Thomas Gehrig

University of Vienna - Faculty of Business, Economics, and Statistics

Vienna, A-1210

Austria

Centre for Economic Policy Research (CEPR)

London

United Kingdom

European Corporate Governance Institute (ECGI)

Research Affiliate

c/o ECARES ULB CP 114

B-1050 Brussels

Belgium

Vienna Graduate School of Finance (VGSF)

Welthandelsplatz 1

Vienna, 1020

Austria

Systemic Risk Centre - LSE

Houghton St, London WC2A 2AE, United Kingdom

London

SCHOLARLY PAPERS

36

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9,281

CITATIONS
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101

Ideas:
“  I'm currently working on banking regulation and price discovery in fragmented markets.  ”

Scholarly Papers (36)

Stock Price Informativeness, Cross-Listings and Investment Decisions

Journal of Financial Economics (JFE), Vol. 88, No. 1, 2008, EFA 2006 Zurich Meetings, AFA 2007 Chicago Meetings Paper
Number of pages: 40 Posted: 16 Mar 2006 Last Revised: 15 Mar 2013
Thierry Foucault and Thomas Gehrig
HEC Paris - Finance Department and University of Vienna - Faculty of Business, Economics, and Statistics
Downloads 1,719 (9,043)
Citation 6

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Cross-listings, cross-listings premium, price informativeness, investment decisions, flow-back, ownership.

Stock Price Informativeness, Cross-Listings and Investment Decisions

CEPR Discussion Paper No. 5722
Number of pages: 42 Posted: 11 Aug 2006
Thierry Foucault and Thomas Gehrig
HEC Paris - Finance Department and University of Vienna - Faculty of Business, Economics, and Statistics
Downloads 66 (342,220)
Citation 1
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Cross-listings, cross-listing premium, price informativeness, investment decisions, flow-back, ownership

Changing Risk Perception and the Time-Varying Price of Risk

Review of Finance, Vol. 20, No. 4, 2016.
Number of pages: 38 Posted: 10 Mar 2011 Last Revised: 03 Dec 2016
Roland Füss, Thomas Gehrig and Philipp B. Rindler
University of St. Gallen - School of Finance, University of Vienna - Faculty of Business, Economics, and Statistics and EBS Universität für Wirtschaft und Recht - EBS Business School
Downloads 991 (21,376)

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Credit spreads, structural models, quantile regression, counterfactual analysis, ambiguity aversion

Scattered Trust - Did the 2007-08 Financial Crisis Change Risk Perceptions?

CEPR Discussion Paper No. DP8714
Number of pages: 52 Posted: 22 Dec 2011
Roland Füss, Thomas Gehrig and Philipp B. Rindler
University of St. Gallen - School of Finance, University of Vienna - Faculty of Business, Economics, and Statistics and EBS Universität für Wirtschaft und Recht - EBS Business School
Downloads 8 (617,254)
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ambiguity aversion, counterfactual analysis, credit spreads, quantile regression, structural models

Did the 2007-08 Financial Crisis Change Risk Perceptions?

University of St.Gallen, School of Finance Research Paper No. 171
Posted: 11 Jun 2012 Last Revised: 10 Dec 2016
Roland Füss, Thomas Gehrig and Philipp B. Rindler
University of St. Gallen - School of Finance, University of Vienna - Faculty of Business, Economics, and Statistics and EBS Universität für Wirtschaft und Recht - EBS Business School

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credit spreads, structural models, quantile regression, counterfactual analysis, ambiguity aversion

Anomalous Trading Prior to Lehman Brothers' Failure

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 424/2014
Number of pages: 48 Posted: 15 Mar 2014 Last Revised: 30 Mar 2016
Thomas Gehrig and Marlene Haas
University of Vienna - Faculty of Business, Economics, and Statistics and Independent
Downloads 442 (63,498)

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Price Discovery, Price Impact, Trading Volume, Low-Latency Trading

Lehman Brothers: Did Markets Know?

Number of pages: 74 Posted: 17 Jul 2014
Thomas Gehrig and Marlene Haas
University of Vienna - Faculty of Business, Economics, and Statistics and Independent
Downloads 103 (260,001)

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Lehman Brothers, Equity Bid-Ask Spread Decomposition, Informed Trading

Lehman Brothers: Did Markets Know?

Number of pages: 73 Posted: 12 May 2014
Thomas Gehrig and Marlene Haas
University of Vienna - Faculty of Business, Economics, and Statistics and Independent
Downloads 69 (333,922)

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Lehman Brothers: Did Markets Know?

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 74 Posted: 02 Jul 2014 Last Revised: 18 Jul 2014
Thomas Gehrig and Marlene Haas
University of Vienna - Faculty of Business, Economics, and Statistics and Independent
Downloads 55 (375,731)

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Lehman Brothers, bid-ask spread decomposition, informed trading, information contagion

Anomalous Trading Prior to Lehman Brothers' Failure

CEPR Discussion Paper No. DP11194
Number of pages: 51 Posted: 18 Apr 2016
Thomas Gehrig and Marlene Haas
University of Vienna - Faculty of Business, Economics, and Statistics and Independent
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low latency trading, price discovery, price impact, trading volume

4.

Accounting to Acceptability: With Applications to the Pricing of Ones Own Credit Risk

Robert H. Smith School Research Paper No. RHS 06-113
Number of pages: 20 Posted: 28 Jan 2010 Last Revised: 03 May 2010
Ernst Eberlein, Thomas Gehrig and Dilip B. Madan
University of Freiburg, University of Vienna - Faculty of Business, Economics, and Statistics and University of Maryland - Robert H. Smith School of Business
Downloads 634 (40,511)
Citation 4

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Concave Distortions, Liability Pricing, Bid and Ask Prices

Introductory Offers in a Model of Strategic Competition

GEABA - Discussion Paper No. 02-01
Number of pages: 21 Posted: 20 May 2002
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 571 (45,911)
Citation 2

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Introductory Offers in a Model of Strategic Competition

CEPR Discussion Paper No. 3189
Number of pages: 22 Posted: 21 Feb 2002
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 41 (426,898)
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Introductory offers, price discrimination, switching costs, competitiveness

6.

Liquidity and Competition in Unregulated Markets: The New York Stock Exchange Before the SEC

Number of pages: 50 Posted: 24 Feb 2009
Caroline Fohlin, Thomas Gehrig and Tobias Brünner
Emory University, University of Vienna - Faculty of Business, Economics, and Statistics and University of Freiburg
Downloads 514 (53,145)
Citation 3

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Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907

Number of pages: 54 Posted: 08 Apr 2015 Last Revised: 08 Aug 2016
Caroline Fohlin, Thomas Gehrig and Marlene Haas
Emory University, University of Vienna - Faculty of Business, Economics, and Statistics and Independent
Downloads 491 (55,674)
Citation 11

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Microstructure, Panic, Information Asymmetry, Funding Illiquidity, Market Illiquidity, Fire Sales, Price Discovery

Rumors and Runs in Opaque Markets: Evidence from the Panic of 1907

CEPR Discussion Paper No. DP10497
Number of pages: 46 Posted: 24 Mar 2015
Caroline Fohlin, Thomas Gehrig and Marlene Haas
Emory University, University of Vienna - Faculty of Business, Economics, and Statistics and Independent
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information risk, liquidity risk, price discovery, rumour-based panic

8.
Downloads 476 ( 58,582)

Venture Cycles: Theory and Evidence

CESifo Working Paper Series No. 882
Number of pages: 43 Posted: 15 Apr 2003
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 476 (57,940)

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Screening, Venture Capital, Investment Cycles

Venture Cycles: Theory and Evidence

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 04 Nov 2009
Rune Stenbacka and Thomas Gehrig
Hanken School of Economics and University of Vienna - Faculty of Business, Economics, and Statistics

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VentureOne database, National Venture Capital Association, Market regulation, Tax incentives, Price Waterhouse, Startups, Public policies, Debt financing, Subsidies, Initial public offerings (IPO), Banks, Venture capital

Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange 1880-1910

Number of pages: 40 Posted: 19 Sep 2006
Thomas Gehrig and Caroline Fohlin
University of Vienna - Faculty of Business, Economics, and Statistics and Emory University
Downloads 430 (65,654)
Citation 3

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price discovery, effective spreads, market microstructure

Trading Costs in Early Securities Markets: The Case of the Berlin Stock Exchange, 1880-1910

CEPR Discussion Paper No. 5827
Number of pages: 40 Posted: 10 Nov 2006
Caroline Fohlin and Thomas Gehrig
Emory University and University of Vienna - Faculty of Business, Economics, and Statistics
Downloads 38 (439,687)
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Price discovery, effective spreads, market microstructure

10.

Market Dominance and Behavior-Based Pricing Under Horizontal and Vertical Differentiation

Number of pages: 27 Posted: 08 Nov 2007
Thomas Gehrig, Oz Shy and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics, Independent and Hanken School of Economics
Downloads 325 (91,788)

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market dominance, behavior-based pricing, consumer loyalty, poaching, price discrimination, horizontal and vertical differentiation

11.

Transparency in Information Acquisition: A Bargaining Experiment

Number of pages: 19 Posted: 09 Aug 2006
Thomas Gehrig, Werner Guth and Rene Levinsky
University of Vienna - Faculty of Business, Economics, and Statistics, Max Planck Institute of Economics and Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Economics
Downloads 325 (91,788)
Citation 1

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information acquisition, ultimatum experiment, transparency

12.

Decentralized Screening: Coordination Failure, Multiple Equilibria and Cycles

Number of pages: 28 Posted: 03 Oct 2007
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 241 (126,129)

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screening externality, decentralization, screening cycles

13.

Making Parametric Portfolio Policies Work

Number of pages: 32 Posted: 10 Dec 2017 Last Revised: 18 Apr 2019
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna - Faculty of Business, Economics, and Statistics, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 240 (126,656)

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portfolio policy, expected utility, risk aversion, prospect theory

Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?

Number of pages: 59 Posted: 17 Aug 2017
Thomas Gehrig and Maria Chiara Iannino
University of Vienna - Faculty of Business, Economics, and Statistics and University of St Andrews
Downloads 175 (170,501)
Citation 2

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bank capital, systemic risk, internal risk based models, contagion, resilience

Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?

Bank of Finland Research Discussion Paper No. 16/2018
Number of pages: 50 Posted: 28 Sep 2018 Last Revised: 02 Oct 2018
Thomas Gehrig and Maria Chiara Iannino
University of Vienna - Faculty of Business, Economics, and Statistics and University of St Andrews
Downloads 32 (466,888)

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bank capital, systemic risk, internal risk based models, contagion, resilience, regulation

Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks?

CEPR Discussion Paper No. DP11920
Number of pages: 50 Posted: 20 Mar 2017 Last Revised: 02 Oct 2018
Thomas Gehrig and Maria Chiara Iannino
University of Vienna - Faculty of Business, Economics, and Statistics and University of St Andrews
Downloads 2 (666,459)
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capital shortfall, internal risk models, quantile regressions, resilience, systemic risk

15.

On the Co-Evolution of Insider Information and Idiosyncratic Beliefs

Jena Economic Research Paper No. 2007-068
Number of pages: 17 Posted: 02 Oct 2007
Thomas Gehrig, Werner Guth and Rene Levinsky
University of Vienna - Faculty of Business, Economics, and Statistics, Max Planck Institute of Economics and Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Economics
Downloads 205 (147,459)

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co-evolution, idiosyncratic beliefs, inside information, heterogenous markets, information sharing

The Use of Flow Analysis in Foreign Exchange: Explanatory Analysis

CEPR Discussion Paper No. 3221
Number of pages: 42 Posted: 14 Mar 2002
Thomas Gehrig and Lukas Menkhoff
University of Vienna - Faculty of Business, Economics, and Statistics and German Institute for Economic Research (DIW Berlin)
Downloads 95 (274,601)
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Foreign exchange markets, flow trading, market microstructure

The Use of Flow Analysis in Foreign Exchange: Exploratory Evidence

Number of pages: 40 Posted: 31 Mar 2011
Thomas Gehrig and Lukas Menkhoff
University of Vienna - Faculty of Business, Economics, and Statistics and German Institute for Economic Research (DIW Berlin)
Downloads 91 (282,398)
Citation 2

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17.

Did the Basel Process of Capital Regulation Enhance the Resiliency of European Banks

Paper presented at conference on Systemic Risk and the Organization of the Financial System, Chapman University, May 13, 2017
Number of pages: 55 Posted: 04 Oct 2017
Thomas Gehrig and Maria Chiara Iannino
University of Vienna - Faculty of Business, Economics, and Statistics and University of St Andrews
Downloads 179 (167,035)

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bank capital, sytemic risk, internal risk based models, contagion, resilience

18.

Rumors and Runs in Opaque Markets: Evidence from Panic of 1907

CESifo Working Paper Series No. 6048
Number of pages: 55 Posted: 11 Oct 2016
Caroline Fohlin, Thomas Gehrig and Marlene Haas
Emory University, University of Vienna - Faculty of Business, Economics, and Statistics and Independent
Downloads 120 (231,741)

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microstructure, panic, information asymmetry, funding illiquidity, market illiquidity, fire sales, price discovery

19.
Downloads 111 (245,200)
Citation 9

The Rise of Fund Managers in Foreign Exchange

CEPR Discussion Paper No. 4752
Number of pages: 37 Posted: 26 Jan 2005
Thomas Gehrig and Lukas Menkhoff
University of Vienna - Faculty of Business, Economics, and Statistics and German Institute for Economic Research (DIW Berlin)
Downloads 85 (295,116)
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Foreign exchange, market microstructure, fund management, fundamentals

The Rise of Fund Managers in Foreign Exchange: Will Fundamentals Ultimately Dominate?

The World Economy, Vol. 28, No. 4, pp. 519-540, April 2005
Number of pages: 22 Posted: 21 Apr 2005
Thomas Gehrig and Lukas Menkhoff
University of Vienna - Faculty of Business, Economics, and Statistics and German Institute for Economic Research (DIW Berlin)
Downloads 26 (499,409)
Citation 1
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20.

Two at the Top: Quality Differentiation in Markets with Switching Costs

CEPR Discussion Paper No. 4996
Number of pages: 28 Posted: 22 Aug 2005
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 103 (258,419)
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Quality choice, switching costs, poaching, natural oligopoly

21.

Screening Cycles

CEPR Discussion Paper No. 2915
Number of pages: 29 Posted: 21 Aug 2001
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 92 (278,300)
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Screening, lending cycles, banking competition, financial stability

22.

Information Sharing in Banking: A Collusive Device?

CEPR Discussion Paper No. 2911
Number of pages: 28 Posted: 16 Aug 2001
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 92 (278,300)
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Information sharing, collusion, imperfectly competitive credit markets

23.

(In)Transparency of Information Acquisition: A Bargaining Experiment

CEPR Discussion Paper No. 5817
Number of pages: 22 Posted: 13 Oct 2006
Thomas Gehrig and Werner Guth
University of Vienna - Faculty of Business, Economics, and Statistics and Max Planck Institute of Economics
Downloads 42 (414,507)
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Information acquisition, ultimatum experiment, transparency

24.

Loan Sales and Screening Incentives

CEPR Discussion Paper No. DP9084
Number of pages: 25 Posted: 28 Sep 2012
Helmut Bester, Thomas Gehrig and Rune Stenbacka
Free University of Berlin (FUB) - Division of Economics, University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 34 (446,679)
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loan sales, screening, securitization

Bonus Payments and Fund Managers' Behaviour: Trans-Atlantic Evidence

CEPR Discussion Paper No. DP7118
Number of pages: 36 Posted: 18 Feb 2009
Thomas Gehrig, Torben Lütje and Lukas Menkhoff
University of Vienna - Faculty of Business, Economics, and Statistics, University of Hannover and German Institute for Economic Research (DIW Berlin)
Downloads 25 (505,435)
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fund managers, fundamental information, incentives

Bonus Payments and Fund Managers’ Behavior: Transatlantic Evidence

CESifo Economic Studies, Vol. 55, Issue 3-4, pp. 569-594, 2009
Posted: 08 Dec 2009
Thomas Gehrig, Torben Lütje and Lukas Menkhoff
University of Vienna - Faculty of Business, Economics, and Statistics, University of Hannover and German Institute for Economic Research (DIW Berlin)

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Fund managers, incentives, fundamental information

26.

Capital, Trust and Competitiveness in the Banking Sector

CEPR Discussion Paper No. DP9348
Number of pages: 19 Posted: 21 Feb 2013
Thomas Gehrig
University of Vienna - Faculty of Business, Economics, and Statistics
Downloads 24 (496,187)
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bank capital, Basel process of capital regulation, trust

27.

Market Dominance and Behaviour-Based Pricing Under Horizontal and Vertical Differentiation

CEPR Discussion Paper No. DP6571
Number of pages: 30 Posted: 06 Jun 2008
Thomas Gehrig, Oz Shy and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics, Independent and Hanken School of Economics
Downloads 23 (501,659)
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behavior-based pricing, consumer loyalty, horizontal and vertical differentiation, market dominance, poaching, price discrimination

28.

Online-Appendix to: Making Parametric Portfolio Policies Work

Number of pages: 102 Posted: 06 Mar 2018 Last Revised: 18 Apr 2019
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna - Faculty of Business, Economics, and Statistics, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 22 (507,490)

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portfolio policy, expected utility, risk aversion, prospect theory

29.

Screening-Based Competition

CEPR Discussion Paper No. DP9397
Number of pages: 28 Posted: 19 Mar 2013
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 17 (536,611)
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imperfect competition, imperfect screening

30.

Differentiation-Induced Switching Costs and Poaching

Journal of Economics & Management Strategy, Vol. 13, No. 4, pp. 635-655, December 2004
Number of pages: 21 Posted: 17 Oct 2004
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
Downloads 16 (542,351)
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31.

Lehman Brothers: What Did Markets Know?

CEPR Discussion Paper No. DP9893
Number of pages: 74 Posted: 02 Jun 2014
Thomas Gehrig and Marlene Haas
University of Vienna - Faculty of Business, Economics, and Statistics and Independent
Downloads 2 (636,063)
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adverse selection costs, bid ask spreads, contagion, systemic risk

32.

Making Parametric Portfolio Policies Work

CEPR Discussion Paper No. DP13193
Number of pages: 28 Posted: 24 Sep 2018
Thomas Gehrig, Leopold Sögner and Arne Westerkamp
University of Vienna - Faculty of Business, Economics, and Statistics, Institute for Advanced Studies (IHS) and Vienna University of Economics and Business - Department of Accounting and Finance
Downloads 0 (666,530)
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expected utility, portfolio policy, prospect theory, risk aversion

33.

Journal Competition and the Quality of Published Research: Simultaneous Versus Sequential Screening

CEPR Discussion Paper No. DP12065
Number of pages: 40 Posted: 05 Jun 2017
Thomas Gehrig and Rune Stenbacka
University of Vienna - Faculty of Business, Economics, and Statistics and Hanken School of Economics
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assessment of research quality, competition between journals, Information Acquisition, simultaneous versus sequential screening

34.

Screening, Cross-Border Banking and the Allocation of Credit

CEPR Discussion Paper Series Number 1973
Posted: 12 Dec 1998
Thomas Gehrig
University of Vienna - Faculty of Business, Economics, and Statistics

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35.

Project Evaluation and Organizational Form

CEPR Discussion Paper Series No. 1888
Posted: 18 Oct 1998
Thomas Gehrig, Pierre Regibeau and Kate Rockett
University of Vienna - Faculty of Business, Economics, and Statistics, University of Essex - Department of Economics and affiliation not provided to SSRN

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36.

Cities and the Geography of Financial Centres

CEPR Discussion Paper Series No. 1894
Posted: 13 Oct 1998
Thomas Gehrig
University of Vienna - Faculty of Business, Economics, and Statistics

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