The research focus of the chair is on the analysis of derivative products and the behavior of investors on financial markets. Our research on retail derivatives, i.e. structured products for private investors, lies at the intersection of both areas. Current social and economic developments are mirrored in references to sustainable finance in individual research projects in these areas.
Current research questions include, for example:
- What risk premiums are found in options? Is it rather the risk of sudden jumps or the risk of continuous price fluctuations that is priced?
- Are there transition risk premiums on the market that reflect the transition process from a "brown economy" to a "green economy" with the associated risks?
- Do private investors have a preference for sustainable investments (also) in the area of structured financial products? Are they willing to forego returns in favor of sustainability? Do banks exploit any such willingness?
- On which socio-demographic factors does the preference for sustainable financial products depend? Is there evidence for the legacy hypothesis, according to which young parents in particular act sustainably?
- How does speculator-driven intraday trading for retail derivatives work? What are the behavioral patterns of private speculators? Do banks react to such behavioral patterns in their pricing?
- Is bank default risk reflected in the prices of retail derivatives?
- To what extent do (private) investors experience "regret", i.e. negative emotions associated with ex-post suboptimal investment decisions? What do these emotions depend on? Can they be reduced by other ex-ante decisions?
In addition to these main topics, we are also working on other fields of research, some of which have interfaces with the areas mentioned. These include, for example, intraday effects on stock markets and risk contagion effects between banks and states.