PhD Defence: Julian Terstegge

In order to obtain the PhD degree, Julian Terstegge has submitted his thesis entitled:

Essays in Financial Intermediation and Climate Economics

This thesis consists of three self-contained chapters. The first chapter studies the returns of options on the S&P 500 equity index, showing that intermediaries’ option inventory and equity il-liquidity together explain most of the option risk premium. The second chapter documents a novel channel (Charm) through which option market makers’ inventory hedging creates price pressure in the underlying equities and thus biases derivative payoffs. The third chapter presents the first index of emission price uncertainty. Emission price uncertainty spikes around major climate announcements and reduces firms’ decarbonization investments.

The thesis will be available from research.cbs.dk

Primary Supervisor:

Professor Lasse Heje Pedersen
Department of Finance
Copenhagen Business School 

Secondary Supervisors: 

Visiting Researcher Paul Whelan
Department of Finance
Copenhagen Business School

Assessment Committee:

Professor Anders Bjerre Trolle (Chair)
Department of Finance
Copenhagen Business School

Professor Marliese Uhrig-Homburg
Department Financial Enginnering and Derivatives
Karlsruhe Institute of Technology

Professor Kris Jacobs
C.T. Bauer College of Business
University of Houston

Date: 28 Maj 2025
Time: 15:30-17:30
Online: TEAMS

*Please note that the microphone and camera of all spectators must be turned off.

Location: Solbjerg Plads
Room: SPs03 North Consulting
Reception: FUHU (third floor above the canteen)

*The CBS PhD School will host a reception, which will take place immediately after the defence.