Kryptowährungen – mehr Schein als Sein?

Am 17. Mai 2018 hat es wieder geklappt: ich habe beim BusinessLunch des BVMW Hamburg vorgetragen: Diesmal zum Thema Kryptowährungen, ein Thema, das ich insbesondere zusammen mit meinem Doktoranden Sinan Krückeberg bespiele.

„Kryptowährungen verbinden das, was man über Finanzen nicht versteht, mit dem, was man über Computer nicht versteht.“ Dieses Zitat wurde von Prof. Dr. Joachim Wuermeling, Mitglied des Vorstandes, Deutsche Bundesbank, geäußert und beschreibt treffend die Komplexität des Themas. Nicht nur, das man die Grundzüge der Kryptographie und der Blockchain verstehen sollte, es ist auch ökonomische Wissen notwendig um dieses Thema zu erfassen. Weiterlesen

A Revised Closed-Form Solution for Bond Convexity

Abstract

Since duration works best for only small changes of the interest rate, convexity helps to improve the estimation accuracy. Traditionally, convexity is displayed with a formula, which depends on the number of outstanding payments. Closed-form solutions do exist, typically building on the work of Chua (1984). Based on the slightly different approach of Kruschwitz and Schöbel (1986a), who also developed a closed-form equation for the duration, I derive a shorter closed-form solution for convexity than previously known.

Citation

Peter Scholz (2018): A Revised Closed-Form Solution for Bond Convexity. SSRN Working Paper.

Cryptocurrencies as an Asset Class?

Together with Sinan Krückeberg, my Ph.D. student, we have worked on a paper on cryptocurrencies and have analyzed if they form an asset class on their own. You find our interesting results in our working paper.

Abstract

Cryptocurrencies show characteristics of a distinct asset class based on strong internal correlation, an absence of correlation with any traditional asset class as well as strong market liquidity, while market stability has room for improvement. We find that for investment purposes cryptocurrencies can be distinguished into cryptographic coins and tokens. Adding a 1% allocation of cryptocurrencies to traditional portfolio structures leads to significant and persistent risk weighted outperformance. These results support the careful introduction of cryptocurrencies into the asset management mainstream.

Citation

Sinan Krückeberg & Peter Scholz (2018): Cryptocurrencies as an Asset Class? SSRN Working Paper.

EFA Annual Meeting in Philadelphia

Today, I have presented Michael’s and my work on robo-advisory at the 54th Annual Meeting of the EFA in Philadelphia.

You find a recording of the talks‘ content here and you can download our paper here.

We received very good feedback and I could make a lot of new and interesting contacts.

Greetings from fantastic Philadelphia!

Zurück in die Zukunft mit dem „Banco-Coin“

Zusammen mit meinem Doktoranden Sinan Krückeberg forsche ich zum Thema Kryptowährungen. In der Nacht des Wissen im vergangenen November haben wir einen gemeinsamen Vortrag gehalten. Dabei ging es um Fragen was Geld eigentlich ist, wie der BitCoin funktioniert und wie das Geld der Zukunft aussehen könnte.

Eine Zusammenfassung unserer Hypothesen lesen Sie in unseren Artikel auf der Seite Der Bank Blog →

Kryptowährungen als seriöse Anlageklasse — gehören Bitcoins bald in ein diversifiziertes Portfolio?

Nach dem BitCoin Crash am Anfang des Jahres und der aktuellen Konsolidierung – wie steht es aktuell um BitCoin und Co? Sind die Kryptowährungen inzwischen eine eigene Assetklasse und gehören in ein wohldiversifiziertes Portfolio oder sind diese Instrumente nur etwas für hartgesottene Spekulanten? Antworten auf diese Fragen finden Sie wie immer in meinem Interview mit Sebastian Leben von Börsenradio Network.

Better The Devil You Know Than The Devil You Don’t — Financial Crises between Ambiguity Aversion and Selective Perception

Together with my Ph.D. students David and Sinan, we have written an article for the second edition of the International Conference on European Integration and Sustainable Development. The article will be published in The Central European Review of Economics and Management.

Abstract

During financial crises, market participants are pressurized and presumably prone to emotional biased decisions. We use the Economic Policy Uncertainty Indicator and Dow Jones Industrial Average as well as Nikkei 225 GARCH volatilities to test for ambiguity aversion and selective perception of investors. For most crises, we find a significant link between uncertainty and market volatility. However, with respect to ambiguity aversion, the causality differs between crises indicating that investors may not always be driven by uncertainty. Regarding selective perception, we find significant results for the Dot.Com and subprime crises, but not for the Japanese asset price bubble and the Asian crisis.

Citation

Peter Scholz, David Großmann & Sinan Krueckeberg (2018): Better The Devil You Know Than The Devil You Don’t — Financial Crises between Ambiguity Aversion and Selective Perception. The Central European Review of Economics and Management Vol. 2, No. 1, 155-174. Also available on SSRN.

Download Full Paper

Seminar: Financial History, M.Sc.

This module is different: rather than proposing definite answers, in this seminar, we pose, reflect, and discuss relevant questions. Quantitative and methodological rigourous core modules are a natural and integral part of the M.Sc. Finance. But, we want to offer more for our students – we want to provide them with a holistic view on Finance. Weiterlesen

Hostile Takeovers: Are Banks Threatened by FinTechs?

Abstract

FinTechs aim to revolutionize the traditional banking sector. However, it is unlikely that they will develop large disruptive potential in Germany. The New Institutional Economics helps to predict in which banking divisions FinTechs are more likely to succeed. If the start-ups are unable to build up customer confidence and to generate real added value, then it seems to be more promising to cooperate with banks than to challenge them.

Citation

Peter Scholz (2018): Hostile Takeovers: Are Banks Threatened by FinTechs? SSRN.

Link to Article

In January 2017, this article has been published with the title “Droht den Banken die
feindliche Übernahme durch FinTechs?” in the German journal Corporate Finance No.
01-02, p. 3-7. It is published on SSRN in English language with authorization of the
publisher.

Privatanleger auf dem Finanzmarkt — Workshop in Frankfurt / Main

Warum legen verhältnismäßig wenige Deutsche ihr Geld in Aktien und anderen Wertpapieren an? Was müsste man tun, damit die Privatanleger ihr Verhalten verändern? Ist der Finanzmarkt schlicht zu komplex für Privatanleger?

Diesen und anderen Fragen gingen die Teilnehmer auf dem Workshop Privatanleger auf dem Finanzmarkt vom 15. bis 16. Februar in Frankfurt / Main nach.

Weiterlesen