Welcome !

Currently I am the Stand-in Professor of Empirical Economics and Econometrics at Albert-Ludwigs University of Freiburg, Germany (see here). I am on leave as Assistant Professor in the field of Financial Market Econometrics at University of Duisburg-Essen, Germany. The related university page can be found here. Feel free to contact me for discussions, feedback, collaborations and further information !

Paper forthcoming in Journal of International Financial Markets, Institutions & Money

2nd October 2017

Something in the Air: Information Density, News Surprises, and Price Jumps by Füss, R., M. Grabellus, F. Mager und M. Stein is accepted and forthcoming !

Prize Winner ! Student Teaching Awards

26th May 2017

Albert-Ludwigs-University of Freiburg: Winner for the "Best Master Course in Winter Term 2016/2017" following student evaluations, for "Market Microstructure and High Frequency Trading", and "Special Prize for Teaching Efforts" following student comittee decision for the same course.

 

Prize Winners ! 1st Place at DekaBank's IQ-Kap Research Prize

11th October 2016

The paper "Something in the Air: Information Density, News Surprises, and Price Jumps“ co-authored by Roland Füss (University of St. Gallen), Markus Grabellus (EBS), Ferdinand Mager (EBS) and Michael Stein (University of Duisburg-Essen) was awarded the first place in the DekaBank's IQ-Kap Research Prize. The original press note can be found here: https://www.deka.de/deka-gruppe/presse/archiv/2016-1/januar-8/deka-institut-iq-kap-zeichnet-forschungsarbeit-zu-informationsverarbeitungsprozessen-am-markt-aus The full paper can be found here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2655576

Paper forthcoming in Journal of Alternative Investments

10th September 2016

The paper "Limits to Diversification: Tail Risks in Real Estate Portfolios" ia accepted and forthcoming in the Journal of Alternative Investments. The study is available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2611905

New Position at Albert-Ludwigs University of Freiburg

1st April 2016

With effect of today, I am the Stand-in Professor of Empirical Economics and Econometrics at Albert-Ludwigs University of Freiburg, Germany (see here) for the Summer Term 2016 and Winter Term 2016/2017.

Reading Recommendation

My recent paper with Roberto De Santis of European Central Bank identifies indicators signaling correlation changes in sovereign bonds markets. The topic is actual and relevant for current economic discussions especially in the Eurozone.


Find the published paper at Journal of Banking and Finance:


http://dx.doi.org/10.1016/j.jbankfin.2015.02.018



News Archive

New Research Paper available: "Discovering and Disentangling the Effects of US Macro-announcements for European Stocks" by Tobias Rühl and Michael Stein (6th August 2015)

 

We analyze the effects of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We provide initial evidence of stock-specific reactions and disentangle stock-specific impacts from overall market reactions. A spread analysis reveals that return volatility affects the spread size positively and that spreads are systematically higher directly after news releases. Structurally lower spreads thereafter indicate quickly decreasing asymmetric information after announcements. Spreads tend to react to announcements even if the returns or the volatility of the underlying stock is not significantly affected, showing the need for analysis beyond return and volatility.

 

Available here at SSRN


New Research Paper available: "Something in the Air: \\ Information Density, News Surprises, and Price Jumps" by Roland Füss, Markus Grabellus, Ferdinand Mager and Michael Stein(1st August 2015)

 

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy ``ticker" news before scheduled macroeconomic announcements, is significantly related to the likelihood of price jumps and independent of the magnitude of news surprises or pre-announcement trading activity. We therefore interpret this variable as a measure of additional uncertainty in the market, which is resolved by macroeconomic news as ``hard" facts.

 

Available here at SSRN


New Research Paper available: "The Role of Heterogeneous Agents: Speculators in Oil Markets" by Andreas Fritz, Michael Stein and Christoph Weber (1st August 2015)

 

We analyze the effects of US macroeconomic announcements on European stock returns, return volatility and bid-ask spreads using intraday data. We provide initial evidence of stock-specific reactions and disentangle stock-specific impacts from overall market reactions. A spread analysis reveals that return volatility affects the spread size positively and that spreads are systematically higher directly after news releases. Structurally lower spreads thereafter indicate quickly decreasing asymmetric information after announcements. Spreads tend to react to announcements even if the returns or the volatility of the underlying stock is not significantly affected, showing the need for analysis beyond return and volatility.

 

Available here at SSRN


New Research Paper available: "Limits to Diversification: Tail Risks in Real Estate Portfolios" by Michael Stein (29th May 2015)

 

This study addresses real estate's riskiness from a distributional viewpoint. Several studies have found real estate returns to be best modeled with stable Paretian distributions. Using NCREIF individual property returns this is confirmed, but the first application of stable distributions to commercial real estate portfolio returns provides evidence that diversification effects ultimately reduce the tailedness, and surprisingly that they drive the tail parameter towards normality. Further insight is provided by highlighting the importance of a complete view, beyond pure tail parameter considerations. Even when tail parameters reflect normality, the return risk may still be tremendous, and it can only be reduced by diversification effects in property portfolios (and only to a certain, time-dependent extent).


Available here at SSRN


Publication forthcoming in Journal of Empirical Finance (25th February 2015)


The study "ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips" by Tobias Rühl and Michael Stein has been accepted for publication in the Journal of Empirical Finance.

Publication forthcoming in Journal of Banking and Finance (16th February 2015


The study "Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets" by Roberto De Santis and Michael Stein has been accepted for publication in the Journal of Banking and Finance.

Publication available in Working Paper Series of the European Central Bank (8th December 2014)


The study "Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets" by Roberto De Santis and Michael Stein has been published in the Working Paper Series of the European Central Bank. Find the link below:

 

https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1746.en.pdf

Call for Papers for European Retail Investment Conference (ERIC) (17th September 2014)


European Retail Investment Conference (ERIC) will be held on April 22-24, 2015 at the Stuttgart Stock Exchange. The submission deadline of the main conference and the doctoral consortium is November 8, 2014.


Further information can be found in the attached Call for Papers and on the ERIC Website www.retailinvestmentconference.org.

New research paper available (24th November 2013) "The Cost of New Information: ECB Macro Announcement Impacts on Bid-Ask Spreads of European Blue Chips" by Tobias Rühl and Michael Stein


Bid–ask spreads using intraday data reveal significant sensitivity to European Central Bank (ECB) macro-announcements. Effects are strongest for announcements that comprise unexpected information or a change in interest rates, and spreads rise sharply during the minutes surrounding interest rate or other important macroeconomic announcements by the ECB. Both Euro area stocks (of German DAX 30 and French CAC 40) and non-Euro area stocks (of FTSE 100) have been used for comparative reasons. All results are robust to changes in specification and when being controlled for normal daytime-dependent frictions and stock-specific characteristics.


Available here at SSRN

New research paper available (19th November 2013)

 

Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents

 

Available here at SSRN

Research paper discussed in media (20th March 2013)


Institutional investor magazine "Absolutreport" is discussing the study on German Open Ended Real Estate Funds:

http://www.absolut-report.de/news/detail/n/marktpreisbasierte-performance-offener-immobilienfonds/


New Appointment to Ruhr Graduate School of Economics (13th March 2013)


Appointed by Ruhr Graduate School of Economics as Young Faculty member.

http://rgs-econ.org/

Workshop announced (8th February 2013)


Announcement of 3rd Workshop on Real Estate Economics. Held on 12th and 13th of September 2013 in Essen, Germany.

Held in German, Academics and Practitioners are invited, details see flyer !

Immobilienökonomie_Flyer.pdf
Adobe Acrobat Document 1.6 MB