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Research

  • Area Banking, Finance, and Insurance

    The Area Banking, Finance, and Insurance is part of the Business School at the University of Mannheim. It has first-class facilities, internationally renowned faculty and conducts research in all areas of modern finance. More information are provided on the homepage of the Area Banking, Finance, and Insurance.

  • Publications and Research Papers

    Selected Publications and Working Paper

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    Currently there are no publications available for this list.

  • Research Seminars

    Research Seminar Financial Markets

    Finance Seminar

    More information on the current Finance Seminar of the Area Banking, Finance & Insurance: 

    Finance-Seminar


    Research Seminar Financial Markets

    In the spring term 2020, the research seminar Financial Markets takes place on Wednesday, June 17, 2020 in an online format. If you are interested, you can get the access information from Clemens Müller. The program is available here:

    StartSpeakerTitle
    10:00-10:45Can YilanciGovernment Awards and Partisan Affiliation
    10:45-11:30Clemens MüllerAngel Investors and Corporate Innovation

    11:30-13:00

    Lunch Break

     

    13:00-13:45Yannik SchneiderCLOs and Market Stability
    13:45-14:45Stefan GreppmairSecurities Lending and Information Acquisition
    14:45-15:00Coffee Break 
    15:00-15:45Frank BrückbauerDeterminants of Stock Return Expectations - Evidence from the ZEW Financial Market Survey


    Information on past seminars

     

    Brownbag Seminar

    More information on the current Brownbag Seminar of the Area Banking, Finance, and Insurance: 

    Brownbag-Seminar 

  • Market Microstructure Database Xetra

    Liquidity of financial markets is important. It affects a multitude of economic outcomes such as trading profits, asset prices, real investment decisions, and corporate actions. However, measuring liquidity is no easy endeavor. One problem faced by researchers interested in liquidity is that measuring it oftentimes requires intraday high-frequency data. Such datasets are expensive and, because of their size, hard to work with.

     

    We address this problem for the German equity market by providing a database that contains various daily market-microstructure measures of liquidity on the stock level for all stocks contained in the CDAX index from 1999 to 2013 traded on Xetra.  All quote and trade data was provided by Deutsche Börse AG.

    Using the Market Microstructure Database Xetra (MMDB-Xetra) allows researchers to focus on their research question without acquiring and working with intraday data themselves.
     

    Accessing the database

    The database is available free of charge to qualifying researchers. It may be used only for scientific, non-commercial purposes. To obtain access to the database, please visit the website of the Center for Financial Research.
     

    Documentation

    In a technical document we describe how we constructed the database. We explain the variables contained and how they are computed. We further discuss technical details and potential data errors.  The technical document can be accessed here.

    In Johann et al. (2018) we use this data to show recent developments of liquidity in the German stock market and provide summary statistics and graphs of the data. We also suggest additional ways to filter the data. The paper can be accessed here.

    We gratefully acknowledge financial support from the German Science Foundation (DGF) under grant TH 724/6-1. “Xetra” and “CDAX” are registered trademarks of Deutsche Börse AG.

  • Databases

    Staff and students of the University of Mannheim have access to the following financial databases:

    • COMPUSTAT North America (incl. Segments & Bank Fundamentals)
    • COMPUSTAT Global
    • COMPUSTAT Execucomp
    • CRSP
    • AMADEUS
    • I/B/E/S
    • NYSE TAQ
    • Thomson Reuters Mutual Funds
    • Worldscope Global Database
    • Datastream
    • SDC Worldwide Mergers & Acquisitions
    • Hoppenstedt Databases

    All COMPUSTAT products, CRSP, AMADEUS, I/B/E/S, NYSE TAQ, and Thomson reuters Mutual Funds can be accessed via the WRDS interface. Worldscope and Datastream access is provided via the datastream terminal which can be found in the business library (“BWLer Bib”). SDC Worldwide M&A is available at the Chair of Corporate Finance.

    Hoppenstedt data and information on further databases can be accessed via the database information system (DBIS) available at the library of Mannheim University.

    Find more information on the individual databases