1. Department of International Finance Master Theses FSS 2013
Alexander Hillert / Lena Jaroszek (ZEW) / Stefan Ruenzi / Nic Schaub / Paris Tsotsonos / Florian Weigert
University of Mannheim
Tel: +49 (621)

2. 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)

3. Schedule 06.03.2013 Presentation of Topics
– Registration Period: Submit your Priority List (via
Assignment of Topics
– Registration of Master Thesis
Start of Thesis Processing Time
Mid May First Colloquium
End June Second Colloquium
Submission Deadline of Thesis

4. 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

5. 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

6. Topics: Master Theses FSS 2013
Diplomarbeit
Topics: Master Theses FSS 2013

7. Topic R1: How to (robustly) measure financial literacy
Advisor: Lena Jaroszek (ZEW,
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.

8. Topic R2: An empirical evaluation of a textual analysis based investor sentiment index
Advisor: Alexander Hillert
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 macro-economic 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

9. Topic R3: Predicting bankruptcy – A textual analysis approach
Advisor: Alexander Hillert
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

10. Topic R4: Does Public Opinion Affect Executive Pay?
Advisor: Paris Tsotsonos
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)

11. Topic R7: Linking Fund Flows, Market Liquidity and Asset Prices
Advisor: Michael Ungeheuer
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.

12. Topic R8: Downside Liquidity Risk
Advisor: Michael Ungeheuer
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.

13. Final Remarks
Please read the document for the assignment of diploma- and master theses on our webpage ( 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: