Ausgewählte Publikationen
Reichenbacher, M.; Schuster, P. (2022). Size-Adapted Bond Liquidity Measures and Their Asset Pricing Implications. Journal of financial economics, 146 (2), 425–443. doi:10.1016/j.jfineco.2022.07.010
Hitzemann, S.; Uhrig-Homburg, M. (2018). Equilibrium Price Dynamics of Emission Permits. Journal of financial and quantitative analysis, 53 (4), 1653–1678. doi:10.1017/S0022109018000297
Gehde-Trapp, M.; Schuster, P.; Uhrig-Homburg, M. (2018). The Term Structure of Bond Liquidity. Journal of financial and quantitative analysis, 53 (5), 2161–2197. doi:10.1017/S0022109018000364
Schestag, R.; Schuster, P.; Uhrig-Homburg, M. (2016). Measuring Liquidity in Bond Markets. The review of financial studies, 29 (5), 1170–1219. doi:10.1093/rfs/hhv132
Bühler, W.; Uhrig-Homburg, M.; Walter, U.; Weber, T. (1999). An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options. The journal of finance, 54 (1), 269–305. doi:10.1111/0022-1082.00104
Zeitschriftenaufsätze
Eska, F. E.; Shi, Y.; Theissen, E.; Uhrig-Homburg, M. (2024). Do design features explain the volatility of cryptocurrencies?. Finance Research Letters, 66, Art.-Nr.: 105536. doi:10.1016/j.frl.2024.105536
Uhrig-Homburg, M.; Korn, O.; Kanne, S. (2023). Stock Illiquidity and Option Returns. Journal of financial markets, 63, Art.-Nr.: 100765. doi:10.1016/j.finmar.2022.100765
Reichenbacher, M.; Schuster, P. (2022). Size-Adapted Bond Liquidity Measures and Their Asset Pricing Implications. Journal of financial economics, 146 (2), 425–443. doi:10.1016/j.jfineco.2022.07.010
Schuster, P.; Theissen, E.; Uhrig-Homburg, M. (2020). Finanzwirtschaftliche Anwendungen der Blockchaintechnologie. Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung, (72), 125–147. doi:10.1007/s41471-020-00090-5
Kanne, S.; Uhrig-Homburg, M. (2020). Employee stock options with performance conditions: do commonly used valuation heuristics work?. Accounting and finance, 60 (1), 373–407. doi:10.1111/acfi.12326
Hitzemann, S.; Uhrig-Homburg, M. (2019). Empirical performance of reduced-form models for emission permit prices. Review of derivatives research, 22 (3), 389–418. doi:10.1007/s11147-018-09152-7
Gehde-Trapp, M.; Schuster, P.; Uhrig-Homburg, M. (2018). The Term Structure of Bond Liquidity. Journal of financial and quantitative analysis, 53 (5), 2161–2197. doi:10.1017/S0022109018000364
Hain, M.; Uhrig-Homburg, M.; Unger, N. (2018). Risk factors and their associated risk premia: An empirical analysis of the crude oil market. Journal of banking and finance, 95, 44–63. doi:10.1016/j.jbankfin.2017.10.007
Hitzemann, S.; Uhrig-Homburg, M. (2018). Equilibrium Price Dynamics of Emission Permits. Journal of financial and quantitative analysis, 53 (4), 1653–1678. doi:10.1017/S0022109018000297
Hain, M.; Schermeyer, H.; Uhrig-Homburg, M.; Fichtner, W. (2018). Managing renewable energy production risk. Journal of banking and finance, 97, 1–19. doi:10.1016/j.jbankfin.2018.09.001
Hain, M.; Hess, J.; Uhrig-Homburg, M. (2018). Relative value arbitrage in European commodity markets. Energy economics, 69, 140–154. doi:10.1016/j.eneco.2017.11.005
Uhrig-Homburg, M.; Unger, N. (2017). An energy market modeling approach for valuing real options. The journal of derivatives, 25 (1), 71–86. doi:10.3905/jod.2017.25.1.071
Atanasov, V.; Merrick, J. J.; Schuster, P. (2017). Why Do Dealers Buy High and Sell Low? An Analysis of Persistent Crossing in Extremely Segmented Markets. Review of finance, 21 (2), 719–760. doi:10.1093/rof/rfw033
Fiesel, S.; Uhrig-Homburg, M. (2016). Illiquidity Transmission in a Three-Country Framework : A Conditional Approach. Schmalenbach Business Review, 17 (3-4), 261–284. doi:10.1007/s41464-016-0016-5
Schestag, R.; Schuster, P.; Uhrig-Homburg, M. (2016). Measuring Liquidity in Bond Markets. The review of financial studies, 29 (5), 1170–1219. doi:10.1093/rfs/hhv132
Schuster, P.; Uhrig-Homburg, M. (2015). Limits to arbitrage and the term structure of bond illiquidity premiums. Journal of banking and finance, 57, 143–159. doi:10.1016/j.jbankfin.2014.10.016
Hitzemann, S.; Ehrhart, K.-M.; Uhrig-Homburg, M. (2015). Emission Permits and the Announcement of Realized Emissions: Price Impact, Trading Volume, and Volatilities. Energy economics, 51, 560–569. doi:10.1016/j.eneco.2015.07.007
Schläfer, T.; Uhrig-Homburg, M. (2014). Is recovery risk priced?. Journal of banking and finance, 40 (1), 257–270. doi:10.1016/j.jbankfin.2013.11.033
Gündüz, Y.; Uhrig-Homburg, M. (2014). Does modeling framework matter? A comparative study of structural and reduced-form models. Review of derivatives research, 17 (1), 39–78. doi:10.1007/s11147-013-9090-8
Hitzemann, S.; Uhrig-Homburg, M. (2013). Empirical Performance of Reduced-Form Models for Emission Permit Prices. Social Science Research Network, 2297121/1–38. doi:10.2139/ssrn.2297121
Uhrig-Homburg, M. (2013). Sovereign credit spreads. Journal of banking and finance, 37 (11), 4217–4225. doi:10.1016/j.jbankfin.2013.07.002
Kempf, A.; Korn, O.; Uhrig-Homburg, M. (2012). The Term Structure of Illiquidity Premia. Journal of banking and finance, 36 (5), 1381–1391. doi:10.1016/j.jbankfin.2011.12.003
Korn, O.; Paschke, C.; Uhrig-Homburg, M. (2012). Robust Stock Option Plans. Review of quantitative finance and accounting, 39 (1), 77–103. doi:10.1007/s11156-011-0239-y
Hirth, S.; Viswanatha, M. (2011). Financing Constraints, Cash-Flow Risk, and Corporate Investment. Journal of corporate finance, 17 (5), 1496–1509. doi:10.1016/j.jcorpfin.2011.09.002
Gündüz, Y.; Uhrig-Homburg, M. (2011). Predicting Credit Default Swap Prices with Financial and Pure Data-Driven Approaches. Quantitative finance, 11 (12), 1709–1727. doi:10.1080/14697688.2010.531041
Hirth, S.; Uhrig-Homburg, M. (2010). Investment Timing, Liquidity, and Agency Costs of Debt. Journal of corporate finance, 16 (2), 243–258. doi:10.1016/j.jcorpfin.2010.01.002
Hirth, S.; Uhrig-Homburg, M. (2010). Investment Timing When External Financing Is Costly. Journal of business finance & accounting, 37 (7-8), 929–949. doi:10.1111/j.1468-5957.2010.02206.x
Uhrig-Homburg, M.; Kunisch, M.; Müller, D.; Schnabl, J.; Vorgrimler, S. (2009). Levy statt Gauß?! Modellierung und Bewertung von Kreditderivaten mit Lévy-Prozessen. Risiko-Manager, (15), 1 und 6–10.
Uhrig-Homburg, M.; Wagner, M. (2009). Futures Price Dynamics of CO₂ Emission Allowances: An Empirical Analysis of the Trial Period. The journal of derivatives, 17 (2), 73–88. doi:10.3905/JOD.2009.17.2.073
Seifert, J.; Uhrig-Homburg, M.; Wagner, M. (2008). Dynamic Behavior of CO₂ Spot Prices. Journal of environmental economics and management, 56 (2), 180–194. doi:10.1016/j.jeem.2008.03.003
Kunisch, M.; Uhrig-Homburg, M. (2008). Subprime-Krise, Kreditderivate und Ausfallabhängigkeiten. Karlsruher Transfer, 37 (21), 22–25.
Uhrig-Homburg, M.; Wagner, M. (2008). Derivative Instruments in the EU Emissions Trading Scheme - An Early Market Perspective. Energy & environment, 19 (5), 635–655. doi:10.1260/095830508784815892
Uhrig-Homburg, M.; Kunisch, M. (2008). Modelling Simultaneous Defaults: A Top Down Approach. The journal of fixed income, 18 (1), 25–36. doi:10.2139/ssrn.966335
Korn, O.; Uhrig-Homburg, M. (2007). Do Lead-Lag Effects Affect Derivative Pricing?. The Journal of Derivatives, 15 (1), 34–51. doi:10.3905/jod.2007.694701
Gündüz, Y.; Lüdecke, T.; Uhrig-Homburg, M. (2007). Trading Credit defaults Swaps via Interdealer Brokers. Journal of financial services research, 32 (3), 141–159.
Seifert, J.; Uhrig-Homburg, M. (2007). Modelling Jumps in Electricity Prices - Theory and Empirical Evidence. Review of derivatives research, 10 (1), 59–85.
Uhrig-Homburg, M.; Wagner, M. (2006). Effiziente Risikomanagementinstrumente für neue Anlageformen. Börsen-Zeitung, (90), 19 S.
Uhrig-Homburg, M. (2005). Cash-flow shortage as an endogenous bankruptcy reason. Journal of Banking & Finance, 29 (6), 1509–1534. doi:10.1016/j.jbankfin.2004.06.026
Homburg, C.; Uhrig-Homburg, M. (2004). Zentrales und dezentrales Risikocontrolling in Industrieunternehmen. Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung, 56, 311–332.
Uhrig-Homburg, M. (2002). Valuation of Defaultable Claims : A Survey. Schmalenbach Business Review, 54, 24–57. doi:10.1007/BF03396644
Uhrig-Homburg, M. (2002). Die Erwartungstheorie der Zinsstruktur und Zinsswaps. Karlsruher Transfer, 16 (28), 17–19.
Düllmann, K.; Uhrig-Homburg, M.; Windfuhr, M. (2000). Risk structure of interest rates: an empirical analysis for Deutschemark-denominated bonds. European financial management, 6, 367–388. doi:10.1111/1468-036x.00129
Kempf, A.; Uhrig-Homburg, M. (2000). Liquidity and its impact on bond prices. Schmalenbach business review, 52, 26–44.
Bühler, W.; Uhrig-Homburg, M.; Walter, U.; Weber, T. (1999). An empirical comparison of forward-rate and spot-rate models for valuing interest-rate options. The journal of finance, 54 (1), 269–305. doi:10.1111/0022-1082.00104
Uhrig-Homburg, M. (1999). Die Bedeutung der Mean-Reversion von Zinsprozessen für Optionswerte: Das Beispiel der Korridor-Zinsoption. OR spectrum, 21 (1/2), 183–203.
Kellerhals, B. P. H.; Uhrig-Homburg, M. (1998). Temporäre Ungleichgewichte auf Bondmärkten: Aktive Handelsstrategien auf Basis geschätzter Zinsstrukturkurven. Financial markets and portfolio management, 12, 32–45.
Uhrig-Homburg, M.; Walter, U. (1997). Ein neuer Ansatz zur Bestimmung der Zinsstruktur: Theorie und empirische Ergebnisse für den deutschen Rentenmarkt. Kredit und Kapital, 30 (1), 116–139.
Bühler, W.; Uhrig-Homburg, M.; Walter, U.; Weber, T. (1997). Ökonomische und ökonometrische Probleme bei der Bewertung von Zinsoptionen. Advances in statistical analysis, 81, 25–47.
Uhrig-Homburg, M. (1997). Bewertung von Zinsoptionen bei stochastischer Volatilität. Empirische Ergebnisse. Zeitschrift für Betriebswirtschaft / Special issue, 67 (3), 285–309.
Bühler, W.; Uhrig-Homburg, M.; Walter, U.; Weber, T. (1997). Erfahrungen bei dem Einsatz von Modellen zur Bewertung von Zinsoptionen - eine empirische Studie. Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung, Sonderh. 38, 1–42.
Uhrig-Homburg, M.; Walter, U. (1996). A new numerical approach for fitting the initial yield curve. The journal of fixed income, 5 (4), 82–90.
Uhrig-Homburg, M. (1996). An empirical examination of the Longstaff-Schwartz bond option valuation model. The journal of derivatives, 4 (1), 41–54.
Uhrig-Homburg, M.; Bühler, W.; Göppl, H.; Möller, H. P. (1993). Die Deutsche Finanzdatenbank (DFDB). Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung, (31), 287–331.
Working Papers
Aktuell
- Atanasov, V.A.; Merrick, J.J.; Schuster, P., Mismarking Fraud in Mutual Funds.
- Böll, J.; Meng, F.; Thimme, J.; Uhrig-Homburg, M., Following the Footprints: Towards a Taxonomy of the Factor Zoo.
- Böll, J.; Thimme, J.; Uhrig-Homburg, M., Anomalies and Optionability.
- Eberbach, J.; Sureth-Sloane, C.; Uhrig-Homburg, M., Option Implied Tax Rate Expectations.
- Eberbach, J.; Uhrig-Homburg, M.; Yu, X., Information Processing in the Option Market around Earnings and Macroeconomic Announcements.
- Eska, F. E.; Müller, M., Climate Change, Energy Prices, and the Returns
of Proof-of-Work vs. Proof-of-Stake Crypto Assets. - Eska, F. E.; Hitzemann, S.; Uhrig-Homburg, M., After the Merge: Network Fragility and Robust Design of PoS Cryptocurrencies.
- Eska, F.; Shi, Y.; Theissen, E.; Uhrig-Homburg, M., Design and Valuation of Cryptocurrencies.
- Eska, F.; Shi, Y.; Theissen, E.; Uhrig-Homburg, M., Do Design Features Explain the Volatility of Cryptocurrencies?
- Grauer, C.; Schuster, P.; Uhrig-Homburg, M., Option Trade Classification.
- Hain, M.; Kargus, T.; Schermeyer, H.; Uhrig-Homburg, M.; Fichtner, W., An Electricity Price Modeling Framework for Renewable-Dominant Markets.
- Hitzemann, S.; Hofmann, M.; Uhrig-Homburg, M.; Wagner, C., Margin Requirements and Equity Option Returns.
- Hofmann, M.; Thimme, J.; Uhrig-Homburg, M., Do Option Traders Boost Stock Anomalies?.
- Hofmann, M.; Uhrig-Homburg, M., Volatility Noise.
- Müller, M.; Reichenbacher, M.; Schuster, P.; Uhrig-Homburg, M., Expected Bond Liquidity, Code, Daten.
- Müller, M.; Rosenberger, T.; Uhrig-Homburg, M., Fake Alpha.
- Müller, M.; Uhrig-Homburg, M., Drivers of Sovereign Recovery Risk.
- Roppel, A.; Unger, N.; Uhrig-Homburg, M., Zero Crossing.
Permanent
- Fiesel, S.; Uhrig-Homburg, M.; Brunzel, M., The Information Content of Bond Liquidity: What Does It Reveal About the Business Cycle?.
- Fiesel, S.; Uhrig-Homburg, M.; Ulrich, M., Monetary Policy During Liquidity Dry-Ups.
- Schmitt, C., Recovery News.
- Sarbu, S.; Schmitt, C.; Uhrig-Homburg, M., Market Expectations of Recovery Rates.
Dissertationsschriften
Eska, F. E. (2024, Juni 26). An Asset Pricing Perspective on the Design of Cryptocurrencies. Dissertation. Karlsruher Institut für Technologie (KIT). doi:10.5445/IR/1000171797
Eberbach, J. (2022, Januar 31). Information and frictions in financial markets. Dissertation. Karlsruher Institut für Technologie (KIT).
Reichenbacher, M. (2021, Juni 14). Managing Liquidity Risks in Bond Markets. Dissertation. Karlsruher Institut für Technologie (KIT). doi:10.5445/IR/1000133781
Müller, M. (2020, August 10). Asset pricing bricks. Dissertation. Karlsruher Institut für Technologie (KIT).
Hofmann, M. (2019). Frictions, intermediaries, and the option market. Dissertation. Karlsruher Institut für Technologie (KIT).
Kanne, S. (2018). Hedging frictions and option values. Dissertation. Karlsruher Institut für Technologie (KIT).
Fiesel, S. (2018). An empirical analysis of bond liquidity. Dissertation. Karlsruher Institut für Technologie (KIT).
Hain, M. (2017). Understanding energy commodity price risks. Dissertation. Karlsruher Institut für Technologie (KIT).
Schmitt, C. (2016). Recovery risk for creditors and shareholders. Dissertation. Karlsruher Institut für Technologie (KIT).
Schuster, P. (2014). Liquidity in Bond Markets. Dissertation. Karlsruher Institut für Technologie (KIT). doi:10.5445/IR/1000044662
Hitzemann, S. (2013). Carbon Finance: Equilibrium Modeling and Empirical Analysis. Dissertation. Karlsruher Institut für Technologie (KIT). doi:10.5445/IR/1000041162
Unger, N. (2013). Stochastic Modeling Approaches and Pricing Techniques for Energy Derivative Contracts. Dissertation. Karlsruher Institut für Technologie (KIT). doi:10.5445/IR/1000034465
Schläfer, T. (2011). Recovery risk in credit default swap premia. Dissertation. Gabler Verlag.
Seifert, J. (2010). Preismodellierung und Derivatebewertung im Strommarkt - Theorie und Empirie. Dissertation. KIT Scientific Publishing. doi:10.5445/KSP/1000018070
Seifert, J. (2009). Preismodellierung und Derivatebewertung im Strommarkt - Theorie und Empirie. Dissertation. Universität Karlsruhe (TH). doi:10.5445/IR/1000018269
Gündüz, Y. (2008). Credit Default Swap Markets and Credit Risk Pricing - A Comparative Study. Dissertation. Universität Karlsruhe (TH). doi:10.5445/IR/1000007769
Hirth, S. (2007). Liquide Mittel und Investitionsentscheidungen: ein optionstheoretischer Ansat. Dissertation. Gabler Verlag.
Wagner, M. W. (2007). CO2-Emissionszertifikate - Preismodellierung und Derivatebewertung. Dissertation. Universitätsverlag Karlsruhe. doi:10.5445/KSP/1000006959
Uhrig-Homburg, M. (1996). Bewertung von Zinsoptionen bei stochastischer Zinsvolatilität. Ein Inversionsansatz. Dissertation. Gabler Verlag.
Beiträge zu Sammelwerken und sonstige Publikationen
Schuster, P.; Uhrig-Homburg, M. (2016). How Times of Stress Change the Behavior of Illiquidity Premiums. Jahrbuch 2016 = Yearbook 2016. Hrsg.: Frankfurter Institut für Risikomanagement und Regulierung, 218–220, Gesellschaft für Risikomanagement und Regulierung e.V.
Schläfer, T.; Uhrig-Homburg, M. (2010). Syndicated Loans, Loan-only Credit Default Swaps and CDS Legal Documentation. Structured Credit Products - Credit Derivatives & Synthetic Securitisation. Ed.: M. Choudhry, 371–402, John Wiley and Sons.
Hitzemann, S.; Uhrig-Homburg, M.; Ehrhart, K.-M. (2010). The Impact of the Yearly Emissions Announcement on CO2 Prices : An event study. Information Management and Marketing Engineering, Vol. II. Ed.: Dreier, 63–78, KIT Scientific Publishing.
Uhrig-Homburg, M.; Schläfer, T. (2009). Loan-Only Credit Default Swaps. Structured Credit Products. Ed.: M. Choudhry, John Wiley and Sons.
Uhrig-Homburg, M. (2008). Intensitätsbasierte Kreditrisikomodelle. Bankrisikomanagement, Mindestanforderungen, Instrumente und Strategien für Banken. Hrsh.: O. Everling, 328–343, Gabler Verlag.
Gündüz, Y.; Seese, D.; Uhrig-Homburg, M. (2006). Utilizing Financial Models in MArket Design: The Search for a Benchmark Model. Information Management and Market Engineering. Ed.: T. Dreier, 165–176, Universitätsverlag Karlsruhe.
Dermietzel, J.; Seese, D.; Stümpert, T.; Uhrig-Homburg, M. (2006). Portfolio Selection in an Artificial Stock Market. Information Management and Market Engineering. Ed.: T. Dreier, 155–164, Universitätsverlag Karlsruhe.
Barz, C.; Waldmann, K.; Uhrig-Homburg, M. (2006). Yield Management: Beyond Expected Revenue. Information management and market engineering. Ed.: T. Dreier, 71–83, Universitätsverlag Karlsruhe.
Uhrig-Homburg, M.; Buehler, W. (2003). Unternehmensbewertung mit Realoptionen. Bewertung von Unternehmen : Strategie - Markt - Risiko. Hrsg.: C. Börsig, 123–152, Schäffer-Poeschel.
Uhrig-Homburg, M. (2002). Zinsstrukturkurven unterschiedlicher Risikoklassen. Kreditrisikomanagement : Kernbereiche, Aufsicht und Entwicklungstendenzen. Hrsg.: A. Oehler, 35–57, Schäffer-Poeschel.
Bühler, W.; Uhrig-Homburg, M. (2000). Rendite und Renditestruktur am Rentenmarkt. Geld-, Bank,- und Börsenwesen - Handbuch des Finanzsystems. Ed.: J. von Hagen, 298–337, Schäffer-Poeschel.