News

Research

Paper on link between tower building and stock market returns will be published in the Journal of Financial Research. See also article in Handelsblatt (in German).

We would expect that tumbling housing prices go along with falling stock markets. During the years 2008-2009 it was the other way round in the US. A  study, which is forthcoming in the Journal of Banking and Finance, provides an explanation for this puzzling finding.

Can market discipline ensure a sufficient rating quality? - empirical study will be published in the Journal of Financial Services Research.

Award winner

Shiyuan Fan, who finished her Master degree in 2011, has won the first prize in this year’s Acatis Value Competition. The prize was awarded by the investment company Acatis for her master thesis, which she wrote under the supervision of the Institute of Finance. In the thesis, Shiyuan examined the performance of several stock selection strategies in emerging markets. A value strategy based on book-to-market ratios generates the highest returns. In terms of success, it is followed by strategies based on earnings-to-price ratios and analyst earnings forecast revisions. Momentum returns are smaller than in developed markets. No evidence of short- and long-term mean reversal is identified in this study.

A student team of the Institute of Finance has won a 2500 Euro prize, which was awarded as part of the Postbank Finance Award 2011. The students wrote an essay on optimum asset allocation in face of the European debt crisis. Read more (German only).

One of our students has received an award from the French Association of Mutual Funds (3000 Euros) for his master thesis. The prize was awarded in Paris at a commemorative event.

Publications

Credit risk modeling using Excel and VBA

The 2nd edition of the successful book by Gunter Löffler und Peter N. Posch has been released.