Publications
ZORA Publication List
Publications
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2022
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Understand what you measure: Where climate transition risk metrics converge and why they diverge. Finance Research Letters, 50:103265.
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Pricing autocallables under local-stochastic volatility. Frontiers of Mathematical Finance, 1(4):575-610.
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The asset reallocation channel of quantitative easing. The case of the UK. Journal of Corporate Finance, 77:102294.
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Papierenes Zahlungsversprechen: Wie Banknoten zu Bargeld wurden. Bulletin der Schweizerischen Akademie der Geistes- und Sozialwissenschaften (SAGW), 28(3):44-47.
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Deep Equilibrium Nets. International Economic Review, 63(4):1471-1525.
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The fluctuations of insurers’ risk appetite. Journal of Economic Dynamics and Control, 144:104543.
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Strategic incentives undermine gaze as a signal of prosocial motives. Games and Economic Behavior, 136:63-91.
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Between impact and returns: Private investors and the sustainable development goals. Business Strategy and the Environment, 31(7):3182-3197.
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Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios. International Review of Financial Analysis, 84:102319.
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Climate Change Risk and the Cost of Mortgage Credit. Review of Finance, 26(6):1509-1549.
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Working with women, do men get all the credit?. Small Business Economics, 59:1427-1447.
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Aggregate Confusion: The Divergence of ESG Ratings. Review of Finance, 26(6):1315-1344.
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Flooded through the back door: The role of bank capital in local shock spillovers. Journal of Financial and Quantitative Analysis, 57(7):2627-2658.
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Do People Care about Loss Probabilities?. Journal of Risk and Uncertainty, 65:185-213.
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The Countercyclical Capital Buffer and the Composition of Bank Lending. Journal of Financial Intermediation, 52:100965.
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Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage. Journal of Financial Econometrics, 20(4):569-611.
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Subsampled Factor Models for Asset Pricing: The Rise of Vasa. Journal of Forecasting, 41(6):1217-1247.
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How connected is the agricultural commodity market to the news-based investor sentiment?. Energy Economics, 113:106174.
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The Asset Allocation of Defined Benefit Pension Plans: The Role of Sponsor Contributions. Journal of Asset Management, 23:376-389.
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Machine-Learning in the Chinese Factor Zoo. Journal of Financial Economics, 145(2):64-82.
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Bank capital buffer releases, public guarantee programs, and dividend bans in Covid-19 Europe: An appraisal. European Journal of Law and Economics, 54:127-152.
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Economic Policy Uncertainty and the Yield Curve. Review of Finance, 26(4):751-797.
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Fostering Ethical Conduct Through Psychological Safety. MIT Sloan Management Review, 63(4):39-43.
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The effect of environmental, social and governance risks. Annals of Tourism Research, 95:103432.
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A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited. International Review of Economics and Finance, 80:654-676.
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The cleansing effect of banking crises. Economic Inquiry, 60(3):1186-1213.
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Evolutionary Finance for Multi-Asset Investors. Financial Analysts Journal, 78(3):115-127.
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Cheap talk and cherry-picking: What climatebert has to say on corporate climate risk disclosures. Finance Research Letters, 47:102776.
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On the use of random forest for two-sample testing. Computational Statistics & Data Analysis, 170:107435.
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Stefan Nagel: Machine learning in asset pricing. Journal of Economics, 136:91-92.
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Shifting normative beliefs: On why groups behave more antisocially than individuals. European Economic Review, 145:104116.
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Forecasting high-frequency stock returns: a comparison of alternative methods. Annals of Operations Research, 313:639-690.
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Statistical arbitrage in jump-diffusion models with compound Poisson processes. Annals of Operations Research, 313:1357-1371.
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Let’s Get Physical: Comparing Metrics of Physical Climate Risk. Finance Research Letters, 46:102406.
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Connectedness of energy markets around the world during the COVID-19 pandemic. Energy Economics, 109:105900.
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Large dynamic covariance matrices: Enhancements based on intraday data. Journal of Banking and Finance, 138:106426.
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CEO incentives and bank risk over the business cycle. Journal of Banking and Finance, 138:106460.
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Fairness principles for insurance contracts in the presence of default risk. Mathematical Finance, 32(2):595-626.
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Financial intermediation and the welfare theorems in incomplete markets. Economic Theory, 73(2-3):457-486.
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Collateral and Asymmetric Information in Lending Markets. Journal of Financial Economics, 144(1):93-121.
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Fintech in the time of COVID-19: Technological adoption during crises. Journal of Financial Intermediation, 50:100945.
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An evolutionary finance model with short selling and endogenous asset supply. Economic Theory, 73:655-677.
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Are Deficits free?. Journal of Public Economics, 208:104627.
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Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity. Mathematics and Financial Economics, 16(3):447-480.
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Educating moral sensitivity in business: An experimental study to evaluate the effectiveness of a serious moral game. Computers and Education, 178:104381.
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Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing. Frontiers of Mathematical Finance, 1(1):1-51.
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Lawyer expertise and contract Design - evidence from M&A negotiations. Economic Journal, 132(642):644-674.
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Risk Spillovers and Interconnectedness between Systemically Important Institutions. Journal of Financial Stability, 58:100963.
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Gender, Credit, and Firm Outcomes. Journal of Financial and Quantitative Analysis, 57(1):359-389.
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Unlocking the black box of private impact investors. Qualitative Research in Financial Markets, 14(1):149-168.
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Does moral commitment predict resistance to corruption? experimental evidence from a bribery game. PLoS ONE, 17(1):e0262201.
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Group cohesion under individual regulatory constraints. Scandinavian Actuarial Journal, 2022(1):80-93.
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History Matters: How Short-Term Price Charts Hurt Investment Performance. Journal of Banking and Finance, 134:106351.
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Adjusted Expected Shortfall. Journal of Banking and Finance, 134:106297.
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Management practises and M&A success. Journal of Banking and Finance, 134:106355.
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Behavioral heterogeneity in the CAPM with evolutionary dynamics. Journal of Evolutionary Economics, 32:1499-1521.
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Sustainable investing and climate transition risk: a portfolio rebalancing approach. Journal of Portfolio Management, 48(10):165-192.
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Insiders and Their Free Lunches: The Role of Short Positions. SIAM Journal on Financial Mathematics, 13(3):877-902.
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2021
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L'injustice sociale à l’heure de la financiarisation et de la digitalisation de l’économie. Filosofia e teologia, 2:243-251.
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Do governments and banks see eye to eye about the environment? Maybe not yet, but can they?. Economic and Political Studies, 9(4):461-462.
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Microfinance as a Mechanism against Financial Exclusion in the European Rural Areas – an Inspiration for the Czech Republic. AGRIS on-line Papers in Economics and Informatics, 13(4):61-69.
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Big data analytics, order imbalance and the predictability of stock returns. Journal of Multinational Financial Management, 62:100717.
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Economic support during the Covid crisis. Quantitative Easing and Lending Support Schemes in the UK. Economics Letters, 209:110138.
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Investor Rewards to Climate Responsibility: Stock-Price Responses to the Opposite Shocks of the 2016 and 2020 U.S. Elections. Review of Corporate Finance Studies, 10(4):748-787.
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Interconnected banks and systemically important exposures. Journal of Economic Dynamics and Control, 133:104266.
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The Price of Law: The Case of the Eurozone Collective Action Clauses. Review of Financial Studies, 34(12):5933-5976.
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Wealthy Private Investors and Socially Responsible Investing: The Influence of Reference Groups. Sustainability, 13(22):12931.
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The Landscape of Blockchain Research: Impacts and Opportunities. Information Systems and e-Business Management, 19:749-755.
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The COVID-19 Pandemic and Sovereign Bond Risk. North American Journal of Economics and Finance, 58:101527.
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The Effect of Stock Liquidity on Cash Holdings: The Repurchase Motiv. Journal of Financial Economics, 142(2):905-927.
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Climate policy and cross-border lending: evidence from the syndicated loan market. Economic and Political Studies, 9(4):463-476.
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The Agency of CoCos: Why Contingent Convertible Bonds Aren’t for Everyone. Journal of Financial Intermediation, 48:100882.
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Connected banks and economic policy uncertainty. Journal of Financial Stability, 56:100920.
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Credit Supply and Demand in Unconventional Times. Journal of Money, Credit and Banking, 53(8):2071-2098.
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Institutional investors and corporate governance. Foundations and trends in finance, 12(4):276-394.
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Do investor sentiments drive cryptocurrency prices?. Economics Letters, 206:109980.
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Banques, monnaie et paiements. Revue d'économie financière, 2(142):135-155.
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Agil und frugal in die Zukunft : Strategien für einen nachhaltigen Umgang mit Ausnahmesituationen. Zeitschrift Führung + Organisation, 04:243-248.
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Illiquiditätsabschläge in der Bewertung von Klein- und Mittelunternehmen (KMU). Expert Focus, 8:10-14.
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Stock Price Effects of Climate Activism: Evidence from the First Global Climate Strike. Journal of Corporate Finance, 69:102018.
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Volatility Dependent Structured Products. The Journal of investing, 30(2):53-60.
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On Lies and Hard Truths. Frontiers in Psychology, 12:96.
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Pareto-Improving Carbon-Risk Taxation. Economic Policy, 36(107):551-589.
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Revisiting optimal investment strategies of value-maximizing insurance firms. Insurance: Mathematics and Economics, 99:131-151.
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The Physics of Financial Networks. Nature Reviews. Physics, 3:490-507.
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“Sorry, We're Closed” Bank Branch Closures, Loan Pricing, and Information Asymmetries. Review of Finance, 25(4):1211-1259.
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Managerial Discretion and Shareholder Capital at Risk. Journal of Business Finance and Accounting, 48(7-8):1215-1245.
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Evolution in pecunia. Proceedings of the National Academy of Sciences of the United States of America, 118(26):e2016514118.
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Short-term institutions, analyst recommendations, and mispricing: The role of higher order beliefs. Journal of Accounting Research, 59(3):911-958.
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Climate risk and financial stability in the network of banks and investment funds. Journal of Financial Stability, 54:100870.
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Accounting for finance is key for climate mitigation pathways. Science, 372(6545):918-920.
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Signaling legitimacy across institutional contexts-The intermediary role of corporate social responsibility rating agencies. Global Strategy Journal, 11(2):304-328.
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Does alternative finance moderate bank fragility? Evidence from the euro-area. Journal of international financial markets, institutions & money, 72:101340.
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Household Inequality, Entrepreneurial Dynamism, and Corporate Financing. Review of Financial Studies, 34(5):2448-2507.
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Law-invariant functionals that collapse to the mean. Insurance: Mathematics and Economics, 98:83-91.
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The Impact of Stricter Merger Control on Bank Mergers and Acquisitions: Too-Big-To-Fail and Competition. Journal of Financial Intermediation, 46:100859.
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Intra‐Horizon expected shortfall and risk structure in models with jumps. Mathematical Finance, 31(2):772-823.
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Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking. Journal of Money, Credit and Banking, 53(2-3):367-400.
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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. Journal of Banking and Finance, 125:106046.
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Neglected Risk in Financial Innovation: Evidence from Structured Product Counterparty Exposure. European financial management, 27(2):287-325.
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In lands of foreign currency credit, bank lending channels run through?. Journal of International Economics, 129:103435.
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The influence of aviation disasters on engine manufacturers: An analysis of financial and reputational contagion risks. International Review of Financial Analysis, 74:101630.
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Universal time preference. PLoS ONE, 16(2):e0245692.
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Carbon tail risk. Review of Financial Studies, 34(3):1540-1571.
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Impact investments: a call for (re)orientation. SN Business & Economics, 1(2):33.
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Collateral Unchained: Rehypothecation networks, concentration and systemic effects. Journal of Financial Stability, 52:100811.
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Network models and stress testing for financial stability: The conference. Journal of Financial Stability, 52:100812.
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Earning Investor Trust: The Role of Past Earnings Management. Journal of Business Finance and Accounting, 48(1-2):269-307.
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Prediction of cryptocurrency returns using machine learning. Annals of Operations Research, 297(1-2):3-36.
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Making Carbon Taxation a Generational Win Win. International Economic Review, 62(1):3-46.
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Law-Invariant Functionals on General Spaces of Random Variables. SIAM Journal on Financial Mathematics, 12(1):318-341.
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Multi-utility representations of incomplete preferences induced by set-valued risk measures. Finance and Stochastics, 25(1):77-99.
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Efficiency convergence in Islamic and conventional banks. Journal of international financial markets, institutions & money, 70:101279.
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Bank capital requirements, loan guarantees and firm performance. Journal of Financial Intermediation, 45:100825.
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Dual representations for systemic risk measures based on acceptance sets. Mathematics and Financial Economics, 15(1):155-184.
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End of Life Decommissioning and Recycling of Solar Panels in the United States. A Real Options Analysis. Journal of Sustainable Finance & Investment, 11(1):82-102.
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Disclosure of Bank Fossil Fuel Exposures. European Economy – Banks, Regulation, and the Real Sector, 4(2):89-103.
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The impact of blockchain on business models in banking. Information Systems and e-Business Management, 19:809-861.
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Behavioural heterogeneity in the capital asset pricing model with an application to the low-beta anomaly. Applied Economics Letters, 28(6):501-507.
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The effect of dispositional greed on individual trading behavior in experimental asset markets. Decision (Washington), 8(2):80-96.
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The social performance of microfinance investment vehicles. Journal of Sustainable Finance, 11(2):163-186.
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Fama–French Factor Timing: The Long-Only Integrated Approach. European financial management, 27(4):666-700.
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2020
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How Green FinTech Can Alleviate the Impact of Climate Change - The Case of Switzerland. Sustainability, 12:10691.
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A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk. Journal of Corporate Finance, 65:101753.
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Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets. Journal of Mathematical Economics, 91:121-135.
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The impact of blockchain related name changes on corporate performance. Journal of Corporate Finance, 65:101759.
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Managerial incentives to take asset risk. Journal of Corporate Finance, 65:101758.
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Patience Is a Virtue: In Value Investing. International Review of Finance, 20(4):1019-1031.
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Feverish Stock Price Reactions to COVID-19. Review of Corporate Finance Studies, 9(3):622-655.
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Surplus-invariant risk measures. Mathematics of operations research, 45(4):1342-1370.
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Optimal Risk-Sharing Across a Network of Insurance Companies. Insurance: Mathematics and Economics, 95:39-47.
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Short-run risk, business cycle, and the value premium. Journal of Economic Dynamics and Control, 120:103993.
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Short-term investors, long-term investments, and firm value: Evidence from Russell 2000 index inclusions. Management Science, 66(10):4535-4551.
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Collateral Damaged? Priority Structure, Credit Supply, and Firm Performance. Journal of Financial Intermediation, 44:100824.
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Graphons, permutons and the Thoma simplex: three mod‐Gaussian moduli spaces. Proceedings of the London Mathematical Society, 121(4):876-926.
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Network valuation in financial systems. Mathematical Finance, 30(4):1181-1204.
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Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements. Technological Forecasting and Social Change, 159:120191.
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Monitoring market participants, externals and financial transactions in a global financial stability environment. Journal of Banking and Finance, 119:105937.
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Financialization and unconventional monetary policy: a financial-network analysis. Journal of Evolutionary Economics, 30:1385-1428.
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Value Reporting and Firm Performance. Journal of International Accounting, Auditing and Taxation, 40:100319.
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What drives risk perception? A global survey with financial professionals and lay people. Management Science, 66(9):3799-4358.
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On the Nature of Corporate Sustainability. Organization & Environment, 33(3):319-341.
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An Advanced Measure of Moral Sensitivity in Business. European Journal of Psychological Assessment, 36(5):864-873.
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Bank Standalone Credit Ratings. International Journal of Central Banking, 16(3):101-144.
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On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options. Journal of Computational Finance, 24(2):33-76.
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Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework. International Review of Law and Economics, 63:105907.
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The effect of unconventional monetary policy on cross-border bank loans: Evidence from an emerging market. European Economic Review, 127:103426.
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Trade credit use as firms approach default. Journal of Money, Credit and Banking, 52(5):1199-1229.
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Violations of coalescing in parametric utility measurement. Theory and Decision, 89:471-501.
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"Finance And Growth" Re-Visited. Journal of Financial Management, Markets and Institutions, 80(1):2050001.
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Portfolio diversification, differentiation and the robustness of holdings networks. Applied Network Science, 5:37.
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Valuing Tradeability in Exponential Lévy Models. Quantitative Finance and Economics, 4(3):459-488.
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Mod-$\phi $ convergence: Approximation of discrete measures and harmonic analysis on the torus. Annales de l'Institut Fourier, 70(3):1115-1197.
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Can Sustainable Investing Save the World? Reviewing the Mechanisms of Investor Impact. Organization & Environment, 33(4):554-574.
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An Evolutionary Finance Model with a Risk-Free Asset. Annals of Finance, 16:593-607.
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The Choice of Valuation Techniques in Practice: Education Versus Profession. Critical Finance Review, 9(1-2):201-265.
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The safe asset, banking equilibrium, and optimal central bank monetary, prudential and balance-sheet policies. Journal of Monetary Economics, 112:113-128.
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Risk measures based on benchmark loss distributions. Journal of Risk and Insurance, 87(2):437-475.
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Cultural preferences and firm financing choices. Journal of Financial and Quantitative Analysis, 55(3):897-930.
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Democracy and credit. Journal of Financial Economics, 136(2):571-596.
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Does risk aversion affect bank output loss? The case of the Eurozone. European Journal of Operational Research, 282(3):1127-1145.
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Default Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks. Management Science, 66(5):1981-1998.
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How rational and competitive is the market for mutual funds?. Review of Finance, 24(3):579-613.
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The financial market effects of international aviation disasters. International Review of Financial Analysis, 69:101468.
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The development of Bitcoin futures: Exploring the interactions between cryptocurrency derivatives. Finance Research Letters, 34:101234.
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What the stock market tells us about the post-COVID-19 world. Nature Human Behaviour, 4(5):440.
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Ability or opportunity to act: What shapes financial well-being?. World Development, 128:104843.
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Fuel the engine: bank credit and firm innovation. Journal of Financial Services Research, 57:115-147.
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Fear, anger and credit. On bank robberies and loan conditions. Economic Inquiry, 58(2):921-952.
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Value and patience: The value premium in a dividend-growth model with hyperbolic discounting. Journal of Economic Behavior & Organization, 172:161-179.
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Time discounting and wealth inequality. American Economic Review, 110(4):1177-1205.
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When Managers Change Their Tone, Analysts and Investors Change Their Tune. Financial Analysts Journal, 76(2):47-69.
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Die Ökosystemstrategie : Disruptive Innovationen mit klassischen Geschäftsmodellen kombinieren und neuen effektiven Mehrwert generieren. Zeitschrift Führung + Organisation, 89(03):168-173.
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Managerial short-termism and investment: Evidence from accelerated option vesting. Review of Finance, 24(2):305-344.
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The importance of climate risks for institutional investors. Review of Financial Studies, 33(3):1067-1111.
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Escaping the Backtesting Illusion. Journal of Portfolio Management, 46(4):81-93.
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Higher Bank Capital Requirements and Mortgage Pricing: Evidence from the Counter-Cyclical Capital Buffer. Review of Finance, 24(2):453-495.
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The relationship between implied volatility and cryptocurrency returns. Finance Research Letters, 33:101212.
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Cost of capital and valuation in the public and private sectors: tax, risk, and debt capacity. Journal of Business Finance and Accounting, 47(1-2):163-187.
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On Becoming an O-SII ("Other Systemically Important Institution"). Journal of Banking and Finance, 111:105723.
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Enforcement actions on banks and the structure of loan syndicates. Journal of Corporate Finance, 60:101527.
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Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions. Journal of Corporate Finance, 60:101518.
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Some borrowers are more equal than others: Bank funding shocks and credit reallocation. Review of Finance, 24(1):1-43.
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A continuous selection for optimal portfolios under convex risk measures does not always exist. Mathematical Methods of Operations Research, 91(1):5-23.
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Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets. Mathematics and Financial Economics, 14:249-262.
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What makes an investment risky? An analysis of price path characteristics. Journal of Economic Behavior & Organization, 169:92-125.
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Optimal dividend policies with random profitability. Mathematical Finance, 30(1):228-259.
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Incomplete market demand tests for Kreps-Porteus-Selden preferences. Journal of Economic Theory, 185:104973.
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Second-Order Risk of Alternative Risk Parity Strategies. Journal of Risk, 21(3):1-25.
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COVID-19 und Aktienkurse. Expert Focus, 10:5.
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How Good Is Tactical Asset Allocation Using Standard Indicators?. Journal of Portfolio Management, 46(6):120-134.
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Stability properties of Haezendonck–Goovaerts premium principles. Insurance: Mathematics and Economics, 94:94-99.
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Existence, uniqueness, and stability of optimal payoffs of eligible assets. Mathematical Finance, 30:128-166.
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Option-Implied Intrahorizon Value at Risk. Management Science, 66(1):397-414.
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