Publications

Current Working Papers

R. Baule, B. Frijns, S. Schlie
Feedback Trading: The Intra-Day Case of Retail Derivatives.
Working Paper, Hagen/Heerlen 2023. Download (via SSRN)
O. Beckmann
Implications of the Regulatory Treatment of Sovereign Exposures for Bank Behavior.
Working Paper, Hagen 2023. Download (via SSRN).
R. Baule, O. Beckmann, C. Tallau
Bank Capital Regulation and the Sovereign-Bank Nexus: Evidence from European Banks.
Working Paper, Hagen/Münster 2021. Download (via SSRN).

M. Naumann
Volatilitäten und Handelsstrategien am deutschen kontinuierlichen Intraday-Markt für Strom.
Berliner Wissenschafts-Verlag, Berlin 2023.
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, C. Tallau
Planungs- und Sensitivitätsanalysen zur Kapitaldienstfähigkeit.
Forderungspraktiker (7–8/2023), 181-190.

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).