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Publications

Current Working Papers

O. Beckmann
Implications of the Regulatory Treatment of Sovereign Exposures for Bank Behavior.
Working Paper, Hagen 2023. Download (via SSRN).
R. Baule, F. Jensen
How is Credit Risk Priced in the German Market for Structured Products?
Working Paper, Hagen 2024. Download (via SSRN).
R. Baule, L. Sperling
Transition Risk Premiums in Option Prices.
Working Paper, Hagen 2024. Download (via SSRN).

- R. Baule, O. Beckmann, C. Tallau
  Bank Capital Regulation and the Sovereign-Bank Nexus: Evidence from European Banks.
  Forthcoming: Journal of Financial Regulation and Compliance.
- F. Jensen
  Aufmerksamkeit und Informationsdefizite auf dem deutschen Markt der strukturierten Finanzprodukte im Zusammenhang mit wirtschaftlichen Umbrüchen.
  Berliner Wissenschafts-Verlag, Stuttgart, 2026.
- S. Schlie, X. Zhou
  Interday Cross-Sectional Momentum: Global Evidence and Determinants.
  Finance 47 (1/2026), 97–141.
- R. Baule, B. Frijns, S. Schlie
  Feedback Trading: The Intraday Case of Retail Derivatives.
  Journal of Futures Markets 44 (9/2024), 1487–1507.

- R. Baule, P. Münchhalfen, D. Shkel, C. Tallau
  Fair-washing in the market for structured retail products? Voluntary self-regulation versus government regulation.
  Journal of Banking & Finance 148 (3/2023), 106749.

- R. Baule
  Counterparty Risk Allocation.
  Journal of Risk 25 (1/2022), 49–74.
- R. Baule, M. Naumann
  Flexible Short-Term Electricity Certificates—An Analysis of Trading Strategies on the Continuous Intraday Market.
  Energies 15 (17/2022), 6344.
- R. Baule, P. Rosenthal, D. Shkel
  Barrier Option Pricing with Trading and Non-Trading Hours.
  Wilmott Magazine 119 (5/2022), 44–50.
- R. Baule, P. Münchhalfen
  What is your Desire? Retail Investor Preferences in Structured Products.
  Review of Behavioral Finance 14 (2/2022), 197–222.
- R. Baule, O. Entrop, S. Wessels
  Performance Measurement for Option Portfolios in a Stochastic Volatility Framework.
  Quantitative Finance 22 (3/2022), 519–539.
- R. Baule, P. Rosenthal
  Time-Discrete Hedging of Down-and-Out Puts with Overnight Trading Gaps.
  Journal of Risk and Financial Management 15 (1/2022), 29.

- R. Baule, C. Tallau
  The Risk Sensitivity of Basel Risk Weights and Loan Loss Provisions: Evidence from European Banks.
  European Journal of Finance 27 (18/2021), 1855–1886.
- R. Baule, D. Shkel
  Model Risk and Model Choice in the Case of Barrier Options and Bonus Certificates.
  Journal of Banking & Finance 133 (12/2021), 106307.
- R. Baule, M. Naumann
  Volatility and Dispersion of Hourly Electricity Contracts on the German Continuous Intraday Market.
  Energies 14 (22/2021), 7531.
- R. Baule
  Credit Risk in Derivative Securities—A Simplified Approach.
  Journal of Futures Markets 41 (5/2021), 641–657.
- P. Münchhalfen, R. Gaschler
  Attention Distribution of Current Key Investor Documents—Standardization as a Long-Term Goal of the PRIIP Regulation.
  Journal of Consumer Policy 44 (1/2021), 73–94.

- K. Niehoff, P. Laskowski
  Price Differences between Voting and Non-Voting Shares in Crisis and Boom.
  Management International 23 (2019), 64–84.
- R. Baule
  The Cost of Debt Capital Revisited.
  Business Research 12 (2/2019), 721–753.
- R. Baule, O. Korn, L.-C. Kuntz
  Markowitz with Regret.
  Journal of Economic Dynamics and Control 103 (6/2019), 1–24.
- R. Baule, H. Wilke
  Of Leaders and Followers—An Econometric Analysis of Equity Analysts and Stock Market Investors.
  International Journal of Finance and Economics 24 (1/2019), 508–526.

- M. R. W. Hiebl, R. Baule, A. Dutzi, M. T. Menk, V. Stein, A. Wiedemann
  Roles and Actors in Risk Governance.
  Journal of Risk Finance 19 (4/2018), 318–326.
- R. Baule, B. Frijns, M. Tieves
  Volatility Discovery and Volatility Quoting on Markets for Options and Warrants.
  Journal of Futures Markets 38 (7/2018), 758–774.
- R. Baule, C. Tallau
  Minimum capital under Basel III: Adequate for the next crisis?
  FIRM Yearbook 2018, 135–137.

- R. Baule, P. Münchhalfen, D. Shkel
  Disclosure of fair certificate prices using the Issuer Estimated Value.
  FIRM Yearbook 2017, 182–184.

- R. Baule, H. Wilke
  Existence and Exploitability of Financial Analysts' Informational Leadership.
  Applied Finance Letters 5 (2/2016), 2–11.
- K. Niehoff
  Price Discovery in Voting and Non-Voting Stocks.
  Schmalenbach Business Review 17 (3/2016), 285–307.
- R. Baule, C. Tallau
  Revisiting Basel Risk Weights—Cross-Sectional Risk Sensitivity and Cyclicality.
  Journal of Business Economics 86 (8/2016), 905–931.
- R. Baule, O. Korn, S. Saßning
  Which Beta is Best? On the Information Content of Option-Implied Betas.
  European Financial Management 22 (3/2016), 450–483.
- P. Blonski, S. C. Blonski
  Are individual investors dumb noise traders?
  Qualitative Research in Financial Markets 8 (1/2016), 45–69.
- R. Baule, C. Tallau
  Stock Returns Following Large Price Changes and News Releases—Evidence from Germany.
  Credit and Capital Markets 49 (1/2016), 57–91.
- R. Baule, C. Soost
  Pay for Performance Versus Nonfinancial Incentives in Small and Medium-Sized Enterprises.
  International Journal of Entrepreneurial Venturing 8 (1/2016), 24–45.

- R. Baule, C. Tallau
  Risk weighting and risk sensitivity.
  FIRM Yearbook 2015, 26–28.
- R. Baule, P. Blonski
  The Demand for Warrants and Issuer Pricing Strategies.
  Journal of Futures Markets 35 (12/2015), 1195–1219.
- R. Baule, P. Blonski
  The Demand Function for Bank-Issued Warrants.
  Applied Finance Letters 4 (1&2/2015), 12–19.
- R. Baule, P. Blonski, T. Demmer, A. Wiedemann
  Persuasion of Individual Investors by Scenarios.
  Schmalenbach Business Review 67 (7/2015), 333–348.

- R. Baule, C. Tallau
  New paradigms in banking supervision?
  FIRM Yearbook 2014, 23–24.
- R. Baule
  Allocation of Risk Capital on an Internal Market.
  European Journal of Operational Research 234 (1/2014), 186–196.

- R. Baule, A. Wiedemann
  Regulation of the issuance of structured financial products for retail investors.
  FIRM Yearbook 2013, 103–104.
- R. Baule, C. Tallau
  Stock Price Dynamics of Listed Growth Companies—Evidence from the Options Market.
  The IUP Journal of Applied Finance 19 (1/2013), 5–26.
  Download (Preprint via SSRN).

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