Please note our general information on theses. In addition, please note that most theses supervised by the institute have an empirical part. We therefore recommend that students interested in writing a Master thesis attend the modeling and research courses offered by the finance institutes (Financial Modeling, Research in Finance).

 

SUSTAINABLE FINANCE

Sustainable bond ratings

An example of sustainable bonds are green bonds. These are bonds whose proceeds are used for projects that benefit the environment. There are rating agencies that assess the "greenness" of such bonds, i.e., how much they contribute to the environment. The precise questions you shall work on will be discussed in a meeting. The literature mentioned below is not about ratings (because there is not relevant literature yet) but may help you become familiar with the field. Contact: Prof. Löffler

Literature to get started: ElBannan, M.  & Löffler, G. (2022). How effectively do green bonds help the environment? Working paper.

 

Do green bonds help the environment?

Green bonds are bonds whose proceeds are used for projects that benefit the environment. You shall update key parts of a recent paper on green bonds, and extend it through the analysis of additional research questions.   Contact: Prof. Löffler

Literature to get started: ElBannan, M.  & Löffler, G. (2022). How effectively do green bonds help the environment? Working paper.

 

ASSET PRICING 

Predictability of stock market returns

Forecasting the returns of stock market indices such as the S&P 500 is not easy. One approach that looked promising for a long time has not worked recently, namely combination forecasts. This involves combining different forecasts. In the thesis you shall test whether it is possible to get better results with combination techniques that have not been tested before, and you shall also examine other possible variations of the approach. Contact: Prof. Löffler

Literature to get started: Denk, S. & Löffler, G. (2022). Predicting the Equity Premium with Combination Forecasts: A Reappraisal

 

 

Investing

 

Analysis of investment decisions of professional asset managers

This will be a Master's thesis in cooperation with the investment company Infinigon. The aim of the thesis is to examine how professional asset managers act in different market phases. For this purpose, the buy/sell decisions of such managers should be analyzed over time and linked to macroeconomic market data (such as stock indices). The aim is to examine whether and how conclusions about their risk behavior can be drawn from the managers' investment decisions. The required time series with the relevant data are provided by Infinigon for the work.  Contact: Prof. Löffler 

 

Performance of portfolios sorted on ESG ratings

In this thesis, you shall empirically examine whether stocks with good ESG (Environmental, Social, Governance) ratings perform differently from stocks with worse ESG ratings. In your analysis, you will largely follow previous literature. Such an analysis is interesting because you will use recent data, but also because you will examine an aspect that has not received much attention before. Contact: Prof. Löffler

Literature to get started: Auer, B.R. and Schuhmacher, F., 2016. Do socially (ir) responsible investments pay? New evidence from international ESG data. The Quarterly Review of Economics and Finance, 59, pp.51-62.

 

RISK

Performance of value-at-risk models: an update

The last years have seen a large number of extreme stock market moves, e.g.., in the early days of the Covid pandemic. In your thesis, you shall test for a representative set of value-at-risk (VaR) models how they performed during recent years here and how this performance compares to their prior performance. (The reference listed below examines more models than you are expected to update). Contact: Prof. Löffler

Literature to get started: Nieto, M.R. and Ruiz, E., 2016. Frontiers in VaR forecasting and backtesting. International Journal of Forecasting, 32(2), 475-501.