Lorenz Honegger, Thorsten Hens, «Jemand hätte hinstehen und sagen müssen: Die Credit Suisse ist too big to fail», sagt Finanzprofessor Thorsten Hens zur gescheiterten Rettung der Bank, In: NZZ, 20 March 2023. (Media Coverage)
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Kathrin Hondl, Thorsten Hens, Notfallrettung mit Risiken, In: Tagesschau.de, 20 March 2023. (Media Coverage)
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Thorsten Hens, Thorsten Hens, Übernahme durch Konkurrentin UBS, In: Tagesschau.de, 19 March 2023. (Media Coverage)
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Chaoran Xu, Will News Sentiment Save Dollar Carry From Crash?, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)
We aim to enhance the performance of the standard dollar carry by harnessing news sentiment. Our study
focuses on determining the impact of news sentiment on the average spot returns of the G10 currency
basket against the USD at the monthly level. The empirical analyses reveal the existence of a predictive relationship between the two variables. Additionally, we observe that the effect of USD news sentiment varies across different quantiles of the average spot returns. Given that, we propose two news sentiment enhanced dollar carry strategies. The first strategy exploits the result of our initial findings, while the second one further leverages information from both of our research insights. The predictability manifests itself in the form of higher Sharpe ratios of our two augmented dollar carry strategies over both the whole sample period (February 2000 to March 2022) and the out-of-sample period (January 2014 to March 2022) than that of the standard dollar carry when transaction costs are disregarded. Notably, during the out-ofsample period, the second strategy generates a Sharpe ratio of 0.48 and the first strategy 0.43, compared to the benchmark’s -0.22. Despite the fact that transaction costs can eat up a large part of the profits, our
findings suggest that news sentiment still has the ability to improve the dollar carry strategy by achieving excess returns. This is evident in the out-of-sample period, where news sentiment based strategies continue to outperform the benchmark.
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Tristan Kilian Leitner, Factor Momentum on the example of the MSCI World, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
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Driton Qazimi, Share Buybacks around the World, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)
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Armin Müller, Thorsten Hens, Himmel und Hölle schlagen den Aktienindex, In: Tagesanzeiger, 4 February 2023. (Media Coverage)
Mit Sünden- und Tugendaktien ist man 2022 viel besser gefahren als mit Indexfonds. Jetzt hoffen Banken und Vermögensverwalter auf ein Comeback ihrer Fonds, besonders beim moralischen Investieren. |
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Daniel Kotas, News Sentiment as a Risk Factor in the G10 Currency Market, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)
The potential of news sentiment as a risk factor in the G10 foreign exchange market was explored by utilizing two databases containing millions of news pieces over a 20-year period. Aggregate news sentiment indicators were created and the results showed that three variants were statistically significant in both univariate and multivariate regressions. Additionally, new indicator PC1 created using PCA combining both
databases proved to be the most robust one, serving as a strong candidate for a common risk factor. These results highlight the importance of news sentiment as a fundamental risk source for the excess return of the carry strategy. |
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Philippe Béguelin, Thorsten Hens, «Ein positives Aktienjahr mit Extremrisiken», In: Finanz und Wirtschaft, 27 January 2023. (Media Coverage)
Der Professor am Institut für Banking und Finance der Universität Zürich erwartet steigende Börsen und empfiehlt Anlegern dennoch, sich mit Kapitalschutzprodukten oder Put-Optionen abzusichern. |
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Thorsten Hens, Mei Ding-Hirschfeld, Personality Traits and Investment Styles, In: Swiss Finance Institute Research Paper, No. 22-16, 2023. (Working Paper)
We collected detailed personality traits data and preferred investment styles of participants from the German population. We find a significant relationship between personality traits and styles. Then we established a personality-based style profiler based on a least-distance algorithm. We tested its out-of-sample performance. The results of AB testing show that the style profiler provides significantly better fitting style recommendations than a random recommendation. Moreover, including socio-economic characteristics increases the fit.
Our results suggest that further research on wealth management could benefit from including the personality of individual investors as a crucial factor, contributing to more satisfying recommendations helping people to invest consistently over time. |
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Redaktion, Thorsten Hens, Games locken mit Investitionen in risikoreiche Kryptowährungen, In: Schweizer Radio und Fernsehen SRF, 3 January 2023. (Media Coverage)
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Killian Zeender, Szenarioanalyse über die Ausschüttungen der Schweizerischen Nationalbank, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
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Piotr Ganski, Incentive Scheme Effects on Trading Behavior in Financial Markets, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)
Individual risk attitudes and are subject to different factors. Individuals vary in their investment behavior, based on their perception of the win-to-loss ratio, current financial situation, and cognitive biases. This study aims at eliciting risk-taking and trading behavior in face of various compensation schemes. Compensation schemes are important factors that impact the behavior of traders. Dependent on the structure, they can incentivize or discourage certain behaviors of the traders. This paper aims to investigate the impact of compensation schemes on trading behavior, using a dynamic experimental setting with the Zurich Trading Simulator - gamified trading tool. The results show that compensation schemes can significantly affect trading behavior. |
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Felix Zehnder, Vergleich von verschiedenen DAOs (Decentralized Autonomous Organization), University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
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Nadia Cortesi, (Ir-)Rational Behavior or Brilliant Instinct? - How Tokenization of Luxury Goods reshapes the Financial Landscape and affects Behavioral Biases, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Master's Thesis)
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Alexandru-Gabriel Petrescu, The Information Content of Currency Options, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Master's Thesis)
The information content of equity options has been a topic of much research, evidence showing that there is indeed forward looking information that can be obtained about the underlying securities’returns by analyzing options data. While in the case of equities data is easier to obtain, less is available in the case of currency options and therefore there is significantly less research covering this area. This thesis attempts to find what information can be obtained about future currency returns by analyzing relevant and available foreign exchange options. My goal is to find what variables influence these returns and in what way, and then build a model that predicts upcoming positive and negative price jumps. Lastly, I try to incorporate everything into a model for the currency returns themselves with the use of Machine Learning techniques. In the end backtests for strategies using the derived information will be presented and discussed. |
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Eveline Kobler, Thorsten Hens, Wie lebt es sich mit Inflation?, In: Schweizer Radio und Fernsehen SRF, 16 October 2022. (Media Coverage)
Nach einer langen Phase mit praktisch keiner Teuerung steuert die Welt zurzeit auf eine längere Zeit zu, in der Preise kontinuierlich steigen. Gerade die jüngere Generation kennt das noch gar nicht, wie es ist, wenn das Leben laufend teurer wird. Wie lebt es sich also in so einer Phase? Stellungnahmen von Rudolf Strahm (Ökonom), Thorsten Hens (Uni Zürich), Anastassios Frangulidis (Pictet). |
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Christin Severin, Thorsten Hens, Der verpönte Fokus auf die Heimatbörse ist für Schweizer Anleger oft ein Vorteil, In: NZZ, 12 September 2022. (Media Coverage)
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Derivatus, Thorsten Hens, Ein Finanzprofessor macht sich auf die Suche nach dem besten strukturierten Produkt., In: Finanz und Wirtschaft, 10 September 2022. (Media Coverage)
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Daniel Hügli, Thorsten Hens, Finanzprofessor im Interview - Thorsten Hens: «Ich kaufe nach wie vor Aktien», In: cash.ch, 8 September 2022. (Media Coverage)
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