Rainer Baule

University of Hagen

Universitaetsstrasse 41

Hagen, 58097

Germany

SCHOLARLY PAPERS

26

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5,936

SSRN CITATIONS
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Top 20,877

in Total Papers Citations

12

CROSSREF CITATIONS

24

Scholarly Papers (26)

1.

Measuring Idiosyncratic Risks in Leveraged Buyout Transactions

IESE Business School Working No. D682, EFA 2008 Athens Meetings Paper
Number of pages: 29 Posted: 03 Mar 2008 Last Revised: 30 Dec 2013
EMLYON Research Centre for Entrepreneurial FinanceEMLYON Business School, University of Hagen and HEC Paris - Strategy & Business Policy
Downloads 724 (34,420)
Citation 4

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Idiosyncratic Risk, LBO, Private Equity, Benchmarking, CCA

2.

On the Profitability of Portfolio Strategies Based on Analyst Consensus EPS Forecasts

28th Australasian Finance and Banking Conference Paper, 2016 Financial Markets and Corporate Governance
Number of pages: 39 Posted: 29 Nov 2014 Last Revised: 24 Feb 2017
Rainer Baule and Hannes Wilke
University of Hagen and FernUniversität in Hagen
Downloads 633 (41,229)
Citation 1

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analyst research, earnings per share consensus forecasts, market efficiency, information content, portfolio strategy, investment profitability

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Number of pages: 17 Posted: 18 Jan 2001
Rainer Baule and Marco Wilkens
University of Hagen and University of Augsburg
Downloads 496 (55,766)
Citation 2

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Lean Trees, Lattice Models, Option Pricing, Numerical Valuation Techniques

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Review of Derivatives Research Vol. 7, pp. 53-72, 2004
Posted: 13 May 2004
Rainer Baule and Marco Wilkens
University of Hagen and University of Augsburg

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Lean trees, lattice models, option pricing, numerical valuation techniques

4.

Which Beta is Best? On the Information Content of Option-Implied Betas

Number of pages: 40 Posted: 08 Jan 2014
Rainer Baule, Olaf Korn and Sven Sassning
University of Hagen, Georg-August-Universität Göttingen and Georg-August-Universität Göttingen
Downloads 468 (60,690)
Citation 2

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beta, option-implied information

5.

The Order Flow of Discount Certificates and Issuer Pricing Behavior

Journal of Banking and Finance 35 (11/2011), 3120–3133
Number of pages: 48 Posted: 13 Feb 2009 Last Revised: 05 Aug 2013
Rainer Baule
University of Hagen
Downloads 423 (68,563)
Citation 4

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discount certificate, life cycle, order flow, structured financial product

Stock Price Dynamics of Listed Growth Companies - Evidence from the Options Market

Number of pages: 31 Posted: 19 May 2006 Last Revised: 15 Jul 2009
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 415 (69,519)
Citation 2

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growth companies, implied volatility, option pricing, Schwartz-Moon model, stock price dynamics

Stock Price Dynamics of Listed Growth Companies: Evidence from the Options Market

The IUP Journal of Applied Finance, Vol. 19, No. 1, January 2013, pp. 5-26
Posted: 25 Jan 2013
Rainer Baule and Christian Tallau
University of Hagen and Muenster University of Applied Sciences

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7.

Optimal Portfolio Selection for the Small Investor Considering Risk and Transaction Costs

OR Spectrum 32 (1/2010), 61–76
Number of pages: 21 Posted: 28 Feb 2008 Last Revised: 05 Aug 2013
Rainer Baule
University of Hagen
Downloads 403 (72,757)

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portfolio selection, transaction costs, non-convex optimization

8.

Allocation of Risk Capital on an Internal Market

European Journal of Operational Research 234 (1/2014), 186-196.
Number of pages: 48 Posted: 04 Mar 2008 Last Revised: 08 Jan 2014
Rainer Baule
University of Hagen
Downloads 395 (74,449)

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capital allocation, economic capital, risk capital, risk contributions, internal market, asymmetric information, empire building

9.

The Demand for Warrants and Issuer Pricing Strategies

Journal of Futures Markets, forthcoming
Number of pages: 53 Posted: 18 Aug 2011 Last Revised: 19 Oct 2014
Rainer Baule and Philip Blonski
University of Hagen and Fern Universität in Hagen
Downloads 326 (92,719)
Citation 3

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bank-issued options, price sensitivity, retail derivatives, retail investors, warrants, optimal pricing strategies

10.

Market Response to Mandatory Pre-Earnings-Announcements - Evidence from Ad-Hoc Disclosures in Germany

Number of pages: 48 Posted: 18 Aug 2010 Last Revised: 12 May 2012
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 267 (115,028)
Citation 4

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ad hoc disclosure, earnings announcement, earnings surprise, market reaction

11.

Persuasion and Persuasibility of Individual Investors by Scenarios

Number of pages: 36 Posted: 03 Jan 2013 Last Revised: 27 Jul 2014
University of Hagen, Fern Universität in Hagen, University of Siegen and University of Siegen
Downloads 201 (152,229)
Citation 1

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retail derivatives, individual investors, sales prospectuses, structured financial products

12.

Performance Measurement for Option Portfolios in a Stochastic Volatility Framework

Number of pages: 41 Posted: 07 Feb 2018
Rainer Baule, Oliver Entrop and Sebastian Wessels
University of Hagen, University of Passau and University of Hagen
Downloads 161 (186,572)

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Performance Measurement, Option Portfolios, Stochastic Volatility, Heston, Nonlinearity, Volatility Risk, Option-Based Factors, Discrete Returns, Continuous Returns

13.

The Cost of Debt Capital Revisited

Number of pages: 34 Posted: 26 Apr 2012
Rainer Baule
University of Hagen
Downloads 147 (200,214)

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cost of capital, cost of debt, EBIT-based model, WACC, yield spread

14.

Information Shares in Stationary Time Series and Global Volatility Discovery

Number of pages: 58 Posted: 16 Feb 2016 Last Revised: 25 Jul 2017
Rainer Baule, Bart Frijns and Milena Tieves
University of Hagen, Auckland University of Technology - Faculty of Business & Law and University of Hagen
Downloads 145 (203,623)
Citation 2

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information share, stationarity, co-integration, variance decomposition, volatility spillover

15.

Of Leaders and Followers - An Econometric Analysis of Equity Analysts and Stock Market Investors

Number of pages: 47 Posted: 02 May 2016
Rainer Baule and Hannes Wilke
University of Hagen and FernUniversität in Hagen
Downloads 139 (209,555)

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analyst forecasts, information content, equity research, market efficiency, price discovery, error-correction, information share

16.

Revisiting Basel Risk Weights – Cross-Sectional Risk Sensitivity and Cyclicality

Journal of Business Economics 86 (8/2016), 905–931
Number of pages: 44 Posted: 30 Oct 2015 Last Revised: 24 Feb 2017
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 126 (226,404)

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Basel II, Risk weights, Banking regulation, Capital requirements, Pro-cyclicality

17.

Stock Returns Following Large Price Changes and News Releases – Evidence from Germany

Credit and Capital Markets 49 (1/2016), 57–91
Number of pages: 32 Posted: 06 Mar 2014 Last Revised: 24 Feb 2017
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 104 (260,023)
Citation 1

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overreaction, market efficiency, event study

18.

Volatility Discovery and Volatility Quoting on Markets for Options and Warrants

Number of pages: 43 Posted: 03 Oct 2017
Rainer Baule, Bart Frijns and Milena Tieves
University of Hagen, Auckland University of Technology - Faculty of Business & Law and University of Hagen
Downloads 84 (298,518)
Citation 1

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Information Share, Volatility Discovery, VDAX-NEW, Bank-Issued Warrants, Options, Retail Investors

19.

The Risk Sensitivity of Basel Risk Weights and Loan Loss Provisions: Evidence from European Banks

Number of pages: 47 Posted: 08 Apr 2017 Last Revised: 19 Mar 2018
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 84 (298,518)

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risk weights, expected losses, loan loss provisioning, banking regulation, capital requirements, Basel II

20.

Markowitz with Regret

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 58 Posted: 24 Sep 2018
Rainer Baule, Olaf Korn and Laura-Chloé Kuntz
University of Hagen, Georg-August-Universität Göttingen and University of Goettingen (Gottingen) - Chair of Finance
Downloads 79 (309,685)

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portfolio selection, regret aversion, regret risk

21.

Model Risk and Model Choice in the Case of Barrier Options

Number of pages: 48 Posted: 11 Mar 2018 Last Revised: 26 Jan 2019
Rainer Baule and David Shkel
University of Hagen and Fernuniversität in Hagen - University of Hagen
Downloads 76 (316,843)

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Model Risk, Heston Model, Bates Model, Local Volatility, Bonus Certificates, Barrier Options, Empirical Finance, Retail Derivatives

22.

Disclosure Policies for the Issuer Estimated Value — Facts and Fiction

Number of pages: 30 Posted: 29 Jan 2019
University of Hagen, University of Hagen and Muenster University of Applied Sciences
Downloads 34 (452,616)

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Regulatory disclosure, Bank margins, Cost transparency, Discount Certificates, Retail Banking

23.

Counterparty Risk Allocation

Number of pages: 39 Posted: 20 Aug 2019
Rainer Baule
University of Hagen
Downloads 5 (619,842)

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conditional value-at-risk, credit portfolio, counterparty risk, expected shortfall, ill-posedness, spectral risk measures

24.

Which Beta is Best? On the Information Content of Option‐Implied Betas

European Financial Management, Vol. 22, Issue 3, pp. 450-483, 2016
Number of pages: 34 Posted: 06 Jun 2016
Rainer Baule, Olaf Korn and Sven Sassning
University of Hagen, Georg-August-Universität Göttingen and University of Goettingen (Gottingen)
Downloads 1 (656,658)
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beta, option‐implied information

25.

The Pricing of Path-Dependent Structured Financial Retail Products: The Case of Bonus Certificates

Journal of Derivatives, Vol. 18, No. 4, 2011, https://doi.org/10.3905/jod.2011.18.4.054
Posted: 25 Aug 2008 Last Revised: 21 May 2019
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences

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certificate, implied volatility, option pricing, stochastic volatility, structured financial product, volatility skew, volatility smile

26.

Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Certificates

Journal of Futures Markets, Vol. 28, No. 4, pp. 376-397, 2008
Posted: 18 Mar 2008 Last Revised: 12 May 2008
Rainer Baule, Oliver Entrop and Marco Wilkens
University of Hagen, University of Passau and University of Augsburg

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Structured product, discount certificate, vulnerable option, credit risk margin