• Die Seminarplätze werden in zwei Runden vergeben. Die Vergabe erfolgt manuell, der Zeitpunkt der Bewerbung (innerhalb einer Bewerbungsrunde) spielt keine Rolle. Als Vergabekriterien ziehen wir sowohl Noten, als auch Finance-Vorkenntnisse (Vorlesungen, Seminare, usw.) heran. Außerdem berücksichtigen wir auch die im Portal angegebene Priorität der Bewerbung
• Bei der Bewerbung haben Sie die Möglichkeit, Themenwünsche anzugeben. Wir versuchen, Ihre Präferenzen bestmöglich zu berücksichtigen. Die finale Themenzuteilung wird erst nach Abschluss der zweiten Vergaberunde mitgeteilt.
• Bitte beachten Sie, dass wir die Annahme eines zugeteilten Seminarplatzes über das Wiwi-Portal als verbindliche Anmeldung zum Seminar ansehen. Ein Rücktritt vom Seminar ist danach nur noch in begründeten Ausnahmefällen nach vorheriger Absprache möglich.
• Als offiziellen Beginn des Seminars halten wir einen gemeinsamen Kick-Off ab.
• Prüfungsbestandteile sind eine individuelle Ausarbeitung sowie eine Gruppenpräsentation im Blockseminar.

Content of the seminar:

Behavioral biases exert a profound impact on individuals' investment decisions, often swaying choices away from rational and optimal paths. Emotional responses, such as fear or greed, can lead to impulsive actions, causing investors to buy or sell based on short-term sentiments rather than a thorough analysis of market fundamentals. A large variety of these biases have been shown in experiments and in portfolio data of individual investors. They are known to prevent individuals from making timely adjustments to their portfolios, leading to an overall underperformance. From a broader perspective, suboptimal investment decisions may drive prices of financial assets away from their rational counterparts. Recognizing and mitigating these behavioral biases is essential for fostering a more objective and strategic approach to investment and to fairer and more informative prices. In this seminar, we want to review and discuss some of the most prominent behavioral biases and discuss their impact.

Deliverables:

The seminar language is English. Every participant has to hand in a seminar thesis of 12-15 pages, written in English. The main goal is to thoroughly describe the behavioral bias, referring to the pertinent academic literature. Taking this as a starting point, students can either a) shed light on the consequences of the bias in financial decision making for financial markets as a whole (again using existing studies in the literature) or b) run their own experiment (small scale, with fellow students as participants).  After about half of the semester (see schedule below), there is a status update-meeting with the whole group, where participants are supposed to share their plans for their seminar theses and presentation and a rough roadmap for the remaining semester. At the end of the semester, all participants present their main results (in English!) and we discuss their findings with the group. The final grade will depend on the thesis, the presentation, and the participation in the discussions in the two meetings (status update and presentations).

Individual topics:

• 1. Overconfidence
• 2. Prospect theory
• 3. Disappointment aversion
• 4. Ambiguity aversion
• 5. Mental accounting
• 6. Framing

Schedule:

• Feb.04, 2024, 23:59 Application deadline first round
• Mar.17, 2024, 23:59 Application deadline second round
• Apr.15, 2024, 16:00 Kick-off meeting and assignment of topics
• May.27, 2024, 16:00 Status update-meeting
• Jul.08, 2024, 23:59 Deadline for handing in the seminar theses
• Jul.15, 2024, 14:00 Presentations

 Reaching out:

There are neither fixed dates for nor a maximum number of meetings with the supervisors. If you have any questions, please feel free to arrange a meeting by e-mailing us at

• Julian Thimme (thimme∂kit.edu)
• Fanchen Meng (fanchen.meng∂kit.edu)

Content of the seminar:

The equity premium puzzle is a longstanding and perplexing phenomenon in the field of finance. It revolves around the apparent disconnect between the expected returns on stocks and the risk-free interest rate. Asset pricing theories imply that investors demand an equity risk premium, that means, a higher return for taking on the additional risk associated with investing in stocks compared to the risk-free rate offered by assets like government bonds. The puzzle arises from the magnitude of this premium. Empirical evidence over many decades has shown that stocks have historically provided significantly higher returns than could be justified by standard financial models. These models predict that the equity risk premium should be relatively small, because stock market returns are only weakly correlated with macroeconomic fundamentals, especially household consumption. The key question is: Why are stock returns so high, given that they barely affect the overall financial well-being of investors? Researchers and economists have proposed various explanations for the equity premium puzzle. Some argue that investors may be excessively risk-averse, while others suggest that the true risks are underestimated by financial economists. The goal of this seminar is to shed light on a variety of potential explanations and discuss their main economic intuitions. Resolving the equity premium puzzle is not only a theoretical challenge but also has significant implications for investment strategies, portfolio management, and understanding the dynamics of financial markets. Researchers continue to explore this intriguing phenomenon in their quest for a comprehensive explanation that can bridge the gap between theory and empirical observations in asset pricing. In that sense, the seminar provides insights into cutting-edge research in financial economics.

Deliverables:

The seminar language is English. Every participant has to hand in a seminar thesis of 12-15 pages, written in English. The main goal is to thoroughly describe the economic rationale behind the chosen article. Taking this as a starting point, the thesis can either a) outline criticisms of the presented model (using the follow-up literature) or b) shed light on the model’s (or some model extensions’) ability to explain other phenomena in asset pricing. After about half of the semester (see schedule below), there is a status update-meeting with the whole group, where participants are supposed to share their plans for their seminar theses and presentation and a rough roadmap for the remaining semester. At the end of the semester, all participants present their main results (in English!) and we discuss similarities and differences across the alternative economic models. The final grade will depend on the thesis, the presentation, and the participation in the discussions in the two meetings (status update and presentations).

Individual topics:

• 1. Long-run risk (main article: Bansal and Yaron (2004)) The long-run risks model posits that the economy faces persistent and unpredictable shocks that affect future consumption growth, representing a source of long-run risk. Investors are assumed to be concerned about these economic risks and demand a risk premium in compensation for bearing them. The model’s key innovation is its focus on fluctuations in long-term risk, rather than the local correlation between stock returns and household consumption.
• 2. Habit formation (main article: Campbell and Cochrane (1999)) The main idea of this framework is that the preferences of investors incorporate so called habit formation. This means that investors derive utility not only from their current consumption but also from the deviation of consumption from a habit or target level. When consumers are accustomed to a certain standard of living, they experience disutility if their consumption falls below this habit level. This effectively makes them excessively risk averse, explaining the high risk premia on stocks.
• 3. Rare disasters (main article: Barro (2006)) The model posits that there is a small but nonzero probability of catastrophic events occurring, which can lead to massive economic losses and wealth destruction. Investors are assumed to be highly concerned about these rare disasters. They demand a substantial risk premium for holding assets that are vulnerable to such events. It is argued that the feared disaster has not occurred (at least in the USA), so that asset returns seem surprisingly high while fundamentals are surprisingly smooth.
• 4. Intermediary frictions (main article: He and Krishnamurthy (2013)) The intermediary asset pricing model emphasizes the role of financial intermediaries, such as banks and shadow banks, in the economy. It suggests that asset prices are influenced not only by the behavior of households but also by these institutions. When they are under stress and face regulatory constraints, they reduce their exposures to risky assets, leading to higher stock returns.

Literature:

 Besides the four papers mentioned above, there are several follow-up papers with refinements of the original economic ideas. A part of the work is to find these follow-up papers, for example by using google scholar.

The paper by Mehra and Prescott (1985) provided the first thorough description of the equity premium puzzle.

The main articles are :

• Bansal, R., and A. Yaron, 2004, Risks for the long-run: A potential resolution of asset pricing puzzles, Journal of Finance 59, 1481–1509.
• Barro, Robert J, 2006, Rare disasters and asset markets in the twentieth century, Quarterly Journal of Economics 121, 823–866.
• Campbell, John Y, and John H Cochrane, 1999, By force of habit: A consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107, 205–251.
• He, Zhiguo, and Arvind Krishnamurthy, 2013, Intermediary asset pricing, American Economic Review 103, 732–770.
• Mehra, R., and E. Prescott, 1985, The equity premium: A puzzle, Journal of Monetary Economics 15, 145–161.

Schedule:

• Oct 08, 2023, 23:59 Application deadline
• Oct 23, 2023, 16:00 Kick-off meeting and assignment of topics
• Dec 11, 2023, 16:00 Status update-meeting
• Jan 29, 2024, 23:59 Deadline for handing in the seminar theses
• Feb 05, 2024, 14:00 Presentations

 Reaching out:

There are neither fixed dates for nor a maximum number of meetings with the supervisors. If you have any questions, please feel free to arrange a meeting by e-mailing us at

• Julian Thimme (thimme ∂does-not-exist.kit edu)
• Viktoria Klaus (viktoria klaus ∂does-not-exist.kit edu)
• Fanchen Meng (fanchen.meng∂kit.edu)

Ökonomen befassen sich in letzter Zeit verstärkt mit der Untersuchung von Finanzkrisen - und das aus gutem Grund. Als sich die globale Finanzkrise im Jahr 2008 entfaltete, wurde der Berufsstand sowie die ganze Welt an die Bedeutung dieser Ereignisse erinnert und zwar im Hinblick auf die historische Tendenz von Finanzkrisen, sich im Laufe der Zeit zu wiederholen, ihre Fähigkeit, reiche wie arme Länder zu treffen, als auch auf die tiefen und dauerhaften Schäden, die sie Volkswirtschaften, Gesellschaften und Staaten zufügen können. (zitiert nach Sufi und Taylor (2021): Financial Crises: A Survey, Working Paper)
In diesem Seminar beschäftigen Sie sich mit verschiedenen Finanzkrisen der vergangenen 100 Jahre und erarbeiten Ursachen, Entwicklungen und die Wirksamkeit von getroffenen Maßnahmen. 

Themen: 

• Great Depression 1929
• Mexican Peso Crisis 1994 
• Asian Financial Crisis 1997
• Dot Com Crisis 2001
• Global Financial Crisis 2008
• EURO Debt Crisis 2010 
• COVID Crisis 2020

"Die Schnittmenge zwischen Finanzwirtschaft und Technologie, bekannt als Fintech, hat zu einem dramatischen Wachstum von Innovationen geführt und die Landschaft der Finanzmärkte verändert. Während Fintech eine entscheidende Rolle bei der Demokratisierung des Kreditzugangs für die Nicht-Bankkunden und Verbraucher mit dünner Kredithistorie auf der ganzen Welt spielt, wenden sich auch die Verbraucher, die derzeit [mittels traditionellen Bankdienstleistungen] gut bedient werden, für schnellere Dienstleistungen und größere Transparenz an Fintech-Unternehmen. Fintech, insbesondere die Blockchain, hat das Potenzial, disruptiv auf die Finanzsysteme und -intermediation zu wirken" (zitiert nach Allen/Gu/Jagtiani (2020), A Survey of Fintech Research and Policy Discussion, Working Paper). Dieses Seminar befasst sich mit den wichtigsten Entwicklungen der modernen Finanzmärkte, darunter Kryptowährungen, Crowdinvesting, Initial Coin Offerings, Security Tokenization, Social Trading und Robo-Advisors.

Themen: 

• Traditionelle Geldschöpfung vs. Cryptocurrencies
• Kreditvergabe durch Banken vs. Crowdinvesting
• IPOs vs. ICOs
• Zentralisierter Handel vs. Security Tokenization
• (Internationale) Zahlungsabwicklung durch Banken vs. Peer-to-Peer
• Anlageberatung vs. Social Trading und Robo Advisors

Aktive Investoren interessieren sich dafür, welche Aktien zu welchen Zeitpunkten ge- bzw. verkauft werden sollten, um eine möglichst hohe Portfoliorendite zu erzielen. In den letzten Jahren wurden von Forschern und Anlegern zahlreiche aktienspezifische Signale und Merkmale identifiziert, die bei der Auswahl der Aktien hilfreich sein können. In diesem Seminar wollen wir uns auf Signale konzentrieren, die auf den vergangenen Kursverläufen der Aktien basieren. Ein bekanntes Beispiel ist das "Momentum" einer Aktie, also die Rendite über die vergangenen zwölf Monate. Wir werden verschiedene Strategien implementieren, um uns selbst ein Bild von der Profitabilität der Strategien und möglichen ökonomischen Erklärungen derselben zu machen.

Themen:

• Volatilität (total volatility and idiosyncratic volatility)
• Momentum (momentum and calendar momentum)
• Reversal (short-term and long-term reversal)
• Marktrisiko (Beta and coskewness)
• Renditemuster (lottery characteristics and streaks)