PhD Publikationen

Ceccarelli, M., Ramelli, S., & Wagner, A.F. (2023). Low Carbon Mutual Funds. Review of Finance. Corrected proof submitted. https://doi.org/10.1093/rof/rfad015

Collin-Dufresne, P., Junge, B., & Trolle, A.B. (2024). How Integrated are Credit and Equity Markets? Evidence from Index Options. The Journal of Finance. Forthcoming. https://doi.org/10.1111/jofi.13300

Andrade, S.C., Ekponon, A., & Jeanneret, A. (2023). Sovereign risk premia and global macroeconomic conditions. Journal of Financial Economics. 147 (1), 172-197. https://doi.org/10.1016/j.jfineco.2022.07.003.

Andrei, D., Friedman, H., & Bugra Ozel, N. (2023). Economic uncertainty and investor attention. Journal of Financial Economics. 149 (2), 179-217. https://doi.org/10.1016/j.jfineco.2023.05.003

Arnold, M. & Westermann, R. (2023). Debt Renegotiations Outside Distress. Review of Finance. 27 (4), 1183-1228. https://doi.org/10.1093/rof/rfac059

Bechtel, A., Ranaldo, A., & Wrampelmeyer, J. (2023). Liquidity Risk and Funding Cost. Review of Finance. 27 (2), 399-422. https://doi.org/10.1093/rof/rfac020

Bogousslavsky, V. & Collin-Dufresne, P. (2023). Liquidity, Volume, and Order Imbalance Volatility. Journal of Finance. 78 (4), 2189-2232. https://doi.org/10.1111/jofi.13248

Bhamra, H.S., Dorian, C., Jeanneret, A., & Weber, A. (2023). High Inflation: Low Default Risk and Low Equity Valuations. The Review of Financial Studies. 36 (3), 1192-1252. https://doi.org/10.1093/rfs/hhac021

Derrien, F., Frésard, L., Slabik, V., & Valta, P. (2023). Industry asset revaluations around public and private acquisitions. Journal of Financial Economics. 147 (1), 243-269. https://doi.org/10.1016/j.jfineco.2021.10.003

Della Carte, P., Jeanneret A., & Patelli, E.D.S. (2023). A credit-based theory of the currency risk premium. Journal of Financial Economics. 149 (3), 473-496. https://doi.org/10.1016/j.jfineco.2023.06.002

Efing, M., Hau, H., Kampkötter, P., & Rochet, J.-C. (2023). Bank Bonus Pay as a Risk Sharing Contract. The Review of Financial Studies. 36 (1), 235-280. https://doi.org/10.1093/rfs/hhac030

Efing, M., Goldbach, S., & Nitsch, V. (2023). Freeze! Financial Sanctions and Bank Responses. The Review of Financial Studies. 36 (11), 4417-4459. https://doi.org/10.1093/rfs/hhad043

Korsaye, S.A., Trojani, F., & Vedolin, A. (2023). The global factor structure of exchange rates. Journal of Financial Economics. 148 (1), 21-46. https://doi.org/10.1016/j.jfineco.2023.01.005

Arnold, M., Pelster, M., & Subrahmanyam, M.G. (2022). Attention triggers and investors’ risk-taking. Journal of Financial Economics. 143 (2), 846-875. https://doi.org/10.1016/j.jfineco.2021.05.031

Arnold, M. & Westermann, R. (2022). Debt Renegotiations Outside Distress. Review of Finance. Corrected proof submitted. https://doi.org/10.1093/rof/rfac059

Barras, L., Gagliardini, P, & Scaillet, O. (2022). Skill, Scale, and Value Creation in the Mutual Fund Industry. Journal of Finance. 77 (1), 601-638. https://doi.org/10.1111/jofi.13096

Bechtel, A., Ranaldo, A., & Wrampelmeyer, J. (2022). Liquidity Risk and Funding Cost. Review of Finance. Corrected proof submitted. https://doi.org/10.1093/rof/rfac020

Bhamra, H.S., Dorian, C., Jeanneret, A., & Weber, A. (2022). High Inflation: Low Default Risk and Low Equity Valuations. The Review of Financial Studies. Corrected proof submitted. https://doi.org/10.1093/rfs/hhac021

David, J.M., Schmid, L., & Zeke, D. (2022). Risk-adjusted capital allocation and misallocation. Journal of Financial Economics. 145 (3), 684-705. https://doi.org/10.1016/j.jfineco.2022.06.001

Derrien, F., Frésard, L., Slabik, V., & Valta, P. (2022). Industry asset revaluations around public and private acquisitions. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2021.10.003

Efing, M., Hau, H., Kampkötter, P. & Rochet, J.-C. (2022). Bank Bonus Pay as a Risk Sharing Contract. The Review of Financial Studies. Corrected proof submitted. https://doi.org/10.1093/rfs/hhac030

Fusari, N., Li, W., Liu, H., & Song, Z. (2022). Asset Pricing with Cohort-Based Trading in MBS Markets. The Journal of Finance. 77 (6), 3249-3287. https://doi.org/10.1111/jofi.13180

Geelen, T., Hajda, J., & Morellec, E. (2022). Can Corporate Debt Foster Innovation and Growth? The Review of Financial Studies. 35 (9), 4152-4200. https://doi.org/10.1093/rfs/hhab129

Gryglewicz, S., Mancini, L., Morellec, E., Schroth, E., & Valta, P. (2022). Understanding Cash Flow Risk. The Review of Financial Studies. 35 (8), 3922-3972. https://doi.org/10.1093/rfs/hhab127

Hajda, J. and Nikolov, B. (2022). Product market strategy and corporate policies. Journal of Financial Economics. 146 (3), 932-964. https://doi.org/10.1016/j.jfineco.2022.09.003

Hendershott, T., Menkveld, A. J., Praz, R., & Seasholes, M. (2022). Asset Price Dynamics with Limited Attention. The Review of Financial Studies. 35 (2), 962-1008. https://doi.org/10.1093/rfs/hhab045

Ioannidou, V., Pavanini, N. & Peng, Y. (2022). Collateral and Asymmetric Information in Lending Markets. Journal of Financial Economics. 144 (1), 93-121. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3439458

Payzan-LeNestour, E. & Woodford, M. (2022). "Outlier blindness”: A neurobiological foundation for neglect of financial risk. Journal of Financial Economics. 143 (3), 1316-1343. https://doi.org/10.1016/j.jfineco.2021.06.019

Nyborg, K. & and Wang, Z. (2021). The effect of stock liquidity on cash holdings: The repurchase motive. Journal of Financial Economics. 142 (2), 905-927. https://doi.org/10.1016/j.jfineco.2021.05.027

Augustin, P., Chernov, M., Schmid, L. M., & Song, D. (2021). Benchmark interest rates when the government is risky. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2020.10.009 

Bogousslavsky, V. (2021). The cross-section of intraday and overnight returns. Journal of Financial Economics. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2869624 

Bogousslavsky, V., Collin-Dufresne, P., & Saglam, M. (2021). Slow-moving capital and execution costs: Evidence from a major trading glitch. Journal of Financial Economics. 139 (3), 922-949. https://doi.org/10.1016/j.jfineco.2020.08.009 

Fabisik, K., Fahlenbrach, R., Stulz, R.M., & Taillard, J.P. (2021). Why are firms with more managerial ownership worth less? Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2021.02.008 

Fahlenbrach, R., Rageth, K. & Stulz, R.M. (2021). How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis. The Review of Financial Studies. https://doi.org/10.1093/rfs/hhaa134 

Gomes, J.F. & Schmid, L. (2021). Equilibrium Asset Pricing with Leverage and Default. Journal of Finance. https://doi.org/10.1111/jofi.12987 

Isakov, D., Pérignon, C., & Weisskopf, J.-P. (2021). What If Dividends Were Tax-Exempt? Evidence from a Natural Experiment. The Review of Financial Studies. https://doi.org/10.1093/rfs/hhab010 

Nikolov, B., Schmid, L. M., & Steri, R. (2021). The sources of financing constraints. Journal of Financial Economics. 139 (2), 478-501. https://doi.org/10.1016/j.jfineco.2020.07.018 

Nyborg, K. & and Wang, Z. (2021). The effect of stock liquidity on cash holdings: The repurchase motive. Journal of Financial Economics. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3398154 

Sandulescu, M., Trojani, F. & Vedolin, A. (2021). Model‐Free International Stochastic Discount Factors. Journal of Finance. https://doi.org/10.1111/jofi.12970 

Bennet, B., Stulz, R. M., & Wang, Z. (2020). Does the stock market make firms more productive? Journal of Financial Economics, 135 (2), 281-306. https://doi.org/10.1016/j.jfineco.2019.09.006 

Chernov, M., Schmid, L., & Schneider, A. (2020). A Macrofinance View of U.S. Sovereign CDS Premiums. Journal of Finance, 75 (5), 2809-2844. https://doi.org/10.1111/jofi.12948 

Collin-Dufresne, P., Junge, B., & Trolle, A.B. (2020). Market Structure and Transaction Costs of Index CDSs. Journal of Finance, 75 (5), 2719-2763. https://doi.org/10.1111/jofi.12953 

Corhay, A., Kung, H., & Schmid, L. (2020). Competition, Markups, and Predictable Returns. The Review of Financial Studies, 33 (12), 5906-5939. https://doi.org/10.1093/rfs/hhaa054 

Cujean, J. (2020). Idea Sharing and the Performance of Mutual Funds. Journal of Financial Economics, 135 (1), 88-119. https://doi.org/10.1016/j.jfineco.2019.05.015 

Della Seta, M., Morellec, E., & Zucchi, F. (2020). Short-term debt and incentives for risk-taking. Journal of Financial Economics, 137 (1), 179-203. https://doi.org/10.1016/j.jfineco.2019.07.008 

Efing, M. (2020). Reaching for Yield in the ABS Market: Evidence from German Bank Investments. Review of Finance, 24 (4), 929-959. https://doi.org/10.1093/rof/rfz013 

Eisele, A., Nefedova, T., Parise, G., & Peijnenburg, K. (2020). Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families. Journal of Financial Economics, 135 (2), 359-378. https://doi.org/10.1016/j.jfineco.2018.12.005 

Frattaroli, M. (2020). Does Protectionist Anti-Takeover Legislation Lead to Managerial Entrenchment? Journal of Financial Economics, 136 (1), 106-136. https://doi.org/10.1016/j.jfineco.2019.03.014 

Andrei, D., Hasler, M., & Jeanneret, A. (2019). Asset Pricing with Persistence Risk. The Review of Financial Studies, 32 (7), 2809-2849. https://doi.org/10.1093/rfs/hhy121 

Andrei, D., Mann, W., & Moyen, N. (2019). Why did the q theory of investment start working? Journal of Financial Economics, 133 (2), 251-272. https://www.sciencedirect.com/science/article/pii/S0304405X19300613 

Andreou, E., Gagliardini, P., Ghysels, E., & Rubin, M. (2019). Inference in Group Factor Models with an Application to Mixed-Frequency Data. Econometrica, 87 (4), 1267-1305. https://doi.org/10.3982/ECTA14690 

Bardgett, C., Gourier, E., & Leippold, M. (2019). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. Journal of Financial Economics, 131 (3), 593-618. https://doi.org/10.1016/j.jfineco.2018.09.008 

Barbon, A., Di Maggio, M., Franzoni, F., & Landier, A. (2019). Brokers and Order Flow Leakage: Evidence from Fire Sales. Journal of Finance, 74 (6), 2707-2749. https://onlinelibrary.wiley.com/doi/full/10.1111/jofi.12840?af=R 

Barras, L. (2019). A Large-Scale Approach for Evaluating Asset Pricing Models. Journal of Financial Economics, 134 (3), 549-569. https://doi.org/10.1016/j.jfineco.2019.05.007 

Bilan, A., Degryse, H., O’Flynn, K., & Ongena, S. (2019). Application in Banking: Securitization and Global Banking. In M. Tsionas (Eds.), Panel Data Econometrics: Empirical Applications (pp. 743-770). Cambridge: Academic Press. https://books.google.de/books?id=Sj6eDwAAQBAJ&printsec=frontcover&hl=de&source=gbs_ge_summary_r&cad=0#v=onepage&q&f=false 

Bilan, A., Degryse, H., O’Flynn, K., & Ongena, S. (2019). Banking and Financial Markets. Basingstoke: Palgrave Macmillan. https://www.palgrave.com/gp/book/9783030268435#aboutAuthors 

Colonnello, S., Efing, M., & Zucchi, F. (2019). Shareholder Bargaining Power and the Emergence of Empty Creditors. Journal of Financial Economics, 134 (2), 297-317. https://doi.org/10.1016/j.jfineco.2019.04.001 

Crane, A.D., Koch, A., & Michenaud, S. (2019). Institutional investor cliques and governance. Journal of Financial Economics, 133 (1), 175-197. https://doi.org/10.1016/j.jfineco.2018.11.012 

Croce, M. M., Nguyen, T. T., Raymond, S., & Schmid, L. (2019). Government debt and the returns to innovation. Journal of Financial Economics, 132 (3), 205-225. https://doi.org/10.1016/j.jfineco.2018.11.010 

Di Maggio, M., Franzoni, F. A., Kermani, A., & Sommavilla, C. (2019). The Relevance of Broker Networks for Information Diffusion in the Stock Market. Journal of Financial Economics, 134 (2), 419-446. https://doi.org/10.1016/j.jfineco.2019.04.002 

Hasler, M., Khapko, M., & Marfè, R. (2019). Should investors learn about the timing of equity risk? Journal of Financial Economics, 132 (3), 182-204. https://doi.org/10.1016/j.jfineco.2018.11.011 

Jondeau, E., Zhang, Q., & Zhu, X. (2019). Average Skewness Matters! Journal of Financial Economics, 134 (1), 29-47. https://doi.org/10.1016/j.jfineco.2019.03.003 

Malamud, S., & Zucchi, F. (2019). Liquidity, innovation, and endogenous growth. Journal of Financial Economics, 132 (2), 519-541. https://doi.org/10.1016/j.jfineco.2018.11.002 

Nikolov, B., Schmid, L., & Steri, R. (2019). Dynamic corporate liquidity. Journal of Financial Economics, 132 (1), 76-102. https://doi.org/10.1016/j.jfineco.2017.06.018 

Parise, G. & Peijnenburg, K. (2019). Noncognitive Abilities and Financial Distress: Evidence from a Representative Household Panel. The Review of Financial Studies, 32 (10), 3884-3919. https://doi.org/10.1093/rfs/hhz010

Anderson, R. W., Bustamante, M. C., Guibaud, S., & Zervos, M. (2018). Agency, Firm Growth, and Managerial Turnover. The Journal of Finance, 73 (1), 419-464. https://doi.org/10.1111/jofi.12583 

Berrada, T., Detemple, J., & Rindisbacher, M. (2018). Asset pricing with beliefs-dependent risk aversion and learning. Journal of Financial Economics, 128 (3), 504-534. https://doi.org/10.1016/j.jfineco.2018.03.002 

Bretscher, L., Schmid, L., & Vedolin, A. (2018). Interest Rate Risk Management in Uncertain Times. The Review of Financial Studies, 31 (8), 3019-3060. https://doi.org/10.1093/rfs/hhy039 

Ehling, P., Gallmeyer, M., Heyerdahl-Larsen, C., & Illeditsch, P. (2018). Disagreement about inflation and the yield curve. Journal of Financial Economics, 127 (3), 459-484. https://doi.org/10.1016/j.jfineco.2018.01.001 

Morellec, E., Nikolov, B., & Schürhoff, N. (2018). Agency Conflicts around the World. The Review of Financial Studies, 31 (11), 4232-4287. https://doi.org/10.1093/rfs/hhy018 

Parise, G. (2018). Threat of entry and debt maturity: Evidence from airlines. Journal of Financial Economics, 127 (2), 226-247. https://doi.org/10.1016/j.jfineco.2017.11.009 

Pérignon, C., Thesmar, D., & Vuillemey, G. (2018). Wholesale Funding Dry-Ups. The Journal of Finance, 73 (2), 575-617. https://doi.org/10.1111/jofi.12592  

Andrei, D., & Cujean, J. (2017). Information percolation, momentum and reversal. Journal of Financial Economics, 123 (3), 617-645. https://doi.org/10.1016/j.jfineco.2016.05.012 

Brumm, J., Kryczka, D., & Kubler, F. (2017). Recursive Equilibria in Dynamic Economies With Stochastic Production. Econometrica, 85 (5), 1467-1499. https://doi.org/10.3982/ECTA13047 

Favara, G., Morellec, E., Schroth, E., & Valta, P. (2017). Debt enforcement, investment, and risk taking across countries. Journal of Financial Economics, 123 (1), 22-41. https://doi.org/10.1016/j.jfineco.2016.09.002 

Schmidt, C., & Fahlenbrach, R. (2017). Do exogenous changes in passive institutional ownership affect corporate governance and firm value? Journal of Financial Economics, 124 (2), 285-306. https://doi.org/10.1016/j.jfineco.2017.01.005

Barras, L., & Malkhozov, A. (2016). Does variance risk have two prices? Evidence from the equity and option markets. Journal of Financial Economics, 121 (1), 79-92. https://doi.org/10.1016/j.jfineco.2016.02.014 

Bogousslavsky, V. (2016). Infrequent Rebalancing, Return Autocorrelation, and Seasonality. The Journal of Finance, 71 (6), 2967-3006. https://doi.org/10.1111/jofi.12436 

Degeorge, F., Martin, J., & Phalippou, L. (2016). On secondary buyouts. Journal of Financial Economics, 120 (1), 124-145. https://doi.org/10.1016/j.jfineco.2015.08.007 

Filipović, D., Gourier, E., & Mancini, L. (2016). Quadratic variance swap models. Journal of Financial Economics, 119 (1), 44-68. https://doi.org/10.1016/j.jfineco.2015.08.015 

Gomes, J., Jermann, U., & Schmid, L. (2016). Sticky Leverage. American Economic Review, 106 (12), 3800-3828. https://doi.org/10.1257/aer.20130952 

Hasler, M., & Marfè, R. (2016). Disaster recovery and the term structure of dividend strips. Journal of Financial Economics, 122 (1), 116-134. https://doi.org/10.1016/j.jfineco.2015.11.002

Andersen, T. G., Fusari, N., & Todorov, V. (2015a). Parametric Inference and Dynamic State Recovery From Option Panels. Econometrica, 83( 3), 1081-1145. https://doi.org/10.3982/ECTA10719 

Andersen, T. G., Fusari, N., & Todorov, V. (2015b). The risk premia embedded in index options. Journal of Financial Economics, 117 (3), 558-584. https://doi.org/10.1016/j.jfineco.2015.06.005 

Andrei, D., & Hasler, M. (2015). Investor Attention and Stock Market Volatility. The Review of Financial Studies, 28 (1), 33-72. https://doi.org/10.1093/rfs/hhu059 

Bustamante, M. C. (2015). Strategic Investment and Industry Risk Dynamics. The Review of Financial Studies, 28 (2), 297-341. https://doi.org/10.1093/rfs/hhu067 

Efing, M., & Hau, H. (2015). Structured debt ratings: Evidence on conflicts of interest. Journal of Financial Economics, 116 (1), 46-60. https://doi.org/10.1016/j.jfineco.2014.11.009 

Hugonnier, J., & Prieto, R. (2015). Asset pricing with arbitrage activity. Journal of Financial Economics, 115 (2), 411-428. https://doi.org/10.1016/j.jfineco.2014.10.001 

Kung, H., & Schmid, L. (2017). Innovation, Growth, and Asset Prices. The Journal of Finance, 70 (3), 1001-1037. https://doi.org/10.1111/jofi.12241 

Payzan-LeNestour, E., & Bossaerts, P. (2015). Learning About Unstable, Publicly Unobservable Payoffs. The Review of Financial Studies, 28 (7), 1874-1913. https://doi.org/10.1093/rfs/hhu069

Kuehn, L.-A., & Schmid, L. (2014). Investment-Based Corporate Bond Pricing. The Journal of Finance, 69 (6), 2741-2776. https://doi.org/10.1111/jofi.12204 

Leippold, M., & Strømberg, J. (2014). Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube. Journal of Financial Economics, 111 (1), 224-250. https://doi.org/10.1016/j.jfineco.2013.08.016 

Nikolov, B., & Whited, T. M. (2014). Agency Conflicts and Cash: Estimates from a Dynamic Model. The Journal of Finance, 69 (5), 1883-1921. https://doi.org/10.1111/jofi.12183 

Peters, F. S., & Wagner, A. F. (2014). The Executive Turnover Risk Premium. The Journal of Finance, 69 (4), 1529-1563. https://doi.org/10.1111/jofi.12166

Arnold, M., Wagner, A. F., & Westermann, R. (2013). Growth options, macroeconomic conditions, and the cross section of credit risk. Journal of Financial Economics, 107 (2), 350-385. https://doi.org/10.1016/j.jfineco.2012.08.017 

Corsi, F., Fusari, N., & La Vecchia, D. (2013). Realizing smiles: Options pricing with realized volatility. Journal of Financial Economics, 107 (2), 284-304. https://doi.org/10.1016/j.jfineco.2012.08.015 

Mancini, L., Ranaldo, A., & Wrampelmeyer, J. (2013). Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums. The Journal of Finance, 68 (5), 1805-1841. https://doi.org/10.1111/jofi.12053

Croce, M. M., Kung, H., Nguyen, T. T., & Schmid, L. (2012). Fiscal Policies and Asset Prices. The Review of Financial Studies, 25 (9), 2635-2672. https://doi.org/10.1093/rfs/hhs060 

Favara, G., Schroth, E., & Valta, P. (2012). Strategic Default and Equity Risk Across Countries. The Journal of Finance, 67 (6), 2051-2095. https://doi.org/10.1111/j.1540-6261.2012.01781.x 

Morellec, E., Nikolov, B., & Schürhoff, N. (2012). Corporate Governance and Capital Structure Dynamics. The Journal of Finance, 67 (3), 803-848. https://doi.org/10.1111/j.1540-6261.2012.01735.x 

Valta, P. (2012). Competition and the cost of debt. Journal of Financial Economics, 105 (3), 661-682. https://doi.org/10.1016/j.jfineco.2012.04.004

Barras, L., Scaillet, O., & Wermers, R. (2010). False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas. The Journal of Finance, 65 (1), 179-216. https://doi.org/10.1111/j.1540-6261.2009.01527.x 

Gomes, J. F., & Schmid, L. (2010). Levered Returns. The Journal of Finance, 65 (2), 467-494. https://doi.org/10.1111/j.1540-6261.2009.01541.x 

Medvedev, A., & Scaillet, O. (2010). Pricing American options under stochastic volatility and stochastic interest rates. Journal of Financial Economics, 98 (1), 145-159. https://doi.org/10.1016/j.jfineco.2010.03.017

Sonney, F. (2009). Financial Analysts’ Performance: Sector Versus Country Specialization. The Review of Financial Studies, 22 (5), 2087–2131. https://doi.org/10.1093/rfs/hhm024

Aunon-Nerin, D., & Ehling, P. (2008). Why firms purchase property insurance. Journal of Financial Economics, 90 (3), 298–312. 
https://doi.org/10.1016/j.jfineco.2008.01.003

Goyal, A., Pérignon, C., & Villa, C. (2008). How common are common return factors across the NYSE and Nasdaq? Journal of Financial Economics, 90 (3), 252–271.
https://doi.org/10.1016/j.jfineco.2008.01.004

Berrada, T., Hugonnier, J., & Rindisbacher, M. (2007). Heterogeneous preferences and equilibrium trading volume. Journal of Financial Economics, 83 (3), 719–750. 
https://doi.org/10.1016/j.jfineco.2006.02.001

Medvedev, A., & Scaillet, O. (2007). Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility. The Review of Financial Studies, 20 (2), 427–459. 
https://doi.org/10.1093/rfs/hhl013