Finance & Insurance Seminar

  • Aktuelle Informationen

    Das Finance & Insurance Seminar findet während der Vorlesungszeit am Dienstag von 16.15 Uhr bis 17.45 Uhr (im Raum JUR 253)statt. Die Einladung zur Veranstaltung enthält das jeweilige Veranstaltungsformat, in Präsenz, via Zoom oder hybrid. Das Seminar ist gemeinsam organisiert von Nicole Branger, Nadja Guenster, Thomas Langer, Andreas Pfingsten und Christoph Schneider.

    Bei Fragen zur Veranstaltung wenden Sie sich bitte an Alvia Runge,

    Im Sommersemester 2024 findet das F&I Seminar als Präsenzveranstaltung statt, in JUR 253. Zusätzlich wird ein Zoom Meeting angeboten.

    SommerSEMESTER 2024





    Prof. Dr. Matthias Efing

    HEC Paris

    Risk Managers in Banks

    Some bank regulators warn that risk managers (RMs) will collude with banks’ front offices (FOs) and rubberstamp investments if their bonuses depend on the performance of FOs. We show theoretically that positive pay correlation between FOs and RMs can instead be optimal. Based on data for German non-executive bank employees, we show empirically that performance pay is indeed positively correlated between RMs and FOs in practice. These pay correlations tend to be higher in banks with competent directors and in banks with stronger performance during the crisis of 2008, in line with our model predictions.

    Prof. Dr. Christoph Merkle

     Aarhus Universität

    Nudging Investors towards Sustainability - A Field Experiment with a Robo - Advisor

    In a field experiment with a German robo-advisor, we manipulate default investment settings including whether the investment follows sustainability principles or not. 1,629 new customers complete the manipulated onboarding and invest real money. 50% invest sustainably when sustainable investing is the default, but only 22% invest sustainably when the conventional investment is the default. In a survey with a subset of these investors (response rate 30%), we find that beliefs strongly depend on the selected investment. Almost all conventional investors expect higher returns and a better risk-return trade-off from the conventional investment in line with financial theory. However, a majority of sustainable investors believes that the sustainable investment will outperform. While sustainability preferences also predict investment behavior, the strong return focus contradicts the view that investors are willing to forgo substantial returns for a sustainable investment.

    Prof. Dr. Tim Adam

     Humboldt-Universität zu Berlin

    Rating-Sensitive Bonds

    We test whether firms issue rating-sensitive bonds (RSB) as a signal of their credit quality. We find that upon announcement the issuer’s stock and bond prices increase significantly, while the issuer’s CDS spread declines. Firms subject to higher information asymmetries and firms just above the non-investment grade threshold are more likely to issue RSB, especially during periods of market distress. RSB issuers are ex-post more likely to experience a credit rating improvement relative to regular bond issuers. These results are consistent with RSBs being a credible signaling device.

    Prof. Dr. Steffen Hitzemann

     Universität von Houston

    Does Sustainable Investing Make Stocks Less Sensitive to Information about Cash Flows?

    Traditional finance theory asserts that stock prices depend on expected future cash flows. We explore how the growing prominence of non-pecuniary preferences in the form of sustainable investing alters this core financial relationship. Using the setting of earnings announcements, we find that sustainable investing diminishes stock price sensitivity to earnings news by 45%-58%. This decline in announcement-day returns is mirrored by a comparable drop in trading volume. This effect persists beyond the immediate announcement period, implying a lasting alteration in price formation rather than a short-lived mispricing. Our findings suggest that sustainable investing reduces the significance of cash flows in shaping stock prices.

    Prof. Dr. Mete Kilic

     USC Marshall-Universität

    Risk and Risk-Free Rates

    Risk-free interest rates and the VIX index comove negatively on average, as predicted by precautionary savings. But this comovement turns positive on FOMC days. This pattern is consistently observed across a diverse array of risk-free interest rates, including nominal, real, swap, short-term, and long-term rates. Our high-frequency analysis reveals that the positive impact of monetary policy shocks on financial market risk drives this result. We provide an explanation for these findings in a model where levered investors akin to financial intermediaries hold and price a risky asset, such as equity. Upon an unexpected positive monetary policy shock, equilibrium interest rates and levered investors' borrowing costs increase persistently. This raises investors' leverage and the volatility of stochastic discount factor, leading to lower risk appetite and amplified financial market risks.

    Dr. William Quinn

    Queen's University Belfast

    Who Wins and Loses in a Bubble? Evidence from the British Bicycle Mania

    How do different types of investors perform during financial bubbles? Using a rich archival source, we explore investor performance during the British bicycle mania of the 1890s. We find that directors and employees of cycle companies reduced their holdings substantially during the crash. Those holding shares after the crash were generally not from groups stereotypically thought of as naïve, but gentlemen living near a stock exchange, who had sufficient time, money, and opportunity to engage in speculation. Our findings suggest that the investors most at risk of losing during a bubble are those prone to familiarity and overconfidence biases.
    WinterSEMESTER 2023/2024





    Prof. Dr. Steffen Meyer

    Aarhus Universität

    Ambiguity and private investors’ behavior after forced fund liquidations

    We investigate individual investors' decisions under time-varying ambiguity (VVIX) using a setting of plausibly exogenous forced mutual fund liquidations at a German brokerage. Investors reinvest 87% out of forced liquidations when the refund occurs on a day of low ambiguity and 0% when it occurs on a day of high ambiguity. Instead of reinvesting, investors keep the refund in their cash holdings. The effect reverses approximately six months after the liquidation. If investors reinvest, they decrease their risk-taking under ambiguity. Our results are not driven by rebalancing decisions, experiencing losses, or attention and are robust to alternative measures of ambiguity.

    Prof. Dr. Daniel Rettl

     Universität Georgia

    Hedge Fund Activists' Skill

    Hedge fund activism generates persistent performance, but heterogeneity in performance suggests that some hedge fund activists are more skilled than others. We use a Markov Chain Monte Carlo Bayesian estimation algorithm to isolate a time-invariant activist-specific skill component from cumulative abnormal returns. We find considerable differences in this skill component of cumulative abnormal announcement returns of up to 13 - 20 percentage points between the top and bottom skill quintile of hedge fund activists. Out-of-sample tests confirm that our skill estimates are informative about future performance. Differences in skill are also evident in hedge fund activists' campaign characteristics. The most skilled activists are associated with higher target firm takeover premiums, improved long-term target performance, and more versatile use of campaign tactics.

    Prof. Dr. Ralf Elsas

     LMU - Ludwig-Maximilians-Universität München

    Payment for Order Flow and Market Quality: A Field Experiment

    The success of so-called neo-brokers has re-sparked the regulatory debate about potentially detrimental effects of payment for order flow, culminating in a recent proposal by the Commission of the European Union to ban such arrangements. This study presents results of a field experiment conducted in cooperation with a large German neo-broker. On treatment days, large amounts of retail orders from randomly selected stocks were routed to the main market, Xetra, instead of being executed at a trading venue with payment for order flow. We observe various standard measures of liquidity and informational efficiency before, during and after the treatment, both for the treatment and a control group of similar stocks. Our difference-in-differences analyses allow for clean identification of the causal effect of payment for order flow on stock market quality. We do not observe a significant change in any of the market quality measures we consider. The analysis thus does not lend support to the claim that payment for order flow negatively affects market quality in the main market.

    Prof.Dr. Harald Hau

    Universität Geneva

    Discretionary Administrative Power and Conflicts of Interest in China’s IPO Approvals

    China’s IPO approval process co-opts audit firm representatives into the regulatory decision body, which creates conflict of interest and potential channels for corruption. We show evidence that these auditors (i) do not differ in their auditing practise of already listed firm from similar professionals, but (ii) attract more IPO clients that do not comply with the listing requirements, and thus achieve higher revenue growth, (iii) increase their own client’s chance of IPO approval, which (iv) afterwards often underperform. The two-year stock underperformance in term of the abnormal buy and hold return reaches −18 percent for the marginally approved IPOs with conflicted auditors, which is indicative of a misrepresentation of firm prospects at the IPO stage.
    SommerSEMESTER 2023





    Prof. Dr. Heiko Jacobs

    Universität Duisburg-Essen

    News, noise, hype? Media sentiment and price run-ups

    We empirically test competing hypotheses about the role of financial media sentiment in price run-ups. Our global analysis of unusual price increases in long-only as well as long/short stock market segments provides no evidence of media slant. This assessment is further supported, among others, by the analysis of thematically focused articles, by the study of price discovery during media strikes as well as by the analysis of media sentiment in the context of twin stocks. Overall, our findings are consistent with the informative nature of the financial media.

    Dr. Sabine Bernard

     Goethe University Frankfurt


    WinterSEMESTER 2022/23





    Dr. Doron Reichmann

     Ruhr-University Bochum

    Listen Closely:
    Using Vocal Cues to Predict Future Earnings

    In this study, we aim to advance the prediction of firm earnings – an important task for many business applications. While existing earnings prediction models only rely on numerical financial data, we hypothesize and find that vocal cues from manager speech yield substantial predictive power. Our vocal cue models significantly outperform models based on detailed financial data and textual inputs. We further analyze the models' economic value to investment practitioners. We find that investors can use the models' earnings forecasts to implement trading strategies that beat the market by 8.8% on average per year. Moreover, financial analysts can use vocal cues to improve their earnings forecast accuracy by more than 40%. Collectively, our results imply that managers' vocal cues are important information signals for future earnings that investment practitioners currently overhear.


    Prof. Klaus Schäck

    University of Bristol

    The Lending Channel of Bank Climate Stress Tests

    We ask how bank climate stress test affects firm outcomes. Using the French Bank Climate Risk Stress Test in 2020 as a natural experiment, we find initial results that stress tested banks reduce credit supply and charge higher interest rates for high emitters in the syndicated loan markets. We propose to examine how high emitters that linked to stress tested banks change their investment. Our results shed light on the debate about the role of banks in promoting a carbon-neutral economy.

    Prof. Dr. Oliver Spalt

    Universität Mannheim

    The Impact of Institutional Investors on Equity Prices: Evidence From A Reform of U.S. Trust Law

    We study the equity market implications of a reform in the laws that govern trust investments, implemented in a staggered fashion across U.S. states from 1986 to 2007. The introduction of the prudent investor rule systematically alters the relative attractiveness of stocks within the cross-section of U.S. equities for trust funds. As trust funds account for a substantial fraction of institutional equity holdings in our sample period, our empirical setting provides a rare opportunity to study the impact of a regulatory change on institutional investor holdings and relative prices in the U.S. equity market. We show that in response to the law change, trusts rebalance their portfolios away from “prudent” stocks, which were implicitly advantaged under the old regulatory regime. Stocks bought by trusts after the law change substantially outperform stocks sold by those funds. The return effects are long-lasting and do not revert over the next 12 months. The results in our paper suggest that shocks to institutional investor demand can have a profound and sustained influence on stock prices and that regulatory changes can have large indirect, and potentially unintended, consequences for market prices.



    Assistenz Prof. Roberto Steri

    University of Luxembourg

    Credit Market Equivalents and the Valuation of Private Firms


    We propose to value leveraged buyout investments by credit market equivalents (CME). Our method relies on the observation that portfolio companies held by private equity funds have loans traded in secondary markets. We exploit their market valuations by constructing a stochastic discount factor that prices loan returns of private equity portfolios from deal-level data. We identify a credit factor model to price buyout cash flows to derive their CME valuation. We find no evidence for buyout outperformance after controlling for credit market factors. Our method works whenever credit and private equity markets are sufficiently integrated, for which we provide evidence. 


    Associate Prof. Andras Danis

    Central European University CEU Wien

    Shadow Inflation​


    We use cell phone tracking data to document an increase in wait times at U.S.establishments in 2021. The results are consistent with a sudden increase in demand, coupled with severe labor constraints. The results are particularly pronounced in the restaurant industry, and the increase is particularly large at restaurants in non-white neighborhoods. We estimate that the increase in wait time creates an aggregate opportunity cost of up to $5 billion per month for American consumers. If wait time were added as an expense in the CPI consumption basket, inflation would have been up to 2 percentage points higher in the food away from home category. Finally, we show that an increase in wait time can predict future inflation. Our results suggest that wait times in the U.S. have started to increase already in 2020 in some industries,well before the supply chain disruptions of 2021. 


    Assistenz Prof.
    Ole Wilms

    Universität Hamburg

    Asset Pricing with Disagreement about Climate Risks


    This paper presents an asset-pricing model with heterogeneous beliefs regarding the impacts of climate change. Investors disagree on the likelihood of climate-induced disaster risks that could destroy a large fraction of consumption. The model jointly explains several findings that have been established in the empirical literature on climate finance. That is, (i) news about climate change can be hedged in financial markets, (ii) the share of green investors has significantly increased over the past decade, (iii) investors require a positive, although small, climate-risk premium for holding “brown" assets, and (iv) “green" stocks have outperformed brown stocks during the past decade. Furthermore, the model may explain why investments to mitigate climate change have been small in the past. Finally, the model predicts that the marginal gain from carbon reducing investments as well as the carbon premium should increase significantly if the rise in global temperature continues.  


    Assistenz Prof. Rüdiger Weber

    WU Wien

    Is there an Equity Duration Premium?​


    Equity duration is a measure of discount-rate sensitivity that is driven by both, stock-specific cash-flow timing and stock-specific discount-rate levels. Established measures of equity duration using market-price information derive their predictive power for returns from using market-implied discount rates. We introduce new measures of pure cash-flow timing which disentangle discount-rate level from cash-flow timing information. Our results indicate an unconditionally flat relationship between timing and average returns. However, it turns out that in recessions (expansion episodes), there is a negative (positive) relation between cash-flow timing and average stock returns. 


    Prof. Dr. Merih Sevilir

    ESMT Berlin

    Auf den Herbst 2023 verschieben!



    SommersEMESTER 2022





    Prof. Dr. Stefanie Kleimeier

     Open University & Maastricht University

    Contracts, Collateral and Culture: Gender Effects in Retail Loans​


    We analyze gender differences in interest rates using unusually rich data on retail loans from a bank in Vietnam—a country where women traditionally make financial decisions. After ruling out gender differences in information, credit risk, and default rates, women pay marginally lower interest rates. The gender gaps differ between loans with and without an exogenous collateralization requirement suggesting that the micro context of loan negotiations matters. In support of the pivotal role of the contracting environment,we exploit historical differences between South and North Vietnam and show that women pay comparably lower rates in the more matriarchal cultural context.






    Bjoern Imbierowicz

    Deutsche Bundesbank

    How Are Banks Special? – Let Me Count the Ways

    Die Veranstaltung wird digital als Zoom-Meeting stattfinden.


    David Schreindorfer

    Arizona State University, Tempe, USA

    Persistent Crises and Levered Asset Prices

    Die Veranstaltung wird digital als Zoom-Meeting stattfinden.

    Sommersemester 2020





    Dr. Thomas Post

    Associate Professor of Finance, Open University & Maastricht University

    Household Finance 0.5 or 2.0? Eliciting Individuals’ Financial Decision-Making Approaches




    André Uhde

    Universität Paderborn

    Tax avoidance through securitization



    WIntersemester 2019/20





    SOMMersemester 2019




    Sebastian Gehricke

    University of Otago, Dunedin, New Zealand

    Modeling VXX under jump diffusion with stochastic long-term mean


    Die Veranstaltung findet bereits um 12:15 Uhr im J 253 statt.


    Toni Ahnert

    Bank of Canada, Ottawa, Ontario, Canada

    Bank Competition, Bank Runs and Opacity

    Wintersemester 2018/19





    Oliver Entrop

    Universität Passau

    Optimal Early Exercise Strategies under Transaction and Decision Costs

    Sven Klingler

    BI Oslo, Department of Finance


    How Safe are Safe Haven?

  • Vorträge vergangener Semester






    Theresa Spickers

    Ludwig-Maximilians-Universität München
    Fakultät für Betriebswirtschaft
    Institut für Kapitalmärkte und Finanzwirtschaft

    Firms’ self-assessed climate risk and asset pricing

    Wintersemester 2017/18





    Lars Norden
    Brazilian School of Public and Business Administration (EBAPE),
    Getulio Vargas Foundation (FGV) Rio de Janeiro

    Does Uniqueness in Banking Matter?


    Olav Korn
    Georg-August-Universität Göttingen

    Stock Illiquidity and Option Returns

    Sommersemester 2017





    Florian S. Peters
    University of Amsterdam (UvA)

    Optimism Propagation


    Bryan Foltice
    Butler University

    Exponential Growth Bias Matters: Evidence and Implications for Financial Decision Making of College Students in the U.S.A.


    Valeri Sokolovski
    Stockholm School of Economics 
    from June 2017
    HEC Montreal

    Crowds, Crashes, and the Carry Trade


    Christian Leuz 
    University of Chicago 
    Booth School of Business

    Who Falls Prey to the Wolf of Wall Street? Investor Participation in Market Manipulation


    Markus Dertwinkel-Kalt 
    University of Cologne

    Concentration Bias in Intertemporal Choice


    Elisabeth Kempf 
    University of Chicago 
    Booth School of Business

    Canary in a Coalmine: Securities Lending Predicting the Performance of Securitized Bonds

    Wintersemester 2016/17





    Christine Laudenbach 
    Goethe Universität Frankfurt am Main

    Personal reminders and commitment: debt management as a natural experiment


    Tobin Hanspal 
    Copenhagen Business School

    Once Bitten, Twice Shy: The Role of Inertia and Personal Experiences in Risk Taking


    Gesa-Kristina Petersen 
    LMU München

    What we say is who we are - How fund manager profiles and their strategies predict fund investment and performance


    Valeriya Dinger 
    University of Osnabrück

    Systemic Effects of Bank Equity Issues: Competition, Stabilization and Contagion


    Olesya V. Grishchenko 
    Board of Governors of the Federal Reserve System, Washington, D.C.

    The term structure of interest rates with short-term and long-term risks


    Philipp Krueger 
    University of Geneva

    The Sustainability Footprint of Institutional Investors

    Sommersemester 2016





    Matthias Sutter 
    Universität zu Köln

    Where to look for the morals in markets?


    Karl Schmedders 
    Universität Zürich

    Asset Pricing with Heterogeneous Agents and Long-Run Risk


    Philipp Illeditsch 

    Disagreement about Inflation and the Yield Curve


    Milica Mormann 
    University of Miami

    Visual Finance: The Role of Salience and Attention in Financial Decision Making


    Dirk Simons 
    Universität Mannheim

    Do Mandatory Liquidity Disclosures Foster or Forestall Coordination Failures?

    Wintersemester 2015/16





    Thorsten Hens 
    Universität Zürich

    Designing Risk Profiler in the Laboratory


    Harald Scheule 
    University of Technology Sydney

    Credit risk in mortgage portfolios


    Ruediger Fahlenbrach 
    École polytechnique fédérale de Lausanne

    How Do Investors and Firms React to an unexpected Currency Appreciation Shock?

    Sommersemester 2015





    Stefanie Kleimeier 
    Universität Maastricht

    The Resurgence of Cultural Borders in International Finance during the Financial Crisis: Evidence from Eurozone Cross-Border Depositing


    Jürgen Eichberger 
    University of Heidelberg

    Ambiguity and Games


    Martin Hibbeln 
    Technische Universität Braunschweig

    Informational Synergies in Consumer Credit


    Paul Ehling 
    BI Norwegian Business School

    Disagreement and the Cross Section of Stock Returns


    Stefan Zeisberger 
    Stony Brook University, New York

    All's Well that Ends Well? On the Importance of How Returns are Achieved


    Michael Weber 
    University of Chicago

    The Term Structure of Equity Returns: Risk or Mispricing?

    Wintersemester 2014/15





    Sébastien Pouget 
    University of Toulouse

    Testing asset pricing theory on six hundred years of stock returns


    Jennifer Coats 
    Colorado State University

    The Effect of Ambiguity on Risk Management Choices: An Experimental Study


    Carsten Erner 
    UCLA Anderson School of Management

    Consumer Financial Well-Being


    Michael Viehs 
    University of Oxford

    Carbon Disclosure and Cost of Debt


    Jasmin Gider 
    University of Bonn

    Deterring Illegal Insider Trading

    Sommersemester 2014





    Erik Kole 
    Erasmus University Rotterdam

    How to Identify and Forecast Bull and Bear Markets?


    Tobias Berg 
    University of Bonn

    Playing the Devil’s Advocat: The Causal Effect of Risk Management on Loan Quality


    Andreas Richter 
    LMU Munich

    Endogenous Information and Adverse Selection under Loss Prevention


    Guillermo Baquero 
    European School of Management and Technology, Berlin

    The Convexity and Concavity of the Flow-Performance Relationship for Hedge Funds


    Jeroen Derwall 
    Maastricht University

    Does Insider Trading Add Credibility to Firm Product Innovation?


    Tim Kroencke 
    University of Mannheim

    Asset Pricing without Garbage


    Christoph Merkle 
    University of Mannheim

    Financial Loss Aversion Illusion


    Giuliano Curatola 
    Goethe University Frankfurt

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

    Wintersemester 2013/14





    Kolja Loebnitz

    Liquidity-Adjusted Capital Requirements and Their Model-Free Properties


    Christian Koziol 
    University of Tübingen

    The Risk with Low Volatility Stocks


    Sarah Qian Wang 
    University of Warwick

    Credit Default Swaps and Corporate Cash Holdings


    Arvid O. I. Hoffmann 
    Maastricht University

    Technical Analysis and Individual Investors


    Hendrik Hakenes 
    University of Bonn

    Regulatory Capture by Sophistication


    Stefan Ruenzi 
    University of Mannheim

    Extreme Dependence and Asset Pricing: Returns and Liquidity


    Ulrich Schmidt 
    Kiel Universitity

    Overconfidence and Risk Taking of Ethiopian Farmers


    Paulo Rodrigues 
    Maastricht University

    Values and investments: Evidence from institutional trading responses to news components

    Sommersemester 2013





    Alex Stomper 
    Humboldt-Universität zu Berlin

    The Politics of Related Lending


    Stefan Zeisberger 
    University of Zurich

    Do Investors Overreact to Small but Frequent Losses? An Experimental Analysis


    Norman Seeger 
    VU University Amsterdam

    Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis was Good for


    Stefan Ankirchner 
    Bonn University

    Hedging Forward Positions: Basis Risk vs. Liquidity Costs

    Wintersemester 2012/13





    Antje Mahayni 
    University of Duisburg-Essen

    Optimizing Proportional Portfolio Insurance Strategies - From Theory to Practice


    Thomas Post 
    Maastricht University

    What Makes Investors Optimistic, What Makes Them Afraid?


    Rainer Haselmann 
    University of Bonn

    Capital Regulation and Banks' Lending Behavior


    Ralf Meisenzahl 
    Federal Reserve Board

    The Real Effects of Credit Line Drawdowns


    Ralf Elsas 
    LMU Munich

    From Underleverage to Excess Debt: The Changing Environment of Corporate Debt


    Joachim Grammig 
    University of Tübingen

    Creative Destruction and Asset Prices

    Wintersemester 2011/12





    Matthias Muck 
    University of Bamberg

    Optimal Exercise Strategies for Open-End Turbo Certificates


    Antoon Pelsser 
    Maastricht University

    Robustness, Model Ambiguity and Pricing


    André Betzer 
    University of Wuppertal

    Strategic Trading and Trade Reporting by Corporate Insiders


    Maik Schmeling 
    Leibniz Universität Hannover

    Order Flow, Private Information, and Currency Risk Premia


    Monika Trapp 
    University of Cologne

    Fund manager allocation