Working Paper


  • 2023

    Beckmann, L., Debener, J., Hark, P.F., Pfingsten, A. (2023): CBDC and the Shadow of Bank Disintermediation: US Stock Market Insights on Threats and Remedies (Available at SSRN)

    Birru, J., Mohrschladt, H., Young, T. (2023): Disentangling Anomalies: Risk versus Mispricing. (Available at SSRN)

    Büsing, P., Mohrschladt, H. (2023): Risk Premia – The Analysts' Perspective (Available at SSRN)

    Cannon, B., Mohrschladt, H. (2023): Swimming Against the Current: Contrarian Retail Trading (Available at SSRN)

    Langer, T., Mohrschladt, H., Siedhoff, S., Stitz, L. (2023): Probability Updating When Drawing Signals Without Replacement (Available at SSRN)

    Lohmeier, N., Mohrschladt, H. (2023): A Catering Theory of Earnings Guidance: Empirical Evidence and Stock Market Implications (Available at SSRN)

    Lohmeier, N., Schneider, C. (2023): Bidder Opportunism, Familiarity, and the M&A Payment Choice (Available at SSRN)

    Lohmeier N., Stitz, L. (2023): Identifying M&A Targets from Textual Disclosures: A Transformer Neural Network Approach (Available at SSRN)

    Vollmar, S., Wening, F. (2023): The Impact of CBDC on a Deposit-Dependent Banking System (Journal of Financial Stability, Forthcoming, Available at SSRN)

    Vollmar, S., Wening, F. (2023): Boiling Banks - How Heat Harms Bank Performance (Available at SSRN)

  • 2022

    Beckmeyer, H. and Wiedemann, T. (2022): Recovering Missing Firm Characteristics with Attention-Based Machine Learning (Available at SSRN)

    Büsing, P., Mohrschladt, H., Siedhoff, S. (2022): Decomposing Momentum: The Forgotten Component  (Available at SSRN)

    Cannon, B., Mohrschladt, H. (2022): Extreme Return Days and the Role of Purchase Prices (Available at SSRN)

    Gayda, L., Grünthaler, T., Harren, J. (2022): Option Liquidity and Gamma Imbalances (Available at SSRN)

    Mohrschladt, H., Siedhoff, S. (2022): The Valuation of Loss Firms: A Stock Market Perspective (Available at SSRN)

  • 2021

    Baars, M., Mohrschladt, H., (2021): Preferences for Maximum Daily Returns: Evidence from a Discrete Choice Experiment (Available at SSRN)

    Barbon, A.. Beckmeyer, H., Buraschi, A., Mörke, M. (2021): The Role of Leveraged ETFs and Option Market Imbalances on End-of-Day Price Dynamics (Available at SSRN)

    Beckmeyer, H., Bali, T., Mörke, M., Weigert, F. (2021): Option Return Predictability with Machine Learning and Big Data (Available at SSRN)

    Böhnke, V., Kaposty, F., Löderbusch, M. (2021): Financial Stability Between the Ambivalent Effects of Capital Regulation and Deposit Insurance.

    Böhnke, V., Woyand, C. (2021): Do Internal Credit Risk Models Cut Bank Profitability?

    Claußen, C., Platte, D. (2021): Evaluating the Validity of Regulatory Interest Rate Risk Measures - A Simulation Approach.

    Cordes, H., Mohrschladt, H., Nolte, S., Schneider, J. C. (2021): The Visual Shape Score: On its Predictability in the Lab, the Aggregated Stock Market, and the Cross-Section of Stock Returns (Available at SSRN)

    Fenner, A., Klein, P., Mössinger, C. (2021): Better Be Careful: The Replenishment of ABS backed by SME Loans (Available at SSRN)

    Kriebel, J., Debener, J. (2021): The Effect of Digital Transformation on Bank Performance.

    Platte, D., Wening, F. (2021): Mind the Income Gap - Partial Hedging of Interest Rate Risk within Banks' Business Model (available at SSRN).

  • 2020

  • 2019

    Beckmeyer, H., Branger, N., Grünthaler, T. (2019): Fed Tails: FOMC Announcements and Stock Market Uncertainty. (available at SSRN)

    Branger, N., Flacke, R., Middelhoff, F. (2019): Jumps and the Correlation Risk Premium: Evidence from Equity Options.

  • 2018

    Branger, N., Chen, A., Mahayni, A., Gatzert, N. (2018): Optimal Investments Under Linear Sharing Rules.

    Branger, N., Cordes, H., Langer, T. (2018): Don’t Ignore Inflation Ignorance: On the Relevance of Money Illusion for Economic Modeling. (Available at SSRN)

    Grünthaler, T., Hülsbusch, H. (2018): Tail Risks and Volatility-of-Volatility. (available at SSRN)

    Lorenz, F., Schumacher, M. (2018): Downside Risks and the Price of Variance Uncertainty. (Available at SSRN) 

  • 2017

    Branger, N., Gräber, N., Schumacher, M. (2017): The Effects of Oil Inventories on Growth Prospects, Futures Markets, and Risk Premia. (Available at SSRN) 

    Branger, N., Hülsbusch, H., Kraftschik, A. (2017): The Volatility-of-Volatility Term Structure. (Available at SSRN) 

    Branger, N., Hülsbusch, H., Middelhoff, T. F. (2017): Idiosyncratic Volatility, its Expected Variation, and the Cross-Section of Stock Returns. (Available at SSRN) 

    Cordes, H., Erner, C., Langer, T. (2017): Countering Money Illusion? How Personalization Affects the Consideration of Inflation in Financial Planning.

    Cordes, H., Langer, T. (2017): Perceiving the Real Value: How Inflation Communication Affects the Attractiveness of Long-Term Investments. (Available at SSRN)

    Goedde-Menke, M., Sträter, N., Pfingsten, A., Cornelißen, M. (2017): Depositor behavior during a financial crisis: What determines the decision to withdraw?

    Gräber, N., Schumacher, M. (2017): Solving DSGE Models - When Local Approximations Fail. (Available at SSRN) 

    Hülsbusch, H., Kraftschik, A. (2017): Consistency between S&P500 and VIX Derivatives: Insights from Model-Free VIX Futures Pricing. (Available at SSRN) 

    Kraftschik, A. (2017): Time-Varying Uncertainty and Jump Intensities: Why Should Variance Jumps Be Different? (Available at SSRN)  

  • 2016

    Branger, N., Mahayni, A., Schweizer, N., Sende, C. (2016): Precautionary Saving and Insurance under Generalized Mean-Variance Preferences.

    Branger, N., Pfeiffer, P., Schumacher, M. (2016): Endogenous Growth Cycles and Asset Prices in a Search Economy.

    Branger, N., Lucivjanska, K., Weissensteiner, A. (2016): Optimal Granularity for Portfolio Choice. (Available at SSRN)

    Branger, N., Semenischev, M. (2016): Expected Growth Rate Risk: In-Sample Estimation, Out-of-Sample Asset Pricing Implication

    Branger, N., Semenischev, M., Thimme, J. (2016): Macroeconomic Risk: What the Predictability of Stock Returns and Cash-Flows tells us.

    Branger, N., Kraftschik, A., Völkert, C. (2016): The Fine Structure of Variance: Pricing VIX Derivatives in Consistent and Log-VIX Models. (Available at SSRN) 

    Branger, N., Schlag, C., Shaliastovich, I., Song, D. (2016): Macroeconomic Bond Risks at the Zero Lower Bound. (Available at SSRN) 

    Schlag, C., Semenischev, M., Thimme, J. (2016): Predictability and the Cross-Section of Expected Returns in Models with Long-Run Risks. (Available at SSRN)

    Semenischev, M. (2016): Global Bad and Good Uncertainties and their Impact on Macro Aggregates and Stock Returns. (Available at SSRN) 

    Branger, N., Gräber, N., Schumacher, M. (2016): Asset Pricing in Production Economies when Capital Inputs are Heterogeneous. (Available at SSRN) 

    Branger, N., Muck, M., Weisheit, S. (2016): Correlation Risk and International Portfolio Choice. (Available at SSRN)

    Branger, N., Grüning, P., Schlag, C. (2016): Commodities, Financialization, and Heterogeneous Agents. (Available at SSRN)

    Semenischev, M. (2016): Variance Risk Premium and Option Prices in General Equilibrium: A Literature Review

    Nolte, S., Langer, T. (2016): An Experimental Analysis of Annuity Aversion.

    Nolte, S., Schneider, J.C. (2016): How price paths characteristics shape investment behavior.

    Borgers, A., Derwall, J., Guenster, N., Rodrigues, P. (2016): Values and investments: Evidence from institutional trading responses to news components.

    Chalabi, J., Guenster, N., Kleimeier, S. (2016): Do Banks Really Care? Social Norms in Bank Lending.

  • 2015

    Branger, N., Konermann, P., Schlag, C. (2015): Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness. (Available at SSRN)

    Branger, N., Konermann, P., Meinerding, C., Schlag, C. (2015): Equilibrium Asset Pricing in Directed Networks with Mutually Exciting Jumps. (Available at SSRN)

    Bohl, M. T., Branger, N., Trede, M. (2015): The Case for Herding is Stronger than You Think.

    Branger, N., Muck, M., Weisheit, S. (2015): Optimal Portfolios when Variances and Covariances can Jump. (Available at SSRN)

    Branger, N., Schlag, C., Thimme, J. (2015): Does Ambiguity about Volatility Matter Emprically?

    Kruse, T., Schneider, J.C., Schweizer, N. (2015): What's in a ball: Characterizing and Contructing Uncertainty Sets.

    Guenster, N., Koegst, J. (2015): Corporate Value and environmental responsibility.

  • 2014

    Branger, N., Dierkes, M., Konermann, P. (2014): On the horizon effects of estimation risk and smooth ambiguity aversion.

    Konermann, P. (2014): Asset Pricing with Learning and Heterogeneous Investors: A Literature Overview.

    Thimme, J. (2014): Intertemporal Substitution in Consumption: A Literature Review

    Branger, N., Semenischev, M. (2014): Global Long Run-Risk in Durable Consumption and Asset Pricing.

    Foltice, B., Langer, T. (2014): When Formulas Fail: On the Variability of the Exponential Growth Bias. (Available at SSRN)

    Foltice, B., Langer, T. (2014): How to Decrease the Amortization Bias: Experience vs. Rules

    Lehmensiek-Starke, M., Nolte, S. (2014): The Empirical Frame of the Decision to Annuitize.

    Lehmensiek-Starke, M., Nolte, S. (2014): Recovering Longevity Expectations from Subjective Surival Probabilities: Uncertainty Matters.

  • 2013

    Branger, N., Grüning, P., Kraft, H., Meinerding, C., Schlag, C. (2013): Asset Pricing under Uncertainty about Shock Propagation. (Available at SSRN)

    Branger, N., Kraftschik, A., Völkert, C. (2013): The Variance Process Implied in VIX Options: Affine vs. Non-Affine Models.

    Branger, N., Konermann, P., Thimme, J. (2013): Returns on Cyclical and Defensive Stocks in Times of Scarce Information about the Business Cycle. (Available at SSRN)

  • 2012

    Völkert, C. (2012): The Distribution of Uncertainty: Evidence from the VIX Options Market. (Available at SSRN) 

    Zeisberger, S., Langer, T., Weber, M. (2012): How Sticky is Myopic Loss Aversion? Do Changes in Information Feedback and Investment Flexibility Affect Risk taking Behavior? (available at SSRN) 

  • 2011

    Branger, N., Dumitrescu, I., Ivanova, V., Schlag, C. (2011): Preference Heterogeneity and Survival in Long-Run Risk Models.

    Branger, N., Schlag, C., Zaharia, S. (2011): An Equilibrium Foundation for the Heston Stochastic Volatility Model and U-Shaped Pricing Kernels.

  • 2010

    Branger, N., Dumitrescu, I., Ivanova, V., Schlag, C. (2010): Two Trees the EZ Way.

    Branger, N., Rodrigues, P., Schlag, C. (2010): The Role of Volatility Shocks and Rare Events in Long-Run Risk Models.

    Branger, N., Völkert, C. (2010): What is the Equilibrium Price of Variance Risk? A Long-Run Risks Model with Two Volatility Factors. (Available at SSRN) 

    Vrecko, D., Langer, T. (2010): Do Long-Term Investors Care About Inflation?. (Available at SSRN)

  • 2009

    Vrecko, D., Branger, N. (2009): Why is Portfolio Insurance Attractive to Investors? (Available at SSRN) 

    Branger, N., Hansis, A., Schlag, C. (2009): Expected Option Returns and the Structure of Jump Risk Premia.

  • 2008

    Branger, N., Kraft, H., Mahayni, A., Schlag, C. (2008): Reconciling Smiles for Index and Stock Options.
  • 2005

    Branger, N., Schlag, C. (2005): Put Options Are Not Too Expensive - An Analysis of Path Peso Problems

    Branger, N., Schlag, C. (2005): An Economic Motivation for Variance Contracts.

  • 2004

    Branger, N., Schlag, C. (2004): Model Risk: A Conceptual Framework for Risk Measurement and Hedging. 

    Branger, N. (2004): An Anatomy of Option Pricing Models.