Prof. Dr. Hendrik Scholz

Phone: +49 (0)911-5302-649
Phone: +49 (0)911-5302-648 (secretary office)

Fax: +49 (0)911-5302-466 (secretary office)
Email: hendrik.scholz(at)fau.de




Consultation Hour
Thu, 11.00-12.00 a.m. (registration at the secratary office)

 

Research Areas

Empirical Finance, Performance Evaluation of Funds, Bank Management, Valuation of Financial Instruments, Financial Engineering

Short CV

  • Since 2009: Professor of Finance and Banking, University of Erlangen-Nürnberg
  • 2008-2009: Assistent Professor (Akademischer Oberrat), Catholic University of Eichstätt-Ingolstadt
  • 2007: Habilitation in Business Administration, Catholic University of Eichstätt-Ingolstadt
  • 2002-2008: Research associate, Catholic University of Eichstätt-Ingolstadt
  • 2002: Ph.D. in Finance, Georg-August-University of Göttingen
  • 1997-2002: Research associate and doctorial candidate, University of Göttingen
  • 1997: Diploma in Business Administration
  • 1991-1997: Studies in Business Administration and in Business and Human Resource Education, University of Göttingen
  • 1995: Studies abroad at the Colorado College, Colorado Springs, USA
  • 1989-1991: Bank apprenticeship at Dresdner Bank AG, Hannover, Germany

Others

  • Best Paper Award International Business Research Conference, Madrid, 2013 (with Hannah-Lea Hühn)
  • Best Paper Award German Finance Association (DGF) Annual Meeting 2007 (with Oliver Entrop and Marco Wilkens)

 

Working Paper and Publications

Working Paper

  • A return-based approach to identify the home bias of European equity funds
    Working paper, Nürnberg 2017. (with Moritz Maier)
    Abstract and download (pdf)
    Accepted for presentation:
    • Southern Finance Association 2017 Annual Meeting, Key West, Florida, November 15 - 18, 2017.
    • International Ph.D Seminar in Banking and Finance, Nürnberg, July 07 - 09, 2016.
    • Workshop of the German Operations Research Society (GOR e.V.) 2016, Working Group on Financial Management and Financial Institutions (GOR AG FIFI), Augsburg, April 4th, 2016.
    • Southwestern Finance Association 2016 Annual Conference, Oklahoma City, March 09 - 12, 2016.
  • Stock Market Behavior on Ex-Dividend Dates: The Case of Cum-Ex Transactions in Germany
    Working Paper, Nürnberg 2017. (with Thiess Büttner, Carolin Holzmann and Felix Kreidl)
    Abstract and download (pdf)
    Accepted for presentation:
    • 10th Norwegian-German Seminar on Public Economics (CESifo), Munich, November 17 – 18, 2017.
    • 110th Annual Conference on Taxation (National Tax Association), Philadelphia, November 9 – 11, 2017.
    • 24th Annual Meeting of the German Finance Association (DGF), Ulm, October 06 - 07, 2017.
    • CEQURA Junior Research Workshop, Munich, September 27th, 2017.
    • 4th Annual MaTax Conference, Mannheim, September 21 – 22, 2017.
    • Annual Conference 2017 Verein für Socialpolitik, Vienna, September 03 - 06, 2017.
    • International Ph.D Seminar in Banking and Finance, Passau, June/July 29 – 01, 2017.
  • Momentum in the European corporate bond market: The role of characteristics-adjusted returns
    Working paper, Nürnberg 2017. (with Florian Barth and Matthias Stegmeier)
    Abstract and download (pdf)
    Accepted for presentation:
    • Multinational Finance Society 2016 Annual Conference, Stockholm, June 26 - 29, 2016.
    • 14th HypoVereinsbank-UniCredit Group Doctoral Seminar Southern Germany, Ammersee, June 03 - 04, 2016.
    • Eastern Finance Association 2016 Annual Meetings, Baltimore, April 06 - 09, 2016.
    • Southwestern Finance Association 2016 Annual Conference, Oklahoma City, March 09 - 12, 2016.
  • Reversal and Momentum Patterns in Weekly Stock Returns: European Evidence
    Working Paper, Nürnberg 2017. (with Hannah Lea Hühn)
    Abstract and download (pdf)

    Accepted for presentation
    • FMA European Conference 2016 Annual Conference in Helsinki, Finland, 09.-10. June 2016.
  • Alpha Momentum and Price Momentum
    Working Paper, Nürnberg 2017. (with Hannah Lea Hühn)
    Abstract and download (pdf)

    Accepted for presentation:
    • Southern Finance Association 2014 Annual Meeting, Key West, Florida, November 19-22, 2014.
    • Financial Management Association International Conference 2014, Nashville, October 15 - 18, 2014.
    • Financial Management Association European Conference 2014, Maastricht, June 11 - 13, 2014.
    • Southwestern Finance Association 2014 Annual Conference, Dallas, March 12 - 15, 2014.
    • Midwest Finance Association 2014 Annual Conference, Orlando, March 05 - 08, 2014.
    • 22nd International Business Research Conference, Madrid, September 09 - 10, 2013, Best Paper Award.
    • International Ph.D Conference in Banking and Finance, Augsburg, June 27 - 29, 2013.
  • Success and failure on the corporate bond fund market  
    Abstract and download (pdf)
    Working Paper, Augsburg und Nürnberg, 2017. (with Martin Rohleder and Marco Wilkens)
    Accepted for presentation (former title: Bond Fund Disappearance: What's return got to do with it?):
    • 22nd Annual Meeting of the German Finance Association (DGF), Leipzig, September 25-26, 2015.
    • European Financial Management Symposium 2012 Asset Management, Hamburg, April 12-14, 2012.
    • Southwestern Finance Association 2012 Annual Conference, New Orleans, February 28 - March 3, 2012.
    • Midwest Finance Association 2012 Annual Conference, New Orleangs, February 22-25, 2012.
    • Campus for Finance Research Conference 2012, Vallendar, January 11-12, 2012.
    • 9th International Conference on Finance, Athens, July 3-7, 2011.
  • Jensen's Alpha and the Market Timing Puzzle
    Working Paper, Augsburg, Hannover, Nürnberg 2016. (with Sebastian Bunnenberg, Martin Rohleder and Marco Wilkens)
    Abstract and download (pdf)
    accepted for presentation (former title: Selection, Timing and Total Performance of Equity Funds: Wasting Time Measuring Timing):
    • 12th Symposium on Finance, Banking, and Insurance, Karlsruhe, December 15-16, 2011.
    • 1st European Retail Investment Conference, Stuttgart, February 23-25, 2011.
    • Southern Finance Association 2009 Annual Meeting, Captiva Island, Florida, November 18-21, 2009.
    • 2009 FMA Annual Meeting, Reno, Nevada, October 21-24, 2009.
    • European Financial Management Association Annual Meeting 2009, Milan, June 24-27, 2009.
    • 71. Pfingsttagung des Verbandes der Hochschullehrer für Betriebswirtschaft, Nürnberg, Juni 3-6, 2009.
    • 2009 FMA European Conference, Turin, June 3-5, 2009.
    • 45th Eastern Finance Association Annual Meeting, Washington, April 29-May 2, 2009.
    • 12th Conference of the Swiss Society for Financial Market Research, Geneva, Switzerland, April 3, 2009.
    • 48th Southwestern Finance Association Annual Meeting, Oklahoma City, February 24-28, 2009.
    • 21st Australasian Finance and Banking Conference, Sydney, December 16-18, 2008.

Articles in Refereed Journals

  • Jensen Alpha and Market Climate
    Journal of Asset Management, Vol. 17, 2016, 195-214. (with Bernhard Breloer and Hannah Lea Hühn)
    Abstract und Download als PDF-File
  • Does Style-Shifting Activity Predict Performance? Evidence from Equity Mutual Funds.
    Quarterly Review of Economics and Finance, Vol. 59, 2016, 112-130. (with Ulf Herrmann and Martin Rohleder)
    Abstract und Download als PDF-File
  • Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?
    Journal of Banking & Finance, Vol. 43, 2014, 58-77. (with Bernhard Breloer and Marco Wilkens)
    Abstract und Download als PDF-File
  • Enhancing the Profitability of Earnings Momentum Strategies: The Role of Price Momentum, Information Diffusion and Earnings Uncertainty.
    Journal of Investment Strategies, Vol. 2, No. 4, 2013, 3-57. (with Marc-Gregor Czaja and Philipp Kaufmann)
    Abstract und Download als PDF-File
  • Short-Term Persistence in Hybrid Mutual Fund Performance: The Role of Style-Shifting Abilities.
    Journal of Banking & Finance, Vol. 37, No. 7, 2013, 2314-2328. (with Ulf Herrmann)
    Abstract und Download als PDF-File
  • The Sharpe Ratio's Market Climate Bias: Theoretical and Empirical Evidence from US Equity Mutual Funds.
    Journal of Asset Management, Vol. 13, No. 4, 2012, 272-242. (with Sebastian Krimm and Marco Wilkens)
    Abstract und Download als PDF-File
  • Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences.
    Review of Finance, Vol. 15, No. 2, 2011, 441-474. (with Martin Rohleder and Marco Wilkens)
    Abstract und Download als PDF-File
  • Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany.
    European Financial Management, Vol. 16, No. 1, 2010, 124-154. (with Marc-Gregor Czaja and Marco Wilkens)
    Abstract und Download als PDF-File
  • Interest Rate Risk of German Financial Institutions: The Impact of Level, Slope, and Curvature of the Term Structure.
    Review of Quantitative Finance and Accounting, Vol. 33, No. 1, 2009, 1-26. (with Marc-Gregor Czaja and Marco Wilkens)
    Abstract und Download als PDF-File
  • The Price-setting Behavior of Banks: An Analysis of Open-end Leverage Certificates on the German Market.
    Journal of Banking and Finance, Vol. 33, No. 5, 2009, 874-882. (with Oliver Entrop and Marco Wilkens)
    Abstract und Download als PDF-File
  • Zinssensitivitäten börsennotierter deutscher Finanzdienstleister: Eine empirische Untersuchung.
    Kredit und Kapital, 41. Jg., H. 3, 2008, 427-459. (with Stephan Simon and Marco Wilkens)
    Download als PDF-File
  • Untersuchungen zur Zinssensitivität börsennotierter Finanzdienstleister: Überblick und Diskussion alternativer Zinsfaktoren.
    Kredit und Kapital, 41. Jg., H. 2, 2008, 239-260. (with Stephan Simon and Marco Wilkens)
    Download als PDF-File
  • Refinements to the Sharpe Ratio: Comparing Alternatives for Bear Markets.
    Journal of Asset Management, Vol. 7, No. 5, 2007, 347-357.
    Abstract und Download als PDF-File
  • Sensitivity of Stock Returns to Changes in the Term Structure of Interest Rates - Evidence from the German Market.
    Operations Research Proceedings 2006. Hrsg. von Karl-Heinz Waldmann und Ulrike M. Stocker, Berlin 2007, 305-310. (with Marc-Gregor Czaja)
  • Die Marktphasenabhängigkeit der Sharpe Ratio - Eine empirische Untersuchung für deutsche Aktienfonds.
    Zeitschrift für Betriebswirtschaft, 76. Jg., H. 12, 2006, 1275-1302. (with Marco Wilkens)
    Download als PDF-File
  • Investor Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio.
    The International Journal of Finance, Vol. 17, No. 4, 2005, 3671-3691. (with Marco Wilkens)
  • A Jigsaw Puzzle of Basic Risk-adjusted Performance Measures.
    The Journal of Performance Measurement, Vol. 9, Spring 2005, 57-64. (with Marco Wilkens)
    Abstract und Download
  • Turbo-Zertifikate - Vier Generationen.
    Die Betriebswirtschaft, 65. Jg., H. 5, 2005, 521-525. (with Oliver Entrop and Marco Wilkens)
    Download als PDF-File
  • Innovative Turbo-Zertifikate am deutschen Kapitalmarkt- Preisstellung, Bewertung, Hedging und Gewinnpotenzial.
    Kredit und Kapital, 38. Jg., H. 1, 2005, 87-116. (with Rainer Baule and Marco Wilkens)
  • Zur Preisstellung der Emittenten von Discountzertifikaten - Eine empirische Untersuchung am deutschen Sekundärmarkt.
    Finanz Betrieb, 6. Jg., H. 12, 2004, 825-832. (with Rainer Baule and Ralf Rühling)
    Download als PDF-File
  • Short-Zertifikate auf Indizes - Bewertung und Analyse eines innovativen Retail-Produktes für Baissephasen.
    Zeitschrift für Betriebswirtschaft, 74. Jg., H. 4, 2004, 315-338. (with Rainer Baule and Marco Wilkens)
  • Zur Relevanz von Sharpe Ratio und Treynor Ratio: ein investorspezifisches Performancemaß.
    Zeitschrift für Bankrecht und Bankwirtschaft, 15. Jg., H. 1, 2003, 1-8. (with Marco Wilkens)
    Download als PDF-File
  • Bewertung und Konstruktion von attraktiven strukturierten Produkten am Beispiel von Cheapest-to-Deliver-Aktienzertifikaten.
    Österreichisches Bankarchiv, 12/2001, 931-940. (with Marco Wilkens and Oliver Entrop)
  • Outperformance-Zertifikate auf Aktienindizes in Fremdwährungsräumen.
    Kredit und Kapital, 34. Jg., Heft 4, 2001, 473-504. (with Marco Wilkens and Oliver Entrop)

Monographs

  • Performanceanalyse von Aktieninvestmentfonds - Eine theoretische Untersuchung externer Performancemaße,
    Neue Betriebswirtschaftliche Studienbücher, Nr. 23, Berlin 2002, ISBN 3-8305-0348-2 .

Articles in Non-Refereed Journals

  • Hebel-Zertifikate - Darstellung und Analyse eines innovativen Finanzproduktes.
    Die Bank 1/2003, 36-41. (with Kai Ammann and Rainer Baule)
    Zum Einfluss der Fristentransformation auf den Wert einer Bank.
    Sparkasse, 08/2002, 360-364. (with Marco Wilkens and Oliver Entrop)
  • Eigenkapitalanforderungen für Kreditrisiken - Analyse des modifizierten IRB-Ansatzes.
    Zeitschrift für das gesamte Kreditwesen, Heft 3-4, 2002, 141-146. (with Marco Wilkens and Oliver Entrop)
  • Knock-In-Aktienanleihen und Barrier-Discount-Zertifikate.
    Sparkasse 1/2001, 31-35. (with Marco Wilkens and Rainer Baule)
  • Bull-Anleihen auf internationale Aktienindizes: Hohe Partizipation ohne Währungsrisiko.
    Die Bank 11/2000, 754-759. (with Marco Wilkens and Oliver Entrop)
  • Innovative Passivprodukte am Beispiel von KickStart-Zertifikaten.
    Sparkasse 10/2000, 462-466. (with Marco Wilkens and Oliver Entrop)
  • Reverse Convertibles und Discount-Zertifikate - Bewertung, Pricingrisiko und implizite Volatilität.
    Finanz Betrieb, 2. Jg., Heft 3, 2000, 171-179. (with Marco Wilkens)
  • Von der Treynor-Ratio zur Market Risk-Adjusted Performance - Zusammenhang und Diskussion grundlegender Performancemaße.
    Finanz Betrieb, 1. Jg., Heft 10, 1999, 308-315. (with Marco Wilkens)
  • Systematik grundlegender Performancemaße - Von der Sharpe-Ratio zum RAP.
    Finanz Betrieb, 1. Jg., Heft 9, 1999, 250-254. (with Marco Wilkens)
  • Bull-, Bear- und Condor-Bonds - Anleihen in Kombination mit Optionen auf Aktien.
    Die Bank 6/1999, 406-411. (with Marco Wilkens and Jörg Völker)
  • Analyse und Bewertung von Aktienanleihen und Diskontzertifikaten.
    Die Bank 5/1999, 322-327. (with Marco Wilkens and Jörg Völker)
  • Duplikation und Bewertung strukturierter Finanzprodukte - Callable Step-Up Bonds.
    Die Bank 4/1999, 262-268. (with Marco Wilkens and Jörg Völker)

Contributions to Anthologies

  • Maturity Transformation Strategies and Interest Rate Risk of Financial Institutions: Evidence from the German Market.
    Banking and Capital Markets: New International Perspectives. Hrsg. von Harold Black, Lloyd Blenman und Edward Kane, New Jersey 2010, 155-182 (with Stephan Simon and Marco Wilkens).
  • Performancemessung und Kapitalallokation im Handelsbereich einer Bank - Zur Marktphasenabhängigkeit von RORAC und RAROC.
    Kapitalmarkt, Unternehmensfinanzierung und rationale Entscheidungen. Hrsg. von Wolfgang Kürsten und Bernhard Nietert, Berlin 2006, 129-148 (wtih Marco Wilkens and Oliver Entrop).
  • Fristentransformation als Lösungsansatz für das Ertragsproblem von Banken?
    Wege aus der Banken- und Börsenkrise. Hrsg. von Leo Schuster u. Alex W. Widmer, Berlin u. a. 2004, 427-443 (with Marco Wilkens and Oliver Entrop).
  • Bankaufsichtsrechtliche Regulierung von Unternehmen der Energiewirtschaft vor dem Hintergrund von Basel II.
    Handel mit Energiederivaten. Hrsg. von Ines Zenke u. Niels Ellwanger, München 2003, 278-306 (with Marco Wilkens and Oliver Entrop).
  • Zur Relevanz von Jensen Alpha und Appraisal Ratio für die Beurteilung der Leistung und die Auswahl von Investmentfonds,
    Finanzielle Märkte und Banken - Innovative Entwicklungen am Beginn des 21. Jahrhunderts. Hrsg. von Jonny Holst und Marco Wilkens, Berlin 2000, 313-335.