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

in Journal of Empirical Finance (in press)

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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 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 detailSpillovers to small business credit risk
Wolff, Christian UL

Report (2019)

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

in Banks and Bank Systems (2019)

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

Diverse speeches and writings (2018)

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

Diverse speeches and writings (2018)

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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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See detailAre Capital Requirements on Small Business Loans Flawed?
Wolff, Christian UL; Bams, Dennis; Magdalena, Pisa

E-print/Working paper (2018)

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See detailCross-border mergers and acquisitions: Evidence from the Indochina region
Wolff, Christian UL; Ekkayokkaya, Manapol

in Finance Research Letters (2017), 23

We study cross-border mergers and acquisitions (M&As) in ten countries in the Indochina region during the period 1993–2015. Countries with a French colonial history showed markedly lower levels of cross ... [more ▼]

We study cross-border mergers and acquisitions (M&As) in ten countries in the Indochina region during the period 1993–2015. Countries with a French colonial history showed markedly lower levels of cross-border M&As (value as well as volume) than other countries, whether previously colonized or not. This difference persists even after accounting for the known drivers of cross-border M&A activity, including legal origin, trade openness, and labor cost levels. Together, these findings suggest that the colonial past of a country plays an important role in cross-border M&A activity. [less ▲]

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See detailWho Trade at Better Prices?
Wolff, Christian UL; Ekkayokkaya, Manapol

E-print/Working paper (2017)

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Peer Reviewed
See detailCross-border mergers and acquisitions: Evidence from Indochina
Wolff, Christian UL

E-print/Working paper (2017)

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See detailBest Paper Award
Wolff, Christian UL

Diverse speeches and writings (2017)

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