Publications
Textbooks
- Credit Risk Modeling using Excel and VBA 2e (Wiley, 2010, with Peter N. Posch)
- Finanzierung (Books on Demand, 2022)
Working Papers
- Valuation and design of sustainability-linked bonds (2023, with An Chen and Maria Hinken)
Journals
- Predicting the equity premium with combination forecasts: a reappraisal. Review of Asset Pricing Studies (forthcoming, with Sebastian Denk)
- Analyst distance and credit rating consistency. Journal of International Money and Finance (forthcoming, with Marc Altdörfer and Andre Guettler)
- How effectively do green bonds help the environment? Journal of Banking and Finance (2024) 158, 107051 (with Mona ElBannan). Internet Appendix
- Equity premium forecasts tend to perform worse against a buy-and-hold benchmark. Critical Finance Review (2022) 11, 65-77. http://dx.doi.org/10.1561/104.00000110. Appendix. Code.
- Negative news and the stock market impact of tone in rating reports. Journal of Banking and Finance (2021) 133, 106256 (with Lars Norden and Alexander Rieber)
- Does the value premium decline with investor interest in value? Journal of Behavioral Finance (2020) 4, 399-411.
- The systemic risk implications of using credit ratings versus quantitative measures to limit bond portfolio risk. Journal of Financial Services Research (2020) 58, 39-57.
- The case for a European rating agency: evidence from the Eurozone sovereign debt crisis. Journal of International Financial Markets, Institutions & Money (2019) 58, 1-18 (with Marc Altdörfer, Carlos De las Salas and Andre Guettler)
- Predatory short sales and bailouts. German Economic Review (2019) 20, e469-e491 (with Sebastian Kranz and Peter N. Posch)
- Pitfalls in the use of systemic risk measures. Journal of Financial and Quantitative Analysis (2018) 53, 269-298 (with Peter Raupach)
- A long-run performance perspective on the technology bubble. Financial Review (2018) 55, 379-412 (with Maximilian Franke)
- Is contagion infecting your portfolio? A study of the euro sovereign debt crisis, Journal of Fixed Income (2016) 25, 46-57 (with Dirk G. Baur)
- Predicting the equity premium with the demand for gold coins and bars, Finance Research Letters (2015) 13, 172–178 (with Dirk G. Baur)
- Tower building and stock market returns . Journal of Financial Research (2013) 36, 413:434.
- Wall Street's bail-out bet: Market reactions to house price releases in the presence of bail-out expectations. Journal of Banking and Finance (2013) 37, 5147-5158 ( with Peter N. Posch)
- Can market discipline work in the case of rating agencies? Some lessons from Moody's stock price. Journal of Financial Services Research (2013) 43, 149-174.
- Can rating agencies look through the cycle? Review of Quantitative Finance and Accounting (2013) 40, 623-646.
- Incorporating the dynamics of leverage into default prediction . Journal of Banking and Finance (2011) 35, 3351-3361 (with Alina Maurer)
- Measuring the effects of geographical distance on stock market correlation, Journal of Empirical Finance (2011) 18, 237-247(with Stefanie Eckel, Alina Maurer and Volker Schmidt)
- Corporate bond defaults are consistent with conditional independence. Journal of Credit Risk (2010), (with Florian Kramer)
- The complementary nature of ratings and market-based measures of default risk. Journal of Fixed Income (2007) Summer, 38-47.
- Who knows what when? The information content of pre-IPO prices. Journal of Financial Intermediation (2005) 14, 466-484, with Patrick F. Panther and Erik Theissen)
- Avoiding the rating bounce: Why rating agencies are slow to react to new information. Journal of Economic Behavior and Organization 56 (2005), 365-381.
- Ratings versus market-based measures of default risk in portfolio governance. Journal of Banking and Finance 28 (2004), 2715-2746.
- Implied asset value distributions. Applied Financial Economics 14 (2004), 875-883.
- Evaluating credit risk models using loss density forecasts. Journal of Risk 4 (2003), with Hergen Frerichs. Reprinted in: Jorion, P. (2004): Innovations in risk management. Seminal Papers from the Journal of Risk.
- An anatomy of rating through the cycle. Journal of Banking and Finance 28 (2004), 695-720
- What is at stake when determining lifetime asset allocation. Kredit und Kapital 26 (2003), 254-280.
- The effects of estimation error on measures of portfolio credit risk. Journal of Banking and Finance 27 (2003), 1427-1453.
- Ausfallorientierte Performanceanalyse. Finanzmarkt und Portfoliomanagement 14 (2000), 239-51.
- Bestimmung des Anlagerisikos bei Aktiensparplänen. Die Betriebswirtschaft 60 (2000), 350-361.
- Refining the Carlson-Parkin Method. Economics Letters 64 (1999), 167-171.
- Die Verarbeitung von Gewinnprognosen auf dem deutschen Aktienmarkt. Zeitschrift für betriebswirtschaftliche Forschung 51 (1999), S. 128-147.
- Biases in Analyst Forecasts - Cognitive, Strategic, or Second-best? International Journal of Forecasting 14 (1998), 261-275. Reprinted in Batchelor/Dua (2003): Financial Forecasting, Volume I.
- Welche Faktoren beeinflussen erwartete Aktienrenditen? - Eine Untersuchung anhand von Umfragedaten. Zeitschrift für Wirtschafts-und Sozialwissenschaften 2 (1997), 209-246 (with Martin Weber).
Other
- Understanding the Corporate Bond Yield Curve. Pension Forum 15 (2004), 2-34 (with Holger Höfling and Rüdiger Kiesel)
- Anlagestrategien für die private Altersvorsorge. In: Horstkotte, C. und I. Westphal (Hrsg.): Asset Management 2002. Schaeffer-Poeschel (2001), 23-36.
- Über- und Unterreaktion von Finanzanalysten. Behavioral Finance Group, Band 7 (with Martin Weber).
Dissertation
- Der Beitrag von Finanzanalysten zur Informationsverarbeitung: Eine empirische Untersuchung für den deutschen Aktienmarkt. Hrsg. von Prof. Dr. Jan Pieter Krahnen und Prof. Richard Stehle, Ph.D. Deutscher Universitätsverlag 1998.