Seminar "Selected Topics from Finance"

The seminar is open to Master students.

In this seminar, we will study research from asset pricing and investing. 

To successfully pass the seminar you need to write a paper and give a presentation. Papers can be written in either German or English and should have a length of 15-20 (team of two) or 20-25 pages (team of three). For hints on how to write a paper see our guidelines. You need to hand in a printed and a digital version (pdf) of your paper, as well as data and code for your empirical analysis. The seminar talks should be given in English.

In case of further questions please feel free to contact Christof Ganzhorn.

• Do we get a grade? Yes. Your paper and your presentation will be graded and lead to one grade (equally weighted). Both the paper and presentation have to be passed.
• What do we have to hand in? A paper (around 10 days before the presentation) and your presentation files (around 2 days before the presentation)
• Who is responsible? For content-related questions, please contact your supervisor.

• Mon. 27.01.2025 - Thu. 30.01.2025: Students must submit their preferences over seminars for the first matching round. Link to the platform for submission of preferences:  English     German
• Fri. 31.01.2025: 1st round of seminar matching. The matching algorithm runs during that day.
• Wed. 05.02.2025: 2nd round of seminar matching. The matching algorithm runs during that day.
• tba  Topic allocation on Taddle
• tba  Registration at the Higher Services Portal
• tba  Contact your supervisor to discuss the outline of the paper
• tba  Submission of the paper

• tba  (around end of May to end of June)  Presentations 

   

The topics already listed below give you a good idea of the type of topics available in this seminar. We will add more topics before the topic allocation, which happens after seminar places have been allocated. 

General Remark: Topics will include an empirical part for which you will prepare and analyze data. We will provide you with hints on how to download or obtain the data. You can choose which software to use to analyze the data. In your presentation, you shall also give an insight into your data preparation and coding. Do not ask the authors of the original papers if they can provide you with their code. We expect you to do the coding yourself, and we expect all members of a team to be familiar with the coding and data preparation. 

 

1. Predictability and Naïve Model Averaging 

In your seminar, you are required to replicate parts of the analysis conducted by Chen et al. (2023). As a first step, summarize their methodology and describe the key idea behind the concept of Naïve Model Averaging (NMA). For your empirical approach, implement the NMA method on a different setting, analyze and summarize your findings. Lastly, discuss the NMA method critically. To get a better understanding of the topic, you might have a closer look at Goyal & Welch (2008).

Literature:

Huafeng (Jason) Chen, Liang Jiang, Weiwei Liu, Predicting Returns Out of Sample: A Naïve Model Averaging Approach, The Review of Asset Pricing Studies, Volume 13, Issue 3, September 2023, Pages 579–614, https://doi.org/10.1093/rapstu/raac021

Supervisor: Christof Ganzhorn

 

2. The Cross-Section of Stock Returns Around the World 

In your seminar paper, you are required to replicate parts of the analysis conducted by Braggion et al. (2024). Summarize their methodology and central characteristics of early 20^th century’s capital markets. For your empirical approach, some of the anomalies discussed in the paper are to  be investigated. Compare your results to the ones obtained by Braggion et al. (2024) and discuss them critically.  

Literature: 

Fabio Braggion, Joost Driessen, Lyndon Moore, The Cross-Section of Stock Returns Around the World in the Early Twentieth Century, The Review of Asset Pricing Studies, 2024;, raae014, https://academic.oup.com/raps/advance-article/doi/10.1093/rapstu/raae014/7879348?searchresult=1

Supervisor: Christof Ganzhorn

 

3. Four centuries of return predictability

In your seminar paper, you are required to replicate parts of the analysis conducted by Golez and Koudijs (2018). Summarize their methodology and key results. For your empirical approach, conduct forecasts for returns. Illustrate your findings graphically as done in the paper and discuss your results critically.

Literature:

GOLEZ, Benjamin; KOUDIJS, Peter. Four centuries of return predictability. Journal of Financial Economics, 2018, 127. Jg., Nr. 2, S. 248-263 https://www.sciencedirect.com/science/article/pii/S0304405X17303185

Supervisor: Christof Ganzhorn

 

4. War Discourse and Disaster Premium

Hirshleifer et al. (2024) explore the predictive power of media discourse topics, focusing on disaster-related themes like war and pandemics, for stock market excess returns. 

In your seminar work, you shall describe the methodology and key findings of Hirshleifer et al. (2024), focusing on the predictive power of media discourse topics for stock market returns. Additionally, extend and replicate parts of their analysis. Compare the performance of the discourse-based predictions with standard economic predictors, analyzing both in-sample and out-of-sample periods.

Literature:

Hirshleifer, D., Mai, D., & Pukthuanthong, K. (2024). War Discourse and Disaster Premium: 160 Years of Evidence from the Stock Market. The Review of Financial Studies.

Supervisor: Stefan Rausch

 

5. Salience Theory and the Cross-Section of Stock Returns

Cakici and Zaremba (2022) explore the role of salience theory in asset pricing across 49 international markets. They extend the findings of earlier research by demonstrating how investors’ focus on salient attributes-returns that stand out-can influence stock performance. 

In your seminar work, you shall describe the methodology and key findings of Cakici and Zaremba (2022). Additionally, extend their analysis by replicating and updating the results for selected stock markets. Focus on whether salience theory (ST) values predict future monthly stock returns in the cross-section for the chosen markets. Discuss any observed deviations from the original results and their implications for the robustness and practical application of salience theory in asset pricing.

Literature:

Cakici, N., & Zaremba, A. (2022). Salience Theory and the Cross-Section of Stock Returns: International Evidence. Journal of Financial Economics 146, 689–725.

Supervisor: Stefan Rausch

 

6. Revisiting Carbon Returns

Shaojun Zhang (2024) investigates the pricing of carbon transition risks and their impact on global equity markets. The study identifies the previously documented carbon premium, defined as the return differential between high-emission (brown) and low-emission (green) firms, as arising from forward-looking information embedded in emissions data rather than a traditional risk premium. 

In your seminar work, you shall summarize the methodology and findings of Zhang (2024), focusing on the role of carbon intensity as a measure of transition risk, why the carbon return spread cannot be understood as a traditional risk premium and the factors driving cross-country variation in carbon returns. Additionally, replicate parts of their analysis and analyze whether your findings are similar to those observed in Zhangs' (2024) study. 

Literature:

Zhang, S. (2024). Carbon Returns across the Globe. The Journal of Finance.

Supervisor: Stefan Rausch

 

7. The Brand Premium: Reassessing the Market Pricing of Brand Capital

Brand capital is a key intangible asset that contributes to firm value, yet its pricing in financial markets remains debated. Boustanifar and Kang (2024) examine whether firms with strong brands earn abnormal stock returns by analyzing output-based measures of brand value. Their findings suggest that firms with strong brands generate abnormal monthly excess returns, particularly when brand value is developed internally rather than through acquisitions.

In your seminar work, you shall summarize the methodology and key findings of Boustanifar and Kang (2024). Explain how their measure of brand value is different from other measures and discuss how their results challenge conventional asset pricing models and what their findings imply for investment strategies. Additionally, replicate parts of their analysis and analyze whether their findings still hold up in recent years after their study period.

Literature:

Hamid Boustanifar, Young Dae Kang, The Brand Premium, The Review of Financial Studies, Volume 38, Issue 1, January 2025, Pages 294–336

Supervisor: Stefan Rausch

Prof. Dr. Gunter Löffler

Christof Ganzhorn

Stefan Rausch

 

see timetable

This seminar is open for Master students.