Rainer Baule

University of Hagen

Universitaetsstrasse 41

Hagen, 58097

Germany

SCHOLARLY PAPERS

30

DOWNLOADS
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Top 9,522

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8,865

SSRN CITATIONS
Rank 22,214

SSRN RANKINGS

Top 22,214

in Total Papers Citations

35

CROSSREF CITATIONS

19

Scholarly Papers (30)

1.

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: 51 Posted: 29 Nov 2014 Last Revised: 19 Aug 2020
Rainer Baule, Florian Borchard and Hannes Wilke
University of Hagen, affiliation not provided to SSRN and Deutsche Bundesbank
Downloads 804 (55,590)
Citation 2

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asset pricing, analyst research, earnings per share consensus forecasts, earnings forecast momentum, market efficiency, sell-side analysts

2.

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
Luiss Guido Carli University - Luiss Business School, University of Hagen and HEC Paris - Strategy & Business Policy
Downloads 797 (56,243)
Citation 4

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Idiosyncratic Risk, LBO, Private Equity, Benchmarking, CCA

3.

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, University of Goettingen (Göttingen) and Georg-August-Universität Göttingen
Downloads 594 (82,122)
Citation 1

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beta, option-implied information

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 552 (89,082)
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

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

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 501 (101,526)
Citation 6

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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 474 (107,430)
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.

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 469 (109,985)
Citation 1

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

8.

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 453 (114,511)

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portfolio selection, transaction costs, non-convex optimization

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 411 (128,335)
Citation 5

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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 407 (129,786)
Citation 4

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

11.

Performance Measurement for Option Portfolios in a Stochastic Volatility Framework

Number of pages: 40 Posted: 07 Feb 2018 Last Revised: 29 Nov 2019
Rainer Baule, Oliver Entrop and Sebastian Wessels
University of Hagen, University of Passau and University of Hagen
Downloads 346 (155,447)

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

12.

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 263 (206,992)
Citation 1

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

13.

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, University of Goettingen (Göttingen) and University of Goettingen (Gottingen) - Chair of Finance
Downloads 240 (226,576)
Citation 1

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portfolio selection, regret aversion, regret risk

14.

What is your Desire? Retail Investor Preferences in Structured Products

Number of pages: 40 Posted: 20 Mar 2020 Last Revised: 24 Apr 2020
Rainer Baule and Patrick Münchhalfen
University of Hagen and University of Hagen
Downloads 222 (244,105)
Citation 2

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Structured retail products, regulation, retail investor preferences, cost disclosures, risk presentation, choice-based conjoint analysis

15.

Volatility and Dispersion of Hourly Electricity Contracts on the Epex Spot Continuous Intraday Market

Number of pages: 38 Posted: 13 Nov 2019
Rainer Baule and Michael Naumann
University of Hagen and University of Hagen
Downloads 222 (244,105)

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intraday electricity market, renewable energies, electricity price volatility, electricity price dispersion

16.

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 214 (252,628)

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

17.

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, Open University of the Netherlands - School of Management and University of Hagen
Downloads 210 (257,070)
Citation 2

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

18.

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

International Journal of Finance and Economics 24 (1/2019), 508–526
Number of pages: 47 Posted: 02 May 2016 Last Revised: 14 Jan 2020
Rainer Baule and Hannes Wilke
University of Hagen and Deutsche Bundesbank
Downloads 198 (271,212)

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

19.

The Cost of Debt Capital Revisited

Number of pages: 34 Posted: 26 Apr 2012
Rainer Baule
University of Hagen
Downloads 187 (285,475)
Citation 6

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

20.

Feedback Trading: The Intra-Day Case of Retail Derivatives

Number of pages: 53 Posted: 27 Mar 2023
Rainer Baule, Bart Frijns and Sebastian Schlie
University of Hagen, Open University of the Netherlands - School of Management and University of Hagen
Downloads 177 (299,691)

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Feedback trading, retail investors, investor returns, retail derivatives, warrants, order flow, issuer pricing strategies, intra-day

21.

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

Number of pages: 48 Posted: 08 Apr 2017 Last Revised: 12 Dec 2019
Rainer Baule and Christian Tallau
University of Hagen and Münster University of Applied Sciences
Downloads 166 (316,835)
Citation 1

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

22.

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 163 (321,774)
Citation 2

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

23.

Bank Capital Regulation and the Sovereign-Bank Nexus: Evidence from European Banks

Number of pages: 93 Posted: 11 Oct 2021 Last Revised: 17 May 2023
Rainer Baule, Oliver Beckmann and Christian Tallau
University of Hagen, University of Hagen and Muenster University of Applied Sciences
Downloads 159 (328,659)

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Sovereign-bank nexus, risk transmissions, sovereign exposures, zero risk weight, credit risk, liquidity risk, risk concentration, Basel II, Basel III, CRR, CRD, interaction effects in regression analyses, three-way interaction

24.

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 158 (330,409)
Citation 1

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overreaction, market efficiency, event study

25.

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 155 (335,845)

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

26.

Volatility Discovery and Volatility Quoting on Markets for Options and Warrants

Journal of Futures Markets 38 (7/2018), 758–774
Number of pages: 43 Posted: 03 Oct 2017 Last Revised: 14 Jan 2020
Rainer Baule, Bart Frijns and Milena Tieves
University of Hagen, Open University of the Netherlands - School of Management and University of Hagen
Downloads 150 (344,865)
Citation 3

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

27.

Credit Risk in Derivative Securities - A Simplified Approach

Journal of Futures Markets, forthcoming
Number of pages: 31 Posted: 06 Feb 2020 Last Revised: 04 Jan 2021
Rainer Baule
University of Hagen
Downloads 127 (392,945)

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certificates, credit risk, option pricing, vulnerable options

28.
Downloads 46 (707,297)

Counterparty Risk Allocation

Number of pages: 39 Posted: 20 Aug 2019
Rainer Baule
University of Hagen
Downloads 46 (723,960)

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

Counterparty risk allocation

Journal of Risk, Vol. 25, No. 1, 2022
Number of pages: 26 Posted: 10 Nov 2022
Rainer Baule
University of Hagen
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conditional value-at-risk, counterparty risk, expected shortfall, ill-posedness, spectral risk measures

29.

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

30.

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