jan 2021
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

More Working PapersLess Working Papers

Policy Papers

Year	Title	Author/s	Program Area	Keywords	Year
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		Financial Markets	Libra, cryptocurrency, currency board	Sep 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	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	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?		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		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		Financial Markets	Wertpapiermärkte, High Frequency Trading, Regulierung	Sep 2011
Apr 2011	High Frequency Trading	Björn Arndt, Marco Lutat, Tim Uhle	Financial Markets	algorithmic trading, high-frequency trading, regulation	Apr 2011
Dec 2010	Competition Among Electronic Markets and Market Quality	Markus Gsell, Marco Lutat	Financial Markets	MiFID, market fragmentation,liquidity	Dec 2010
Nov 2010	MiFID - Spirit and Reality of a European Financial Markets Directive	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		Financial Markets	asset prices, comsumer beliefs, Bayesian learning	Nov 2011

More Policy PublicationsLess Policy Publications

Ongoing Research Projects

Category	Project	Researcher	Project Duration	Keywords	Project ID	Publication Count
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	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, Maik Schmeling, 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, Mengjie Shi	2018		21426	1
Financial Markets	The FOMC Risk Shift	Nan Hu, Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf	2018	monetary policy, policy shocks, risk premia, risk appetite, fund flows	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 Intermediation, Financial Markets, Systemic Risk Lab, Experiment Center	T3: Complex Markets: Regulation and Incentives in Secondary Market Design	Alejandro Bernales, Monika Gehde-Trapp, Peter Gomber, Olga Klein, Jan Pieter Krahnen, Peter Ockenfels, Richard Payne, Loriana Pelizzon, Francesco Poli, Ryan Riordan, Satchit Sagade, Marti Subrahmanyam, Erik Theissen, Jun Uno, Christian Westheide, Christian Wilde	2016		21620	1
Financial Markets, Macro Finance	T4: The Impact of Quantitative Easing and the Zero Lower Bound on Asset Prices	Nicole Branger, Massimiliano Caporin, Liu Liu, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon, Christian Schlag, Ivan Shaliastovich, Dongho Song, Marti Subrahmanyam, Jun Uno, Clara Vega	2016		21630	1
Financial Intermediation, Financial Markets	T5: The Dynamics of Finance, Competition and Information Production	Alejandro Bernales, Douglas Cumming, Ulrich Doraszelski, Christian Eufinger, Jasmin Gider, Andrej Gill, Peter Gomber, Satchit Sagade, Stefan Scharnowski, Alexander Stomper, Erik Theissen, Uwe Walz, Christian Westheide, Christine Zulehner	2016		21640	1
Financial Intermediation, Household Finance, Financial Markets	T7: Liquidity and Longevity Risk Management of Households and Life Insurance Companies in an Aging Society	Yangming Bao, Jens Gal, Irina Gemmo, Helmut Gründl, Martin Götz, Brigitte Haar, Vanya Horneff, Holger Kraft, Raimond Maurer	2016	demographic change, household finance, liquidity, risk, insurance, welfare, life cycle	21660	1
Financial Intermediation, Financial Markets, Systemic Risk Lab	T2: Systemic Risk and Network Connectivity	Monica Billio, Massimiliano Caporin, Giuliano Curatola, Aleksey Kolokolov, Christoph Meinerding, Roberto Panzica, Loriana Pelizzon, Christian Schlag, Zorka Simon, Sviataslau Sivagrakau, Matthias Thiemann, Tatiana von Landesberger	2016		21610	1
Financial Intermediation, Law and Finance, Household Finance, Financial Markets, Macro Finance, Experiment Center	T6: Social Finance – Finance and the Consumer	Sascha Baghestanian, Adrian Buss, Giuliano Curatola, Ilya Dergunov, Alessandro Gioffré, Paul Gortner, Holger Kraft, Christoph Kühn, Wenhui Li, Baptiste Massenot, Peter Ockenfels, Yuri Pettinicchi, Raman Uppal, Nathanael Vellekoop, Grigory Vilkov, Christian Wilde, Joël van der Weele	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

More ProjectsLess Projects

Current Research Team

Researcher	Position
Bagnara, Matteo	Junior Researcher
Billio, Monica	External Researcher, SAFE Fellow
Branger, Nicole	External Researcher, SAFE Fellow
Costola, Michele	External Researcher, Research Affiliate
Curatola, Giuliano	External Researcher, Research Affiliate
Gomber, Peter	External Researcher, SAFE Fellow
Hinz, Oliver	Senior Researcher, SAFE Fellow
Kraft, Holger	External Researcher, SAFE Fellow
Krahnen, Jan Pieter	Senior Researcher
Latino, Carmelo	Junior Researcher
Liu, Xu	Junior Researcher
Modena, Andrea	External Researcher, Research Affiliate
Mücke, Christian	Junior Researcher
Ockenfels, Peter	Senior Researcher, SAFE Fellow
Pelizzon, Loriana	Senior Researcher
Schlag, Christian	Senior Researcher
Schmeling, Maik	External Researcher, SAFE Fellow
Schneider, Michael	Junior Researcher
Shaliastovich, Ivan	External Researcher, SAFE Fellow
Simon, Zorka	Junior Researcher
Subrahmanyam, Marti	External Researcher, SAFE Fellow
Theissen, Erik	External Researcher, SAFE Fellow
Uno, Jun	External Researcher, SAFE Fellow
Westheide, Christian	External Researcher, Research Affiliate
Wilde, Christian	External Researcher, Research Affiliate

In this Section:

Equilibrium Asset Pricing in Directed Networks

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data

The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy

Statistical Inferences for Price Staleness

Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution

The Collateralizability Premium

Pricing Sin Stocks: Ethical Preference vs. Risk Aversion

Call of Duty: Designated Market Maker Participation in Call Auctions

Horizontal Industry Relationships and Return Predictability

Volatility-of-Volatility Risk

Optimists and Pessimists in (In)Complete Markets

Peer Effects and Risk Sharing in Experimental Asset Markets

Dark Trading under MiFID II

Systemic Co-Jumps

A Quasi Real-Time Leading Indicator for the EU Industrial Production

Leaning Against the Wind: Debt Financing in the Face of Adversity

Measuring Sovereign Contagion in Europe

Denouncing Odious Debts

Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises

High-Frequency Trading and its Role in Fragmented Markets

Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics

Ensuring Market Integrity and Stability: Circuit Breakers on International Trading Venues

Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market

Level and Slope of Volatility Smiles in Long-Run Risk Models

Temperature Shocks and Welfare Costs

Growth Options and Firm Valuation

Optimal Portfolio Choice with Loss Aversion Over Consumption

International Endogenous Growth, Macro Anomalies, and Asset Prices

Dangerous Infectious Diseases: Bad News for Main Street, Good News for Wall Street?

Which Market Integration Measure?

Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Labor Market Dynamics, Endogenous Growth and Asset Prices

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

Market Structure and Market Performance in E-Commerce

Matching the BRIC equity premium: A structural approach

Loss aversion, habit formation and the term structures of equity and interest rates

Going Public: How Stock Market Participation Changes Firm Innovation Behavior

International Capital Markets Structure, Preferences and Puzzles: A US-China World

The State of Play in European Over-the-Counter Equities Trading

MiFID: Eine systematische Analyse der Zielerreichung

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization

Mutual Excitation in Eurozone Sovereign CDS

Anchoring in Experimental Asset Markets

"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors

The Dynamics of Crises and the Equity Premium

When Do Jumps Matter for Portfolio Optimization?

Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?

Financing Asset Growth

Corona and banking - A financial crisis in slow motion? An evaluation of the policy options

Captured by financial institutions? New academic insights for European policymakers

What are the wider supervisory implications of the Wirecard case?

The Wirecard lessons: A reform proposal for the supervision of securities markets in Europe

Pandemic Insurance through Pandemic Partnership Bonds: A Fully Funded Insurance Solution in a Public Private Partnership

Priorities for the CMU agenda

Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund

Corona and Financial Stability 3.0: Try equity -risk sharing for companies, large and small

Corona and Financial Stability 2.0: Act jointly now, but also think about tomorrow

Zur Reform der Einlagensicherung: Elemente einer anreizkompatiblen Europäischen Rückversicherung

The Coronavirus and Financial Stability

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?

What is Libra? Understanding Facebook´s Currency

What is Libra? Understanding Facebook´s Currency