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Dr Sebastian Gehricke

Sebastian Gehricke

Senior Lecturer
Deputy Director CEFGroup

BCom(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

In the media

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

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Publications

Gehricke, S. A., Ruan, X., & Zhang, J. E. (2023). Doing well while doing good: ESG ratings and corporate bond returns. Applied Economics. Advance online publication. doi: 10.1080/00036846.2023.2178624

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

Dordi, T., Gehricke, S., Naef, A., & Weber, O. (2022, August). Ten financial actors can accelerate a transition away from fossil fuels. Verbal presentation at the 82nd Annual Meeting of the Academy of Management (AoM), [Hybrid].

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. Advance online publication. 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

Gehricke, S. A., Ruan, X., & Zhang, J. E. (2023). Doing well while doing good: ESG ratings and corporate bond returns. Applied Economics. Advance online publication. doi: 10.1080/00036846.2023.2178624

Journal - Research Article

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

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. Advance online publication. doi: 10.1016/j.jbef.2022.100687

Journal - Research Article

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

Journal - Research Article

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

Journal - Research Article

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

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

Journal - Research Article

Li, J., Ruan, X., Gehricke, S. A., & Zhang, J. E. (2021). The COVID-19 risk in the Chinese option market. International Review of Finance. Advance online publication. doi: 10.1111/irfi.12365

Journal - Research Article

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

Journal - Research Article

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

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

Journal - Research Article

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

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

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

Journal - Research Article

McLean, L., Diaz-Rainey, I., Gehricke, S. A., & Zhang, R. (2022). In holdings we trust: Uncovering the ESG fund lemons. Proceedings of the Auckland Centre for Financial Research 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

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: 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

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 Auckland Centre for Financial Research 8th 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

Gehricke, S. A., & Zhang, J. E. (2018). The implied volatility smirk in the VXX options market. Proceedings of the Auckland Centre for Financial Research 8th 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

Li, J., Gehricke, S., & Zhang, J. E. (2018). How do US option traders "smirk" on China: Evidence from FXI options market. Proceedings of the Auckland Centre for Financial Research 8th 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

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/

Conference Contribution - Published proceedings: Full paper

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

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 - Published proceedings: Abstract

Dordi, T., Gehricke, S., Naef, A., & Weber, O. (2022, August). Ten financial actors can accelerate a transition away from fossil fuels. Verbal presentation at the 82nd Annual Meeting of the Academy of Management (AoM), [Hybrid].

Conference Contribution - Verbal presentation and other Conference outputs

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

Other Research Output

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

Awarded Doctoral Degree

More publications...