Department of International Finance
Master Theses FSS 2013
Alexander Hillert / Lena Jaroszek (ZEW) / Stefan Ruenzi / Nic Schaub / Paris Tsotsonos /
Florian Weigert
University of Mannheim
http://intfin.bwl.uni-mannheim.de
lsruenzi@bwl.uni-mannheim.de
Tel: +49 (621) 181-1646
Requirements to Write a Thesis
 You are a student either enrolled in a diploma degree or master program at the
University of Mannheim
 You have successfully completed a seminar at one of the finance chairs (Prof.
Albrecht, Prof. Bühler, Prof. Maug, Prof. Ruenzi, Prof. Theissen, Prof. Terberger,
Prof. Weber)
 You are interested to write your thesis in the field of Empirical Finance (Asset
Pricing, Mutual Funds & Portfolio Management, Corporate Finance,…)
 You are available in the time period from March 22 to July 22, 2013
 The number of theses is limited (8 topics)
© 2013 Stefan Ruenzi
Department of International Finance – Master Theses
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Schedule
 06.03.2013
 11.03. – 13.03.2013
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18.03.2013
18.03. – 22.03.2013
22.03.2013
Mid May
End June
22.07.2013
© 2013 Stefan Ruenzi
Presentation of Topics
Registration Period: Submit your Priority List
(via https://formular.io/ls_cf/aaees/
Assignment of Topics
Registration of Master Thesis
Start of Thesis Processing Time
First Colloquium
Second Colloquium
Submission Deadline of Thesis
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Colloquia
 There will be two block-seminars during the 7th and 13th week of the processing
time
 First Colloquium: Presentation of thesis outline and discussion of first (empirical)
results
 Second Colloquium: Presentation of (empirical) results and discussion of final
thesis structure
 Colloquia serve as additional guidance to successfully structure your thesis and
to stimulate further research investigations; Colloquia are not graded
 Participation on both block-seminars is mandatory for all students
© 2013 Stefan Ruenzi
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Further Information
 Supervision of thesis by assigned advisor and Prof. Stefan Ruenzi
 Language: German or English
 Page Limit: approx. 50 pages (without appendix)
 Formal Requirements: Master Thesis is an independent academic research
paper (follow the guide „Leitfaden zur Anfertigung von Diplom- und
Seminararbeiten“ of Professor‘s Weber chair)
 We support empirical work and help to retrieve required data
 „No excuses policy“ for plagiarism
© 2013 Stefan Ruenzi
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Topics: Master Theses FSS 2013
Topic R1: How to (robustly) measure financial
literacy
 Advisor: Lena Jaroszek (ZEW, jaroszek@zew.de)
 Literature review and empirical topic
 Motivation: Private investors face financial decisions regarding their everyday life but also
old age provision. Studies evaluate private investors’ financial literacy and analyze
whether superior financial knowledge is associated with more favorable financial
outcomes. For this purpose financial literacy is typically assessed via quiz questions in
household surveys.
 The aim of the master thesis is:
- To conduct a literature research on approaches to approximate financial literacy,
including proxies like general schooling or numerical skills but also different
measures constructed from quiz questions in consumer surveys.
- To take measures from the literature to the SAVE 2009 household data and compare
them with respect to the robustness of the results depending on the different
measures employed.
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Topic R2: An empirical evaluation of a textual
analysis based investor sentiment index
 Advisor: Alexander Hillert (hillert@bwl.uni-mannheim.de)
 Empirical topic
 Idea: construct an investor sentiment index based on qualitative information and compare
its explanatory power to the standard quantitative sentiment indices (e.g. Baker/Wurgler
(2006)).
 Major tasks for the linguistic part: download press articles (LexisNexis, Factiva), adapt
existing word lists (cf. Tetlock (2007), Loughran/McDonald (2011)) to the text corpus,
process texts with software (LIWC or Antconc) to get the sentiment of each article,
aggregate sentiment into an index.
 Major tasks for the empirical part: analyze correlation with other indices and macroeconomic factors; test whether news-based sentiment explains return differences between
sentiment-prone and not sentiment-prone stocks; analyze whether news-based sentiment
explains the profitability of return anomalies
 Remarks: knowledge about textual analysis is required for this topic
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Topic R3: Predicting bankruptcy – A textual
analysis approach
 Advisor: Alexander Hillert (hillert@bwl.uni-mannheim.de)
 Empirical topic
 Idea: use qualitative information to predict corporate bankruptcy
Prior studies only use quantitative information (stock market and accounting data) to
predict bankruptcy  does qualitative information add value?
 Two data sources for qualitative information: press articles (LexisNexis, Factiva) and
corporate reports (8-K, 10-K, and 10-Q filings)
 Major tasks for the linguistic part: download text corpora, adapt existing word lists (cf.
Tetlock (2007), Loughran/McDonald (2011)), process texts with software (LIWC or
Antconc) to compute a negativity/insolvency score.
 Major tasks for the empirical part: test whether the text-based measure predicts
bankruptcy, replicate the model of Campbell et al. (2008), test whether the text-based
measure improve the model.
 Remarks: knowledge about textual analysis is required for this topic
© 2013 Stefan Ruenzi
Department of International Finance – Master Theses
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Topic R4: Does Public Opinion Affect
Executive Pay?
 Advisor: Paris Tsotsonos (tsotsonos@bwl.uni-mannheim.de)
 Empirical topic
 Recent literature has shown that public opinion can be a disciplining device for various
corporate decisions, e.g. in the context of corporate governance
 In the context of executive compensation, Bebchuk et al. (2002) and Bebchuk/Fried
(2004) argue that public outrage may limit CEO pay
 Research idea: investigate whether public opinion affects the level and the structure of
executive pay in the US
 Benchmark paper: Kuhnen, Niessen (Management Science, 2012)
 The empirical study involves a textual analysis of news articles (programs will be provided
by the chair)
© 2013 Stefan Ruenzi
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Topic R7: Linking Fund Flows, Market Liquidity
and Asset Prices
 Advisor: Michael Ungeheuer (ungeheuer@bwl.uni-mannheim.de)
 Empirical and/or theoretical topic
 Motivation: Illiquidity tends to suddenly jump to high levels, simultaneously with price
drops and across many securities (e.g. Black Monday 1987). This characteristic can be a
large risk for investors (and economies).
 Research Question: What is the nature of the link between the behavior of funds and
extreme liquidity crises?
 Tasks for this thesis:
- Review and classify the existing theories about destabilizing mechanisms linking the
behavior of funds and market liquidity during crises.
- Conduct an empirical study: Test the relationship between fund flows (and/or other
fund-related variables), stock liquidity and asset prices.
© 2013 Stefan Ruenzi
Department of International Finance – Master Theses
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Topic R8: Downside Liquidity Risk
 Advisor: Michael Ungeheuer (ungeheuer@bwl.uni-mannheim.de)
 Empirical topic
 Motivation: There is evidence for a downside liquidity risk premium. It is however not clear how to
optimally measure (downside) dependence between liquidity shocks and returns.
 Some alternative measures of dependence:
- Pearson correlation
- Spearman (‘rank’) correlation
- Conditional versions of these correlation coefficients
- Tail dependence
 Research Question: Considering a wide range of measures of (downside) dependence, what are good
measures of dependence between liquidity and returns? How are they related to expected returns?
 Tasks for this thesis:
- Analyze the structure of dependence between stock liquidity shocks / returns and market
liquidity shocks / returns.
- Link the structure of dependence to expected returns.
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Final Remarks
 Please read the document for the assignment of diploma- and master theses on
our webpage (http://intfin.bwl.uni-mannheim.de) and pay attention to all deadlines
 Assignment of topics is based on your grade obtained in the seminar
 Please only indicate the topics on the priority list, that you are really willing to
work on
 We reward the willingness to work empirically in our grading
 Questions: weigert@bwl.uni-mannheim.de
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