Short Biography
- Currently: Chair of Department III, Chair of Finance, University of Stuttgart, Stuttgart
- 2019: Habilitation, venia legendi for the subject Business Administration, Karlsruhe Institute of Technology (KIT), Karlsruhe
- 2017 - 2020: Head of Junior Research Group, Karlsruhe Institute of Technology (KIT), Karlsruhe
- 2014 - 2017: Post Doctoral Reserach Fellow, Karlsruhe Institute of Technology (KIT), Karlsruhe
- 2010 - 2014: Dr. rer. pol. (summa cum laude), Karlsruhe Institute of Technology (KIT), Karlsruhe
- 2014: Visiting Scholar, College of William and Mary, Williamsburg (VA)
- 2004 - 2009: Industrial Engineering and Management, Universität Karlsruhe (TH), Karlsruhe
- 2007 - 2008: Industrial Engineering, Georgia Institute of Technology, Atlanta (GA)
Teaching
- Blockchains & Cryptofinance WS2019/20
- Blockchains & Cryptofinance WS2018/19
- Fixed-income securities WS2017/18
- Fixed-income securities WS2016/17
- Fixed-income securities WS2015/16
- Credit risks WS2015/16
Research Focus
- Measurement and empirical analysis of friction and liquidity
- Modelling of liquidity risk
- Asset Pricing
- Bond and options markets
- Structured products
Publications
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. (2020). Trade-size related frictions in bond markets. habilitation thesis. Karlsruher Institut für Technologie (KIT).
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
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
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
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.
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
Working Papers
- Reichenbacher, M.; Schuster, P.; Uhrig-Homburg, M. (2020), Expected Bond Liquidity.
- Atanasov, V.A.; Merrick, J.J., Schuster, P. (2019), Mismarking Fraud in Mutual Funds.
- Reichenbacher, M.; Schuster, P. (2019), Size-Adapted Bond Liquidity Measures and Their Asset Pricing Implications.
Talks
- Fraud in Open-End Mutual Funds: FMA 2017, Boston*; Ninth Professional Asset Management Conference 2018, Rotterdam*; DGF 2018, Trier; Conference on Empirical Legal Studies in Europe 2018, Leuven*
- Size-Adapted Bond Liquidity Measures and their Asset Pricing Implications: WHU - Otto Beisheim School of Management, Valendar 2017; SAFE Asset Pricing Workshop 2018, Frankfurt; University of Hohenheim, Hohenheim 2018; Financial Management Association Annual Meeting 2019, New Orleans
- Why Do Dealers Buy High and Sell Low? An Analysis of Persistent Crossing in Extremely Segmented Markets: DGF 2015, Leipzig; Auckland Finance Meeting 2015*; Federal Reserve Bank of Atlanta Real Estate Conference 2015*; Western Economic Association International Annual Conference 2016, Portland*; U.S. Security and Exchange Commission (SEC)*
- Measuring Liquidity in Bond Markets: DGF 2013, Wuppertal; Market Microstructure Conference 2014 (Poster Session), Paris; FIRM Research Conference 2016, Montabaur
- A Heterogeneous Agents Equilibrium Model for the Term Structure of Bond Market Liquidity: International Forum on Liquidity Risk 2013, Paris; FMA European Conference 2013, Luxembourg; DGF 2013, Wuppertal; Annual Meeting of the German Academic Association for Business Research (VHB) 2015, Vienna; Copenhagen Business School, Copenhagen 2015; Mason School of Business, Williamsburg 2016
- The Term Structure of Bond Market Liquidity Conditional on the Economic Environment: An Analysis of Government Guaranteed Bonds: Workshop Financial Markets & Risk 2010, Obergurgl; DGF 2011 (Ph.D. Workshop), Regensburg; Deutsche Bundesbank 2011, Frankfurt; SGF 2012, Zurich; DGF 2012, Hannover; DZ Bank AG 2012, Frankfurt; FMA 2012, Atlanta (GA)
* Presented by coauthor(s)
Public Attention
- Ignites, August 20, 2019: "Academics Sound Alarm on Potential Pricing Fraud in Bond Funds".
- BoardIQ, August 13, 2019: "Some Fundes Overvalue Holdings to Boost Returns: Study".
- Börsenzeitung, February 25, 2017: "Better risk management thanks to liquidity measurement".
- Börsenzeitung, July 7, 2016: "Models for measuring risks".
- Institutional Money, July 5, 2016: "FIRM awards prize for dissertation on liquidity in bond markets".
- Börsenzeitung, April 22, 2015: "DAI university prize awarded".