Financial Markets
Die Abteilung Financial Markets befasst sich mit der Funktionsweise und dem Wandel der Finanzmärkte, welche heute wesentlich technologisch und regulatorisch bestimmt sind. Es ergeben sich Forschungsfragen zu den Folgen für Preisbildung (Asset Pricing), Wettbewerb, Liquidität auf Sekundärmärkten, Marktstabilität und systemisches Risiko sowie für den Verbraucherschutz. Spezifische Regulierungsmaßnahmen, wie die EU-Richtlinie über Märkte und Finanzinstrumente MiFID II, oder säkulare Trends wie der demografische Wandel oder der Klimawandel beeinflussen die Funktionsweise der Märkte bzw. die Anlageentscheidungen der Investor/innen und gehen deshalb ebenfalls in die Forschung des Bereichs ein.
Die Abteilung ist Mitorganisator der folgenden Konferenzreihen:
Abteilungsleiterin
Publikationen
| 2020 |
Equilibrium Asset Pricing in Directed Networks |
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag forthcoming in Review of Finance | 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 |
Christian Schlag, Michael Semenischev, Julian Thimme forthcoming in Management Science | 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 |
Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon Journal of Alternative Investments | Financial Markets | Hedge Funds, Risk Management, High frequency data | 2009 |
| 2020 |
The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy |
Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam The Review of Corporate Finance Studies | Financial Markets | COVID-19, pandemics, losses, distress, equity, recapitalization. | 2020 |
| 2020 |
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution |
Christian Schlag, Julian Thimme, Rüdiger Weber forthcoming in Journal of Financial Economics | Financial Markets | Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing | 2020 |
| 2020 |
Statistical Inferences for Price Staleness |
Aleksey Kolokolov, Giulia Livieri, Davide Pirino Journal of Econometrics | Financial Markets | staleness, idle time, liquidity, zero returns, stable convergence | 2020 |
| 2020 |
The Collateralizability Premium |
Hengije Ai, Jun E. Li, Kai Li, Christian Schlag forthcoming in Review of Financial Studies | Financial Markets | 2020 | |
| 2019 |
Pricing Sin Stocks: Ethical Preference vs. Risk Aversion |
Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré European Economic Review | Financial Markets | 2019 | |
| 2020 |
Call of Duty: Designated Market Maker Participation in Call Auctions |
Erik Theissen, Christian Westheide Journal of Financial Markets | Financial Markets | 2020 | |
| 2019 |
Horizontal Industry Relationships and Return Predictability |
Christian Schlag, Kailin Zeng Journal of Empirical Finance | Financial Markets | Connected industries, information flow, return predictability | 2019 |
| 2019 |
Volatility-of-Volatility Risk |
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme Journal of Financial and Quantitative Analysis | Financial Markets | 2019 | |
| 2019 |
Optimists and Pessimists in (In)Complete Markets |
Nicole Branger, Patrick Konermann, Christian Schlag forthcoming in Journal of Financial and Quantitative Analysis | Financial Markets | 2019 | |
| 2019 |
Peer Effects and Risk Sharing in Experimental Asset Markets |
Sascha Baghestanian, Paul Gortner, Joël van der Weele European Economic Review | Household Finance, Financial Markets, Experiment Center | peer effects, laboratory experiments, risk taking, asset markets | 2019 |
| 2017 |
Dark Trading under MiFID II |
Peter Gomber, Ilya Gvozdevskiy Regulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press) | Financial Markets | 2017 | |
| 2017 |
Systemic Co-Jumps |
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò Journal of Financial Economics | 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 |
Michael Donadelli, Antonio Paradiso, Max Riedel The Manchester School | 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 |
Michael Brennan, Holger Kraft Financial Management | Financial Markets | Capital structure, financing policy, managerial incentives | 2018 |
| 2018 |
Measuring Sovereign Contagion in Europe |
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Journal of Financial Stability | Financial Markets, Systemic Risk Lab | 2018 | |
| 2018 |
Denouncing Odious Debts |
Stephanie Collet, Kim Oosterlinck Journal of Business Ethics | Data Center, Financial Markets | 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 |
Massimiliano Caporin, Luca Corazzini, Michele Costola British Journal of Management | Financial Markets, Systemic Risk Lab | 2019 | |
| 2017 |
High-Frequency Trading and its Role in Fragmented Markets |
Martin Haferkorn Journal of Information Technology | 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 |
Patrick Grüning Finance Research Letters | 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 |
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz Journal of Trading | Financial Markets | 2017 | |
| 2018 |
Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market |
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Quantitative Finance | Financial Markets, Systemic Risk Lab | Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market | 2018 |
| 2017 |
Temperature Shocks and Welfare Costs |
Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag Journal of Economic Dynamics and Control | Financial Markets | Temperature shocks, long-run growth, asset prices, welfare costs, adaptation | 2017 |
| 2018 |
Growth Options and Firm Valuation |
Holger Kraft, Eduardo S. Schwartz European Financial Management | Financial Markets | Firm valuation, Real options, Volatility, R&D expenses | 2018 |
| 2017 |
Optimal Portfolio Choice with Loss Aversion Over Consumption |
Giuliano Curatola Quarterly Review of Economics and Finance | Financial Markets | Loss-aversion, Habit-formation, Consumption–portfolio choice | 2017 |
| 2017 |
International Endogenous Growth, Macro Anomalies, and Asset Prices |
Patrick Grüning Journal of Economic Dynamics and Control | 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? |
Michael Donadelli, Renatas Kizys, Max Riedel Journal of Financial Markets | Financial Markets | WHO alerts, investor sentiment, pharmaceutical industry, trading strategies | 2017 |
| 2016 |
Which Market Integration Measure? |
Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel Journal of Banking and Finance | 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 |
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Journal of Economic Surveys | Financial Markets | Competition, Fragmentation, Market Structure, Liquidity, Price Discovery | 2017 |
| 2017 |
Optimal Consumption and Investment with Epstein-Zin Recursive Utility |
Holger Kraft, Thomas Seiferling, Frank Thomas Seifried Finance and Stochastics | 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 |
Michael Donadelli, Patrick Grüning Economics Letters | 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 |
Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov Journal of Monetary Economics | 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 |
Franz Hackl, Michael Kummer, Rudolf Winter-Ebmer, Christine Zulehner European Economic Review | Financial Markets | Retailing, Product life cycle, Market structure, Market performance, Markup, Price dispersion | 2014 |
| 2015 |
Matching the BRIC equity premium: A structural approach |
Giuliano Curatola, Michael Donadelli, Patrick Grüning 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 |
Giuliano Curatola 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 |
Christine Moorman, Simone Wies Journal of Marketing Research | 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 |
Guglielmo Maria Caporale, Michael Donadelli, Alessia Varani Journal of International Financial Markets, Institutions and Money | 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 |
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Journal of Trading | Financial Markets | 2015 | |
| 2014 |
MiFID: Eine systematische Analyse der Zielerreichung |
Peter Gomber, Benedikt Thomas Jaeger Zeitschrift für Bankrecht und Bankwirtschaft | Financial Markets | 2014 | |
| 2014 |
Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility |
Holger Kraft, Frank Thomas Seifried Journal of Economic Theory | 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 |
Nicole Branger, Holger Kraft, Christoph Meinerding Journal of Economic Dynamics and Control | Systemic Risk Lab, Financial Markets, Transparency Lab | Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes | 2014 |
| 2014 |
Mutual Excitation in Eurozone Sovereign CDS |
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Journal of Econometrics | Systemic Risk Lab, Financial Markets, Macro Finance | CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response | 2014 |
| 2015 |
Anchoring in Experimental Asset Markets |
Sascha Baghestanian, Todd B. Walker Journal of Economic Behavior & Organization | 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 |
Nicole Branger, Christian Schlag, Lue Wu Journal of Economic Dynamics and Control | Financial Markets | General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence | 2015 |
| 2016 |
The Dynamics of Crises and the Equity Premium |
Nicole Branger, Holger Kraft, Christoph Meinerding Review of Financial Studies | Systemic Risk Lab, Financial Markets | General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models | 2016 |
| 2016 |
When Do Jumps Matter for Portfolio Optimization? |
Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried Quantitative Finance | Financial Markets | Optimal investment, jumps, stochastic volatility, welfare loss | 2016 |
| 2016 |
Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? |
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Journal of Financial Economics | Systemic Risk Lab, Financial Markets | Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market | 2016 |
Working Papers
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. | 202010 |
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 | 202010 |
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 | 202009 |
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 | 202009 |
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. | 202007 |
Inside the ESG Ratings: (Dis)agreement and Performance |
Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon | 284 | Financial Markets | 2020 | 202006 | |
Does Monetary Policy Impact International Market Co-Movements? |
Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi | 276 | Financial Markets, Macro Finance | 2020 | 202005 | |
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 | 202004 | |
Risk Pooling, Leverage, and the Business Cycle |
Pietro Dindo, Andrea Modena, Loriana Pelizzon | 271 | Financial Markets, Macro Finance | 0 | 202305 | |
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? |
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò | 270 | Systemic Risk Lab, Financial Markets | 2020 | 202003 | |
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 | 202001 |
The Collateralizability Premium |
Hengije Ai, Jun E. Li, Kai Li, Christian Schlag | 264 | Financial Markets | 2019 | 201910 | |
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 | 201910 |
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case |
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | 261 | Systemic Risk Lab, Financial Markets | 2019 | Mortgages, Energy Eciency, Credit Risk | 201910 |
Horizontal Industry Relationships and Return Predictability |
Christian Schlag, Kailin Zeng | 256 | Financial Markets | 2019 | Connected industries, information flow, return predictability | 201908 |
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 | 201908 |
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 | 201901 | |
Optimists and Pessimists in (In)Complete Markets |
Nicole Branger, Patrick Konermann, Christian Schlag | 252 | Financial Markets | 2019 | 201906 | |
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 | 201906 |
High-Frequency Trading and Price Informativeness |
Jasmin Gider, Simon N. M. Schmickler, Christian Westheide | 248 | Financial Markets | 2019 | High-Frequency Trading, Price Efficiency, Information Acquisition, Information Production | 201903 |
Designated Market Makers: Competition and Incentives |
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova | 247 | Financial Markets, Systemic Risk Lab | 2019 | esignated Market Makers (DMMs), Liquidity Provision | 201903 |
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 | 201812 |
Statistical Inferences for Price Staleness |
Aleksey Kolokolov, Giulia Livieri, Davide Pirino | 236 | Financial Markets | 2018 | staleness, idle time, liquidity, zero returns, stable convergence | 201811 |
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 | 201810 |
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 | 201807 |
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 | 201809 |
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 | 201808 |
Recovery from Fast Crashes: Role of Mutual Funds |
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | 227 | Systemic Risk Lab, Data Center, Financial Markets | 2018 | Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital | 201807 |
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 | 201808 |
Pricing Sin Stocks: Ethical Preference vs. Risk Aversion |
Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | 216 | Financial Markets | 2018 | Asset Pricing, General Equilibrium, Sin Stocks | 201807 |
Volatility-of-Volatility Risk |
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme | 210 | Financial Markets | 2018 | volatility of volatility, hedging errors, risk premiums | 201805 |
The Impact of Monetary Policy Interventions on the Insurance Industry |
Loriana Pelizzon, Matteo Sottocornola | 204 | Macro Finance, Financial Markets, Systemic Risk Lab | 2018 | Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry | 201804 |
Circuit Breakers – A Survey among International Trading Venues |
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz | 197 | Financial Markets | 2018 | 201802 | |
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 | 201802 |
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 | 201802 |
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 | 201711 |
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 | 201711 |
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 | 201710 |
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 | 201709 |
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 | 201709 |
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 | 201708 |
International Capital Markets with Time-Varying Preferences |
Giuliano Curatola, Ilya Dergunov | 176 | Financial Markets, Household Finance | 2017 | Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice | 201708 |
Liquidity Premia in CDS Markets |
Christel Merlin Kuate Kamga, Christian Wilde | 173 | Financial Markets, Financial Intermediation | 2017 | CDS, liquidity | 201708 |
Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil |
Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed Khalifa | 172 | Financial Markets, Financial Intermediation, Systemic Risk Lab | 2017 | Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies | 201711 |
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 | 201704 |
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 | 201612 |
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 | 201701 |
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 | 201710 |
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 | 201612 |
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 | 201612 |
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. | 201601 |
Systemic Co-Jumps |
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò | 149 | Financial Markets, Systemic Risk Lab | 2016 | Jumps, Return predictability, Systemic events, Variance Risk Premium | 201601 |
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. | 201601 |
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 | 201601 |
Commodities, Financialization, and Heterogeneous Agents |
Nicole Branger, Patrick Grüning, Christian Schlag | 131 | Financial Markets | 2016 | Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets | 201601 |
Optimal Consumption and Portfolio Choice with Loss Aversion |
Giuliano Curatola | 130 | Financial Markets | 2016 | Loss-aversion, Habit-formation, Consumption-portfolio choice | 201601 |
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 | 201601 |
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 | 201601 |
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 | 201501 |
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 | 201501 |
"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 | 201501 |
Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? |
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | 95 | Systemic Risk Lab, Financial Markets | 2015 | Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market | 201501 |
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 | 201501 |
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 | 201401 |
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 | 201401 |
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 | 201401 |
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 | 201401 |
Anchoring in Experimental Asset Markets |
Sascha Baghestanian, Todd B. Walker | 54 | Financial Markets, Experiment Center | 2014 | Experimental Asset Markets, Anchoring, Bubbles | 201401 |
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 | 201401 |
Mutual Excitation in Eurozone Sovereign CDS |
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon | 51 | Systemic Risk Lab, Financial Markets, Macro Finance | 2014 | CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response | 201401 |
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 | 201401 |
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 | 201301 |
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 | 201301 |
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization |
Nicole Branger, Holger Kraft, Christoph Meinerding | 28 | Transparency Lab, Systemic Risk Lab, Financial Markets | 2013 | Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes | 201301 |
Financing Asset Growth |
Michael Brennan, Holger Kraft | 26 | Financial Markets | 2013 | 201301 | |
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 | 201301 |
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 | 201301 |
The Dynamics of Crises and the Equity Premium |
Nicole Branger, Holger Kraft, Christoph Meinerding | 11 | Systemic Risk Lab, Financial Markets | 2013 | General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models | 201301 |
Growth Options and Firm Valuation |
Holger Kraft, Eduardo S. Schwartz | 6 | Financial Markets, Transparency Lab | 2013 | Firm valuation, Real options, Volatility, R&D expenses | 201301 |
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 | 201301 |
Policy Papers
Forschungsprojekte
Aktuelles Forschungsteam
| Forscher | Position |
|---|---|
| Bagnara, Matteo | Research Assistant |
| 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 | Research Assistant |
| Liu, Xu | Research Assistant |
| Modena, Andrea | External Researcher, Research Affiliate |
| Mücke, Christian | Research Assistant |
| Ockenfels, Peter | Senior Researcher, SAFE Fellow |
| Pelizzon, Loriana | Senior Researcher |
| Schlag, Christian | Senior Researcher |
| Schmeling, Maik | External Researcher, SAFE Fellow |
| Schneider, Michael | Research Assistant |
| 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 |
| Zadourian, Rubina | Research Assistant |