April - 2020
  01 02 03 04 05
07 08 09 10 11 12
13 14 15 16 17 18 19
20 21 22 23 24 25 26
27 28 29 30  

Niklas Wagner

is Professor of Finance and Financial Control at the University of Passau, Germany. After receiving his PhD in Finance, he held postdoctoral appointments at the Haas School of Business, U.C. Berkeley, and at Stanford GSB, thereafter finishing his habilitation doctoral degree at TU Munich. Professor Wagner has co-authored various contributions in finance, covering research in the areas of asset management, empirical asset pricing, applied financial econometrics as well as derivatives and risk management. Professor Wagner has co-edited book volumes on derivatives and risk management, currently is an associate editor of Economic Modelling, Emerging Markets Review, Finance Research Letters, the Journal of International Financial Markets, Institutions and Money, and the International Review of Financial Analysis, and is Editor-in-Chief of Studies in Economics and Finance.


Patrizia Perras

is research assistant at the Finance and Financial Control Research Group and PhD candidate at the Department of Business Administration and Economics at the University of Passau, Germany. She earned a M.Sc. in Accounting, Finance and Taxation from the same institution in 2015. Her field of research is primarily related to dynamic asset pricing, capital markets and risk management.

Back to speakers

Patrizia Perras, Niklas Wagner: Is there a Trading Break Equity Premium?

This paper addresses the relation between market risk and expected market returns with a particular focus on periodic market closures. We derive a modified version of the Merton intertemporal capital asset pricing model where asset prices are driven by a diffusive process during the trading day and jumps that are induced by price changes over the market closure. This enables us to derive distinct risk premia for trading and non-trading risk. Our empirical analysis shows that both components are important in explaining the equity market risk premium. Trading breaks entail a lack of market functionality and liquidity and our results document that investors ask for a premium to hold the market portfolio over the closure. Including additional state variables into the model, we find that stock market uncertainty and illiquidity are both significantly and positively priced on the market level and exhibit predictive power for aggregate stock returns.

Last modified: 2018.11.30.