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Working Papers

  • Cordes, H., Foltice, B. Langer, T. (2018): Misperception of Exponential Growth: Are People Aware of Their Bias?, Working Paper. (Available at SSRN)

  • Lorenz, F., Schumacher, M. (2018): Downside Risks and the Price of Variance Uncertainty, Working Paper, February 2018. (available at SSRN) (Abstract)

  • Goedde-Menke, M., Ingermann, P.-H. (2018): Corporate credit defaults and the role of bank monitoring, Working Paper, in progress.

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

  • Goedde-Menke, M., Rose, C. (2018): Corporate default risk connectedness and the cost of capital, Working Paper, in progress.

  • Mohrschladt, H., Langer, T. (2017): Overreaction versus Underreaction: Transferring Insights from the Lab to the Field, Working Paper, Dec. 2017. (Abstract)

  • Daniel, K., Mota, L., Rottke, S., Santos, T. (2017): The Cross-Section of Risk and Return, Working Paper, December 2017. (Link) (Abstract)

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

  • Branger, N., Flacke, R. M., Gräber, N. (2017): Monopoly Power in the Oil Market and the Macroeconomy, Working Paper, October 2017. (available at SSRN) (Abstract)

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

  • Goedde-Menke, M., Ingermann, P.-H. (2017): Cost of debt in lending relationships: Evidence from small and medium-sized enterprises, Working Paper, in progress.

  • Branger, N., Gräber, N., Schumacher, M. (2017): The Effects of Oil Inventories on Growth Prospects, Futures Markets, and Risk Premia, Working Paper, August 2017. (available at SSRN) (Abstract)

  • Branger, N., Gräber, N., Schumacher, M. (2017): Internet Appendix to "The Effects of Oil Inventories on Growth Prospects, Futures Markets, and Risk Premia", Working Paper, August 2017. (Internet Appendix)

  • Brodback, D., Guenster, N., Mezger, D. (2017): Altruism versus Egoism in Investment Decisions
    Awarded: Best PhD student paper award CRR Conference 2017, Sevilla, Spain
    , Working Paper. (Available at SSRN) (Abstract)

  • Fox, C., Goedde-Menke, M., Tannenbaum, D. (2017): Epistemic uncertainty and ambiguity aversion, Working Paper, in progress.

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

  • Gräber, N., Schumacher, M. (2017): Solving DSGE Models - When Local Approximations Fail, Working Paper. (available at SSRN) (Abstract)

  • Baars, M., Goedde-Menke, M. (2017): Subjective uncertainty and probability weighting, Working Paper, in progress.

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

  • Branger, N., Hülsbusch, H., Kraftschik, A. (2017): The Volatility-of-Volatility Term Structure, Working Paper. (available at SSRN) (Abstract)

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

  • Daniel, K., Klos, A., Rottke, S. (2017): Overpriced Winners, Working Paper, March 2017. (Download) (Abstract)

  • Cordes, H., Nolte, S., Schneider, J.C. (2017): On the Dynamics and Drivers of Countercyclical Risk Aversion, Working Paper. (Available at SSRN)

  • Glaser, M., Klos, A., Rottke, S., Schmidt, P. (2017): Does short selling eliminate the price impact of framing effects in experimental markets?, Working Paper, January 2017. (Abstract)

  • Koegst, J., Guenster, N. (2017): Empirical Evidence on Environmental Performance and Operating Costs*, Working Paper, 2017. (Abstract)

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

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

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

  • Branger, N., Lucivjanska, K., Weissensteiner, A. (2016): Optimal Granularity for Portfolio Choice, Working Paper, July 2016. (available at SSRN) (Abstract)

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

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

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

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

  • Branger, N., Schlag, C., Shaliastovich, I., Song, D. (2016): Macroeconomic Bond Risks at the Zero Lower Bound, Working Paper, August 2016. (available at SSRN) (Abstract)

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

  • Semenischev, M. (2016): Global Bad and Good Uncertainties and their Impact on Macro Aggregates and Stock Returns, Working Paper, May 2016. (available at SSRN) (Abstract)

  • Branger, N., Gräber, N., Schumacher, M. (2016): Asset Pricing in Production Economies when Capital Inputs are Heterogeneous, Working Paper, October 2016. (available at SSRN) (Abstract)

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

  • Chalabi, J.; Guenster, N.; Kleimeier, S. (2016): Do Banks Really Care? Social Norms in Bank Lending,
    Awarded: Best Conference Paper Prize, 2016 Latsis Symposium, 3rd Geneva Summit on Sustainable Finance
    , Working Paper. (Neuer Link) (Abstract)

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

  • Branger, N., Grüning, P., Schlag, C. (2016): Commodities, Financialization, and Heterogeneous Agents, Working Paper. (available at SSRN)

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

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

  • Kruse, T., Schneider, J.C., Schweizer, N. (2015): What's in a ball: Characterizing and Contructing Uncertainty Sets, Working Paper, (R&R: Operations Research).

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

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

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

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

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

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

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

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

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

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

  • Foltice, B., Langer, T. (2014): How to Decrease the Amortization Bias: Experience vs. Rules, Working Paper, April 2014. (Abstract available at SSRN)

  • Foltice, B., Langer, T. (2014): When Formulas Fail: On the Variability of the Exponential Growth Bias, Working Paper, April 2014. (available at SSRN)

  • Thimme, J. (2014): Intertemporal Substitution in Consumption: A Literature Review, Working Paper. (Abstract)

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

  • Branger, N., Grüning, P., Kraft, H., Meinerding, C., Schlag, C. (2013): Asset Pricing under Uncertainty about Shock Propagation, Working Paper, 2013. (available at ssrn)

  • Ingermann, P.-H., Hesse, F., Bélorgey, C., Pfingsten, A. (2013): Explaining the recovery rate for retail and commercial customers in Germany with a particular focus on the collateral, Working Paper. (PDF)

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

  • Bélorgey, C., Hesse, F., Pfingsten, A. (2013): Der Zusammenhang zwischen der aufbau- und ablauforganisatorischen Gestaltung des Kreditgeschäftes und dem "Misserfolg" von Sparkassen, Working Paper. (Download (Pdf))

  • Dierkes, M. (2013): Probability Weighting and Asset Prices, Working Paper, April 2013. (available at SSRN)

  • 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)

Discussion Paper

  • Jahn, N., Memmel, C., Pfingsten, A. (2013): Banks' concentration versus diversification in the loan portfolio: new evidence from Germany, Deutsche Bundesbank Discussion Paper, No 53.

Papers Accepted for Publication

  • Nolte, S., Schneider, J.C. (2017): Don't lapse into temptation: A behavioral perspective on policy surrender, Journal of Banking and Finance forthcoming.

  • Maciag, J., Hesse, F., Boeve, R., Pfingsten, A. (2016): Comparing risk measures when aggregating market risk and credit risk using di fferent copulas, Journal of Risk, June 2016.

Refereed Publications

  • Siqueira, A. C. O., Guenster, N., Vanacker, T., Crucke, S. (2018): A longitudinal comparison of capital structure between young for-profit social and commercial enterprises, Journal of Business Venturing, forthcoming. (Neuer Link) (Abstract)

  • Kaposty, F., Löderbusch, M., Maciag, J. (2017): Stochastic LGD and EAD in a Structural Model of Portfolio Credit Risk, Journal of Credit Risk, Vol. 13, Issue 1, March 2017, 93-123.

  • Foltice, B., Langer, T. (2017): In Equations We Trust? Formula Knowledge Effects on the Exponential Growth Bias in Household Finance Decisions, Decision Analysis, Vol 14 (3), pp. 170-186 ---https://doi.org/10.1287/deca.2017.0351. (Abstract)

  • Löderbusch, M., Maciag, J. (2017): A latent variable credit risk model comprising non-linear dependencies in a sector framework with a stochastically dependent LGD, Journal of Credit Risk, forthcoming.

  • Claußen, C., Maidl, C., Pfingsten, A., Woyand, C. (2017): Rolle rückwärts zugunsten der Bankenindustrie – Die neuen Baseler Regelungen für das Zinsänderungsrisiko im Anlagebuch, Perspektiven der Wirtschaftspolitik, Vol. 18, Issue 1, 2017, 86-96.

  • Cordes, H., Dierkes, M. (2017): About depression babies and red diaper babies: Do macroeconomic experiences affect everybody’s risk taking in the same way?, Journal of Behavioral and Experimental Finance, Vol. 13, March 2017, 25-27. (Link) (Abstract)

  • Goedde-Menke, M., Erner, C., Oberste, M. (2017): Towards more sustainable debt attitudes and behaviors: The importance of basic economic skills, Journal of Business Economics, Vol. 87, Number 5, 645-668. doi:10.1007/s11573-017-0854-8.

  • Siqueira, A. C., Sacramento, I., Guenster, N., Bethem, J. (2017): Pedagogical methods for sustainable development: business educational projects generating direct impact on stakeholders through fundraising and fund management, International Journal of Innovation and Sustainable Development, Vol.11, No.4, 2017. (Abstract)

  • Branger, N., Kraft., H., Meinerding, C. (2016): The Dynamics of Crises and the Equity Premium, Review of Financial Studies, Vol. 29, 2016, 232-270. (Abstract)

  • Klos, A., Rottke, S. (2016): Savings and Consumption When Children Move Out, Review of Finance, Vol. 20, Issue 6, October 2016, 2349-2377. (Link) (Abstract)

  • Ascheberg, M., Branger, N., Kraft, H., Seifried, F. (2016): When Do Jumps Matter for Portfolio Optimization?, Quantitative Finance, Vol. 16, Issue 8, 2016, 1297-1311.

  • Mahayni, A., Schneider, J.C. (2016): Minimum Return Guarantees, Investment Caps, and Investment Flexibility, Review of Derivative Research, Vol. 19, Issue 2, 2016, 85-111 . (available at SSRN)

  • Kaposty, F., Löderbusch, M., Pfingsten, A. (2016): Verlustquoten im Leasing - Analyse und Abgrenzung zum klassischen Kreditgeschäft, Zeitschrift für das gesamte Kreditwesen, Jg. 69(5), März 2016, 225-228.

  • Claußen, C., Maidl, C., Pfingsten, A., Woyand, C. (2016): Zinsänderungsrisiken von Kreditinstituten im aktuellen Niedrigzinsumfeld, Vierteljahreshefte zur Wirtschaftsforschung, DIW Berlin, Vol. 85, Issue 1, 2016, 45-64.

  • Erner, C., Goedde-Menke, M., Oberste, M. (2016): Financial literacy of high school students: Evidence from Germany, The Journal of Economic Education, 47:2, 95-105.

  • Thimme, J., Völkert, C. (2015): High Order Smooth Ambiguity Preferences and Asset Prices, Review of Financial Economics, Vol. 27, November 2015, 1-15. (Abstract)

  • Schneider, J.C., Schweizer, N. (2015): Robust Measurement of Heavy-Tailed Risks: Theory and Implementation, Journal of Economic Dynamics and Control, 61, 2015, 183-203 . ((available at SSRN))

  • Thimme, J., Völkert, C. (2015): Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment, Journal of Business and Economic Statistics, Vol. 33, Issue 3, July 2015, 418-429. (Abstract)

  • Völkert, C. (2015): The Distribution of Uncertainty: Evidence from the VIX Options Market, Journal of Futures Markets, Vol. 35, Issue 7, 597-624. (Abstract)

  • Foltice, B. (2015): Individuals approaching retirement have options (literally) to secure a comfortable retirement, Journal of Retirement, Vol. 2, Issue 4, Spring 2015, 38-53.

  • Foltice, B., Langer, T. (2015): Profitable momentum strategies for individual investors, Financial Markets and Portfolio Management, Vol. 29, Issue 2, May 2015, 85-113.

  • Jahn, N., Maciag, J, Pfingsten, A. (2015): Empirische Fakten zur Branchenstruktur der Kreditportfolios von Kreditgenossenschaften und ihrer zeitlichen Entwicklung, Zeitschrift für das gesamte Genossenschaftswesen, Schwerpunktheft 2/2015.

  • Branger, N., Schlag, C., Wu, L. (2015): 'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors , (former title: Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run?), Journal of Economic Dynamics and Control, Vol. 61, December 2015, 303-333.

  • Branger, N., Mahayni, A., Zieling, D. (2015): Robustness of Stable Volatility Strategies, Journal of Economic Dynamics and Control, Vol. 60, November 2015, 134-151.

  • Branger, N., Hansis, A. (2015): Earning the Right Premium on the Right Factor in Portfolio Planning, Journal of Banking & Finance, Vol. 59, October 2015, 367-383.

  • Pelster, M., Kaposty, F. (2015): Optimales Anlagevermögen von Versicherungsunternehmen, Zeitschrift für die gesamte Versicherungswissenschaft, Bd. 104, Ausgabe 2, Mai 2015, 113-129.

  • Ankirchner, S., Schneider J.C., Schweizer, N. (2014): Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk, Journal of Economic Dynamics and Control, 41, 2014, 93-109. (available at SSRN)

  • Goedde-Menke, M., Lehmensiek-Starke, M., Nolte, S. (2014): An empirical test of competing hypotheses for the annuity puzzle, Journal of Economic Psychology, Vol. 43, August 2014, 75–91.

  • Goedde-Menke, M., Langer, T., Pfingsten, A. (2014): Impact of the financial crisis on bank run risk – Danger of the days after, Journal of Banking & Finance, Vol. 40, March 2014, 522-533.

  • Branger, N., Kraft, H., Meinerding, C. (2014): Partial Information about Contagion Risk, Endogenous Self-Exciting Processes and Portfolio Optimization, Journal of Economic Dynamics and Control, Vol. 39, February 2014, 18-36.

  • Jahn, N., Kick, T. (2014): Early warning indicators for the German banking system: a macroprudential analysis, Credit and Capital Markets, Issue 1.

  • Hesse, F., Ingermann, P.-H. (2013): Die bimodale Verteilung der Recovery Rates in Sparkassen und Genossenschaftsbanken – Untersuchung und Erklärungsansatz, Zeitschrift für Bankrecht und Bankwirtschaft (ZBB), Heft 6/2013, S. 408-414.

  • Branger, N., Larsen, L. S. (2013): Robust Portfolio Choice with Uncertainty about Jump and Diffusion Risk, Journal of Banking and Finance, Vol. 37, Issue 12, December 2013, 5036–5047.

  • Glaser, M., Langer, T., Weber, M. (2013): True Overconfidence in Interval Estimates: Evidence Based on a New Measure of Miscalibration, Journal of Behavioral Decision Making, Vol. 26, Issue 5, December 2013, 405–417. (Abstract)

  • Vrecko, D., Langer, T. (2013): What are Investors Willing to Pay to Customize Their Investment Product?, Management Science, Vol 59, No 8, August 2013, 1855-1870. (Link) (Abstract)

  • Sonnemann, U., Camerer, C., Fox, C., Langer, T. (2013): How psychological framing affects economic market prices in the lab and field, Proceedings of the National Academy of Sciences (PNAS), Vol 110, No. 29, 11779-11784. (Previous titles of the paper)

  • Dierkes, M., Erner, C., Langer, T., Norden, L. (2013): Business credit information sharing and default risk of private firms, Journal of Banking and Finance, 37, 2867-2878. (Link)

  • Duan, J.C., Zhang, W. (2013): Forward-Looking Market Risk Premium, Management Science, Vol. 60, Issue 2, February 2014, 521-538.

  • Branger, N., Larsen, L. S., Munk, C. (2013): Robust Portfolio Choice with Ambiguity and Learning about Return Predictability, Journal of Banking and Finance, Vol. 37, Issue 5, May 2013, 1397-1411.

  • Konermann, P., Meinerding, C., Sedova, O. (2013): Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations, Review of Financial Economics, Vol. 22, Issue 1, January 2013, 36-46.

  • Erner, C., Klos, A., Langer, T. (2013): Can prospect theory be used to predict an investor’s willingness to pay?, Journal of Banking and Finance, 37, 1960-1973. (Link)

Incollections and Conference Proceedings

  • Langer, T., Nolte, S. (2014): Eine Frage der Disziplin? Ökonomen, Zeitpräferenzen und (ir)rationales Entscheiden, in: Glatzmeier, Hilgert (Hrsg.): Entscheidungen - Geistes- und sozialwissenschaftliche Beiträge zu Theorie und Praxis.

  • Zhang, W. (2013): The Impact of Cost of Equity on Seasoned Equity Offerings, Working Paper.

Other Publications

  • 23rd Annual Meeting of the German Finance Association (DGF), Bonn, Germany (2016): Bank monitoring and credit defaults: The role of communication and credit term revisions, with Ingermann, P.-H.

  • 2nd Research in Behavioral Finance Conference (RBFC), Amsterdam, The Netherlands (2016): Bank monitoring and credit defaults: The role of communication and credit term revisions, with Ingermann, P.-H.

  • Pfingsten, A., Kaposty, F., Woyand, C. (2016): Die Fristigkeit von Einlagen als Einflussfaktor auf die Marktdisziplinierung von Banken - Möglichkeiten und Erklärungsansatz für den deutschen Bankensektor, Frankfurter Institut für Risikomanagement und Regulierung, Jahrbuch 2016.

  • 21th Annual Meeting of the German Finance Association (DGF), Karslruhe, Germany (2014): Communication and relationship banking, with Ingermann, P.-H.

  • Heinke V. (2014): Roundtable Risikomanagement, Deutsche Pensions- und Investmentnachrichten, 8. Jg., Nr. 42, Februar/März 2009, S. 24-30.

  • Münsteraner Banken-Workshop, Münster, Germany (2014): Getting to the core of relationship banking: How communication affects credit line pricing, with Ingermann, P.-H.

  • 1st Research in Behavioral Finance Conference (RBFC), Rotterdam, The Netherlands (2014): Getting to the core of relationship banking: How communication affects credit line pricing, with Ingermann, P.-H.

  • Marketing Strategy Meets Wall Street III, Frankfurt, Germany (2013): Bank Runs and the Importance of Reputational Risk, with Sträter, N., Pfingsten, A., Cornelißen, M.

  • 20th Annual Meeting of the German Finance Association (DGF), Wuppertal, Germany (2013): Bank Runs and the Importance of Reputational Risk, with Sträter, N., Pfingsten, A., Cornelißen, M.

  • 24th Biannual Subjective Probability, Utility, and Decision Making Conference (SPUDM), Barcelona, Spain (2013): An Empirical Test of Competing Hypotheses for the Annuity Puzzle, with Lehmensiek-Starke, M., Nolte, S.

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