Finance & Insurance Seminar

  • Current Information

    The Finance & Insurance Seminar takes place during the lecture period on Tuesdays from 16.15 to 17.45 in room JUR 253. Each event's invitation specifies whether it will be in-person, via Zoom, or a hybrid of the two. The seminar is jointly organised by Nicole Branger, Nadja Guenster, Thomas Langer, Andreas Pfingsten and Christoph Schneider.

    If you have any questions, please contact Alvia Runge, alvia.runge@wiwi.uni-muenster.de.

    During the Summer Semester 2024 the F&I Seminar is classroom-based and takes place in the JUR 253. Additionally, there is a Zoom Meeting organised.

    Summer Term 2024

    Date

    Speaker

    Topic

    16.04.2024

    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.

    07.05.2024

    Prof. Dr. Christoph Merkle

     Aarhus University

    tba

     

    14.05.2024

    Prof. Dr. Tim Adam

     Humboldt University of Berlin

    tba

     

    04.06.2024

    Prof. Dr. Mete Kilic

     USC Marshall University

    tba

     

    11.06.2024

    Prof. Dr. Neslihan Ozkan

    University of Bristol

    tba

     

     

    WinterSEMESTER 2023/2024

    Date

    Speaker

    Topic

    05.12.2023

    Prof. Dr. Steffen Meyer

    Aarhus University

    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.
    12.12.2023

    Prof. Dr. Daniel Rettl

     University of 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.
    23.01.2024

    Prof. Dr. Ralf Elsas

     LMU - Ludwig-Maximilians-University Munich

    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.
    30.01.2024

    Prof.Dr. Harald Hau

    University of 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.
    Summer Term 2023

    Date

    Speaker

    Topic

    09.05.2023

    Prof. Dr. Heiko Jacobs

     University 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.

     

    tba

    Dr. Sabine Bernard

     Goethe University Frankfurt

    tba

     

    Winter Term 2022/23

    Date

    Speaker

    Topic

    08.11.2022

    Dr. Doron Reichmann

     Ruhr-University Bochum

    Listen Closely: Using Vocal Clues 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.

     

    15.11.2022

    Prof. Klaus Schaeck

    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.

     

    29.11.2022

    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.

     

    06.12.2022

    Assistant 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. 

    17.01.2023

    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. 

    24.01.2023

    Assistant 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.  

    31.01.2023

    Assistant Prof. Ruediger 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. 

    07.02.2023

    Prof. Dr. Merih Sevilir

    ESMT Berlin

    Postpone to autumn 2023!

     

     

    Summer Term 2022

    Date

    Speaker

    Topic

    03.05.2022

    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.

    WINTERTERM 2020/21

    Date

    Speaker

    Topic

    10 November 2020

    Dr. Bjoen Imbierowicz

    Deutsche Bundesbank, Frankfurt

    How Are Banks Special? – Let Me Count the Ways

    The event will be organized as a digital Zoom-Meeting.

     

    22 December 2020

    David Schreindorfer

    Arizona State University, Tempe, USA

    Persistent Crises and Levered Asset Prices

    The event will be organized as a digital Zoom-Meeting.

     

    Summerterm 2020

    Date

    Speaker

    Topic

    28 April 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

    25 May 2020

    André Uhde

    Paderborn Univeristy

    Tax avoidance through securitization

     

     

         

    Winterterm 2019/20

    Date

    Speaker

    Topic

         

    Summerterm 2019

    Date

    Speaker

    Topic

    02.07.2019

    Sebastian Gehricke

    University of Otago, Dunedin, New Zealand

    Modeling VXX under jump diffusion with stochastic long-term mean

    Attention Please!

    Starting time 12:15 in J 253.

    09.07.2019

    Toni Ahnert

    Bank of Canada, Ottawa, Ontario, Canada

    Bank Competition, Bank Runs and Opacity

    Winterterm 2018/19

    Date

    Speaker

    Topic

    18.12.2018

    Oliver Entrop

    University of Passau

    Optimal Early Exercise Strategies under Transaction and Decision Costs
    15.01.2019

    Sven Klingler

    BI Oslo, Department of Finance

     

    How Safe are Safe Haven?
  • Lectures from Previous Semesters

    Summer Term 2018

    Date

    Speaker

    Topic

    29.05.2018

    Theresa Spickers

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

    Firms’ self-assessed climate risk and asset pricing

    Winter Term 2017/18

    Date

    Speaker

    Topic

    19.12.2017

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

    Does Uniqueness in Banking Matter?

    30.01.2018

    Olav Korn
    Georg-August-Universität Göttingen

    Stock Illiquidity and Option Returns

    Summer Term 2017

    Date

    Speaker

    Topic

    23.05.2017

    Florian S. Peters
    University of Amsterdam (UvA)

    Optimism Propagation

    13.06.2017

    Bryan Foltice
    Butler University

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

    20.06.2017

    Valeri Sokolovski
    Stockholm School of Economics 
    from June 2017
    HEC Montreal

    Crowds, Crashes, and the Carry Trade

    04.07.2017

    Christian Leuz 
    University of Chicago 
    Booth School of Business

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

    11.07.2017

    Markus Dertwinkel-Kalt 
    University of Cologne

    Concentration Bias in Intertemporal Choice

    18.07.2017

    Elisabeth Kempf 
    University of Chicago 
    Booth School of Business

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

    Winter Term 2016/17

    Date

    Speaker

    Topic

    18.10.2016

    Christine Laudenbach 
    Goethe Universität Frankfurt am Main

    Personal reminders and commitment: debt management as a natural experiment

    15.11.2016

    Tobin Hanspal 
    Copenhagen Business School

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

    13.12.2016

    Gesa-Kristina Petersen 
    LMU München

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

    24.01.2017

    Valeriya Dinger 
    University of Osnabrück

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

    31.01.2017

    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

    07.02.2017

    Philipp Krueger 
    University of Geneva

    The Sustainability Footprint of Institutional Investors

    Summer Term 2016

    Date

    Speaker

    Topic

    03.05.2016

    Matthias Sutter 
    Universität zu Köln

    Where to look for the morals in markets?

    24.05.2016

    Karl Schmedders 
    Universität Zürich

    Asset Pricing with Heterogeneous Agents and Long-Run Risk

    07.06.2016

    Philipp Illeditsch 
    Wharton

    Disagreement about Inflation and the Yield Curve

    14.06.2016

    Milica Mormann 
    University of Miami

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

    19.07.2016

    Dirk Simons 
    Universität Mannheim

    Do Mandatory Liquidity Disclosures Foster or Forestall Coordination Failures?

    Winter Term 2015/16

    Date

    Speaker

    Topic

    27.10.2015

    Thorsten Hens 
    Universität Zürich

    Designing Risk Profiler in the Laboratory

    17.11.2015

    Harald Scheule 
    University of Technology Sydney

    Credit risk in mortgage portfolios

    01.12.2015

    Ruediger Fahlenbrach 
    École polytechnique fédérale de Lausanne

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

    Summer Term 2015

    Date

    Speaker

    Topic

    07.04.2015

    Stefanie Kleimeier 
    Universität Maastricht

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

    21.04.2015

    Jürgen Eichberger 
    University of Heidelberg

    Ambiguity and Games

    05.05.2015

    Martin Hibbeln 
    Technische Universität Braunschweig

    Informational Synergies in Consumer Credit

    19.05.2015

    Paul Ehling 
    BI Norwegian Business School

    Disagreement and the Cross Section of Stock Returns

    23.06.2015 

    Stefan Zeisberger 
    Stony Brook University, New York

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

    27.07.2015 

    Michael Weber 
    University of Chicago

    The Term Structure of Equity Returns: Risk or Mispricing?

    Winter Term 2014/15

    Date

    Speaker

    Topic

    21.10.2014

    Sébastien Pouget 
    University of Toulouse

    Testing asset pricing theory on six hundred years of stock returns

    04.11.2014

    Jennifer Coats 
    Colorado State University

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

    16.12.2014

    Carsten Erner 
    UCLA Anderson School of Management

    Consumer Financial Well-Being

    27.01.2015

    Michael Viehs 
    University of Oxford

    Carbon Disclosure and Cost of Debt

    03.02.2015

    Jasmin Gider 
    University of Bonn

    Deterring Illegal Insider Trading

    Summer Term 2014

    Date

    Speaker

    Topic

    08.04.2014

    Erik Kole 
    Erasmus University Rotterdam

    How to Identify and Forecast Bull and Bear Markets?

    22.04.2014

    Tobias Berg 
    University of Bonn

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

    06.05.2014

    Andreas Richter 
    LMU Munich

    Endogenous Information and Adverse Selection under Loss Prevention

    13.05.2014

    Guillermo Baquero 
    European School of Management and Technology, Berlin

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

    20.05.2014

    Jeroen Derwall 
    Maastricht University

    Does Insider Trading Add Credibility to Firm Product Innovation?

    27.05.2014

    Tim Kroencke 
    University of Mannheim

    Asset Pricing without Garbage

    17.06.2014

    Christoph Merkle 
    University of Mannheim

    Financial Loss Aversion Illusion

    01.07.2014

    Giuliano Curatola 
    Goethe University Frankfurt

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

    Winter Term 2013/14

    Date

    Speaker

    Topic

    22.10.2013

    Kolja Loebnitz

    Liquidity-Adjusted Capital Requirements and Their Model-Free Properties

    29.10.2013 

    Christian Koziol 
    University of Tübingen

    The Risk with Low Volatility Stocks

    12.11.2013

    Sarah Qian Wang 
    University of Warwick

    Credit Default Swaps and Corporate Cash Holdings

    19.11.2013

    Arvid O. I. Hoffmann 
    Maastricht University

    Technical Analysis and Individual Investors

    26.11.2013

    Hendrik Hakenes 
    University of Bonn

    Regulatory Capture by Sophistication

    03.12.2013

    Stefan Ruenzi 
    University of Mannheim

    Extreme Dependence and Asset Pricing: Returns and Liquidity

    21.01.2014

    Ulrich Schmidt 
    Kiel Universitity

    Overconfidence and Risk Taking of Ethiopian Farmers

    04.02.2014

    Paulo Rodrigues 
    Maastricht University

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

    Summer Term 2013

    Date

    Speaker

    Topic

    27.05.2013

    Alex Stomper 
    Humboldt-Universität zu Berlin

    The Politics of Related Lending

    03.06.2013

    Stefan Zeisberger 
    University of Zurich

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

    17.06.2013

    Norman Seeger 
    VU University Amsterdam

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

    15.07.2013

    Stefan Ankirchner 
    Bonn University

    Hedging Forward Positions: Basis Risk vs. Liquidity Costs

    Winter Term 2012/13

    Date

    Speaker

    Topic

    30.10.2012

    Antje Mahayni 
    University of Duisburg-Essen

    Optimizing Proportional Portfolio Insurance Strategies - From Theory to Practice

    13.11.2012

    Thomas Post 
    Maastricht University

    What Makes Investors Optimistic, What Makes Them Afraid?

    27.11.2012

    Rainer Haselmann 
    University of Bonn

    Capital Regulation and Banks' Lending Behavior

    03.12.2012

    Ralf Meisenzahl 
    Federal Reserve Board

    The Real Effects of Credit Line Drawdowns

    08.01.2013

    Ralf Elsas 
    LMU Munich

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

    22.01.2013

    Joachim Grammig 
    University of Tübingen

    Creative Destruction and Asset Prices

    Winter Term 2011/12

    Date

    Speaker

    Topic

    11.10.2011

    Matthias Muck 
    University of Bamberg

    Optimal Exercise Strategies for Open-End Turbo Certificates

    22.11.2011

    Antoon Pelsser 
    Maastricht University

    Robustness, Model Ambiguity and Pricing

    13.12.2011

    André Betzer 
    University of Wuppertal

    Strategic Trading and Trade Reporting by Corporate Insiders

    17.01.2012

    Maik Schmeling 
    Leibniz Universität Hannover

    Order Flow, Private Information, and Currency Risk Premia

    31.01.2012

    Monika Trapp 
    University of Cologne

    Fund manager allocation