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

41

DOWNLOADS
Rank 2,177

SSRN RANKINGS

Top 2,177

in Total Papers Downloads

15,386

SSRN CITATIONS
Rank 7,401

SSRN RANKINGS

Top 7,401

in Total Papers Citations

50

CROSSREF CITATIONS

86

Scholarly Papers (41)

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 2,024 (7,225)
Citation 8

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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 1,648 (10,190)
Citation 1

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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: 06 Dec 2017
University of Oxford, Luxembourg School of Finance, Finance Discipline Group - UTS Business School and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,321 (14,521)
Citation 3

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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 1,218 (16,080)
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 68 (344,174)

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5.

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 1,249 (15,793)

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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: 17 Nov 2008 Last Revised: 20 Mar 2012
Roman Kräussl and Christian Wiehenkamp
Luxembourg School of Finance and affiliation not provided to SSRN
Downloads 785 (31,092)

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Art Market, Art Index, Alternative Investments, Option Pricing

7.

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 683 (37,607)
Citation 1

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Art market, Alternative investments, Speculative bubbles, Explosive behavior

8.

Democratizing Art Markets: Fractional Ownership and the Securitization of Art

Number of pages: 35 Posted: 18 Jan 2018 Last Revised: 08 Nov 2019
Amy Whitaker and Roman Kräussl
New York University and Luxembourg School of Finance
Downloads 670 (38,542)

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

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 413 (71,314)
Citation 1

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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 384 (77,637)

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

11.

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 316 (96,888)
Citation 7

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Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value

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 315 (97,244)
Citation 20

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

13.

Implied Volatility Sentiment: A Tale of Two Tails

Tinbergen Institute Discussion Paper 17-002/IV
Number of pages: 54 Posted: 17 Jan 2017 Last Revised: 31 Jan 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 308 (99,664)

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

14.

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 308 (99,664)
Citation 2

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political economy, inefficient markets, market anomalies, calendar effects

15.

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 282 (109,581)
Citation 2

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

16.

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 276 (112,572)

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Sovereign Risk, Credit Ratings, Financial Crises

17.

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 256 (121,320)

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Asset Pricing, Home Bias, Downside Risk, Prospect Theory

18.

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

HEC Paris Research Paper No. FIN-2019-1332
Number of pages: 35 Posted: 20 Mar 2019 Last Revised: 25 Jun 2019
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 234 (132,884)

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

The Subsidy to Infrastructure as an Asset Class

Stanford University Graduate School of Business Research Paper No. 18-42
Number of pages: 70 Posted: 24 Sep 2018 Last Revised: 23 Oct 2019
Aleksandar Andonov, Roman Kräussl and Joshua D. Rauh
University of Amsterdam, Luxembourg School of Finance and Stanford Graduate School of Business
Downloads 224 (138,192)

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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 8 (631,754)
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20.

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 217 (142,956)
Citation 3

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

21.

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 215 (144,190)

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

22.

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 211 (147,426)
Citation 2

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Fair value, private equity, relevance and reliability

23.

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

Number of pages: 36 Posted: 12 Sep 2018 Last Revised: 26 May 2019
Luxembourg School of Finance, Luxembourg School of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Luxembourg School of Finance
Downloads 195 (158,114)

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

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 187 (164,204)

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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 132 (220,428)

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Alternative Investments, Hedonic Regression, Repeat-Sales Regression

26.

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 127 (227,055)
Citation 2

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news media, investment decisions, sentiment, reference point

27.

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 124 (231,211)
Citation 5

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

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 121 (235,448)
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 118 (239,955)

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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 110 (252,414)
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 (258,977)
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 91 (286,563)

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

33.

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 (292,666)

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

34.

Do 'Speed Bumps' Prevent Accidents in Financial Markets?

Number of pages: 29 Posted: 11 Jun 2019 Last Revised: 09 Jul 2019
Jorge Goncalves, Roman Kräussl and Vladimir Levin
University of Luxembourg, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 73 (327,155)

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

35.

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 70 (334,893)

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

36.

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 69 (337,462)

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severance indemnities, moral hazard, credit constraints, SMEs

37.

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 55 (378,412)

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

38.

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 42 (423,826)

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

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 38 (439,892)

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

40.

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 7 (612,015)
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investment asset, art, illiquid assets, investment vehicles, video

41.

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 (678,789)
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venture capital, private equity, entrepreneurial activity, performance gap