Christian Wagner

Copenhagen Business School

Department of Finance

Solbjerg Plads 3

Frederiksberg, DK-2000

Denmark

SCHOLARLY PAPERS

12

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14,631

CITATIONS
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Top 13,437

in Total Papers Citations

28

Scholarly Papers (12)

1.

Determinants of Operational Risk Reporting in the Banking Industry

Number of pages: 35 Posted: 28 Sep 2003
Guenther Helbok and Christian Wagner
Bank Austria Creditanstalt - Department of Operational and Group Risk Control and Copenhagen Business School
Downloads 3,768 (2,178)
Citation 3

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operational risk, banking, Basel II, discretionary disclosure, disclosure index, information risk, agency costs, political costs, random effects ordered logit model

2.
Downloads 2,601 ( 4,167)

Low Risk Anomalies?

Number of pages: 73 Posted: 13 Apr 2015 Last Revised: 08 Nov 2017
Paul Schneider, Christian Wagner and Josef Zechner
University of Lugano - Institute of Finance, Copenhagen Business School and Vienna University of Economics and Business
Downloads 2,127 (5,702)

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Low risk anomaly, skewness, risk premia, equity options

Low Risk Anomalies?

CFS Working Paper, No. 550
Number of pages: 71 Posted: 26 Oct 2016 Last Revised: 11 Jan 2018
Paul Schneider, Christian Wagner and Josef Zechner
University of Lugano - Institute of Finance, Copenhagen Business School and Vienna University of Economics and Business
Downloads 474 (53,751)

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Low risk anomaly, skewness, credit risk, risk premia, equity options

3.

The Cross-Section of Credit Risk Premia and Equity Returns

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 12 Jul 2011 Last Revised: 12 Apr 2015
Nils Friewald, Christian Wagner and Josef Zechner
Norwegian School of Economics (NHH), Copenhagen Business School and Vienna University of Economics and Business
Downloads 1,616 (9,264)
Citation 8

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equity returns, default risk, credit risk premia, credit default swaps, cross-sectional asset pricing

4.

Exchange Rates and Sovereign Risk

Number of pages: 85 Posted: 15 Nov 2013 Last Revised: 10 Aug 2018
Imperial College London, City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and Copenhagen Business School
Downloads 1,138 (16,224)

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Exchange rates, currency risk premium, currency options, sovereign risk, CDS spreads.

5.

Trading the Forward Bias: Are There Limits to Speculation?

EFA 2006 Zurich Meetings
Number of pages: 26 Posted: 20 Apr 2005 Last Revised: 06 Jan 2008
Markus Hochradl and Christian Wagner
Vienna Graduate School of Finance (VGSF) and Copenhagen Business School
Downloads 951 (21,193)
Citation 5

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Exchange rates, forward bias, trading strategies, currency options, limits to speculation

6.

Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation

EFA 2008 Athens Meetings Paper
Number of pages: 39 Posted: 11 Sep 2006 Last Revised: 25 Aug 2009
Christian Wagner
Copenhagen Business School
Downloads 854 (24,791)

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Exchange rates, Uncovered interest parity, Forward bias puzzle, Risk-premia, Carry-trade, Economic value

7.
Downloads 776 ( 28,405)
Citation 9

Properties of Foreign Exchange Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 24 Aug 2009 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and Copenhagen Business School
Downloads 772 (28,154)
Citation 9

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term structure, exchange rates, forward bias, predictability

Properties of Foreign Exchange Risk Premiums

CEPR Discussion Paper No. DP8503
Number of pages: 89 Posted: 12 Aug 2011
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and Copenhagen Business School
Downloads 4 (600,006)
Citation 9
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exchange rates, forward bias, predictability, term structure

8.

Does Central Bank Tone Move Asset Prices?

Number of pages: 75 Posted: 14 Jul 2015 Last Revised: 09 Jun 2017
Maik Schmeling and Christian Wagner
Goethe University Frankfurt - Department of Finance and Copenhagen Business School
Downloads 763 (29,026)

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central bank communication, stock returns, return predictability, bond yields, monetary policy, textual analysis

9.
Downloads 759 ( 29,266)
Citation 1

What is the Expected Return on a Stock?

Journal of Finance, Forthcoming
Number of pages: 83 Posted: 28 Apr 2016 Last Revised: 30 Aug 2018
Ian Martin and Christian Wagner
London School of Economics & Political Science (LSE) - Department of Finance and Copenhagen Business School
Downloads 759 (28,807)

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Equity Returns, Risk Premia, Risk-Neutral Variance, Equity Options

What is the Expected Return on a Stock?

CEPR Discussion Paper No. DP11608
Number of pages: 71 Posted: 07 Nov 2016
Ian Martin and Christian Wagner
London School of Economics & Political Science (LSE) - Department of Finance and Copenhagen Business School
Downloads 0
Citation 1
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expected returns, forecast, implied volatility, risk premia, risk-neutral variance

10.

Debt Refinancing and Equity Returns

Number of pages: 69 Posted: 31 Oct 2015 Last Revised: 02 Feb 2018
Nils Friewald, Florian Nagler and Christian Wagner
Norwegian School of Economics (NHH), Bocconi University and Copenhagen Business School
Downloads 592 (40,885)

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equity returns, optimal capital structure, leverage, debt refinancing, rollover risk, book-to-market, size

11.

The Economic Value of Predicting Bond Risk Premia

Number of pages: 77 Posted: 15 Feb 2012 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and Copenhagen Business School
Downloads 540 (46,024)
Citation 2

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term structure of interest rates, expectations hypothesis, affine models, risk premia, statistical predictability, economic value

12.

Margin Requirements and Equity Option Returns

Number of pages: 73 Posted: 04 Jun 2016
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Karlsruhe Institute of Technology (KIT) - Institute for Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and Copenhagen Business School
Downloads 273

Abstract:

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