Job market paper


MiFID II and analyst recommendations: Does the unbundling of research fees from sales commissions reduce tipping?“, Working paper, 2020.

This paper evaluates the effectiveness of MiFID II in reducing the early disclosure of information on analyst recommendation changes to a small group of investors – so-called tipping. I add to the empirical finance literature by estimating the causal impact of information disclosure on returns and turnover. I find recommendation changes have significant stock price effects upon their publication, rendering knowledge about them inside information. The estimated effects on returns and turnover are also statistically significant one day before an up-/downgrade is published, suggesting an informational advantage of some investors. I cannot find any indication that the introduction of MiFID II resulted in a reduction of tipping.



Further research


“Have banks issued Contingent Convertible Bonds to evade risk-reducing leverage limits imposed by Basel III?”, Work in progress, 2020.

Following the introduction of more stringent capital requirements in response to the financial crisis, banks increasingly issued Contingent Convertible (CoCo) bonds. These fairly new subordinated debt securities can qualify as certain types of regulatory capital. Alarmingly, an increasing body of theoretical literature suggests that the potential to reduce the issuer’s default probability crucially depends on the security’s design. I perform a treatment effects analysis using nearest neighbor propensity score matching to evaluate the impact the usage of CoCo bonds as regulatory capital has on bank risk-taking.


The nexus between loan portfolio size and volatility: Does banking regulation matter?” (joint with Franziska Bremus), DIW Discussion Paper 1822 – Journal of Banking & Finance (R&R), 2019.

Since the global financial crisis and the related restructuring of banking systems, bank concentration is on the rise in many countries. Consequently, bank size and its role for macroeconomic volatility (or: stability) is the subject of intense debate. This paper analyzes the effects of financial regulations on the link between bank size, as measured by the volume of the loan portfolio, and volatility. Using bank-level data for 1999 to 2014, we estimate a power law that relates bank size to the volatility of loan growth. The effect of regulation on the power law coefficient indicates whether regulation weakens or strengthens the size-volatility nexus. Our analysis reveals that more stringent capital regulation and the introduction of bank levies weaken the size-volatility nexus; in countries with more stringent capital regulation or levies in place, large banks show, ceteris paribus, lower loan portfolio volatility. Moreover, we find weak evidence that diversification guidelines weaken the link between size and volatility.


Refugees in undeclared employment – A case study in Turkey” (joint with Fabian Bruckschen, Till Koebe, Maria Francesca Mariion, and Timo Schmid), in Salah, A., Pentland, A., Lepri, B., and E. Letouzé (eds.) Guide to Mobile Data Analytics in Refugee Scenarios, pp. 329-346, Springer, Cham, 2019.

Exploitation of vulnerable groups such as refugees for cheap labour is a notorious phenomenon in Turkey. Up to 2017, only 1.3% of around 3 million Syrian refugees registered in Turkey have been granted a work permit, leaving the overwhelming majority dependent on undeclared employment with all its negative implications: high-risk jobs, pay below minimum wage and lack of access to social security. Mobile phone metadata allows for a detailed view on commuting routines and migration, possibly unearthing employment situations which are not captured otherwise. This study proposes a methodological framework for detecting fine-granular socio-economic occurrences in situations where little training data are available. As a proof of concept, the study applies the methodology to identify potentially undeclared employment among refugees in Turkey by analyzing seasonal migration and commuting patterns in two specific cases: during the late-summer hazelnut harvest in the province of Ordu and at the construction site of the Istanbul Airport. The study finds clear indication for work-related migration and commuting patterns among refugees hinting at undeclared employment. The proposed framework therefore provides an analytical instrument to make targeted interventions such as controls more effective by detecting small areas where undeclared work likely takes place.