Marliese Uhrig-Homburg

Karlsruhe Institute of Technology (KIT) - Institute for Finance

Chair of Financial Engineering and Derivatives Department

P.O. Box 6980

D-76049 Karlsruhe, DE

Germany

http://derivate.fbv.kit.edu/english/index.php

  • Karlsruhe Institute of Technology (KIT) - Institute for Finance

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SCHOLARLY PAPERS

38

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33

Scholarly Papers (38)

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1.

Futures Price Dynamics of CO2 Emission Certificates - An Empirical Analysis

Journal of Derivatives, Vol. 17, No. 2, pp. 73-88, 2009
Number of pages: 31 Posted: 01 Nov 2006 Last Revised: 17 Feb 2014
Michael Wolfgang Wagner and Marliese Uhrig-Homburg
University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 2,338 (8,726)

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CO2 emission certificates, price dynamics, CO2 forwards

2.

Measuring Liquidity in Bond Markets

Forthcoming in The Review of Financial Studies
Number of pages: 58 Posted: 20 Sep 2013 Last Revised: 29 Jul 2022
Raphael Schestag, Philipp Schuster and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Financial Engineering and Derivatives Department, University of Stuttgart and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 1,949 (11,825)
Citation 39

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bond liquidity, transaction costs, bid-ask spread, price impact, asset pricing

3.

An Empirical Comparison of Alternative Models for Valuing Interest Rate Options

Number of pages: 41 Posted: 01 Feb 1997
Wolfgang Bühler, Wolfgang Bühler, Marliese Uhrig-Homburg, Ulrich Walter and Thomas Weder
University of New South Wales, Australian Business SchoolUniversity of Mannheim - Department of Business Administration and Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance, University of Mannheim and University of Mannheim
Downloads 1,652 (15,361)
Citation 4

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4.

Liquidity and its Impact on Bond Prices

Schmalenbach Business Review, Vol. 52, January 2000
Number of pages: 19 Posted: 03 Jun 2002
Marliese Uhrig-Homburg and Alexander Kempf
Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,113 (27,693)

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5.

Fake Alpha

Number of pages: 58 Posted: 18 Jan 2017 Last Revised: 08 Mar 2021
Marcel Müller, Tobias Rosenberger and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 772 (46,035)

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mutual funds, active management, managerial skill, alpha

6.

Modelling Jumps in Electricity Prices: Theory and Empirical Evidence

Number of pages: 38 Posted: 23 May 2006
Jan Seifert and Marliese Uhrig-Homburg
University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 755 (47,459)
Citation 8

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electricity prices, jump diffusion, derivatives pricing

7.

Cost Stickiness and Credit Risk

Number of pages: 53 Posted: 09 Jun 2016 Last Revised: 10 Sep 2020
Carsten Homburg, André Hoppe, Julia Nasev, Kristina Reimer and Marliese Uhrig-Homburg
University of Cologne, KU Leuven, Ludwig-Maximilians-University Munich, University of Cologne and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 725 (50,442)
Citation 7

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Cost Stickiness, Cost Behavior, Credit Risk, Credit Default Swaps

8.

Valuation of Defaultable Claims - a Survey

Schmalenbach Business Review (sbr) - www.sbr-online.de, Vol. 54, January 2002
Number of pages: 34 Posted: 17 Jun 2002
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 655 (57,191)
Citation 3

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9.

Is Recovery Risk Priced?

Number of pages: 36 Posted: 16 May 2009 Last Revised: 26 Feb 2011
Marliese Uhrig-Homburg and Timo Schläfer
Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Karlsruhe
Downloads 618 (61,614)
Citation 1

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Market-implied recovery rate, risk-neutral probability of default, LCDS, CDS, loan-only credit default swap, capital structure, probability distribution of recovery, risk aversion

10.

Equilibrium Price Dynamics of Emission Permits

Number of pages: 47 Posted: 17 Feb 2011 Last Revised: 30 Apr 2015
Steffen Hitzemann and Marliese Uhrig-Homburg
University of Houston - Department of Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 616 (62,023)
Citation 5

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emission permits, spot and futures price dynamics, carbon derivatives

11.

Margin Requirements and Equity Option Returns

Number of pages: 81 Posted: 04 Jun 2016 Last Revised: 01 Jul 2021
Steffen Hitzemann, Michael Hofmann, Marliese Uhrig-Homburg and Christian Wagner
University of Houston - Department of Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and WU Vienna University of Economics and Business
Downloads 608 (62,919)
Citation 4

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equity options, margins, funding liquidity, cross-section of option returns

12.

The Term Structure of Bond Market Liquidity Conditional on the Economic Environment: An Analysis of Government Guaranteed Bonds

Number of pages: 40 Posted: 02 Apr 2012 Last Revised: 21 Feb 2014
Philipp Schuster and Marliese Uhrig-Homburg
University of Stuttgart and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 498 (80,767)
Citation 3

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bond liquidity, term structure of illiquidity premiums, regime-switching, financial crisis, flight-to-liquidity

13.

Stock Illiquidity and Option Returns

Number of pages: 49 Posted: 07 Dec 2015 Last Revised: 05 Dec 2020
Stefan Kanne, Olaf Korn and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance, University of Goettingen (Göttingen) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 357 (118,694)

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Illiquidity, equity options, option returns, hedging costs

14.

Do Lead-Lag Effects Affect Derivative Pricing?

Number of pages: 37 Posted: 10 Mar 2002
Olaf Korn and Marliese Uhrig-Homburg
University of Goettingen (Göttingen) and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 313 (136,619)
Citation 1

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option pricing, lead-lag effects

15.

A Heterogeneous Agents Equilibrium Model for the Term Structure of Bond Market Liquidity

Forthcoming in the Journal of Financial and Quantitative Analysis (New title: The Term Structure of Bond Liquidity)
Number of pages: 71 Posted: 24 Mar 2013 Last Revised: 09 Jun 2019
Monika Gehde-Trapp, Philipp Schuster and Marliese Uhrig-Homburg
University of Mannheim - Finance Area, University of Stuttgart and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 308 (138,999)
Citation 3

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bond liquidity, term structure of liquidity premia, heterogeneous agents, aging effect, trading volume, equilibrium

16.

Volatility Noise

Number of pages: 74 Posted: 06 Mar 2018 Last Revised: 06 Dec 2018
Michael Hofmann and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 263 (163,388)
Citation 1

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equity options, implied volatility, intermediary asset pricing, frictions, cross-section of returns

17.

Market Expectations of Recovery Rates

Number of pages: 42 Posted: 10 Jan 2014
Sorana Sarbu, Claus Schmitt and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Financial Engineering and Derivatives Department, Rotterdam School of Management and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 212 (200,845)
Citation 5

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Recovery Rate, Credit Default Swap, Crisis

18.

Modelling Simultaneous Defaults: A Top-Down Approach

Number of pages: 29 Posted: 03 Mar 2007
Michael Kunisch and Marliese Uhrig-Homburg
University of Karlsruhe and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 206 (206,325)

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dependent default, contagion, top-down approach, reduced-form models, valuation of defaultable securities

19.

Designing Robust Stock Option Plans

Number of pages: 31 Posted: 20 Feb 2008
Olaf Korn, Marliese Uhrig-Homburg and Clemens Paschke
University of Goettingen (Göttingen), Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN
Downloads 204 (208,170)

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stock option plans, robustness, accounting valuation, corporate governance

20.

Drivers of Sovereign Recovery Risk

Number of pages: 35 Posted: 07 May 2015 Last Revised: 20 Nov 2020
Marcel Müller and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 178 (234,700)

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sovereign debt, sovereign recovery risk

21.

Empirical Performance of Reduced-Form Models for Emission Permit Prices

Review of Derivatives Research, 2019
Number of pages: 38 Posted: 23 Jul 2013 Last Revised: 04 May 2022
Steffen Hitzemann and Marliese Uhrig-Homburg
University of Houston - Department of Finance and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 175 (238,108)
Citation 5

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emission permits, price dynamics, option pricing, environmental finance, carbon derivatives

22.

Option Trade Classification

Number of pages: 39 Posted: 06 May 2022
Caroline Grauer, Philipp Schuster and Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance, University of Stuttgart and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 126 (309,531)

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buyer/seller initiated trades, intraday transaction analysis, Lee and Ready algorithm, limit order, tick test, trade classification, trade direction, quote rule

23.

Emission Permits and the Announcement of Realized Emissions: Price Impact, Trading Volume, and Volatilities

Energy Economics, Vol. 51, 2015
Number of pages: 27 Posted: 19 Jul 2013 Last Revised: 10 Nov 2016
Steffen Hitzemann, Marliese Uhrig-Homburg and Karl-Martin Ehrhart
University of Houston - Department of Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Karlsruhe
Downloads 96 (372,708)
Citation 2

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emission permits, announcement effects, EU ETS

24.

Desgning Robust Stock Option Plans

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 32 Posted: 25 Aug 2008
Olaf Korn, Clemens Paschke and Marliese Uhrig-Homburg
University of Goettingen (Göttingen), affiliation not provided to SSRN and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 77 (425,466)
Citation 1

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stock option plans, robustness, accounting valuation, corporate governance

25.

Monetary Policy During Liquidity Dry-Ups

Number of pages: 42 Posted: 22 Aug 2017 Last Revised: 23 Aug 2017
Stefan Fiesel, Marliese Uhrig-Homburg and Maxim Ulrich
Karlsruhe Institute of Technology, Karlsruhe Institute of Technology (KIT) - Institute for Finance and Karlsruhe Institute of Technology
Downloads 59 (488,103)

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liquidity, global shocks, multi-country, monetary policy

26.

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Downloads 38 (584,135)
Citation 1

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Bundesbank Series 2 Discussion Paper No. 2011,05
Number of pages: 64 Posted: 08 Jun 2016
Yalin Gündüz and Marliese Uhrig-Homburg
Deutsche Bundesbank and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 38 (597,200)
Citation 1

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credit risk, structural models, reduced-form models, default intensity, stationary leverage, credit default swaps

Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models

Review of Derivatives Research, Vol. 17, 2014
Posted: 19 Feb 2009 Last Revised: 20 Nov 2015
Yalin Gündüz and Marliese Uhrig-Homburg
Deutsche Bundesbank and Karlsruhe Institute of Technology (KIT) - Institute for Finance

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Credit risk, structural models, reduced-form models, default intensity, stationary leverage, credit default swaps

27.

Investment Timing When External Financing is Costly

Journal of Business Finance & Accounting, Vol. 37, No. 7-8, pp. 929-949, July/August 2010
Number of pages: 21 Posted: 20 Sep 2010
Stefan Hirth and Marliese Uhrig-Homburg
Aarhus University and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 3 (866,260)
Citation 1

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28.

Syndicated Loans, Loan-only Credit Default Swaps and CDS Legal Documentation

Structured Credit Products - Credit Derivatives & Synthetic Securitisation, M. Choudhry, John Wiley & Sons, eds., Singapore
Posted: 09 Nov 2008 Last Revised: 23 Feb 2011
Timo Schläfer and Marliese Uhrig-Homburg
University of Karlsruhe and Karlsruhe Institute of Technology (KIT) - Institute for Finance

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CDS, LCDS, Loan-only Credit Default Swap

29.

Dynamic Behavior of CO2 Spot Prices

Journal of Environmental Economics and Management, Vol. 56, No. 2, pp. 180-194, September 2008
Posted: 05 Mar 2008 Last Revised: 17 Feb 2014
Jan Seifert, Marliese Uhrig-Homburg and Michael Wolfgang Wagner
University of Karlsruhe (TH), Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Karlsruhe (TH)

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CO2 emission certificates, emissions trading, spot price process, stochastic optimal control

30.

Investment Timing, Liquidity, and Agency Costs of Debt

Journal of Corporate Finance, Vol. 16, No. 2, pp. 243-258, April 2010
Posted: 03 Mar 2008 Last Revised: 19 Nov 2011
Stefan Hirth and Marliese Uhrig-Homburg
Aarhus University and Karlsruhe Institute of Technology (KIT) - Institute for Finance

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investment timing, liquidity, agency costs of debt, capital structure, real options

31.

Trading Credit Default Swaps Via Interdealer Brokers

Journal of Financial Services Research, Vol. 32, 2007
Posted: 12 May 2006 Last Revised: 18 Nov 2015
Yalin Gündüz, Marliese Uhrig-Homburg and Torsten Luedecke
Deutsche Bundesbank, Karlsruhe Institute of Technology (KIT) - Institute for Finance and University of Karlsruhe (TH)

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Credit default swaps, market microstructure, over-the-counter trading, interdealer brokerage, liquidity

32.

Derivative Instruments in the EU Emissions Trading Scheme - An Early Market Perspective

Energy & Environment, Vol. 19, No. 5, pp. 635-655, September 2008
Posted: 19 Feb 2006 Last Revised: 27 Oct 2008
Michael Wolfgang Wagner and Marliese Uhrig-Homburg
University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT) - Institute for Finance

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CO2 emission certificates, market environment, CO2 derivatives, expert survey

33.

Cash-Flow Shortage as an Endogenous Bankruptcy Reason

Posted: 01 Apr 2005
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

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Continuous-time bankruptcy model, corporate bond pricing, credit spreads, equity finance costs, optimal capital structure

34.

Risk Structure of Interest Rates: An Empirical Analysis for Deutschemark-Denominated Bonds

Posted: 08 Nov 2000
Klaus Duellmann, Marliese Uhrig-Homburg and Marc Windfuhr
Deutsche Bundesbank, Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN

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35.

Risk Structure of Interest Rates: An Empirical Analysis for Deutsch Mark Denominated Bonds

Posted: 21 Aug 2000
Klaus Duellmann, Marliese Uhrig-Homburg and Marc Windfuhr
Deutsche Bundesbank, Karlsruhe Institute of Technology (KIT) - Institute for Finance and affiliation not provided to SSRN

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Credit spreads, term structure estimation, bond ratings

36.

Importance of Mean-Reversion of Interest Rate Processes for Options: The Example of Range Warrants

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Importance of Mean-Reversion of Interest Rate Processes for Options: The Example of Range Warrants

Posted: 19 May 1999
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

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Importance of Mean-Reversion of Interest Rate Processes for Options: The Example of Range Warrants

University of Mannheim, Working Paper No. 98-12
Posted: 02 Feb 1999
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

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37.

Endogenous Bankruptcy When Equity Issuance is Costly

Posted: 28 Dec 1998
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

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38.

An Empirical Examination of the Longstaff-Schwartz Bond Option Valuation Model

J. OF DERIVATIVES, Fall 1996
Posted: 12 Sep 1996
Marliese Uhrig-Homburg
Karlsruhe Institute of Technology (KIT) - Institute for Finance

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Other Papers (2)

Total Downloads: 227
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1.

How Cost Stickiness Affects Credit Risk

AAA 2019 Management Accounting Section (MAS) Meeting
Number of pages: 44 Posted: 16 Aug 2018
Carsten Homburg, André Hoppe, Julia Nasev, Kristina Reimer and Marliese Uhrig-Homburg
University of Cologne, KU Leuven, Ludwig-Maximilians-University Munich, University of Cologne and Karlsruhe Institute of Technology (KIT) - Institute for Finance
Downloads 227

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Cost Stickiness, Cost Behavior, Credit Risk, Credit Default Swaps

2.

Investment Timing When External Financing is Costly

Journal of Business Finance & Accounting, Vol. 37, Issue 7-8, pp. 929-949, September/October 2010
Posted: 06 Mar 2005 Last Revised: 18 Aug 2014
Stefan Hirth and Marliese Uhrig-Homburg
Aarhus University and Karlsruhe Institute of Technology (KIT) - Institute for Finance

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investment timing, underinvestment, overinvestment, real option valuation, costly external financing