Roman Kräussl

Luxembourg School of Finance

Professor of Finance

4, rue Albert Borschette

Luxembourg, 1246

Luxembourg

http://www.art-finance.com

Hoover Institution, Stanford University

Visiting Fellow

Stanford, CA 94305

United States

SCHOLARLY PAPERS

42

DOWNLOADS
Rank 2,077

SSRN RANKINGS

Top 2,077

in Total Papers Downloads

16,410

SSRN CITATIONS
Rank 6,991

SSRN RANKINGS

Top 6,991

in Total Papers Citations

63

CROSSREF CITATIONS

92

Scholarly Papers (42)

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 2,078 (7,247)
Citation 14

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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 1,660 (10,577)
Citation 2

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

3.

Is Gender in the Eye of the Beholder? Identifying Cultural Attitudes with Art Auction Prices

Number of pages: 60 Posted: 04 Feb 2020
University of Oxford, Luxembourg School of Finance, Finance Discipline Group - UTS Business School and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,597 (11,257)
Citation 5

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Art, Auction, Gender, Culture, Inequality

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 1,236 (16,417)
Citation 3

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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 Last Revised: 13 Oct 2009
Emory University - Department of Finance, Luxembourg School of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 69 (352,492)

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5.

Emerging Art Markets

Emerging Markets Review, Vol. 11, No. 4, 2010
Number of pages: 25 Posted: 26 Feb 2020
Roman Kräussl and Robin Logher
Luxembourg School of Finance and VU University Amsterdam - Department of Finance
Downloads 1,263 (16,216)

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

6.

A Call on Art Investments

Review of Derivatives Research, Vol. 15, No. 1, 2012.
Number of pages: 30 Posted: 26 Feb 2020
Roman Kräussl and Christian Wiehenkamp
Luxembourg School of Finance and affiliation not provided to SSRN
Downloads 794 (31,896)

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Art Market, Art Index, Alternative Investments, Option Pricing

7.

Blockchain, Fractional Ownership, and the Future of Creative Work

Number of pages: 33 Posted: 26 Feb 2020
Amy Whitaker and Roman Kräussl
New York University and Luxembourg School of Finance
Downloads 749 (34,538)

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value creation and capture, art market, property rights, investment management, blockchain, venture funding

8.

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, University of Luxembourg and Luxembourg School of Finance
Downloads 696 (38,136)
Citation 4

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Art market, Alternative investments, Speculative bubbles, Explosive behavior

9.

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
Vrije Universiteit Amsterdam - School of Business and Economics, Luxembourg School of Finance, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute
Downloads 416 (73,439)
Citation 2

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

10.

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 Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 390 (79,094)
Citation 1

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

11.

Machine Learning, Human Experts, and the Valuation of Real Assets

HEC Paris Research Paper No. FIN-2019-1332, 10th Miami Behavioral Finance Conference
Number of pages: 35 Posted: 20 Mar 2019 Last Revised: 28 Jan 2020
Ecole Nationale des Ponts et Chaussées (ENPC), Luxembourg School of Finance, University of California, Berkeley - Haas School of Business and HEC Paris - Finance Department
Downloads 362 (86,304)

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asset valuation, auctions, experts, big data, machine learning, computer vision, art

12.

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 325 (97,428)
Citation 19

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

13.

Implied Volatility Sentiment: A Tale of Two Tails

Revised version: Forthcoming, Quantitative Finance. This version: Tinbergen Institute Discussion Paper 17-002/IV
Number of pages: 54 Posted: 17 Jan 2017 Last Revised: 03 Dec 2019
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 322 (98,442)

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

14.

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 Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 320 (99,481)
Citation 8

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Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value

15.

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, Vrije Universiteit Amsterdam - School of Business and Economics, De Nederlandsche Bank, APG Asset Management, GTAA Fund and VU University Amsterdam, PGO-IM
Downloads 309 (102,998)
Citation 3

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political economy, inefficient markets, market anomalies, calendar effects

The Subsidy to Infrastructure as an Asset Class

Stanford University Graduate School of Business Research Paper No. 18-42
Number of pages: 74 Posted: 24 Sep 2018 Last Revised: 02 Mar 2020
Aleksandar Andonov, Roman Kräussl and Joshua D. Rauh
University of Amsterdam, Luxembourg School of Finance and Stanford Graduate School of Business
Downloads 287 (111,014)

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Infrastructure, Public Pension Funds, Institutional Investors

The Subsidy to Infrastructure as an Asset Class

NBER Working Paper No. w25045
Number of pages: 48 Posted: 17 Sep 2018
Aleksandar Andonov, Roman Kräussl and Joshua D. Rauh
University of Amsterdam, Luxembourg School of Finance and Stanford Graduate School of Business
Downloads 9 (644,753)
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17.

Media, Sentiment and Market Performance in the Long Run

European Journal of Finance, Vol. 23, No. 11, 2017
Number of pages: 41 Posted: 10 Apr 2013 Last Revised: 23 Sep 2018
Roman Kräussl and Elizaveta Mirgorodskaya
Luxembourg School of Finance and VU University Amsterdam
Downloads 284 (112,853)
Citation 2

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

18.

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 280 (114,540)

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Sovereign Risk, Credit Ratings, Financial Crises

19.

The Performance of Marketplace Lenders: Evidence from Lending Club Payment Data

Number of pages: 39 Posted: 12 Sep 2018 Last Revised: 02 Dec 2019
Luxembourg School of Finance, Luxembourg School of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Luxembourg School of Finance
Downloads 265 (121,315)
Citation 1

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Marketplace lending, household finance, financial intermediation, financial innovation, finance and technology

20.

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 258 (124,873)

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Asset Pricing, Home Bias, Downside Risk, Prospect Theory

21.

Reliability and Relevance of Fair Values: Private Equity Investments and Investee Fundamentals

Review of Accounting Studies, Forthcoming, George Mason University School of Business Research Paper No. 18-11, Kenan Institute of Private Enterprise Research Paper No. 18-10
Number of pages: 42 Posted: 01 Jun 2018 Last Revised: 10 Mar 2019
University of North Carolina (UNC) at Chapel Hill, Kenan-Flagler Business School, Accounting Area, Luxembourg School of Finance, University of North Carolina Kenan-Flagler Business School, George Mason University and Bocconi University
Downloads 232 (138,848)
Citation 3

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Fair value, private equity, relevance and reliability

22.

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
APG Asset Management, Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 220 (146,178)
Citation 3

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

23.

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

Forthcoming in Journal of Behavioral Finance
Number of pages: 38 Posted: 07 Apr 2016 Last Revised: 05 Aug 2018
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 218 (147,396)

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

24.

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 188 (169,136)

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Venture capital, private equity, entrepreneurial activity, performance gap

25.

The Validity of Hedonic Models for Estimating Heterogeneous Assets Returns

Number of pages: 24 Posted: 13 Mar 2019
Roman Kräussl, Thorsten Lehnert and Ali NasserEddine
Luxembourg School of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 179 (176,834)

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Alternative Investments, Hedonic Regression, Repeat-Sales Regression

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 132 (227,980)
Citation 7

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

27.

Modifier words in the financial press and investor expectations

Journal of Economic Behavior and Organization, Vol. 138, 2017
Number of pages: 56 Posted: 22 Nov 2014 Last Revised: 23 Sep 2018
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam
Downloads 129 (231,984)
Citation 2

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news media, investment decisions, sentiment, reference point

28.

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 123 (240,508)
Citation 1

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

29.

Predictable Biases in Macroeconomic Forecasts and Their Impact Across Asset Classes

Number of pages: 48 Posted: 27 Jul 2017 Last Revised: 22 Nov 2018
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 121 (243,470)

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Anchoring; Rational Bias; Economic Surprises; Predictability; Stocks, Bonds; Currencies; Commodities; Machine learning

30.

The Search for Yield: Implications to Alternative Investments

Journal of Empirical Finance, Vol. 44, 2017
Number of pages: 29 Posted: 09 Nov 2017 Last Revised: 23 Sep 2018
Roman Kräussl, Thorsten Lehnert and Kalle Rinne
Luxembourg School of Finance, University of Luxembourg and Luxembourg School of Finance
Downloads 118 (248,157)
Citation 1

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Alternative investments, hedge funds, commodities, the search for yield

31.

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, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 106 (267,669)
Citation 1

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

32.

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, University of Luxembourg and Luxembourg School of Finance
Downloads 101 (276,748)

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

33.

Do 'Speed Bumps' Prevent Accidents in Financial Markets?

Number of pages: 45 Posted: 11 Jun 2019 Last Revised: 19 Nov 2019
Jorge Goncalves, Roman Kräussl and Vladimir Levin
University of Luxembourg, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 95 (288,082)

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Mini-flash crash, speed bump, midpoint extended life order

34.

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, University of Luxembourg and Luxembourg School of Finance
Downloads 88 (302,356)

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

35.

The Winner's Curse on Art Markets

Number of pages: 35 Posted: 26 Feb 2020
Roman Kräussl and Elizaveta Mirgorodskaya
Luxembourg School of Finance and VU University Amsterdam
Downloads 82 (315,814)

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

36.

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 71 (343,018)

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

37.

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 70 (345,682)

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severance indemnities, moral hazard, credit constraints, SMEs

38.

The Fair Return on Art as an Investment: Accounting for Transaction Costs

Number of pages: 57 Posted: 04 Jan 2019
Roman Kräussl and Ali NasserEddine
Luxembourg School of Finance and Luxembourg School of Finance
Downloads 69 (348,380)

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Alternative Investments, Art, Repeat Sales, Transaction Costs, Optimal Asset Allocation, Masterpiece Effect

39.

To Have and to Hold? The Optimal Holding Period of Art as an Investment

Number of pages: 32 Posted: 04 Jan 2019
Roman Kräussl and Ali NasserEddine
Luxembourg School of Finance and Luxembourg School of Finance
Downloads 45 (425,771)

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Alternative Investment, Art, Returns, Outperformance, Optimal Holding Period

40.

Signaling or Marketing? The Role of Discount Control Mechanisms

Number of pages: 35 Posted: 09 Sep 2018 Last Revised: 01 Aug 2019
Luxembourg School of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Luxembourg School of Finance
Downloads 45 (425,771)

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Closed-End Funds, Discount, Signaling, Repurchases, Continuation Vote

41.

The Fine Art of Financing: The Jpmorgan Private Bank and Lending Against Art

Darden Case No. UVA-F-1760
Number of pages: 15 Posted: 30 May 2017 Last Revised: 14 Mar 2018
University of Virginia - Darden School of Business, Luxembourg School of Finance, University of Virginia - Darden School of Business and HEC Paris - Finance Department
Downloads 9 (618,595)
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investment asset, art, illiquid assets, investment vehicles, video

42.

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 (699,889)
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venture capital, private equity, entrepreneurial activity, performance gap