Department Department of Finance

Selected publications

Despite its recent creation, the Department of Finance consistently publishes in leading international Economics, Finance, and Mathematical Statistics journals. It comfortably ranks among the top 10 European finance departments based on the number of top economics (American Economic Review, Econometrica, Journal of Political Economy, Quarterly Journal of Economics, Review of Economic Studies), finance (The Journal of Finance, Review of Financial Studies, Journal of Financial Economics), and mathematical statistics (Annals of Statistics, Bernoulli, Electronic Journal of Statistics) publications per professor.

  • 2024

    • Ardia, David, Laurent Barras, Patrick Gagliardini, and Oliviers Scaillet (2024) Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified. In: Journal of Financial Economics

  • 2023

    • Mies, Fabian and Mark Podolskij (2023). Estimation of mixed fractional stable processes using high-frequency data. In: The Annals of Statistics 51.5.
    • Sodini, Paolo, Lilienfeld-Toal, Ulf von, et al. (2023). Identifying the benefits from homeownership: A Swedish experiment. In: American Economic Review 113.12.

  • 2022

    • Barras, Laurent, Patrick Gagliardini, and Oliviers Scaillet (February 2022). Skill, Scale, and Value Creation in the Mutual Fund Industry. In: Journal of Finance 77.
    • Falato, Antonio, Steri, Roberto, et al. (2022). Rising intangible capital, shrinking debt capacity, and the US corporate savings glut. In: The Journal of Finance 77.5.
    • Holcblat, Benjamin, and Fallaw Sowell (2022). The empirical saddlepoint estimator. In: Electronic Journal of Statistics 16.1.
    • Ivanovs, Jevgenijs, and Mark Podolskij (2022). Optimal estimation of the supremum and occupation times of a self-similar Lévy process. In: Electronic Journal of Statistics, 16.1.
    • Pénasse, Julien (May 2022). Understanding Alpha Decay. In: Management Science 68.5.
    • Pénasse, Julien and Luc Renneboog (July 2022). Speculative Trading and Bubbles: Evidence from the Art Market. In: Management Science 68.7.
    • Pénasse, Julien (February 2022). The missing risk premium in exchange rates. In: Journal of Financial Economics 143.2.

  • 2021

    • Kräussl, Roman, Aleksandar Andonov, and Joshua M. Rauh. (March 2021). Institutional Investors and Infrastructure Investing. In: Review of Financial Studies 34(8).3880-3934.
    • Koijen, Ralph, Koulischer, François, et al. (April 2021). Inspecting the Mechanism of Quantitative Easing in the Euro Area. In: Journal of Financial Economics.
    • Neugebauer, Tibor, Enrica Carbone, and John D. Hey (2021). An Experimental Comparison of Two Exchange Economies: Long-Lived Asset Versus Short-Lived Asset. In: Management Science 67.11.
    • Kräussl, Roman, Renee B. Adams, et al. (2021). Gendered Prices. In: Review of Financial Studies 34(8).3789-3839.
    • Steri, Roberto, B. Nikolov, and L. Schmid (April 2021). The Sources of Financing Constraints. In: Journal of Financial Economics.
    • Pénasse, Julien, Luc Renneboog, and José Scheinkman (August 2021). When a Master Dies: Speculation and Asset Float. In: Review of Financial Studies 34.8.

  • 2020

    • Hubar, Sylwia, Christos Koulovatianos, and Jian Li. (2020) The role of labor-income risk in household risk-taking. In: European Economic Review 129.
    • Kräussl, Roman and Whitaker Amy (2020). Blockchain, Fractional Ownership, and the Future of Creative Work. In: Management Science.
    • Kräussl, Roman, R Adams, et al. (2020). Gendered prices. In: Review of Financial Studies.
    • Neugebauer, Tibor, Tim A. Carl ́e, et al. (February 2019). Heterogeneity of Beliefs and Trade in Experimental Asset Markets. In: Journal of Financial and Quantitative Analysis 54(1).
    • Podolskij, Mark, Bezirgen Veliyev, and Nakahiro Yoshida (2020). Edgeworth expansion for Euler approximation of continuous diffusion processes. In: Annals of Applied Probability 30.4.

  • 2019

    • Grønneberg, Steffen and Benjamin Holcblat (2019). On partial-sum processes of ARMAX residuals. In: The Annals of Statistics 47.6.
    • Koulovatianos, Christos, Carsten Schröder, and Ulrich Schmidt (2019). Do demographics prevent consumption aggregates from reflecting micro-level preferences?.” In: European Economic Review 111.
    • Neugebauer, Tibor and CHARNESS GARY (2019). A Test of the Modigliani-Miller Invariance Theorem and Arbitrage in Experimental Asset Markets. In: Journal of Finance 74(1).
    • Steri, Roberto, B. Nikolov, and L. Schmid (April 2019). Dynamic Corporate Liquidity. In: Journal of Financial Economics 132.1.

  • 2018

    • Dugast, Jérôme and Thierry Foucault (2018). Data abundance and asset price informativeness. In: Journal of Financial economics 130.2.

  • 2017

    • Chetty, Raj, Adam Szeidl, and Laszlo Sandor (21 April 2017). The Effect of Housing on Portfolio Choice. In: Journal of Finance 72.3.

  • 2016

    • Kräussl, Roman, P. Verwijmeren, and A. Korteweg (2016). Does it pay to invest in art? A selection-corrected returns perspective. In: Review of Financial Studies 29.4.

  • 2015

    • Kräussl, Roman, N. Jegadeesh, and Joshua M. Pollet (2015). Risk and expected returns of private equity investments: Evidence based on market prices. In: Review of Financial Studies 28(12).
    • Stefanova, Denitsa and Redouane Elkamhi (2015). Dynamic Hedging and Extreme Asset Co-movements. In: Review of Financial Studies 28.3.

  • Before 2014

    • DeMiguel, Victor et al. (December 2013). Improving Portfolio Selection Using Option-Implied Volatility and Skewness. In: Journal of Financial and Quantitative Analysis 48.06.
    • Wolff, Christian, D. Bams, and Thorsten Lehnert (2009). Loss Functions in Option Valuation: A Framework for Model Selection. In: Management Science 55.5.
    • Wolff, Christian, Theo Vermaelen, and George Pennacchi (2014). Contingent Capital: The Case of COERCs. In: Journal of Financial and Quantitative Analysis.
    • Jylhä, Petri, Kalle Rinne, and Matti Suominen (July 2014). Do Hedge Funds Supply or Demand Liquidity? In: Review of Finance 18.4.

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