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
- Eska, F., Shi, Y., Theissen, E. and Uhrig-Homburg, M. (2024). Do design features explain the volatility of cryptocurrencies? Finance Research Letters, 66, 1–8.
- Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusüß, S., Razen, M., Weitzel, U., Abad-Días, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J. T., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J. J., Avetikian, A. T., Bach, A., Baidoo, E., Bakalli, G., Bao, L., Barbon, A., Bashchenko, O., Bindra, P. C., Bjønnes, G. H., Black, B. S., Black, J. R., Scharnowski, S. and Theissen, E. (2024). Nonstandard Errors. The Journal of Finance, 79, 2339-2390.
- Scharnowski, S. (2024). Dark web traffic, privacy coins, and cryptocurrency trading activity. Finance Research Letters, 67, Part B, 1–7.
- Scharnowski, S. and Shi, Y. (2024). Intraday herding and attention around the clock. Journal of Behavioral and Experimental Finance, 41, 1–16.
- Betzer, A., van den Bongard, I. ., Schweder, F., Theissen, E. and Volkmann, C. (2023). All is not lost that is delayed: Overconfidence and investment outcomes. Review of Managerial Science : RMS, 17, 2297-2324.
- Fink, J., Palan, S. and Theissen, E. (2023). Earnings autocorrelation and the post-earnings-announcement drift: experimental evidence. Journal of Financial and Quantitative Analysis : JFQA, 1–39.
- Gomber, P., Sagade, S., Theissen, E., Weber, M. C. and Westheide, C. (2023). Spoilt for choice: Determinants of market shares in fragmented equity markets. Journal of Financial Markets, 64, 1–19.
- Scharnowski, M., Scharnowski, S. and Zimmermann, L. (2023). Fan tokens: Sports and speculation on the blockchain. Journal of International Financial Markets, Institutions & Money, 89.
- Theissen, E. and Westheide, C. (2023). One for the money, two for the show? The number of designated market makers and liquidity. Economics Letters, 224.
- Zimmermann, L. (2023). Enhanced Global Asset Pricing Factors. Journal of Financial and Quantitative Analysis : JFQA, 58, 2692-2731.
- Brauneis, A., Mestel, R., Riordan, R. and Theissen, E. (2022). Bitcoin unchained: Determinants of cryptocurrency exchange liquidity. Journal of Empirical Finance, 69, 106–122.
- Brauneis, A., Mestel, R., Riordan, R. and Theissen, E. (2022). The anatomy of a fee change – Evidence from cryptocurrency markets. Journal of Empirical Finance, 67, 152–167.
- Greppmair, S. and Theissen, E. (2022). Small is beautiful? How the introduction of mini futures contracts affects the regular contract. Journal of Empirical Finance, 67, 19–38.
- Scharnowski, S. (2022). Central bank speeches and digital currency competition. Finance Research Letters, 49.
- Theissen, E., Machus, T. and Mestel, R. (2022). Heroes, just for one day: The impact of Donald Trump's tweets on stock prices. Journal of Behavioral and Experimental Finance, 33, 1–11.
- Brauneis, A., Mestel, R., Riordan, R. and Theissen, E. (2021). How to measure the liquidity of cryptocurrency markets? Journal of Banking and Finance, 124, 1–26.
- Brauneis, A., Mestel, R. and Theissen, E. (2021). What drives the liquidity of cryptocurrencies? A long-term analysis. Finance Research Letters, 39, 1–8.
- Rischen, T. and Theissen, E. (2021). Underpricing in the euro area bond market: New evidence from post-crisis regulation and quantitative easing. Journal of Financial Intermediation, 46, 1–16.
- Scharnowski, S. (2021). Understanding Bitcoin liquidity. Finance Research Letters, 38, Article 101477.
- Theissen, E. and Westheide, C. (2022). One for the money, two for the show? The number of designated market makers and liquidity. SSRN Working Paper Series. Rochester, NY: SSRN.
- Dinger, V., Schmidt, C. and Theissen, E. (2021). The real effects of distressed bank mergers. Mannheim.
- Fink, J., Palan, S. and Theissen, E. (2021). Trading frictions and the post-earnings-announcement drift. SSRN Working Paper Series. Rochester, NY.
- Scharnowski, S. and Shi, Y. (2021). Bitcoin blackout: Proof-of-work and the centralization of mining. Mannheim.
- Theissen, E. and Yilanci, C. (2021). Momentum? What momentum? SSRN Working Paper Series. Rochester, NY.
- Theissen, E. and Zimmermann, L. (2021). Do contented customers make shareholders wealthy? – Implications of intangibles for security pricing. SSRN Working Paper Series. Rochester, NY: SSRN.
Research Seminars
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.
