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

40

DOWNLOADS
Rank 2,062

SSRN RANKINGS

Top 2,062

in Total Papers Downloads

17,372

SSRN CITATIONS
Rank 7,066

SSRN RANKINGS

Top 7,066

in Total Papers Citations

81

CROSSREF CITATIONS

90

Scholarly Papers (40)

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 2,177 (7,254)
Citation 10

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

2.

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 1,789 (10,054)
Citation 5

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Art, Auction, Gender, Culture, Inequality

3.

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 1,670 (11,252)
Citation 4

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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 1,259 (17,123)
Citation 2

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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 71 (366,026)

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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 1,285 (16,945)

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

6.

Blockchain, Fractional Ownership, and the Future of Creative Work

Number of pages: 33 Posted: 26 Feb 2020 Last Revised: 21 Sep 2020
Amy Whitaker and Roman Kräussl
New York University and Luxembourg School of Finance
Downloads 871 (29,975)

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

7.

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 810 (33,191)

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Art Market, Art Index, Alternative Investments, Option Pricing

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 713 (39,437)
Citation 7

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Art market, Alternative investments, Speculative bubbles, Explosive behavior

9.

Biased Auctioneers

HEC Paris Research Paper No. FIN-2019-1332, 10th Miami Behavioral Finance Conference
Number of pages: 37 Posted: 20 Mar 2019 Last Revised: 17 Jul 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 513 (60,786)
Citation 1

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art, auctions, experts, asset valuation, biases, machine learning, computer vision

10.

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 419 (77,486)
Citation 2

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

11.

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 395 (82,932)
Citation 1

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

12.
Downloads 377 ( 87,860)
Citation 1

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 366 (90,210)
Citation 1

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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 11 (664,096)

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13.

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

Number of pages: 48 Posted: 12 Sep 2018 Last Revised: 21 Sep 2020
Luxembourg School of Finance, Luxembourg School of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Luxembourg School of Finance
Downloads 352 (94,822)
Citation 2

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Marketplace lending, household finance, financial intermediation, financial innovation, competition

14.

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 340 (98,564)

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

15.

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 335 (100,204)
Citation 22

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

16.

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 322 (104,760)
Citation 11

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Corporate Governance, Ownership Structure, Multiple Blockholder, Firm Value

17.

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, affiliation not provided to SSRN and VU University Amsterdam, PGO-IM
Downloads 316 (106,999)
Citation 3

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political economy, inefficient markets, market anomalies, calendar 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 306 (110,703)

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Sovereign Risk, Credit Ratings, Financial Crises

19.

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 287 (118,566)
Citation 3

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

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 261 (130,973)

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Asset Pricing, Home Bias, Downside Risk, Prospect Theory

21.

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 242 (141,355)

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Alternative Investments, Hedonic Regression, Repeat-Sales Regression

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 242 (141,911)
Citation 4

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Fair value, private equity, relevance and reliability

23.

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 224 (152,265)
Citation 4

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

24.

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 223 (152,903)

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

25.

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 192 (175,778)

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Venture capital, private equity, entrepreneurial activity, performance gap

26.

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 138 (232,567)
Citation 1

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

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 138 (232,567)
Citation 7

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

28.

Predictable Biases in Macroeconomic Forecasts and Their Impact Across Asset Classes

Number of pages: 43 Posted: 27 Jul 2017 Last Revised: 21 Sep 2020
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 135 (236,763)

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

29.

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 130 (243,756)
Citation 2

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news media, investment decisions, sentiment, reference point

30.

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 125 (251,111)
Citation 2

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

31.

Dark Trading and Financial Markets Stability

Number of pages: 51 Posted: 11 Jun 2019 Last Revised: 10 Jul 2020
Jorge Goncalves, Roman Kräussl and Vladimir Levin
University of Luxembourg, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 111 (273,858)
Citation 1

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Market microstructure, financial market stability, mini-flash crash, dark trading, investor protection

32.

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 (282,754)
Citation 1

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

33.

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 104 (286,532)
Citation 1

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

34.

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 96 (302,085)

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

35.

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 89 (316,927)

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

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 73 (356,511)

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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
Politecnico di Torino, Luxembourg School of Finance and Organization for Economic Co-Operation and Development (OECD)
Downloads 70 (364,700)

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severance indemnities, moral hazard, credit constraints, SMEs

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 53 (418,690)

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

39.

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 13 (624,124)
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investment asset, art, illiquid assets, investment vehicles, video

40.

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 (737,858)
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venture capital, private equity, entrepreneurial activity, performance gap