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 Research Report for 2008

Abteilung für Quantitative Finanzmarktforschung

Platz der Alten Synagoge
79085 Freiburg i. Br.
Tel: 0761 - 203 9362 Fax: 0761 - 203 9367
Email eva.luetkebohmert@finance.uni-freiburg.de
http://www.finance.uni-freiburg.de


Scientific Employees

  • Dr Naoki Kojima, Ph.D.(Toulouse)
  • Diplom Volkswirt Tobias Brünner
  • Diplom Volkswirt Marco Wölfle
  • Diplom Volkswirt Teja Flotho
  • Diplom Volkswirt Michael Trost
  • Diplom Volkswirt Nikolay Filipov
  • Diplom Volkswirt Ralf Keller
Entries in "Who is Who"

Main Research

  • Pricing of Risk in Incomplete Markets
  • Industrial Structure of the Auditing Industry
  • Price Discovery and Liquidity before the SEC: The Case of the NYSE

Financing

  • NSF - Collaborative Research on "Early Markets: NYSE before the SEC" with Caroline Fohlin (Johns Hopkins University, Baltimore)

Scientific and Research Projects


  • A. Research Group "Pricing of Risk in Incomplete Markets" funded by the German Excellence Initiative (Bertha-Ottenstein Professur)
    • Project Manager: JProf. Dr. Eva Lütkebohmert-Holtz
    • Start/End of project: 01.10.2008 until 30.09.2013
    • Project Details
  • B. Cross-Listings
    • Project Manager: Prof. Dr. Gehrig, Thomas, Prof. Thierry Foucault
    • Start/End of project: 01.05.2002 until 31.05.2008
    • Project Details
  • C. Incentives and Fund Management
    • Project Manager: Prof. Dr. Thomas Gehrig, Prof. Dr. Lukas Menkhoff
    • Start/End of project: 01.10.2003 until 31.12.2008
    • Project Details
  • D. Innovation and Venture Capital
    • Project Manager: Wölfle Marco
    • Start/End of project: 01.09.2005 until 31.12.2008
    • Project Details
  • D. International and Interregional Consumption Risk Sharing
    • Project Manager: Flotho, Teja
    • Start/End of project: 2002 until 2010
    • Project Details

Scientific publications

Journal Articles:
  • Foucault Thierry, Gehrig Thomas P.: Stock Price Informativeness, Cross-Listings, and Investment Decisions J Financ Econ, 2008; 88: 146-168.
  • Kojima, Naoki: Imperfect Competition in Differentiated Credit Contract Markets Annals of Finance, 2008. (in Druck)
  • Peter Carr, Christian-Oliver Ewald, Yajun Xiao: On the qualitative effect of volatility and duration on prices of Asian options Finance Research Letters,, 2008; 5 (3): 162-191.
Book Reviews:
  • Gehrig, Thomas P.: The Internationalization of Asset Ownership (von Harry Huizinga and Lars Jonung) Economica, 2008. (in Druck)
Book Chapters:
  • Gehrig, Thomas P: Location of and Competition between Financial Centers In: Xavier Freixas, Philipp Hartmann, Colin Mayer (Hrsg.): Handbook of European Financial Markets and Institutions Oxford: Oxford University Press, 2008; 619-642.
Oral Presentations:
  • Brünner, Tobias: Do prices in the unmdeiated call auction reflect insider information? An experimental analysis 2008 (University of Frankfurt).
  • Brünner, Tobias: Do prices in the unmdeiated call auction reflect insider information? An experimental analysis 2008 (University of Frankfurt).
  • Forster Barbara, Lütkebohmert Eva, Teichmann Josef: Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance 2008 (8th German Open Conference on Probability and Statistics (Aachen)).
  • Gehrig, Thomas P.: Securitization, Market Ratings and Screening Incentives 2008 (11. Symposium on Finance, Banking and Insurance, Karlsruhe).
  • Gehrig, Thomas P.: Decentralized Screening: Coordination, Multiple Equilibria and Cycles 2008 (Schumpeter Seminar, Humboldt Universität zu Berlin).
  • Gehrig, Thomas P.: Decentralized Screening: Coordination, Multiple Equilibria and Cycles 2008 (Collegio Carlo Alberto, Economics Workshop, Moncalieri).
  • Gehrig, Thomas P.: Price Determination and Liquidity in the early NYSE 1890-1910 (zus. mit Caroline Fohlin und Tobias Bruenner) 2008 (Collegio Carlo Alberto, Capital Markets Workshop, Moncalieri).
  • Gehrig, Thomas P.: Two at the Top? 2008 (Universitaet Wien).
  • Gehrig, Thomas P.: Two at the Top? 2008 (Universität Bochum).
  • Gehrig, Thomas P., Shy, Oz, Stenbacka, Rune: Market Dominance and Behavior-Based Pricing under Horizontal and Vertical Differentiation 2008 (Federal Trade Commission, Washington).
  • Gehrig, Thomas P., Shy, Oz, Stenbacka, Rune: Market Dominance and Behavior-Based Pricing under Horizontal and Vertical Differentiation 2008 (University of Michigan, Ann Arbor).
  • Stenbacka, Rune: Market Dominance and Behavioral Discrimination under Horizontal and Vertical Differentiation (gem. mit Thomas P. Gehrig und Oz Shy) 2008 (Freiburger Fakultätsseminar).
Conference Papers:
  • Brünner,, Tobias: Do Prices in unmediated call auctions reflect inside information? An experimental analysis. 2008 (Econometric Society, European Meeting, Milano).
  • Brünner,Tobias, Fohlin, Caroline, Gehrig, Thomas: Asymmetric Information and the Cost of Trading in the New York Stock Exchange 1890-1910. 2008 (Allied Social Sciences Association Meetings in New Orleans, 4.-6. Januar).
  • Brünner Tobias: Do prices in the unmediaed call auction reflect private information? An experimental analysis. 2008 (4th International Meeting of Experimental and Behavioral Economics, Alicante).
  • Flotho, Teja: Regional consumption smoothing - evidence from German household data 2008 (Scottish Economic Society, Perth, UK).
  • Gehrig, Thomas P: Two at the Top? Quality Choice in Markets with Switching Costs 2008 (Annual Meeting of the European Economic Association, Milano).
  • Gehrig, Thomas P: Comment on: Endogenous Financial Fragility,Payment and Liquidity by Charles Kahn 2008 (Deutsche Bundesbank - CESifo Conference on Liquidity: Concepts and Risks).
  • Gehrig, Thomas P: Wettbewerbsfreiheit und Preisdiskriminierung 2008 (Evolution und Wettbewerb - Erich Hoppmann Gedächtnis Symposium).
  • Gehrig, Thomas P, Stenbacka Rune: Two at the Top: Quality Differentiation with Switching Costs 2008 (Jahrestagung der European Economic Association, Milano).
  • Gehrig, Thomas P, Stenbacka Rune: Market Dominance and Behavior-Based Pricing under Horizontal and Vertical Differentiation 2008 (Jahrestagung der European Economic Association, Milano).
  • Gehrig, Thomas P.: Manager- und Marktversagen aus Finanzmarktsicht 2008 (XXI. Wirtschaftsethisches Forum/Berlin/Evangelische Akademie zu Berlin und Katholische Akademie zu Berlin).
  • Gehrig, Thomas P.: Finanzmärkte - Bedrohung für den Wohlstand? 2008 (Marktwirtschaft in der Vertrauenskrise? Instabile Finanzmärkte, mangelnde Moral und prekäre Mitte /Evangelische Akademie Tutzing).
  • Gehrig, Thomas P.: Decentralized Screening, Multiple Equilibria and Coordination Failure 2008 (Workshop at LUISS (Libera Universita Internationale Degli Studi Sociali), Roma).
  • Güth, Werner, Gehrig, Thomas P., Levinsky Rene, Popova Vera: Do Investors Optimize, Follow Heuristics, or Listen to Experts? 2008 (DFG-NSF Research Conference on Contextualizing Economic Behavior, New York).
  • Kojima,Naoki: Version compatibility and strategy against entry 2008 (Austrian Economic Association, Wien).
  • Kojima,Naoki: Version compatibility and strategy against entry 2008 (ZEW-Workshop, Mannheim).
  • Kojima,Naoki: Version compatibility and strategy against entry 2008 (2nd Workshop on Free Open Source Soft Ware, Universite de Rennes).
  • Kojima, Naoki: Version Compatibility and strategy against entry 2008 (Freiburg-Nagoya Symposium, Nagoya).
  • Stenbacka Rune: Market Dominance and Behvior-Based Pricing (with Thomas Gehrig and Oz Shy) 2008 (Annual Meeting of the European Economic Association, Milano).
  • Woelfle, Marco: Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries 2008 (Annual Meeting, European Financial Management Association, Athens).
  • Woelfle Marco: Price Discovery for Cross-Listed Securities from Emerging Eastern European Countries 2008 (Annual Meeting, Financial Management Association, Prague).
  • Wölfle Marco: Price Discovery of Cross-Lised Stocks of Emerging Economies 2008 (Freiburg-Nagoya Symposium, Nagoya).
Other publications (type Sonstiges):
  • Brünner, Tobias: Transaction Costs in an unmediated call auction in the presence of insider information, Working Paper 2008.
  • Brünner, Tobias, Levinsky, Rene: Do prices in the unmediated call auction reflect insider information? - An experimental analysis, Working Paper 2008.
  • Brünner, Tobias,, Levinsky, Rene, Qiu, Jianying: Skewness preferences and asset allocation: An experimental study, Working Paper 2008.
  • Fohlin, Caroline, Gehrig, Thomas P., Brünner, Tobias: Liquidity and Price Discovery in Unregulated Markets: The New York Stock Exchange before the SEC, Working Paper 2008.
  • Fohlin, Caroline, Gehrig, Thomas P., Brünner Tobias: Liquidity and Price Discovery before the SEC: The New York Stock Exchange 1890-1910, Working Paper 2008.
  • Fohlin, Caroline, Gehrig, Thomas P., Brünner Tobias: Liquidity and Price Discovery in Unregulated Markets (in Carlo Alberto Notebooks) 2008. : http://www.carloalberto.org
  • Gehrig, Thomas P., Guth, Werner, Levinsky, Rene, Popova, Vera: Whom to believe - theory, heuristics or experts?, Working Paper 2008.
  • Gehrig Thomas P, Kotz Hans-Helmut: Credit and Liquidity Risk, Working Paper 2008.

Special Scientific Activities

Preise / Ehrungen:
  • Prof. Thomas P. Gehrig, Ph.D.: Fakultätspreis für herausragende Forschung, 01.10.2008 bis 31.12.2008.
Stipendien:
  • Professor Thomas P. Gehrig: Fellow des Collegio Reale Carlo Alberto, Moncalierei (Torino), 01.03.2008 bis 30.06.2008.
  • Professor Thomas P. Gehrig: Targeted Research Fellow der Ente Luigi Einaudi, Banca d'Italia, Roma, 01.10.2007 bis 30.09.2008.
Ehrung:
  • Professor Thomas P. Gehrig: Hanken Senior Distinguished Fellow, HECER, Helsinki, Finnland, 01.09.2008 bis 31.08.2009.
  • Professor Thomas P. Gehrig, Ph.D.: Member of the Executive Board, European Association for Research in Industrial Economics (EARIE), 01.09.2005 bis 31.08.2011.
Herausgeberschaften:
  • Prof. Thomas P. Gehrig, Ph.D.: Associate Editor, Economica, 01.12.1995 bis 31.12.2008.
Veranstaltung:
  • Prof. Thomas P. Gehrig, Ph.D: Program Committee, Annual Meeting of the European Finance Association, Athens, Greece, 01.01.2008 bis 31.08.2008.
  • Prof. Thomas P. Gehrig, Ph.D.: Konferenzorganisation: Evolution und Freiheitlicher Wettbewerb - Gedenksymposium in Namen von Erich Hoppmann., Freiburg, 20.11.2008 bis 21.11.2008.
  • Prof. Thomas P. Gehrig, Ph.D.: Program Committee, Annual Conference of the European Association for Research in Industrial Economics (EARIE). Toulouse, 01.01.2008 bis 10.09.2008.
  • Prof. Thomas P. Gehrig, Ph.D.: Prodekan der Wirtschafts- und Verhaltenswissenschaftlichen Fakultät und Sprecher der Wirtschaftswissenschaftlichen Institute (Lastfaktor), 01.10.2004 bis 30.09.2008.
  • Prof. Thomas P. Gehrig, Ph.D.: Sprecher der Integrierten Masterstudiengänge (Lastfaktor), 01.06.2001 bis 31.03.2008.
  • Professor Thomas P. Gehrig und Professor Ernst Eberlein: Forschergruppe "Pricing of Risk in Incomplete Markets" , Zukunftskonzept der Albert Ludwigs Universität im Rahmen der Deutschen Exzellenzinitiative, 01.10.2008 bis 30.09.2013.
Fakultaet:
  • Professor Dr. Thomas P. Gehrig: Koordinator des Master of Finance, 01.07.2002 bis 31.08.2010.

Scientific Dissertations

Degree Dissertations
  • Lu Bo: Informed trading and market efficiency in emerging markets, 2008.
  • Weber Christian: Informational Contagion, 2008.
Master
  • Cao, Lin: Cross-border banking: empirical evidence and theoretical explanations, 2008.
  • Koz, Pinar: Price Formation in Online Auctions: A Cross-Cultural Comparison between Germany and Turkey , 2008.
  • Olsen, Kenneth: Did the Eurozone affect Cross-Listings?, 2008.
  • Zhao, Ting: Why do Companies Delist their Stocks?, 2008.




Guest Scientists:

  • Agnieszka Niewinska, Universita di Torino, Italien, Gastforschungsaufenthalt - Promotionsstudium, 01.07.2008 bis 31.07.2009
  • Dr. Sevtap Selcuk-Kestel, METU, Ankara, Türkei, Forschung über Extremwertrisiken, 01.04.2007 bis 30.09.2008
  • Professor Caroline Fohlin, Johns-Hopkins University, Baltimore, USA, Forschungsaufenthalt, Lehrauftrag, 30.06.2008 bis 20.07.2008
  • Professor David Yermack, Stern School of Business (NYU), USA, Gastprofessur, 20.05.2008 bis 30.06.2008
  • Professor Dr. Georg Nöldeke, Universität Basel, Schweiz, Senior Gastlehrauftrag Marktmikrostruktur, 01.11.2008 bis 15.02.2009
  • Professor Dr. Hans-Helmut Kotz, Deutsche Bundesbank, Frankfurt, Forschung über Liquiditätsrisiken sowie gemeinsame Seminare und fortgeschrittene Lehrveranstaltungen zur Banken- und Finanzmarktregulierung, 2005 bis 2009
  • Professor Guglielmo Caporale, Brunel University, United Kindom, Vortrag im Forschungsseminar, 13.02.2008 bis 16.02.2008
  • Professor Karl-Theodor Eisele, Universite Louis Pasteur, Strasbourg, Frankreich, Gastlehrauftrag, 01.01.2008 bis 15.02.2008
  • Professor Rene Levinsky, MPI Jena, Lehrauftrag und Forschungskooperation, 01.05.2008 bis 31.07.2008
  • Professor Robert Hauswald, American University, Washington, USA, Gastlehrauftrag und Forschungsprojekt, 01.06.2008 bis 31.07.2008
  • Professor Rune Stenbacka, Helsinki Center of Economic Research, Finnland, Forschungsaufenthalt, Lehrauftrag, 01.11.2008 bis 30.11.2008
  • Professor Winand Emons, Universität Bern, Schweiz, Gastprofessur, 10.01.2008 bis 15.02.2008