Dr Sebastian Gehricke

Senior Lecturer
Deputy Director CEFGroupBCom(Otago), MBus(Otago)

Office OBS 5.11
Tel +64 3 479 5450
Email sebastian.gehricke@otago.ac.nz

Sebastian joined the Otago team full-time as a Lecturer in June 2018. Before then, he was already part of the department as a PhD student and casual Lecturer/Tutor.

Sebastian is an integral part of the Climate and Energy Finance Group (CEFGroup), running several events and pursuing research in climate finance, sustainable investments, carbon farming and carbon and energy markets. Sebastian also has financial consulting experience, particularly in project feasibility modelling and investment management. In 2021 Sebastian developed the first sustainable investments course in New Zealand. Sebastian also holds several positions helping transition the New Zealand financial system toward sustainability. He has volunteered through helping start-up businesses cement their business plans and sharing his personal and sustainable finance knowledge at community events and is on the board of a not-for-profit.

Teaching

Current

BSNS 114 Financial Decision Making
FINC 399 Special Topic – Sustainable Investments

Past

FINC 102 Business Mathematics
FINC 204 Personal Finance
FINC 206 Corporate Finance
FINC 306 Derivatives
FINC 405 Mathematical Finance

Research interests

Dr Gehricke is researching in Sustainable Investing, Climate Finance, Derivatives, Carbon Markets and Carbon Farming.

Significant roles

Deputy Director of the Climate and Energy Finance Group (CEFGroup)
Lead, Assembly of Investment Chairs
Chair, Business and Engagement Committee
Member, INFINZ advocacy group
Member, Steering Group for the development of the New Zealand stewardship code
Member, Steering Group of the Otago Energy Research Council

In the media

Sustainable Accountability, He Kitenga
Environmental Finance, Radio NZ
Op-ed on Climate Change Comission report, Sunday Star times and Stuff
Op-ed on Investing in the Future, Otago Daily Times magazine
Quote on Investor engagement, Green Business, Stuff
Quote on Sustainable housing, Climate news, Stuff

Supervision

Current

Andre Poyser, “Indigenous Investing”, PhD in Finance started Nov 2021
Ling Liao, “Climate risks in asset prices”, PhD in Finance started May 2021
Jianhui Li, “Disasters and Options”, PhD in Finance started Jul 2020

Completed

Lachie Mclean. “In Holdings We Trust: Uncovering the ESG Fund Lemons”, Master of Finance (MFinc), Dec 2021 – Feb 2022
Wei Guo, "SPX and SPY Options", PhD in Finance, Apr 2018 – Jun 2021.
Joe Euphrat, "Impact investing: best practice, challenges and risks in New Zealand", MSusBus, Oct 2020 – Feb 2021
Samuel Kirk-Reeve, “Air Pollution and the Cross-Section of Stock Returns in China”, Dec 2020 – Feb 2021
Josh Morrison, "Financing the ASEAN green energy transition", Summer scholarship and MFinc, Dec 2019 – Feb 2021
Kate Scott, "ESG investment performance and attention in Australia", MFinc, Dec 2020 – Feb 2021
Tom Weatherall, "ESG investment performance and attention in the U.S.", MFinc, Dec 2020 – Feb 2021
Tom Lindsay, "Implied volatility of China gold options and COVID", MFinc, Dec 2020 – Feb 2021
James Stanners, "The Financial Contagion of the COVID-19 Crisis", MFinc, Dec 2020 – Feb 2021
Ling Liao, The New Zealand Emissions Trading Scheme, Master of Commerce, Feb 2019 – Feb 2020
Connor Stuart, FXA options, MFinc, Dec 2019 – Feb 2020
Jansson Ford, ESG investment performance, MFinc, Dec 2019 – Feb 2020
Tian Yue, SSE 50 ETF Options, PhD in Finance, April 2016 – Dec 2019
Jianhui Li, How do US option traders smirk on China: evidence from FXI options market, Master of Business, Feb 2017 – Sep 2018

Publications

Gehricke, S. A., Ruan, X., & Zhang, J. E. (2024). Doing well while doing good: ESG ratings and corporate bond returns. Applied Economics, 56(16), 1916-1934. doi: 10.1080/00036846.2023.2178624 Journal - Research Article

Gehricke, S. A., Aschakulporn, P., Suleman, T., & Wilkinson, B. (2023). The effect of divestment from ESG exchange traded funds. Proceedings of the 12th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz Conference Contribution - Published proceedings: Full paper

Poyser, A., Gehricke, S., & Ruckstuhl, K. (2023, November-December). It's the environment, stupid: Motivations, preferences and sustainable investment perspectives of Indigenous asset owners. Verbal presentation at the 4th Climate and Energy Finance Group (CEFGroup) Sustainable Finance and Accounting Symposium, Dunedin, New Zealand. Conference Contribution - Verbal presentation and other Conference outputs

Gehricke, S., Aschakulporn, P., Suleman, T., & Wilkinson, B. (2023, November-December). The effect of divestment from ESG exchange traded funds. Verbal presentation at the 4th Climate and Energy Finance Group (CEFGroup) Sustainable Finance and Accounting Symposium, Dunedin, New Zealand. Conference Contribution - Verbal presentation and other Conference outputs

Gehricke, S. A., Aschakulporn, P., Suleman, T., & Wilkinson, B. (2023). The effect of divestment from ESG Exchange Traded Funds. Proceedings of the 6th Annual Global Research Alliance for Sustainable Finance and Investment (GRASFI) Conference. Retrieved from https://sustainablefinancealliance.org/ Conference Contribution - Published proceedings: Full paper

2024

Journal - Research Article

Gehricke, S. A., Ruan, X., & Zhang, J. E. (2024). Doing well while doing good: ESG ratings and corporate bond returns. Applied Economics, 56(16), 1916-1934. doi: 10.1080/00036846.2023.2178624

2023

Journal - Research Article

Yue, T., Ruan, X., Gehricke, S., & Zhang, J. E. (2023). The volatility index and volatility risk premium in China. Quarterly Review of Economics & Finance, 91, 40-55. doi: 10.1016/j.qref.2023.07.004

Liao, L., Diaz-Rainey, I., Kuruppuarachchi, D., & Gehricke, S. (2023). The role of fundamentals and policy in New Zealand's carbon prices. Energy Economics, 106737. Advance online publication. doi: 10.1016/j.eneco.2023.106737

Guo, W., Ruan, X., Gehricke, S. A., & Zhang, J. E. (2023). Term spreads of implied volatility smirk and variance risk premium. Journal of Futures Markets, 43, 829-857. doi: 10.1002/fut.22409

Conference Contribution - Published proceedings: Full paper

Conference Contribution - Verbal presentation and other Conference outputs

Tulloch, D., Gehricke, S., Shaw, C., & Hoffmann, L. (2023, June). Mitigation. Panel discussion at the Science-based Policy School for Climate Change, [Hybrid].

Gehricke, S. (2023, February). In holdings we trust: Uncovering the ESG fund lemons. Verbal presentation at the New Zealand Finance Colloquium, Wellington, New Zealand.

Commissioned Report for External Body

Gehricke, S., Poyser, A., & Walton, S. (2023). A market survey to ascertain offsetting demand. Commissioned by Forestry Ministerial Advisory Group. Dunedin, New Zealand: Climate Energy and Finance Group, University of Otago. 35p.

2022

Journal - Research Article

Ford, J. M., Gehricke, S. A., & Zhang, J. E. (2022). Option traders are concerned about climate risks: ESG ratings and short-term sentiment. Journal of Behavioral & Experimental Finance, 35, 100687. doi: 10.1016/j.jbef.2022.100687

Dordi, T., Gehricke, S. A., Naef, A., & Weber, O. (2022). Ten financial actors can accelerate a transition away from fossil fuels. Environmental Innovation & Societal Transitions, 44, 60-78. doi: 10.1016/j.eist.2022.05.006

Li, J., Ruan, X., Gehricke, S. A., & Zhang, J. E. (2022). The COVID-19 risk in the Chinese option market. International Review of Finance, 22, 346-355. doi: 10.1111/irfi.12365

Conference Contribution - Published proceedings: Full paper

McLean, L., Diaz-Rainey, I., Gehricke, S. A., & Zhang, R. (2022). In holdings we trust: Uncovering the ESG fund lemons. Proceedings of the 11th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Conference Contribution - Published proceedings: Abstract

Dordi, T., Gehricke, S., Naef, A., & Weber, O. (2022). Ten financial actors can accelerate a transition away from fossil fuels. Proceedings of the 82nd Annual Meeting of the Academy of Management (AoM). Retrieved from https://2022.aom.org

Conference Contribution - Verbal presentation and other Conference outputs

Liao, L., Diaz-Rainey, I., Kuruppuarachchi, D., & Gehricke, S. (2022, November). Carbon premium in Australian equity market. Verbal presentation at the 3rd Climate and Energy Finance Group (CEFGroup) Climate Finance Symposium, Dunedin, New Zealand.

2021

Journal - Research Article

Kirk-Reeve, S., Gehricke, S. A., Ruan, X., & Zhang, J. E. (2021). National air pollution and the cross-section of stock returns in China. Journal of Behavioral & Experimental Finance, 32, 100572. doi: 10.1016/j.jbef.2021.100572

Yue, T., Gehricke, S., Zhang, J. E., & Pan, Z. (2021). The implied volatility smirk in the Chinese equity options market. Pacific-Basin Finance Journal, 69, 101624. doi: 10.1016/j.pacfin.2021.101624

Diaz-Rainey, I., Gehricke, S. A., Roberts, H., & Zhang, R. (2021). Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility. International Review of Financial Analysis, 76, 101746. doi: 10.1016/j.irfa.2021.101746

Gehricke, S. A., & Zhang, J. E. (2021). Tracking performance of VIX futures ETPs. Journal of Empirical Finance, 61, 103-117. doi: 10.1016/j.jempfin.2021.01.002

Stuart, C. J. A., Gehricke, S. A., Zhang, J. E., & Ruan, X. (2021). Implied volatility smirk in the Australian dollar market. Accounting & Finance, 61, 4573-4599. doi: 10.1111/acfi.12741

Guo, W., Gehricke, S. A., Ruan, X., & Zhang, J. E. (2021). The implied volatility smirk in SPY options. Applied Economics, 53(23), 2671-2692. doi: 10.1080/00036846.2020.1866159

2020

Journal - Research Article

Gehricke, S. A., & Zhang, J. E. (2020). Modeling VXX under jump diffusion with stochastic long‐term mean. Journal of Futures Markets, 40(10), 1508-1534. doi: 10.1002/fut.22145

Gehricke, S. A., & Zhang, J. E. (2020). The implied volatility smirk in the VXX options market. Applied Economics, 52(8), 769-788. doi: 10.1080/00036846.2019.1646402

Conference Contribution - Published proceedings: Full paper

Guo, W., Gehricke, S., Ruan, X., & Zhang, J. (2020). The implied volatility smirk in SPY options. Accounting & Finance Association of Australia and New Zealand (AFAANZ) Conference. Retrieved from http://www.afaanzconference.com

Ford, J. M., Gehricke, S. A., & Zhang, J. E. (2020). Option traders are concerned about climate risks: ESG ratings and sentiment. Proceedings of the Accounting & Finance Association of Australia and New Zealand (AFAANZ) Conference. Retrieved from http://www.afaanzconference.com

Conference Contribution - Published proceedings: Abstract

Liao, L., Diaz-Rainey, I., Gehricke, S., & Kuruppuarachchi, D. (2020). The role of fundamentals and policy in New Zealand's carbon prices. Proceedings of the 14th Annual Otago Energy Research Centre (OERC) Symposium: New Energy Futures post COVID-19. Retrieved from https://www.otago.ac.nz/oerc

Other Research Output

Gehricke, S. (2020, October). International comparison of the efficiency of electricity futures. International Association for Energy Economics (IAEE) webinar. Retrieved from https://www.iaee.org/eblast/webinar_gehricke.html

2019

Journal - Research Article

Li, J., Gehricke, S. A., & Zhang, J. E. (2019). How do US options traders “smirk” on China? Evidence from FXI options. Journal of Futures Markets, 39, 1450-1470. doi: 10.1002/fut.22005

Conference Contribution - Published proceedings: Abstract

Diaz-Rainey, I., Gehricke, S., Roberts, H., & Zhang, R. (2019). Trump vs. Paris: The impact of climate policy and climate risk on US listed oil and gas firm valuation. Proceedings of the 13th Otago Energy Research Centre (OERC) and Otago Climate Change Network (OCCNET) Energy & Climate Change Symposium. (pp. 11). Retrieved from https://www.otago.ac.nz/oerc

Conference Contribution - Verbal presentation and other Conference outputs

Gehricke, S. (2019, February). How do US option traders 'smirk' on China: Evidence from FXI options. Verbal presentation at the 23rd New Zealand Finance Colloquium, Lincoln, New Zealand.

2018

Journal - Research Article

Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX. Journal of Futures Markets, 38(8), 958-976. doi: 10.1002/fut.21913

Conference Contribution - Published proceedings: Full paper

Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX under jump diffusion with stochastic long-term mean. Proceedings of the 8th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Gehricke, S. A., & Zhang, J. E. (2018). The implied volatility smirk in the VXX options market. Proceedings of the 8th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Li, J., Gehricke, S., & Zhang, J. E. (2018). How do US option traders "smirk" on China: Evidence from FXI options market. Proceedings of the 8th Annual New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Awarded Doctoral Degree

Gehricke, S. A. (2018). VIX futures ETNs and their derivatives (PhD). University of Otago, Dunedin, New Zealand. Retrieved from http://hdl.handle.net/10523/8446

2016

Conference Contribution - Published proceedings: Full paper

Gehricke, S. A., & Zhang, J. E. (2016). Modeling VXX. Proceedings of the New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2016/schedule/