a.o.Univ.-Prof. Mag.rer.soc.oec. Dr.rer.soc.oec. Wolfgang AUSSENEGG

Wolfgang Aussenegg
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+43 1 52201 33082

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Adresse

Raum QA 02 01 (zweiter Stock)

Theresianumgasse 27

1040 Wien

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Research Interests

  • Initial Public Offerings

  • Directors’ Dealings

  • Earnings Management

  • Corporate Bonds

  • Firm Valuation

  • Risk Management

  • Asset Pricing

  • Corporate Finance

Teaching

Selection of current Projects

  • Do all bosses fill their boots? Evidence from insider trading around IPO lockups (with Wasim Ahmad and Ranko Jelic), University of Birmingham, Vienna University of Technology, and University of Sussex.
  • A new copula approach for high-dimensional real world portfolios (with Christian Cech), Vienna University of Technology and University of Applied Sciences bfi Vienna.
  • Time Varying Factors in the Performance of European Corporate Bonds (with Louisa Chen, Ranko Jelic, and Dietmar Maringer), Vienna University of Technology, University of Sussex, and University of Basel.
  • European ‘fear’ indices (with Lukas Goetz, Ranko Jelic, and Andreas Kaeck), Vienna University of Technology,  UNIQA Capital Markets GmbH, and University of Sussex.

Refereed Journals and Conference Proceedings

  • Corporate insider trading in Europe (with Ranko Jelic and Robert Ranzi), Journal of International Financial Markets, Institutions & Money, SSCI, 2018, Vol. 54, May 2018, pp. 27-42, DOI: 10.1016/j.intfin.2017.05.004,  Download
  • European Asset Swap Spreads and the Credit Crisis (with Lukas Götz and Ranko Jelic), European Journal of Finance, SSCI, 2016, Vol. 22, No. 7, pp. 572-600,  Download
  • Common factors in the performance of European corporate bonds - evidence before and after the financial crisis (with Lukas Götz and Ranko Jelic), European Financial Management, SSCI, 2015, Vol. 21, No. 2, pp. 265-308, Download
  • Pitfalls and Remedies in Testing the Calibration Quality of Rating Systems (with Florian Resch and Gerhard Winkler), Journal of Banking and Finance, SSCI, 2011, Vol. 35, No. 3, pp. 698-708, Download
  • Simple time-varying copula estimation (with Christian Cech), in: Barczak, A. S., Dziwok E. (ed.), Mathematical, Econometrical and Computer Methods in Finance and Insurance, University of Economics in Katowice, Publisher of the University of Economics in Katowice, 2011, ISBN: 9788372466969, pp. 9-21, Download
  • Legal Corporate Insider Trading and the Price Impact of Private Information: Evidence for Germany (with Robert Ranzi), The Open Business Journal, 2008, Vol. 1, No. 1, pp. 40-52, Download
  • Operating Performance of Newly Privatized Firms in Central European Transition Economies (with Ranko Jelic), European Financial Management, SSCI, 2007, Vol. 13, No. 5, pp. 853-879, Download
  • IPO Pricing with Bookbuilding and a When-issued Market (with Pegaret Pichler and Alexander Stomper), Journal of Financial and Quantitative Analysis, SSCI, 2006, Vol. 41, No. 4, December 2006, pp. 829-862, Download
  • Uncertainty in Value-at-Risk Estimates under Parametric and Non-parametric Modeling (with Tatiana Miazhynskaia), Financial Markets and Portfolio Management, 2006, Vol. 20, No. 3, pp. 243-264, FMPM Best Paper Award 2006, Download 
  • The choice of privatization method and the financial performance of newly privatized firms in transition economies, (with Richard Briston and Ranko Jelic), Journal of Business Finance and Accounting, SSCI, 2003, Vol. 30, No. 7&8, pp. 905-940, Download
  • Privatization versus Private Sector Initial Public Offerings in PolandMultinational Finance Journal, 2000, Vol. 4, No. 1&2, S. 69-99, ISSN: 1096-1879, Download
  • Der Size Effekt am österreichischen Aktienmarkt, (gemeinsam mit Andreas Grünbichler), Zeitschrift für betriebswirtschaftliche Forschung, 1999, Vol. 51, No. 7/8, S. 636-661.
  • Evaluierung von Value-at-Risk Modellen für zinsabhängige Finanzinstrumente, (gemeinsam mit Stefan Pichler), in: Egger, A., O. Grün und R. Moser (Hrsg.): Managementinstrumente und -konzepte, Schäffer-Poeschel Verlag, Stuttgart, 1999, S. 417-438, ISBN: 3-7910-1342-4.
  • Die Performance Österreichischer Initial Public Offerings, Finanzmarkt und Portfolio Management, 1997, Vol. 11, No. 4, S. 413-431.
  • Value-at-Risk (2) - Cash Flow Mapping, (gemeinsam mit Helmut Uhlir), Österreichisches BankArchiv, 1997, No. 4, S. 273-277.
  • Value-at-Risk (VaR) - Einführung und Methodenüberblick, (gemeinsam mit Helmut Uhlir), Österreichisches BankArchiv, 1996, No. 11, S. 831-836.
  • The Impact of Option Listing on the Underlying Security: Evidence from the Vienna Stock Exchange (with Stefan Pichler), in: Christian Hipp et al. (Hrsg.): Geld, Finanzwirtschaft, Banken und Versicherungen, 1993, Verlag Versicherungswirtschaft e.V. (VVW) Karlsruhe, S. 361-390, ISBN: 3-88487-445-4.
  • Die Preisbildung bei Covered Warrants - Eine empirische Untersuchung für Österreich, (gemeinsam mit Andreas Grünbichler), Finanzmarkt und Portfolio Management, 1992, Vol. 6, No. 1, S. 61-80.

Books, Book Chapters and Essays

  • Legal Insider Trading in Europe Makes the Case for Enforcement, (with Ranko Jelic and Robert Ranzi), Columbia Law School's Blog on Corporations and the Capital Markets, 3 May 2018, Columbia Law School Blog.
  • Does market liquidity risk affect Euro corporate bond returns more seriously in stress periods?, (with Louisa Chen, Ranko Jelic, and Dietmar Maringer), Bank Underground, 27 October 2016, Bank of England Blog.
  • Going Public - Vorbereitungsphase, in: S.G. Häberle (Hrsg.), Das neue Lexikon der Betriebswirtschaftslehre, S. 514-517, 2008, Oldenbourg Wissenschaftsverlag, München, Wien, ISBN: 978-3-486-58305-2.
  • Going Public - Durchführungsphase, in: S.G. Häberle (Hrsg.), Das neue Lexikon der Betriebswirtschaftslehre, S. 517-520, 2008, Oldenbourg Wissenschaftsverlag, München, Wien, ISBN: 978-3-486-58305-2.
  • Underpricing and the Aftermarket Performance of Initial Public Offerings - The Case of Austria, in: Greg N. Gregoriou (Hrsg.), Initial Public Offerings: An International Perspective, S. 187-213, 2006, Elsevier, Quantitative Finance Series, Amsterdam, ISBN-13: 978-0-7506-7975-6, ISBN-10: 0-7506-7975-1.
  • Going Public in Übergangsökonomien, 2000, Gabler Edition Wissenschaft, Wiesbaden, ISBN: 3-8244-7209-0.
  • Die Ermittlung der Faktorstruktur - Ein Multifaktor-APT Modell für den österreichischen Aktienmarkt, 1995, Gabler Edition Wissenschaft, Wiesbaden, ISBN: 3-8244-6259-1.
  • Underpricing und Initial Public Offerings - Eine empirische Untersuchung von Erstemissionen am Österreichischen Aktienmarkt: 1984-1992, in: Helmut Uhlir (Hrsg.): Beiträge zu Kapitalmarktfragen, 1994, ORAC Verlag, Wien, S. 1-28, ISBN: 3-85136-027-3.
  • Grundfragen des Kreditrisikomanagements (gemeinsam mit Helmut Uhlir), in: G. Seicht (Hrsg.): Gläubigerschutz, Betriebswirtschaft und Recht, Linde Verlag, Wien, 1993, S. 161-180, ISBN: 3-85122-353-5.
  • Der Marktstart der ÖTOB: Eine Event Study (gemeinsam mit Stefan Pichler), in: Peter Steiner (Hrsg.): Banking and Finance, ORAC Verlag, Wien, 1993, S. 7-39, ISBN: 3-85136-027-3.

SSRN Working Papers

  • European ‘Fear’ Indices – Evidence Before and During the Financial Crisis (with Lukas Götz and Ranko Jelic), Vienna University of Technology, UNIQA Capital Markets GmbH, and University of Sussex, May 2013, Download
  • A Soft Bail-Out Concept to Reduce Contagion in Financial Systems (with Bernhard Kronfellner), Vienna University of Technology and Boston Consulting Group, January 2012, Download
  • Simple Time-Varying Copula Estimation (with Christian Cech), Vienna University of Technology and University of Applied Sciences of bfi Vienna, June 2009, Download
  • Earnings Management and Local vs International Accounting Standards of European Public Firms (with Petra Inwinkl, and Georg Schneider), Vienna University of Technology and University of Paderborn, June 2009, Download
  • Corporate Insider Trading and the Short-Run Price Impact of Private Information in Continental Europe (with Robert Ranzi), Vienna University of Technology, September 2008. (under review), Download
  • Operating Performance of Newly Privatized Firms in Central European Transition Economies (with Ranko Jelic), Working Paper, Vienna University of Technology and University of Birmingham, September 2006. (published), Download
  • Uncertainty in Value-at-Risk Estimates under Parametric and Non-parametric Modeling (with Tatiana Miazhynskaia), Working Paper, Vienna University of Technology, April 2006. (published), Download
  • Operating Performance of Privatized Companies in Transition Economies - The Case of Poland, Hungary and the Czech Republic (with Ranko Jelic), Working Paper, Vienna University of Technology and University of Birmingham, April 2003., Download
  • Sticky Prices: IPO Pricing on Nasdaq and the Neuer Markt (with Pegaret Pichler and Alexander Stomper), Working Paper, Vienna University of Technology, Boston College and University of Vienna, April 2002., Download
  • The Financial Performance of Privatised Firms: Evidence From Three Transition Economies, (with Richard Briston and Ranko Jelic), Working Paper, Vienna University of Technology, University of Hull and University of Birmingham, June 2001. (published), Download

Other Working Papers

  • Going Public in Poland: Case-by-Case Privatizations, Mass Privatization and Private Sector Initial Public Offerings, Working Paper No 292, The William Davidson Institute at the University  of Michigan Business School, December 1999.
  • Empirical Evaluation of Simple Models to Calculate Value-at-Risk of Fixed Income Instruments (with Stefan Pichler), Working Paper No 22, Austrian Working Group on Banking and Finance, May 1997.
  • Short and Long-Run Performance of Initial Public Offerings in the Austrian Stock Market, Working Paper No 24, Austrian Working Group on Banking and Finance, August 1997.
  • The Size-Effect in the Austrian Stock Market (with Andreas Grünbichler), Working Paper, Vienna University of Technology and University of St. Gallen, October 1996.
  • Valuation of Covered Warrants: An Empirical Investigation of Covered Warrants Written on Austrian Stocks (with Andreas Grünbichler), Working Paper, University of Graz, December 1991.