Roman Kräussl

Luxembourg School of Finance

Professor of Finance

4, rue Albert Borschette

Luxembourg, 1246

Luxembourg

http://www.art-finance.com

Emory University - Goizueta Business School

Adjunct Professor of Finance

1300 Clifton Road

Atlanta, GA 30322-2722

United States

http://www.art-finance.com

SCHOLARLY PAPERS

31

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CITATIONS
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Top 9,444

in Total Papers Citations

46

Scholarly Papers (31)

1.

Does It Pay to Invest in Art? A Selection-Corrected Returns Perspective

Review of Financial Studies, Vol. 29, No. 4, 2016
Number of pages: 72 Posted: 17 Jun 2013 Last Revised: 12 Jan 2017
University of Southern California - Marshall School of Business, Luxembourg School of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,486 (8,648)

Abstract:

Art investing, Alternative Assets, Selection bias, Illiquidity, Portfolio Choice, Asset Allocation, MCMC

2.

Risk and Return Characteristics of Islamic Equity Funds

Emerging Markets Review, Vol. 12, No. 2, 2011
Number of pages: 28 Posted: 27 Dec 2008 Last Revised: 24 Jun 2011
Roman Kräussl and Raphie Hayat
Luxembourg School of Finance and VU University Amsterdam - Department of Economics
Downloads 1,414 (7,951)
Citation 6

Abstract:

Islamic equity funds; risk-return characteristics; alternative investments; ethical investing; Islamic finance

Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

Review of Financial Studies, Vol. 28, No. 12, 2015
Number of pages: 65 Posted: 20 Mar 2009 Last Revised: 25 Feb 2016
Emory University - Department of Finance, Luxembourg School of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,053 (14,734)
Citation 8

Abstract:

Private equity; risk-return characteristics; funds of funds

Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

NBER Working Paper No. w15335
Number of pages: 47 Posted: 15 Sep 2009
Emory University - Department of Finance, Luxembourg School of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 58 (295,469)
Citation 8

Abstract:

4.

Emerging Art Markets

Emerging Markets Review, Vol. 11, No. 4, 2010
Number of pages: 25 Posted: 23 Nov 2008 Last Revised: 07 Apr 2011
Roman Kräussl and Robin Logher
Luxembourg School of Finance and VU University Amsterdam - Department of Finance
Downloads 970 (14,090)

Abstract:

Art market index, Art investments, Art finance, Alternative assets, Portfolio allocation

5.

A Call on Art Investments

Review of Derivatives Research, Vol. 15, No. 1, 2012.
Number of pages: 30 Posted: 17 Nov 2008 Last Revised: 20 Mar 2012
Roman Kräussl and Christian Wiehenkamp
Luxembourg School of Finance and RiskLab GmbH
Downloads 588 (27,504)

Abstract:

Art Market, Art Index, Alternative Investments, Option Pricing

6.

Credit Cycles and Macro Fundamentals

Journal of Empirical Finance, Vol. 16, No. 1, 2009
Number of pages: 20 Posted: 14 Mar 2006 Last Revised: 07 Apr 2011
VU University Amsterdam, Luxembourg School of Finance, VU University Amsterdam - Faculty of Economics and Business and Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)
Downloads 365 (58,838)
Citation 16

Abstract:

Credit cycles, Business cycles, Bank lending conditions, Unobserved component models, Intensity models

7.

Cash Flow and Discount Rate Risk in Up and Down Markets: What is Actually Priced?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 47, No. 6, 2012
Number of pages: 42 Posted: 19 Mar 2010 Last Revised: 02 Mar 2013
Mahmoud Botshekan, Roman Kräussl and Andre Lucas
University of Isfahan - Faculty of Administrative Sciences and Economics, Luxembourg School of Finance and VU University Amsterdam - Faculty of Economics and Business
Downloads 322 (62,681)
Citation 3

Abstract:

Asset pricing, beta, downside risk, upside risk, cash flow risk, discount rate risk

8.

Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle

Journal of International Money and Finance, Vol. 43, 2014
Number of pages: 31 Posted: 27 Oct 2008 Last Revised: 14 Apr 2014
Luxembourg School of Finance, VU University Amsterdam - Faculty of Economics and Business, De Nederlandsche Bank, APG Asset Management, GTAA Fund and VU University Amsterdam, PGO-IM
Downloads 266 (82,377)

Abstract:

political economy, inefficient markets, market anomalies, calendar effects

9.

Blockholder Dispersion and Firm Value

Journal of Corporate Finance, Vol. 17, No. 5, 2011
Number of pages: 23 Posted: 22 Dec 2009 Last Revised: 22 Aug 2011
Sander Konijn, Roman Kräussl and Andre Lucas
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Faculty of Economics and Business
Downloads 259 (83,036)
Citation 3

Abstract:

Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value

10.

Doing Good Deeds in Times of Need: A Strategic Perspective on Corporate Disaster Donations

Strategic Management Journal, Vol. 32, No. 9, 2011
Number of pages: 41 Posted: 28 Jun 2010 Last Revised: 09 Mar 2013
Alan Muller and Roman Kräussl
University of Amsterdam Business School and Luxembourg School of Finance
Downloads 233 (90,638)
Citation 4

Abstract:

corporate philantrophy, firm value, disasters, Hurricane Katrina, social irresponsibility

11.

Revisiting the Home Bias Puzzle: Downside Equity Risk

Journal of International Money and Finance, Vol. 26, No. 7, 2007
Number of pages: 37 Posted: 22 Sep 2005 Last Revised: 07 Apr 2011
Rachel A.J. Pownall and Roman Kräussl
Tilburg University - Department of Finance and Luxembourg School of Finance
Downloads 228 (98,936)
Citation 5

Abstract:

Asset Pricing, Home Bias, Downside Risk, Prospect Theory

12.

Do Credit Rating Agencies Add to the Dynamics of Emerging Market Crises?

Journal of Financial Stability, Vol. 1, No. 3, 2005
Number of pages: 50 Posted: 02 Jan 2004 Last Revised: 23 Mar 2012
Roman Kräussl
Luxembourg School of Finance
Downloads 222 (100,187)

Abstract:

Sovereign Risk, Credit Ratings, Financial Crises

13.

Media, Sentiment and Market Performance in the Long Run

European Journal of Finance, Forthcoming
Number of pages: 41 Posted: 10 Apr 2013 Last Revised: 12 Jan 2017
Roman Kräussl and Elizaveta Mirgorodskaya
Luxembourg School of Finance and VU University Amsterdam
Downloads 198 (99,764)

Abstract:

Investor behavior; News media sentiment; Financial market crises; Pricing bubbles; Framing effects

14.

Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success Over 1985-2009

European Financial Management, Vol. 20, No. 1, 2014
Number of pages: 42 Posted: 07 May 2011 Last Revised: 26 Dec 2013
Roman Kräussl and Stefan Krause
Luxembourg School of Finance and Banque de France - Economic Study and Research Division
Downloads 176 (135,171)

Abstract:

Venture capital, private equity, entrepreneurial activity, performance gap

15.

Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment

Tinbergen Institute Discussion Paper 16-022/IV
Number of pages: 50 Posted: 07 Apr 2016 Last Revised: 13 Feb 2017
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 167 (141,677)

Abstract:

Cumulative prospect theory; investor sentiment; risk-neutral densities; call options

16.

Is There a Bubble in the Art Market?

Journal of Empirical Finance, Vol. 35, 2016
Number of pages: 26 Posted: 08 May 2014 Last Revised: 25 Feb 2016
Roman Kräussl, Thorsten Lehnert and Nicolas Martelin
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 150 (39,372)

Abstract:

Art market, Alternative investments, Speculative bubbles, Explosive behavior

17.

The 2011 European Short Sale Ban: A Cure or a Curse?

Journal of Financial Stability, Vol. 25, 2016
Number of pages: 43 Posted: 09 Feb 2013 Last Revised: 12 Jan 2017
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 145 (117,906)

Abstract:

Short sale ban; jump risk; risk-neutral density; implied volatility skew; contagion risk

18.

Aligning Tactics with Market Capabilities in the Art World: Strategically Capitalizing on Repeat Print Sale Economies

Number of pages: 35 Posted: 02 Mar 2013
Elliot Bendoly and Roman Kräussl
The Ohio State University and Luxembourg School of Finance
Downloads 96 (217,936)

Abstract:

auction houses, repeat sales, price inelasticity, capabilities, efficiency

19.

Risk Aversion Under Preference Uncertainty

Finance Research Letters, Vol. 9, No. 1, 2012
Number of pages: 13 Posted: 14 Apr 2011 Last Revised: 20 Mar 2012
Roman Kräussl, Andre Lucas and Arjen Siegmann
Luxembourg School of Finance, VU University Amsterdam - Faculty of Economics and Business and VU University Amsterdam
Downloads 94 (213,363)

Abstract:

risk aversion, preference uncertainty, risk-taking, optimal asset allocation

20.

The Value of Corporate Philanthropy During Times of Crisis: The Sensegiving Effect of Employee Involvement

Journal of Business Ethics, Vol. 103, No. 2, 2011
Number of pages: 38 Posted: 06 Apr 2011 Last Revised: 09 Mar 2013
Alan Muller and Roman Kräussl
University of Amsterdam Business School and Luxembourg School of Finance
Downloads 90 (200,763)

Abstract:

corporate philanthropy, employee involvement, firm value, Hurricane Katrina, sensegiving

21.

Investor beliefs and relative content in the news media

Number of pages: 56 Posted: 22 Nov 2014 Last Revised: 01 Aug 2015
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam
Downloads 81 (202,157)

Abstract:

news media, investment decisions, sentiment, reference point

22.

An Analysis of the Effects of the Severance Payment Reform on Credit to Italian SMEs

Journal of Financial Economic Policy, Vol. 3, No. 3, 2011
Number of pages: 26 Posted: 08 Nov 2008 Last Revised: 22 Aug 2011
Riccardo Calcagno, Roman Kräussl and Chiara Monticone
EMLYON Business School, Luxembourg School of Finance and Organization for Economic Co-Operation and Development (OECD)
Downloads 64 (272,835)
Citation 1

Abstract:

severance indemnities, moral hazard, credit constraints, SMEs

23.

Euro Crash Risk

Journal of Empirical Finance, Vol. 38(A), 2016
Number of pages: 36 Posted: 09 Aug 2015 Last Revised: 12 Jan 2017
Roman Kräussl, Thorsten Lehnert and Sigita Senulyte
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 48 (254,066)

Abstract:

Sovereign debt crisis, News announcements, Euro value, Euro crash risk

24.

Art as an Aternative Asset Class: Risk and Return Characteristics of the Middle Eastern & Northern African Art Markets

Number of pages: 27 Posted: 04 Nov 2014 Last Revised: 22 Nov 2014
Roman Kräussl
Luxembourg School of Finance
Downloads 35 (160,014)

Abstract:

Alternative investments, Art price index, Optimal Asset Allocation

25.

Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception

Number of pages: 37 Posted: 31 Jan 2014 Last Revised: 19 Oct 2014
Ronald Bosman, Roman Kräussl and Thomas van Galen
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam
Downloads 28 (348,977)

Abstract:

Risk perception, emotions, affect heuristic, option prices, experiment

26.

Is Venture Capital Really a Local Business? Evidence from U.S. Cross-Border Investment

Number of pages: 34 Posted: 06 Aug 2015
Robert Wuebker, Roman Kräussl and William Schulze
University of Utah - David Eccles School of Business, Luxembourg School of Finance and University of Utah
Downloads 22 (279,648)

Abstract:

Venture Capital, Entrepreneurial Finance, Internationalization, Cross-Border Investment

27.

Toward a Pecking Order Theory of Strategic Resource Deployment

Number of pages: 35 Posted: 08 Aug 2015
University of Utah, University of St. Thomas - Opus College of Business, University of Utah - David Eccles School of Business and Luxembourg School of Finance
Downloads 12 (321,139)

Abstract:

Resource Acquisition, Dynamic Capabilities, Venture Capital, Pecking Order Theory

28.

Implied Volatility Sentiment: A Tale of Two Tails

Tinbergen Institute Discussion Paper 17-002/IV
Number of pages: 46 Posted: 17 Jan 2017
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 0 (170,449)

Abstract:

Sentiment, implied volatility skew, equity-risk premium, reversals, predictability

29.

The Winner's Curse on Art Markets

Number of pages: 35 Posted: 21 Sep 2016
Roman Kräussl and Elizaveta Mirgorodskaya
Luxembourg School of Finance and VU University Amsterdam
Downloads 0 (329,921)

Abstract:

Overreaction, winner's curse, pricing estimates, repeat sale, auction, art market

30.

The European Sovereign Debt Crisis: What Have We Learned?

Journal of Empirical Finance, Vol. 38(A), 2016
Number of pages: 29 Posted: 06 Apr 2016 Last Revised: 12 Jan 2017
Roman Kräussl, Thorsten Lehnert and Denitsa Stefanova
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 0 (333,017)

Abstract:

Sovereign debt crisis, systemic risk, contagion, bank bail-outs, financial regulation

31.

Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success Over 1985–2009

European Financial Management, Vol. 20, Issue 1, pp. 179-205, 2014
Number of pages: 27 Posted: 12 Dec 2013
Roman Kräussl and Stefan Krause
Luxembourg School of Finance and Banque de France - Economic Study and Research Division
Downloads 0 (532,107)

Abstract:

venture capital, private equity, entrepreneurial activity, performance gap