This research addresses the estimation of measures of rare disaster concerns from option prices. We propose a new smile construction approach to obtain the required continuum of implied volatilities from discretely sampled observations that are affected by microstructure noise. We extrapolate...

The dissertation investigates the impact of a non-risk-weighted leverage ratio on the stability of financial institutions. We calculate leverage ratios (LR) and estimate probabilities of default (PD) and find a significant positive relationship between LR and PD. This might be explained by the...

This paper analyzes the valuation of day-ahead Physical Transmission Rights (PTRs) on the German-Dutch interconnector. From a financial perspective, PTRs are options written on the difference between the German and Dutch hourly electricity prices. We propose a model for the valuation of...

This research analyses the link between fundamental information, social media sentiment, and stock returns from 2010 to 2018. We are interested in whether social media sentiment provides additional information to already published fundamental information, such as financial information and...

This paper investigates on the effect of personality traits, music preferences and drinking behavior on sustainable investing. Conducting a stated choice experiment among business students, we find a positive relation between “Agreeableness” and the importance of sustainability....

In this research, we conduct a stated choice experiment with German retail investors to elicit their preferences with respect to financial materiality of sustainability information. We find that there are market participants who are not able to distinguish between information related to...

This research addresses the impact of incorrect information on the evolution of bubbles in stock prices. In a predatory trading game we study the inflation of bubbles when rumors that a perceived victim has to trade may be true or untrue. We find that the development of the bubbles are...

Conducting a stated choice experiment on German retail investors, we analyze how market participants use and react to sustainability information. We find that the general avoidance of assets with lagging sustainability records is more meaningful to investors than the focus on financial...