Wissenschaftlicher Mitarbeiter

Dipl.-Math. Julian Thimme

Lehrstuhl für Derivate und Financial Engineering

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Tel.: +49 251 83-22868 Fax: +49 251 83-22882 E-Mail: julian.thimme@wiwi.uni-muenster.de Raum: 201 A (Juridicum) Sprechstunde: Donnerstag, 11:00 - 12:00 Uhr Zuständigkeiten: Koordination des Masterstudiums

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Zur Person:

• 1985: Geboren in Bielefeld
• 2004: Abitur am Gymnasium Elisabethschule, Marburg
• 2004-2005: Wehrersatzdienst an der Deutschen Blindenstudienanstalt, Marburg
• 2005-2010: Studium der Mathematik an der Westfälischen Wilhelms-Universität Münster, Schwerpunkte: Algebraische Geometrie und Algebraische Zahlentheorie
• Seit November 2010: Wissenschaftlicher Mitarbeiter am Lehrstuhl für Derivate und Financial Engineering

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Forschungsschwerpunkte:

• Asset Pricing
• Decision Making under Ambiguity

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Working Papers

• Branger, N., Konermann, P., Thimme, J. (2013): Returns on Cyclical and Defensive Stocks in Times of Scarce Information about the Business Cycle, Working Paper, March 2013. (available at SSRN)
  
  
• Thimme, J., Völkert, C. (2012): Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment, Working Paper. (available at SSRN) (Abstract)
  
  This paper estimates and tests the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji (2005, 2009) based on stock market data. We introduce a novel methodology to estimate the conditional expectation which characterizes the impact of a decision maker's ambiguity attitude on asset prices. Our point estimates of the ambiguity parameter are between 25 and 40, whereas our risk aversion estimates are considerably lower. The substantial difference indicates that market participants are ambiguity averse. Furthermore, we evaluate if ambiguity aversion helps explaining the cross-section of expected returns. Compared with Epstein and Zin (1989) preferences, we find that incorporating ambiguity into the decision model improves the fit to the data while keeping relative risk aversion at more reasonable levels.
  
  
  
• Thimme, J., Völkert, C. (2011): High Order Smooth Ambiguity Preferences and Asset Prices, Working Paper. (available at SSRN) (Abstract)
  
  This paper extends the recursive smooth ambiguity decision model developed in Klibanoff, Marinacci, and Mukerji (2005, 2009) by relaxing the uniformity imposed on higher order acts. This generalization permits a separation of intertemporal substitution, risk aversion, and ambiguity aversion towards different sources of uncertainty. Our decision model is suited in situations where subjects may treat several kinds of uncertainty in different manners. We apply our preference specification to a consumption-based asset pricing model with long-run risks and assess the impact of ambiguity on asset prices and predictability patterns. We find that modeling attitudes towards uncertainty through high order smooth ambiguity preferences has important implications for asset prices. Our model significantly improves upon the special cases of Epstein and Zin (1989) utility and standard smooth ambiguity preferences.
  
  
  

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