References of "Wolff, Christian 50003342"
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See detailLocal Organiser, European Shadow Financial Regulatory Committee Meeting
Wolff, Christian UL

Scientific Conference (2020, February)

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See detailSpillovers to small business credit risk
Wolff, Christian UL

in Small Business Economics (2020)

Do large credit risk shocks spill over to small businesses and affect their real economic activity? Using information on small business credit risk, we find that small businesses show increased default ... [more ▼]

Do large credit risk shocks spill over to small businesses and affect their real economic activity? Using information on small business credit risk, we find that small businesses show increased default and bankruptcy rates following a shock to a customer industry. On an industry level, the shock to a customer industry is followed by a decrease in industry markups, disproportionate closure of firms, and cutbacks in inventories. Our analysis quantifies the elevated credit risk among small businesses and suggests a non-negligible 0.83% increase in expected losses on a diversified loan portfolio following a credit risk shock. This study provides banks and supervisors with greater clarity on timing and on the extent of elevated small business credit risk. It also allows them to assess the exposure of a bank portfolio to fluctuations in small business default rate. Such improved default prediction reduces credit rationing to the small business economy. [less ▲]

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See detailMember, Management Board, European Banking Center Network
Wolff, Christian UL

Diverse speeches and writings (2020)

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See detailExecuting trades in style: Retail investors vs. institutions
Wolff, Christian UL

in Asia-Pacific Journal of Accounting and Economics (2020)

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See detailAssociate Editor, Pacific Basin Finance Journal
Wolff, Christian UL

Diverse speeches and writings (2020)

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See detailAssociate Editor, Journal of International Financial Markets, Institutions and Money
Wolff, Christian UL

Diverse speeches and writings (2020)

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See detailAre Capital Requirements on Small Business Loans Flawed?
Wolff, Christian UL

in Journal of Empirical Finance (2019), 52

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See detailSkewness Risk Premium: Theory and Empirical Evidence
Lin, Yuehao; Lehnert, Thorsten UL; Wolff, Christian UL

in International Review of Financial Analysis (2019), 63

Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium ... [more ▼]

Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for holding stocks when the market skewness risk premium is high. However, when we characterize periods of high and low risk aversion, we show that in line with theory, the relationship only holds when risk aversion is high. In periods of low risk aversion, investors demand lower risk compensation, thus substantially weakening the skewness-risk-premium-return trade off. [less ▲]

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See detailResearch visit, Chulalongkorn University, Bangkok, Thailand
Wolff, Christian UL

Scientific Conference (2019, April)

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See detailOrganiser, European Banking Center (EBC) Network Conference
Wolff, Christian UL

Scientific Conference (2019, March)

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See detailAre retail investors noise traders?
Wolff, Christian UL

in VoxEU (2019)

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See detailThe Determinants of CoCo Bond Prices
Wolff, Christian UL; Abed Masror Khah, Sara UL; Vermaelen, Theo

in Journal of Derivatives (2019)

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See detailDividend Policy Decisions and Ownership Concentration: Evidence from Thai Public Companies
Wolff, Christian UL

Report (2019)

In this paper we examine the relationship between ownership concentration and dividend policy for Thai publicly listed companies. High family ownership firms have higher dividend payouts than low family ... [more ▼]

In this paper we examine the relationship between ownership concentration and dividend policy for Thai publicly listed companies. High family ownership firms have higher dividend payouts than low family ownership firms, which we interpret to mean high family ownership firms follow a more rational dividend policy. This finding is consistent with the prediction that agency conflicts between the managers and shareholders are lower at firms with a controlling shareholder. The evidence is robust through different econometric specifications, robust when the level used to determine the extent of family ownership (family control) is lowered to 10 percent of the outstanding shares, and robust to the inclusion of the ownership wedge as a proxy for the severity of agency conflicts. [less ▲]

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See detailSpillovers to small business credit risk
Wolff, Christian UL

Report (2019)

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See detailAssociate Editor, Banks and Bank Systems
Wolff, Christian UL

Diverse speeches and writings (2019)

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See detailSkewness Risk Premium: Theory and Empirical Evidence
Wolff, Christian UL

in International Review of Financial Analysis (2019)

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See detailAssociate Editor, Pacific Basin Finance Journal
Wolff, Christian UL

in Wolff, Christian (Ed.) pacific basin (2019)

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See detailAssociate Editor, Journal of International Financial Markets, Institutions and Money
Wolff, Christian UL

Diverse speeches and writings (2019)

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See detailAssociate Editor, Journal of International Financial Markets, Institutions and Money
Wolff, Christian UL

Diverse speeches and writings (2018)

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See detailExecuting Trades in Style: Retail Investors vs. Institutions
Wolff, Christian UL; Ekkayokkaya, Manapol

E-print/Working paper (2018)

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