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Dr Felix Irresberger's Outputs (14)

The 2008 short-selling Ban’s impact on tail risk (2024)
Journal Article
Bartl, J., Bostandzic, D., Irresberger, F., Weiß, G., & Yang, R. (2024). The 2008 short-selling Ban’s impact on tail risk. Journal of Empirical Finance, 78, Article 101532. https://doi.org/10.1016/j.jempfin.2024.101532

We examine how the 2008 U.S. short-selling ban on the stocks of financial institutions impacted their equity tail risk. Using propensity score matching and difference-in-difference regressions, we show that the ban was not effective... Read More about The 2008 short-selling Ban’s impact on tail risk.

How are texts analyzed in blockchain research? A systematic literature review (2024)
Journal Article
Zhuo, X., Irresberger, F., & Bostandzic, D. (2024). How are texts analyzed in blockchain research? A systematic literature review. Financial Innovation, 10(1), Article 60. https://doi.org/10.1186/s40854-023-00501-6

This paper provides a systematic literature review of text analysis methodologies used in blockchain-related research to comprehend and synthesize existing studies across disciplines and define future research directions. We summarize the research sc... Read More about How are texts analyzed in blockchain research? A systematic literature review.

Bitcoin Under the Microscope (2023)
Journal Article
Jahanshahloo, H., Irresberger, F., & Urquhart, A. (2023). Bitcoin Under the Microscope. The British Accounting Review, https://doi.org/10.1016/j.bar.2023.101237

This paper explores and describes historical on-chain transaction data recorded on the Bitcoin blockchain, constructs a panel of all individual Bitcoin users, and computes their balances in the cross-section and over time. We run clustering algorithm... Read More about Bitcoin Under the Microscope.

Coin concentration of Proof-of-Stake blockchains (2023)
Journal Article
Irresberger, F., & Yang, R. (2023). Coin concentration of Proof-of-Stake blockchains. Economics Letters, 229, Article 111219. https://doi.org/10.1016/j.econlet.2023.111219

This paper studies the concentration of block production in selected Proof-of-Stake (PoS) blockchains and finds evidence consistent with participants entering and leaving the consensus process, thereby changing the concentration level, but not with d... Read More about Coin concentration of Proof-of-Stake blockchains.

Do Capital Requirements Make Banks Safer? Evidence from a Quasinatural Experiment (2021)
Journal Article
Bostandzic, D., Irresberger, F., Juelsrud, R. E., & Weiss, G. N. (2022). Do Capital Requirements Make Banks Safer? Evidence from a Quasinatural Experiment. Journal of Financial and Quantitative Analysis, 57(5), 1805-1833. https://doi.org/10.1017/s0022109021000612

We use the EBA capital exercise of 2011 as a quasi-natural experiment to investigate how capital requirements affect various measures of bank solvency risk. We show that, while regulatory measures of solvency improve, non-regulatory measures indicate... Read More about Do Capital Requirements Make Banks Safer? Evidence from a Quasinatural Experiment.

Bank Size and Household Financial Sentiment: Surprising Evidence from University of Michigan Surveys of Consumers (2020)
Journal Article
Berger, A. N., Irresberger, F., & Roman, R. A. (2020). Bank Size and Household Financial Sentiment: Surprising Evidence from University of Michigan Surveys of Consumers. Journal of Money, Credit and Banking, 52(S1), 149-191. https://doi.org/10.1111/jmcb.12738

We analyze comparative advantages/disadvantages of small and large banks in improving household financial sentiment. Matching University of Michigan Surveys of Consumers household sentiment data with local banking market data from 2000 to 2014, we fi... Read More about Bank Size and Household Financial Sentiment: Surprising Evidence from University of Michigan Surveys of Consumers.

A Comparison of Tail Dependence Estimators (2020)
Journal Article
Supper, H., Irresberger, F., & Weiss, G. N. (2020). A Comparison of Tail Dependence Estimators. European Journal of Operational Research, 284(2), 728-742. https://doi.org/10.1016/j.ejor.2019.12.041

We review several commonly used methods for estimating the tail dependence in a given data sample. In simulations, we show that especially static estimators produce severely biased estimates of tail dependence when applied to samples with time-varyin... Read More about A Comparison of Tail Dependence Estimators.

Liquidity Tail Risk and Credit Default Swap Spreads (2018)
Journal Article
Irresberger, F., Weiß, G. N., Gabrysch, J., & Gabrysch, S. (2018). Liquidity Tail Risk and Credit Default Swap Spreads. European Journal of Operational Research, 269(3), 1137-1153. https://doi.org/10.1016/j.ejor.2018.02.030

We show that liquidity tail risk in credit default swap (CDS) spreads is time-varying and explains variation in CDS spreads. We capture the liquidity tail risk of a CDS contract written on a firm by estimating the tail dependence, i.e., the asymptoti... Read More about Liquidity Tail Risk and Credit Default Swap Spreads.

Testing Asymmetry in Dependence with Copula-Coskewness (2017)
Journal Article
Bücher, A., Irresberger, F., & Weiss, G. N. (2017). Testing Asymmetry in Dependence with Copula-Coskewness. North American Actuarial Journal, 21(2), 267-280. https://doi.org/10.1080/10920277.2017.1282876

A new measure of asymmetry in dependence is proposed that is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial... Read More about Testing Asymmetry in Dependence with Copula-Coskewness.

Size is everything: Explaining SIFI designations (2016)
Journal Article
Irresberger, F., Bierth, C., & Weiß, G. N. (2017). Size is everything: Explaining SIFI designations. Review of Financial Economics, 32(1), 7-19. https://doi.org/10.1016/j.rfe.2016.09.003

In this paper, we study the determinants of the systemic importance of banks and insurers during the financial crisis. We investigate the methodology of regulators to identify global systemically important financial institutions and find that firm si... Read More about Size is everything: Explaining SIFI designations.

Crisis Sentiment in the U.S. Insurance Sector (2016)
Journal Article
Irresberger, F., Konig, F. E., & Weiß, G. N. (2017). Crisis Sentiment in the U.S. Insurance Sector. Journal of Risk and Insurance, 84(4), 1295-1330. https://doi.org/10.1111/jori.12156

We use Internet search volume data to measure idiosyncratic and market‐wide crisis sentiment to explain insurer stock return volatility. We find that market‐level crisis sentiment was a significant predictor of stock return volatility of U.S. insurer... Read More about Crisis Sentiment in the U.S. Insurance Sector.

Explaining bank stock performance with crisis sentiment (2015)
Journal Article
Irresberger, F., Mühlnickel, J., & Weiß, G. N. (2015). Explaining bank stock performance with crisis sentiment. Journal of Banking and Finance, 59, 311-329. https://doi.org/10.1016/j.jbankfin.2015.06.001

Using search volume data on crisis-related queries from Google Trends, we estimate three different measures of market-level and individual crisis sentiment. We find that the stock performance of international banks during the period Q1 2004 to Q4 201... Read More about Explaining bank stock performance with crisis sentiment.

Systemic Risk of Insurers Around the Globe (2015)
Journal Article
Weiß, G. N., Bierth, C., & Irresberger, F. (2015). Systemic Risk of Insurers Around the Globe. Journal of Banking and Finance, 55, 232-245. https://doi.org/10.1016/j.jbankfin.2015.02.014

We study the exposure and contribution of 253 international life and non-life insurers to systemic risk between 2000 and 2012. For our full sample period, we find systemic risk in the international insurance sector to be small. In contrast, the contr... Read More about Systemic Risk of Insurers Around the Globe.