Romain Cece, The Relation between Implied and Realised Volatility Risk Premia, University of Zurich, Faculty of Business, Economics and Informatics, 2021. (Master's Thesis)
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Nicolas Suter, The Effect of Media Coverage and ESG Disclosure on the Buying Behavior of Retail Investors, University of Zurich, Faculty of Business, Economics and Informatics, 2021. (Master's Thesis)
The demand for sustainable investments has increased substantially in recent years. More and more people are trying to integrate sustaina-
bility not only into everyday habits, but also into their investments. The approach of socially responsible investments has existed for a long time. But the noticeable increase in environ-
mental disasters has led to a generally growing awareness of climate change. This is one of the main reasons why sustainable investments are becoming more and more popular. In the meantime, different investment strategies have emerged that allow most investors to align their personal values with financial investments. Among those the ESG concept is gaining importance. This is an approach which is based on a more comprehensive understanding of the current situation of a company or its future positioning with respect to the non-financial aspects of environmental, social and governance (ESG) related factors. Various rating agencies publish a so-called ESG score, which is designed to make ESG-related efforts by companies more transparent, easier accessible and comparable. However, the lack of sustainability standards leads to a rather low correlation between the scores of the individual providers. Different interpretations of sustainability lead to the use of different attributes or different weightings for the same attributes in the calculation of the ESG score. This is currently a major limitation. The EU Action Plan is a possible solution to this problem.
Sustainable investments were long viewed to systematically underperform conventional investments. Although the majority of studies have found no significant underperformance, this misconception is still widespread. This leads to the next intensely debated assumption, the rational investor who seeks to optimize financial return and risk exclusively. Such rational investors would only make sustainable investments if they had an identical or even better risk-return profile than conventional investments. Since, as mentioned above, the demand for sustainable investments has risen dramatically in recent years, which casts doubt on the assumption of rational investors and/or the underperformance of sustainable investments. An increasing amount of research shows the influence of psychological factors on investor behavior. In addition to the previously accepted monetary motives, intrinsic or reputational motives also influence the decision-making process.
Currently, there is no uniformly applied sustainability standard. In addition, sustainable investments are made based on a wide variety of motives. This makes it even more important to learn more about the kind of information that is important to investors in their decision-making process. Media play a central role in generating new information. The influence of media on different aspects of stock markets has been analyzed in several studies. Capelle-Blancard and Petit (2019) and Kruger (2015) both found that ESG-related news influences stock prices. The effect tends to be stronger for negative ESG events than for positive ones, but overall rather low. Moss, Naughton and Wang (2020) found that ESG-related news does not lead to economically noticeable portfolio adjustments for retail investors. These findings challenge the importance of ESG information for retail investors.
By framing information in a targeted way, investors can be influenced in their decision-making process. Døskeland and Pedersen (2016) investigated the motives of sustainable investors using two frames. The wealth frame, which shows investors the financial perspectives of investment opportunities, increases both interest in additional information and influences purchasing behavior more than with the moral frame. When providing information, possible biases based on psychological factors should be taken into account. One possible bias is the confirmation bias. This means that people prefer information that is consistent with their prior beliefs. Based on these considerations, the first hypothesis was derived.
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Sebastian Blum, Funding Risk Measures with Cross-Sectional Variation, University of Zurich, Faculty of Business, Economics and Informatics, 2021. (Master's Thesis)
This thesis examines the impact of haircut-induced funding constraints on asset returns. It is well understood that funding frictions have an asset pricing implication and can serve as one possible explanation for asset pricing puzzles such as the low beta anomaly. It is found that asset mispricing prevails in times of tight market wide funding frictions and high TED spreads (Frazzini and Pedersen, 2014). In a similar vein, funding frictions on the investor level can also explain the demand of leverage constrained investors for high beta stocks and products with embedded leverage (Frazzini and Pedersen, 2012). This strand of literature examines funding frictions that can be explained by idiosyncratic characteristics of agents. While the aforementioned approaches shed light on the broader impact of funding frictions and the longitudinal structure of overall asset returns, I investigate the impact of margin requirements on single asset returns. Starting from the notion that stricter imposed margin requirements limit the collateral value of an asset, I expect a positive relationship between margin requirements and asset returns. As explained by Brunnermeier and Pedersen (2009) and Chen and Lu (2019), margin requirements in particular rely on single-asset volatility. This is also one main cornerstone of liquidity spirals that arise in times of rising single asset volatility and drying out market liquidity (Brunnermeier and Pedersen, 2009). In my empirical analysis, I approximate margin requirements by establishing an algorithm that calculates the GARCH-predicted single asset volatility of daily stock returns at any given point in time. Then, I extend the standard CAPM model as proposed by Sharpe (1964) and Lintner (1965) and introduce a margin measure that shall provide additional explanatory power to the linear asset pricing model. In addition, instead of assuming a global factor and individual factor loadings to exist, I calculate the margin measure for each individual stock. I argue that this approach has theoretical advantages over a set-up with a global factor and individual factor loadings.
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Benjamin Jud, Thorsten Hens, Credit Suisse: Probleme wegen US Hedge Fund, In: Radio 1, 31 March 2021. (Media Coverage)
Thorsten Hens, Wirtschaftsprofessor an der Universität Zürich, erklärt den Begriff Hedge Fund. |
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Redaktion, Thorsten Hens, Darum hat der Bitcoin keine Zukunft, In: Nachrichten-Fabrik, 2 March 2021. (Media Coverage)
Bei allem Hype um die Krytpowährung zuletzt: Mit jeder neuen Spekulationsblase wird die Zukunft des Bitcoin düsterer, sagt Thorsten Hens. Im Interview erklärt der Ökonom und Professor an der Universität Zürich, warum er mit nicht weniger als dem Ende des Bitcoin rechnet. |
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Nicolas Vogt, Thorsten Hens, Die Bedeutung des Zeithorizonts für Investitionen, In: www.idw-online.de, 19 February 2021. (Media Coverage)
Das Zeitempfinden und die in einer Gesellschaft mehr oder weniger vorhandene Geduld haben deutliche Auswirkungen auf deren Entfaltung. Die Studie „Universal Time Preference“ der Professoren Mei Wang, Marc Oliver Rieger und Thorsten Hens führt internationale Messungen zum Thema Zeit zusammen und aggregiert deren Daten. Daraus ergibt sich für 117 Länder der Erde eine erhebliche Vorhersagekraft für deren zukünftige Entwicklung.
Dass das Voranschreiten der Zeit relativ ist, hat bereits Albert Einstein gezeigt. Weniger aus physikalischer, sondern mehr aus sozialwissenschaftlicher und mathematischer Perspektive haben sich dem Thema Zeit Prof. Dr. Mei Wang von der WHU – Otto Beisheim School of Management und ihre beiden Co-Autoren Prof. Dr. Marc Oliver Rieger (Universität Trier) und Prof. Dr. Thorsten Hens (Universität Zürich) genähert. Ihre Studie „Universal Time Preference“ kommt zu dem Ergebnis, dass Zeit relativ ist und dass deren Wahrnehmung, ausgedrückt in Geduld, vor allem abhängig von der jeweiligen Kultur ist. |
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Peter Kuntz, Thorsten Hens, Alles eine Frage der Zeit, In: www.idw-online.de, 18 February 2021. (Media Coverage)
Bei vielen Entscheidungen auf politischer, wirtschaftlicher und gesellschaftlicher Ebene spielt die Komponente Zeit eine maßgebliche Rolle. Auf Länderebene beeinflussen beispiels-
weise zeitliche Parameter den Umgang mit der Staatsverschuldung, im individuellen Bereich die Haltung zum Sparen. Einstellungen und Vorlieben in Bezug auf Zeit sind in Ländern und Kulturen unterschiedlich ausgeprägt. Prof. Dr. Marc Oliver Rieger (Universität Trier), Prof. Dr. Mei Wang (WHU – Otto Beisheim School of Management) und Prof. Dr. Thorsten Hens (Universität Zürich) haben eine neue Methode zur Ermittlung eines länderspezifischen Zeitpräferenz-Faktors entwickelt, der auch valide internationale Vergleiche ermöglicht.
Der Trierer Wirtschaftswissenschaftler Marc Oliver Rieger erklärt das Phänomen und die Tragweite unterschiedlicher zeitlicher Präferenzen am Beispiel der europäischen Finanzkrise. „Tendenziell sind südeuropäische Länder stärker auf die Gegenwart fokussiert. Sie haben daher eine größere Bereitschaft, aktuelle Probleme durch eine höhere Schuldenaufnahme zu lösen, die sich erst in Zukunft nachteilig auswirkt. Andere Länder versuchen Verschuldung zu vermeiden, um daraus resultierende spätere Belastungen durch Schuldenabbau zu minimieren.“ |
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Thorsten Hens, Marc O Rieger, Mei Wang, Universal time preference, PLoS ONE, Vol. 16 (2), 2021. (Journal Article)
Time preferences are central to human decision making; therefore, a thorough understanding of their international differences is highly relevant. Previous measurements, however, vary widely in their methodology, from questions answered on the Likert scale to lottery-type questions. We show that these different measurements correlate to a large degree and that they have a common factor that can predict a broad spectrum of variables: the countries’ credit ratings, gasoline prices (as a proxy for environmental protection), equity risk premiums, and average years of school attendance. The resulting data on this time preference factor for N = 117 countries and regions will be highly useful for further research. Our aggregation method is applicable to merge cross-cultural studies that measure the same latent construct with different methodologies. |
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Dario Quattrocchi, Thomas Puschmann, Decreasing the Impact of Climate Change in Value Chains by Sustainable Digital Finance, In: Swiss FinTech Innovation Lab, No. 4, 2021. (Working Paper)
Sustainable finance has gained great importance in recent years as asset managers have complemented their short-term profitability goals with long-term sustainability goals. This requires companies to disclose their environmental data and increase the transparency of emission distributions across entire value chains. However, this degree of disclosure currently leaves much to be desired as data availability, access and reliability are very often poor. Especially the scope 3 emissions which focus on suppliers and customers of emitting firms, have so far been left out. This is in sharp contrast to their relevance as scope 3 emissions in many cases contain four times the emissions than scope 1 and scope 2 emissions together. The prototype developed in this research aims to close this gap and develops a prototype for scope 3 emissions and uses real world data to evaluate its applicability. It was developed in collaboration with the UN-convened Net-Zero Asset Owner Alliance and provides functions for the analysis of scope 3 emission data across entire value chains and thus closes the gap of missing scope 3 emission data. The research also shows that the data that serve as input are often lacking or are of poor quality. For this, potential enhancements by financial technologies like blockchain or artificial intelligence are discussed, in order to get higher amounts and more reliable data. This paper contributes to the literature on indirect value chain emissions and FinTech applications in climate contexts. |
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Radio SRF Echo, Thorsten Hens, Gamestop-Aktien – Rebellion der Kleinanleger? , In: SRF ECO, 8 February 2021. (Media Coverage)
Unzählige Kleinanlegerinnen und -anleger haben mit einer konzentrierten Aktion in den sozialen Medien und Aktienkäufen auf der Trading-App Robinhood die Titel des US-Unternehmens Gamestop in die Höhe getrieben. Grossen Hedge Funds, die auf sinkende Kurse spekulierten, haben sie Milliardenverluste beschert. Doch stimmt diese Geschichte «David besiegt Goliath» tatsächlich? «ECO» mit den Hintergründen.
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Barbara Reye, Thorsten Hens, Wurden die Millennials beim spektakulären Gamestop-Coup reingelegt?, In: Basler Zeitung, Der Bund, Berner Zeitung, Zürcher Oberländer, 5 February 2021. (Media Coverage)
Letzte Woche hat ein Schwarm
von Kleinanlegern einen Frontalangriff auf Hedgefonds Spekulanten wie Citadel gemacht, die im Investmentgeschäft den Ruf gefrässiger Heuschrecken haben. Ist das Spiel schon wieder vorbei?
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Barbara Reye, Thorsten Hens, Wurden die Millennials beim spektakulären Gamestop-Coup reingelegt? , In: Zürichsee-Zeitung, 5 February 2021. (Media Coverage)
Letzte Woche hat ein Schwarm von Kleinanlegern einen Frontalangriff auf Hedgefonds Spekulanten wie Citadel gemacht, die im Investmentgeschäft den Ruf gefrässiger Heuschrecken haben. Ist das Spiel schon wieder vorbei?
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Barbara Reye, Thorsten Hens, Wurden die Millennials beim Gamestop-Coup reingelegt?, In: Tages Anzeiger, 5 February 2021. (Media Coverage)
An der Börse ist der Klassenkampf ausgebrochen, sagt Thorsten Hens. Der Zürcher Finanzprofessor erklärt, warum das ein unfairer Kampf ist und was die Spieltheorie mit all dem zutun hat. |
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Albina Gilmijarova, Superstition, Earnings Announcements and the Chinese Stock Market, University of Zurich, Faculty of Business, Economics and Informatics, 2021. (Master's Thesis)
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Claudius Stammbach, Green Fintech Approaches from the Perspective of Central Banks, University of Zurich, Faculty of Business, Economics and Informatics, 2021. (Master's Thesis)
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Thomas Puschmann, Sayaka Shiba, Sustainable Digital Finance: Developing a Taxonomy for FinTech, InsurTech, and Blockchain, In: Swiss FinTech Innovation Lab, No. 3, 2021. (Working Paper)
Although sustainability is one of human mankind’s grand challenges, the contribution from the financial sector has still been limited so far. But the financial system is currently being reshaped by sustainability and digitization in parallel as the core drivers of a long-term transformation process covering novel solutions such as blockchain based for peer-to-peer payment platforms in the energy sector or crowdfunding platforms for agricultural supply chain. This trend is reflected in a growing number of start-ups in this field. However, existing research on the topic of Sustainable Digital Finance, which bridges both areas, is still rare and either focuses on single case studies, on certain industries or on single 16 Sustainable Development Goals (SDGs). A more comprehensive understanding of the business models, products and services, processes and the technologies of these approaches and their impact on the SDGs is a missing component in existing research. Therefore, this paper first develops a taxonomy based on a comprehensive literature analysis to structure this emerging field more precisely. In the second step, based on the taxonomy developed from 32 research papers, 126 startups in this field are analyzed and mapped against the taxonomy. The taxonomy includes a strategic, an organizational, a systems and a sustainable benefits perspective which are structured along the dimensions business model, product/service type (strategic perspective), network type, stakeholder interaction, business processes (organizational perspective), application type, application design (systems perspective) and the SDGs 1-17 (sustainable benefits perspective). The application of the taxonomy to 126 startups, which were identified in a global search exercise, reveals that their solutions primarily focus on applications in the energy and financial services sector while other sectors are still hesitant in applying FinTech models to their businesses to increase their sustainability efforts. In addition, the major focus of these models is only on five of the seventeen SDGs (7, 9, 11, 13, 17), which shows a clear preference for climate, energy, infrastructure, cities, and partnerships as the primary goals. Surprisingly, the startups focus merely on operational efficiency optimization like improved processes rather than disruptive innovations in product or customer-related areas. |
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Simone Hulliger, Thorsten Hens, David gegen Goliath - und beide wollen verdienen, In: Radio SRF 1, 30 January 2021. (Media Coverage)
Die Kurs-Kapriolen der Aktien von Gamestop und AMC haben diese Woche gezeigt, dass Hobby-Anlegerinnen und -Anleger grossen Hedge-Funds das Fürchten lehren können. Das seien aber nicht die einzigen Erkenntnisse, sagt Finanz-Professor Thorsten Hens von der Universität Zürich. |
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Thomas Puschmann, Sayaka Shiba, Developing a Taxonomy for Sustainable Digital Finance, ICIS 2021, Austin, Texas, USA, https://aisel.aisnet.org/icis2021/is_sustain/is_sustain/6/, 2021. (Scientific Publication In Electronic Form)
The financial system is currently being transformed by digitization and sustainability. However, existing research on the topic of sustainable digital finance, which bridges both areas, is still rare and a more comprehensive understanding of the domain is a missing component in existing research. Therefore, this paper develops a taxonomy based on a comprehensive literature analysis to structure this emerging field more precisely. The taxonomy includes a strategic, an organizational, a systems and a sustainability benefits perspective. The application of the taxonomy to 126 startups reveals that their solutions primarily focus on applications in the energy, financial services and government sector and their major focus is only on five of the seventeen SDGs, which shows a clear preference for climate, energy, infrastructure, cities, and partnerships as the primary goals. Surprisingly, the startups focus merely on operational efficiency optimization like improved processes rather than disruptive innovations in product or customer-related areas. |
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Anaïs Céline Stary, Measuring idiosyncratic consumption risk – an empirical study based on Swiss debit card data, University of Zurich, Faculty of Business, Economics and Informatics, 2021. (Bachelor's Thesis)
This thesis investigates the heterogeneity of consumption risks in Switzerland by analyzing Swiss debit card data. In an attempt to model the mechanism of prices and returns of assets, Breeden and Litzenberger (1978) laid the groundwork for the consumption-based asset pricing model (CCAPM) by assuming securities with a high sensitivity to movements in real aggregate consumption to carry more systematic risk and therefore calling for a higher excess return. However, the model was quickly rejected due to the empirically measured risk aversion being excessively high resulting in an equity premium lower than empirically observed (Mehra and Prescott (1985)). With that, the term of the equity puzzle was introduced into academic literature (Mehra and Prescott (1985)). In an attempt to solve for the equity premium puzzle, different academic theories were developed. This section provides an overview of the relevant theories and corresponding empirical studies attempting to solve for the equity premium puzzle.
Limited participation – The concept of limited participation calls for a difference in consumption patterns between stockholders and non-stockholders (Zeldes (1991)). It is empirically shown that the consumption of stockholders has a higher volatility and higher correlation to the stock market resulting in a lower risk aversion which in return implies a higher equity premium (Malloy, Moskowitz and Vissing‐Jørgensen (2009)).
Idiosyncratic risk – Constantinides and Duffie (1996) challenge the assumption of the CCAPM of complete insurance of consumption shocks considering this is not realistic in empiricism. The authors assume agents to be subject to idiosyncratic shocks, resulting in measured consumption volatility on a household level to often exceed aggregate consumption variability. Number of heterogenous agents – However, models with idiosyncratic risk introduced by many authors (inter alia Constantinides and Duffie (1996)) have only two distinct type of agents. Expanding the model to a continuum of agents results in a higher consumption volatility (Den Haan (2001)), a further possible explanation for the equity premium puzzle.
Another factor to take into consideration when empirically testing the CCAPM is the choice of data. Common data sources used in academic literature are food consumption data from the Panel Study of Income Dynamics (PSID) (Mankiw and Zeldes (1991)), non-durables and service data from the Consumer Expenditure Survey (CEX) (Attanasio and Weber (1995)) or luxury spending (Ait-Sahalia, Parker and Yogo (2004)). Nevertheless, these data sources have some downsides including survey bias and statistical smoothing, resulting in a lower measured volatility.
Based on the theories on heterogenous consumers and the data issues established in current empirical studies, this thesis investigates the heterogeneity of consumption risk in Switzerland using debit card transaction data in an attempt to solve for the equity premium puzzle. More specifically, this paper examines heterogeneity of individual consumers by looking at individual consumption volatility compared to aggregate consumption risk as well as analyzing idiosyncratic risk.
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Viktoria Rajnak, Thomas Puschmann, The impact of blockchain on business models in banking, Information Systems and e-Business Management, Vol. 19, 2021. (Journal Article)
Blockchain technology is predicted to reshape existing business models of the financial services industry. But although blockchain is often seen as a strategic technology, research focusing on its impact on business models is still rare. This research derives a hypotheses model that connects IT innovations with the three generic value disciplines of banks “operational excellence”, "customer intimacy" and “product leadership” as well as the four generic elements of business models "what", "who", "how" and "value". A business model acts as a mediator for IT innovation. To test the hypothesis model data provided from an international survey of 104 financial services institutions and start-up companies was applied. The results support the hypothesis that all three value disciplines might be impacted by blockchain technology in the future. The regression analysis reveals that especially banks’ operations could be significantly changed. With these results, this research contributes to the emerging literature on blockchain and business models and the strategic use of IT. |
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