Financial Institutions

Research focus areas

The research focus areas of the chair include, among others:

  • intermediary-based asset pricing
  • asset management
  • market microstructure

In our research on asset management, we identify factors that influence the success of fund managers, such as biographical background, socio-demographic characteristics, or the work environment within the fund company. Within our research on market microstructure, we analyze how digitalization affects information processing and price formation in financial markets, as well as how reforms of financial market structures impact the risk-taking behavior of market participants and market liquidity (e.g., transaction costs).

Methodologically, we are interested in both empirical and theoretical research questions. In econometric work, we employ time series as well as panel data analyses. Our approach aims to strengthen the robustness of our research results by using a broad range of methods. In particular, we seek to apply innovative identification strategies.

You can find literature available in our libraries through the Katalog Plus or through the SWB.
 

List of publications

2022
The Effect of Sentiment on Institutional Investors: A Gender Analysis
In: SSRN
(Monika Gehde-Trapp together with Linda Klingler)
 

 

2020
Meet Me in the Middle – Central Clearing and Netting Efficiency in the Credit Default Swap Market
In: SSRN
(Monika Gehde-Trapp together with Gregor Schönemann)

Donald Trump, investor attention and financial markets
In: 3rd International Conference on Advanced Research Methods and Analytics (CARMA2020)
(Monika Gehde-Trapp together with Tapas Tanmaya Mohapatra)

 

2019
The effect of central clearing on netting efficiency in the market for credit default swaps
In: 26th Annual Meeting of the German Finance Association (DGF)
(Monika Gehde-Trapp together with Gregor Schönemann)

Who provides liquidity in the market for credit default swaps?
Working Paper
(Monika Gehde-Trapp together with Peter Feldhütter and Yalin Gündüz)

 

2018
The Term Structure of Bond Liquidity
In: Journal of Financial and Quantitative Analysis, 53/5, 2161-2197
(Monika Gehde-Trapp together with Philipp Schuster and Marliese Uhrig-Homburg) 

The Investment Value of Fund Managers´ Experience outside the Financial Sector
In: Review of Financial Studies, 31/10, 3821-3853
(Monika Gehde-Trapp together with Gjergji Cici, Marc-André Göricke and Alexander Kempf)

 

2017
Resiliency: A Dynamic View of Liquidity
Working Paper
(Monika Gehde-Trapp together with Daniel Mayston, Alexander Kempf and Pradeep Yadav)

Investor Sentiment, Flight-to-Quality, and Corporate Bond Comovement 
In: Journal of Banking and Finance, 82, 112-132
(Monika Gehde-Trapp together with Sebastian Bethke and Alexander Kempf)

 

2016
Forecasting Credit Default Swaps using Social Media
Working Paper
(Monika Gehde-Trapp together with Sebastian Bethke)

A heterogeneous agents equilibrium model for the term structure of bond market liquidity
Working Paper
(Monika Gehde-Trapp together with Philipp Schuster and Marliese Uhrig-Homburg)

 

2015
The Liquidity Premium in CDS Transaction Prices: Do Frictions Matter?
In: Journal of Financial Economics, 61, 1984-2005
(Monika Gehde-Trapp together with Yalin Gündüz and Julia Nasev)

 

2014
Fund Manager Allocation
In: Journal of Financial Economics, 111, 661-674
(Monika Trapp together with Jieyan Fang and Alexander Kempf)

What they did in their previous life: The investment value of mutual fund managers' experience outside the financial sector
Working Paper
(Monika Trapp together with G. Cici, M. Göricke and A. Kempf)

 

2013
Transatlantic Systemic Risk
In: Journal of Banking and Finance, 37/11 , 4241-4255
(Monika Trapp together with Claudio Wewel)

The price impact of CDS trading
In: Deutsche Bundesbank No.20/2013
(Monika Trapp together with Yalin Gündüz and Julia Nasev)

The correlation puzzle: The interaction of bond and risk correlation
Working Paper
(Monika Trapp together with Sebastian Bethke and Alexander Kempf)

 

2011
Optionspreistheorie
In: Lexikon des Rechnungswesens, 573-578, Hrsg. Walther Busse von Colbe u.a. Oldenbourg Verlag: München 2011
(Monika Trapp together with Alexander Kempf)

Inventory Risk in Credit Default Swap Markets
Working Paper
(Monika Trapp together with Yalin Gündüz and Julia Nasev)

Systemic Risk Beyond the Banking Sector
Working Paper
(Monika Trapp together with Claudio Wewel)

 

2009
Explaining the Bond-CDS Basis – The Role of Credit Risk and Liquidity 
In: Risikomanagement und kapitalmarktorientierte Finanzierung, Hrsg. Klaus Schäfer u.a. Fritz Knapp Verlag: Frankfurt am Main 
(Monika Trapp together with Wolfgang Bühler)

Trading the bond-CDS basis: The role of credit risk and liquidity
Working Paper
(Monika Trapp)

 

2008
Credit risk and liquidity in bond and CDS markets 
Dissertation Universität Mannheim
(Monika Trapp)

Time-varying credit risk and liquidity premia in bond and CDS markets
Working Paper
(Monika Trapp together with Wolfgang Bühler)

 

2005
Systematic Risk in Recovery Rates of US Corporate Credit Exposures
In: Recovery Risk: The Next Challenge in Credit Risk Management, Hrsg. E. Altman u.a. RiskBooks Verlag
(Monika Trapp together with Klaus Düllmann)

 

2004
Systematic Risk in Recovery Rates: An Empirical Analysis of Us Corporate Credit Exposures
In: Bundesbank Series 2 Discussion Paper No. 2004, 02
(Monika Trapp together with Klaus Düllmann)