Publications of the Institute of Banking and Finance

Dierkes, M., Hollstein, F., Prokopczuk, M., Würsig, C. (2024): Measuring Tail Risk,  Journal of Econometrics
DOI: https://doi.org/10.1016/j.jeconom.2024.105769
ISSN: 0304-4076

Dierkes, M., Krupski J., Schroen S. (2022): Option-implied lottery demand and IPO returns,  Journal of Economic Dynamics and Control
DOI: https://doi.org/10.1016/j.jedc.2022.104356

Dierkes, M., Schroen S. (2022): Betting against sentiment? Seemingly unrelated anomalies and the low‐risk effect,  Review of Financial Economics
DOI: https://doi.org/10.1002/rfe.1170

Dierkes, M., Krupski J. (2021): Isolating momentum crashes,  Journal of Empirical Finance
DOI: https://doi.org/10.1016/j.jempfin.2021.12.001

Dierkes, M., Germer, S., Sejdiu, V. (2019): Probability Distortion, Asset Prices, and Economic Growth,  Journal of Behavioral and Experimental Economics Vol. 84
DOI: https://doi.org/10.1016/j.socec.2019.101476

Dierkes, M., Sejdiu, V. (2019): Indistinguishability of small probabilities, subproportionality, and the common ratio effect,  Journal of Mathematical Psychology Vol. 93
DOI: https://doi.org/10.1016/j.jmp.2019.102283

Cordes, H. , Dierkes, M. (2017): About depression babies and red diaper babies: Do macroeconomic experiences affect everybody’s risk taking in the same way?,  Journal of Behavioral and Experimental Finance, Vol. 13, 25-27
DOI: https://doi.org/10.1016/j.jbef.2017.02.004

Dierkes, M., Erner, C., Langer, T., Norden, L (2013): Business credit information sharing and default risk of private firms,  Journal of Banking and Finance Vol. 37(8), 2867-2878
DOI: https://doi.org/10.1016/j.jbankfin.2013.03.018

Dierkes, M., Klos, A., Langer, T. (2011): A Note on Representativeness and Household Finance,  Economics Letters Vol. 113(1), 62 - 64
DOI: https://doi.org/10.1016/j.econlet.2011.05.045

Dierkes, M., Erner, C., Zeisberger, S. (2010): Investment horizon and the attractiveness of investment strategies: A behavioral approach,  Journal of Banking and Finance Vol. 34(5), 1032 - 1046.
DOI: https://doi.org/10.1016/j.jbankfin.2009.11.003

Claußen, A., Dierkes, M., Schroen, S. (2020): What is the latent factor behind the idiosyncratic volatility puzzle?

Dierkes, M., Schroen, S. (2019): Lottery Characteristics, Time-Varying Skewness Preference, and the Closed-End Fund Puzzle

Dierkes, M. Seijdiu, V. (2019): The Need for Discontinuous Probability Weighting Functions: How Cumulative Prospect Theory is torn between the Allais Paradox and the St. Petersburg Paradox.,  SSRN Electronic Journal
DOI: https://doi.org/10.2139/ssrn.3465830

Dierkes, M. (2013): Probability Weighting and Asset Prices
DOI: https://dx.doi.org/10.2139/ssrn.2253817

Dierkes, M. (2009): Option-implied risk attitude under rank-dependent utility | File |