Roman Kräussl

Universite du Luxembourg - Department of Finance

Professor of Finance

L-1511 Luxembourg

Luxembourg

Hoover Institution, Stanford University

Visiting Fellow

Stanford, CA 94305

United States

SCHOLARLY PAPERS

40

DOWNLOADS
Rank 2,273

SSRN RANKINGS

Top 2,273

in Total Papers Downloads

18,208

SSRN CITATIONS
Rank 6,620

SSRN RANKINGS

Top 6,620

in Total Papers Citations

108

CROSSREF CITATIONS

94

Scholarly Papers (40)

1.

Does It Pay to Invest in Art? A Selection-Corrected Returns Perspective

Review of Financial Studies, Vol. 29, No. 4, 2016
Number of pages: 72 Posted: 17 Jun 2013 Last Revised: 12 Jan 2017
University of Southern California - Marshall School of Business, Universite du Luxembourg - Department of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 2,286 (7,654)
Citation 14

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Art investing, Alternative Assets, Selection bias, Illiquidity, Portfolio Choice, Asset Allocation, MCMC

2.

Is Gender in the Eye of the Beholder? Identifying Cultural Attitudes with Art Auction Prices

Number of pages: 60 Posted: 04 Feb 2020
University of Oxford, Universite du Luxembourg - Department of Finance, Finance Discipline Group - UTS Business School and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 2,216 (8,038)
Citation 6

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Art, Auction, Gender, Culture, Inequality

3.

Risk and Return Characteristics of Islamic Equity Funds

Emerging Markets Review, Vol. 12, No. 2, 2011
Number of pages: 28 Posted: 27 Dec 2008 Last Revised: 24 Jun 2011
Roman Kräussl and Raphie Hayat
Universite du Luxembourg - Department of Finance and Utrecht University
Downloads 1,705 (12,297)
Citation 5

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Islamic equity funds; risk-return characteristics; alternative investments; ethical investing; Islamic finance

Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

Review of Financial Studies, Vol. 28, No. 12, 2015
Number of pages: 65 Posted: 20 Mar 2009 Last Revised: 25 Feb 2016
Emory University - Department of Finance, Universite du Luxembourg - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,325 (17,942)
Citation 7

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Private equity; risk-return characteristics; funds of funds

Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

NBER Working Paper No. w15335
Number of pages: 47 Posted: 15 Sep 2009 Last Revised: 28 May 2021
Emory University - Department of Finance, Universite du Luxembourg - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 78 (378,682)

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5.

Emerging Art Markets

Emerging Markets Review, Vol. 11, No. 4, 2010
Number of pages: 25 Posted: 26 Feb 2020
Roman Kräussl and Robin Logher
Universite du Luxembourg - Department of Finance and VU University Amsterdam - Department of Finance
Downloads 1,307 (18,626)

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Art market index, Art investments, Art finance, Alternative assets, Portfolio allocation

6.

Blockchain, Fractional Ownership, and the Future of Creative Work

Number of pages: 33 Posted: 26 Feb 2020 Last Revised: 21 Sep 2020
Amy Whitaker and Roman Kräussl
New York University and Universite du Luxembourg - Department of Finance
Downloads 1,093 (24,321)
Citation 6

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value creation and capture, art market, property rights, investment management, blockchain, venture funding

7.

A Call on Art Investments

Review of Derivatives Research, Vol. 15, No. 1, 2012.
Number of pages: 30 Posted: 26 Feb 2020
Roman Kräussl and Christian Wiehenkamp
Universite du Luxembourg - Department of Finance and affiliation not provided to SSRN
Downloads 825 (36,177)

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Art Market, Art Index, Alternative Investments, Option Pricing

8.

Is There a Bubble in the Art Market?

Journal of Empirical Finance, Vol. 35, 2016
Number of pages: 26 Posted: 08 May 2014 Last Revised: 25 Feb 2016
Roman Kräussl, Thorsten Lehnert and Nicolas Martelin
Universite du Luxembourg - Department of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 743 (41,762)
Citation 8

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Art market, Alternative investments, Speculative bubbles, Explosive behavior

9.
Downloads 616 ( 53,612)
Citation 2

Institutional Investors and Infrastructure Investing

Stanford University Graduate School of Business Research Paper No. 18-42
Number of pages: 92 Posted: 24 Sep 2018 Last Revised: 15 Mar 2021
Aleksandar Andonov, Roman Kräussl and Joshua D. Rauh
University of Amsterdam, Universite du Luxembourg - Department of Finance and Stanford Graduate School of Business
Downloads 590 (55,943)
Citation 1

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Infrastructure, Public Pension Funds, Institutional Investors, ESG regulation

The Subsidy to Infrastructure as an Asset Class

NBER Working Paper No. w25045
Number of pages: 48 Posted: 17 Sep 2018 Last Revised: 07 Jun 2021
Aleksandar Andonov, Roman Kräussl and Joshua D. Rauh
University of Amsterdam, Universite du Luxembourg - Department of Finance and Stanford Graduate School of Business
Downloads 26 (604,227)
Citation 1

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Institutional Investors and Infrastructure Investing

CEPR Discussion Paper No. DP15946
Number of pages: 95 Posted: 31 Mar 2021
Aleksandar Andonov, Roman Kräussl and Joshua D. Rauh
University of Amsterdam, Universite du Luxembourg - Department of Finance and Stanford Graduate School of Business
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10.

Credit Cycles and Macro Fundamentals

Journal of Empirical Finance, Vol. 16, No. 1, 2009
Number of pages: 20 Posted: 14 Mar 2006 Last Revised: 07 Apr 2011
Vrije Universiteit Amsterdam - School of Business and Economics, Universite du Luxembourg - Department of Finance, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute
Downloads 427 (84,099)
Citation 5

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Credit cycles, Business cycles, Bank lending conditions, Unobserved component models, Intensity models

11.

Cash Flow and Discount Rate Risk in Up and Down Markets: What is Actually Priced?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 47, No. 6, 2012
Number of pages: 42 Posted: 19 Mar 2010 Last Revised: 02 Mar 2013
Mahmoud Botshekan, Roman Kräussl and Andre Lucas
University of Isfahan - Faculty of Administrative Sciences and Economics, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 398 (91,235)
Citation 1

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Asset pricing, beta, downside risk, upside risk, cash flow risk, discount rate risk

12.

The Performance of Marketplace Lenders: Evidence from Lending Club Payment Data

Number of pages: 48 Posted: 12 Sep 2018 Last Revised: 24 Apr 2021
Universite du Luxembourg - Department of Finance, Department of Finance, University of Luxembourg, University of Illinois at Urbana-Champaign - Department of Finance and Universite du Luxembourg - Department of Finance
Downloads 389 (93,640)
Citation 2

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Marketplace lending, household finance, financial intermediation, financial innovation, competition

13.

Implied Volatility Sentiment: A Tale of Two Tails

Revised version: Forthcoming, Quantitative Finance. This version: Tinbergen Institute Discussion Paper 17-002/IV
Number of pages: 54 Posted: 17 Jan 2017 Last Revised: 03 Dec 2019
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 357 (103,353)

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Sentiment, implied volatility skew, equity-risk premium, reversals, predictability, momentum crashes

14.

Doing Good Deeds in Times of Need: A Strategic Perspective on Corporate Disaster Donations

Strategic Management Journal, Vol. 32, No. 9, 2011
Number of pages: 41 Posted: 28 Jun 2010 Last Revised: 09 Mar 2013
Alan Muller and Roman Kräussl
University of Amsterdam Business School and Universite du Luxembourg - Department of Finance
Downloads 342 (108,413)
Citation 22

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corporate philantrophy, firm value, disasters, Hurricane Katrina, social irresponsibility

15.

Blockholder Dispersion and Firm Value

Journal of Corporate Finance, Vol. 17, No. 5, 2011
Number of pages: 23 Posted: 22 Dec 2009 Last Revised: 22 Aug 2011
Sander Konijn, Roman Kräussl and Andre Lucas
VU University Amsterdam, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 329 (113,173)
Citation 12

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Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value

16.

Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle

Journal of International Money and Finance, Vol. 43, 2014
Number of pages: 31 Posted: 27 Oct 2008 Last Revised: 14 Apr 2014
Universite du Luxembourg - Department of Finance, Vrije Universiteit Amsterdam - School of Business and Economics, De Nederlandsche Bank, affiliation not provided to SSRN and VU University Amsterdam, PGO-IM
Downloads 321 (116,229)
Citation 3

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political economy, inefficient markets, market anomalies, calendar effects

17.

Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises?

Journal of Financial Stability, Vol. 1, No. 3, 2005
Number of pages: 50 Posted: 02 Jan 2004 Last Revised: 23 Mar 2012
Roman Kräussl
Universite du Luxembourg - Department of Finance
Downloads 314 (118,974)
Citation 1

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Sovereign Risk, Credit Ratings, Financial Crises

18.

Media, Sentiment and Market Performance in the Long Run

European Journal of Finance, Vol. 23, No. 11, 2017
Number of pages: 41 Posted: 10 Apr 2013 Last Revised: 23 Sep 2018
Roman Kräussl and Elizaveta Mirgorodskaya
Universite du Luxembourg - Department of Finance and VU University Amsterdam
Downloads 291 (128,984)
Citation 3

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Investor behavior; News media sentiment; Financial market crises; Pricing bubbles; Framing effects

19.

Revisiting the Home Bias Puzzle: Downside Equity Risk

Journal of International Money and Finance, Vol. 26, No. 7, 2007
Number of pages: 37 Posted: 22 Sep 2005 Last Revised: 07 Apr 2011
Rachel A.J. Pownall and Roman Kräussl
Tilburg University - Department of Finance and Universite du Luxembourg - Department of Finance
Downloads 265 (142,152)

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Asset Pricing, Home Bias, Downside Risk, Prospect Theory

20.

Reliability and Relevance of Fair Values: Private Equity Investments and Investee Fundamentals

Review of Accounting Studies, Forthcoming, George Mason University School of Business Research Paper No. 18-11, Kenan Institute of Private Enterprise Research Paper No. 18-10
Number of pages: 42 Posted: 01 Jun 2018 Last Revised: 10 Mar 2019
University of North Carolina (UNC) at Chapel Hill, Kenan-Flagler Business School, Accounting Area, Universite du Luxembourg - Department of Finance, University of North Carolina Kenan-Flagler Business School, George Mason University and Bocconi University
Downloads 256 (147,165)
Citation 4

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Fair value, private equity, relevance and reliability

21.

The 2011 European Short Sale Ban: A Cure or a Curse?

Journal of Financial Stability, Vol. 25, 2016
Number of pages: 43 Posted: 09 Feb 2013 Last Revised: 12 Jan 2017
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 237 (158,636)
Citation 5

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Short sale ban; jump risk; risk-neutral density; implied volatility skew; contagion risk

22.

Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment

Forthcoming in Journal of Behavioral Finance
Number of pages: 38 Posted: 07 Apr 2016 Last Revised: 05 Aug 2018
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 229 (163,947)

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Cumulative prospect theory; investor sentiment; risk-neutral densities; call options

23.

The Search for Yield: Implications to Alternative Investments

Journal of Empirical Finance, Vol. 44, 2017
Number of pages: 29 Posted: 09 Nov 2017 Last Revised: 23 Sep 2018
Roman Kräussl, Thorsten Lehnert and Kalle Rinne
Universite du Luxembourg - Department of Finance, University of Luxembourg and Universite du Luxembourg - Department of Finance
Downloads 223 (168,177)
Citation 1

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Alternative investments, hedge funds, commodities, the search for yield

24.

Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success Over 1985-2009

European Financial Management, Vol. 20, No. 1, 2014
Number of pages: 42 Posted: 07 May 2011 Last Revised: 26 Dec 2013
Roman Kräussl and Stefan Krause
Universite du Luxembourg - Department of Finance and Banque de France - Economic Study and Research Division
Downloads 195 (190,631)

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Venture capital, private equity, entrepreneurial activity, performance gap

25.

Is Venture Capital Really a Local Business? Evidence from U.S. Cross-Border Investment

Number of pages: 34 Posted: 06 Aug 2015
Robert Wuebker, Roman Kräussl and William Schulze
University of Utah - David Eccles School of Business, Universite du Luxembourg - Department of Finance and University of Utah
Downloads 161 (225,025)
Citation 7

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Venture Capital, Entrepreneurial Finance, Internationalization, Cross-Border Investment

26.

Dark Trading and Financial Markets Stability

Number of pages: 47 Posted: 11 Jun 2019 Last Revised: 13 Jul 2021
Jorge Goncalves, Roman Kräussl and Vladimir Levin
University of Luxembourg, Universite du Luxembourg - Department of Finance and Department of Finance
Downloads 159 (227,445)

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Market microstructure, financial market stability, mini-flash crash, dark trading, speed bump, investor protection

27.

Predictable Biases in Macroeconomic Forecasts and Their Impact Across Asset Classes

Number of pages: 43 Posted: 27 Jul 2017 Last Revised: 21 Sep 2020
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 147 (242,776)

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Anchoring; Rational Bias; Economic Surprises; Predictability; Stocks, Bonds; Currencies; Commodities; Machine learning

28.

Modifier words in the financial press and investor expectations

Journal of Economic Behavior and Organization, Vol. 138, 2017
Number of pages: 56 Posted: 22 Nov 2014 Last Revised: 23 Sep 2018
VU University Amsterdam, Universite du Luxembourg - Department of Finance and VU University Amsterdam
Downloads 134 (261,236)
Citation 3

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news media, investment decisions, sentiment, reference point

29.

The Value of Corporate Philanthropy During Times of Crisis: The Sensegiving Effect of Employee Involvement

Journal of Business Ethics, Vol. 103, No. 2, 2011
Number of pages: 38 Posted: 06 Apr 2011 Last Revised: 09 Mar 2013
Alan Muller and Roman Kräussl
University of Amsterdam Business School and Universite du Luxembourg - Department of Finance
Downloads 126 (273,649)
Citation 2

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corporate philanthropy, employee involvement, firm value, Hurricane Katrina, sensegiving

30.

Gendered Prices

Number of pages: 94 Posted: 25 Jan 2021
University of Oxford, Universite du Luxembourg - Department of Finance, Finance Discipline Group - UTS Business School and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 122 (280,297)
Citation 1

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Law of One Price, Bias, Art, Gender, Auction, Culture, Inequality

31.

The Winner's Curse on Art Markets

Number of pages: 35 Posted: 26 Feb 2020
Roman Kräussl and Elizaveta Mirgorodskaya
Universite du Luxembourg - Department of Finance and VU University Amsterdam
Downloads 115 (292,280)

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Overreaction, winner's curse, pricing estimates, repeat sale, auction, art market

32.

The European Sovereign Debt Crisis: What Have We Learned?

Journal of Empirical Finance, Vol. 38(A), 2016
Number of pages: 29 Posted: 06 Apr 2016 Last Revised: 12 Jan 2017
Roman Kräussl, Thorsten Lehnert and Denitsa Stefanova
Universite du Luxembourg - Department of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 110 (301,494)
Citation 1

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Sovereign debt crisis, systemic risk, contagion, bank bail-outs, financial regulation

33.

Risk Aversion Under Preference Uncertainty

Finance Research Letters, Vol. 9, No. 1, 2012
Number of pages: 13 Posted: 14 Apr 2011 Last Revised: 20 Mar 2012
Roman Kräussl, Andre Lucas and Arjen Siegmann
Universite du Luxembourg - Department of Finance, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 109 (303,413)
Citation 1

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risk aversion, preference uncertainty, risk-taking, optimal asset allocation

34.

Euro Crash Risk

Journal of Empirical Finance, Vol. 38(A), 2016
Number of pages: 36 Posted: 09 Aug 2015 Last Revised: 12 Jan 2017
Roman Kräussl, Thorsten Lehnert and Sigita Senulyte
Universite du Luxembourg - Department of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 90 (343,896)

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Sovereign debt crisis, News announcements, Euro value, Euro crash risk

35.

An Analysis of the Effects of the Severance Payment Reform on Credit to Italian SMEs

Journal of Financial Economic Policy, Vol. 3, No. 3, 2011
Number of pages: 26 Posted: 08 Nov 2008 Last Revised: 22 Aug 2011
Riccardo Calcagno, Roman Kräussl and Chiara Monticone
Politecnico di Torino, Universite du Luxembourg - Department of Finance and Organization for Economic Co-Operation and Development (OECD)
Downloads 72 (391,946)

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severance indemnities, moral hazard, credit constraints, SMEs

36.

Signaling or Marketing? The Role of Discount Control Mechanisms

Number of pages: 35 Posted: 09 Sep 2018 Last Revised: 01 Aug 2019
Universite du Luxembourg - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Luxembourg School of Finance
Downloads 62 (423,922)

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Closed-End Funds, Discount, Signaling, Repurchases, Continuation Vote

37.

Biased Auctioneers

HEC Paris Research Paper No. FIN-2019-1332
Number of pages: 47 Posted: 20 Mar 2019 Last Revised: 01 Jul 2021
Ecole Nationale des Ponts et Chaussées (ENPC), Universite du Luxembourg - Department of Finance, University of California, Berkeley - Haas School of Business and HEC Paris - Finance Department
Downloads 21 (620,278)
Citation 3

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art, auctions, experts, asset valuation, biases, machine learning, computer vision

38.

The Fine Art of Financing: The Jpmorgan Private Bank and Lending Against Art

Darden Case No. UVA-F-1760
Number of pages: 15 Posted: 30 May 2017 Last Revised: 14 Mar 2018
University of Virginia - Darden School of Business, Universite du Luxembourg - Department of Finance, University of Virginia - Darden School of Business and HEC Paris - Finance Department
Downloads 13 (677,767)
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investment asset, art, illiquid assets, investment vehicles, video

39.

Strategic Bias and Popularity Effect in the Prediction of Economic Surprises

Forthcoming, Journal of Forecasting
Posted: 28 Jan 2021
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics

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Strategic bias, skewness, economic surprises, predictability, forecast error.

40.

Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success Over 1985–2009

European Financial Management, Vol. 20, Issue 1, pp. 179-205, 2014
Number of pages: 27 Posted: 12 Dec 2013
Roman Kräussl and Stefan Krause
Universite du Luxembourg - Department of Finance and Banque de France - Economic Study and Research Division
Downloads 0 (793,642)
Citation 1
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venture capital, private equity, entrepreneurial activity, performance gap