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Contributions published at Financial Economics (Thorsten Hens)

Contribution
Philipp Schärli, Media Coverage and Stock Returns in Austria, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Jan Strässle, Haben Risikopräferenzen und kulturelle Aspekte einen Einfluss auf den Wohlstand verschiedener Länder?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Jonas Reisert, Strukturierte Produkte ohne Optionen auf den Basiswert: Auswirkungen auf Hedging und Mispricing, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Master's Thesis) null
Marc Peter, News Analysis for Financial Markets, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Christian Scherrer, Sovereign Risk: Determinants of Sovereign CDS Spreads, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Michael Ehrlich, The Influence of High Frequency News on Commodity Prices, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Svetlana Polzunova, Valuation of Metals and Mining Companies, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Adrian Ritter, Rolf Gysin, Thorsten Hens, Nicht alles ist grün, In: Nachhaltigkeit.org, 21 July 2010. (Media Coverage) null
Angelo Ranaldo, Paul Söderlind, Safe Haven Currencies, Review of Finance, Vol. 14 (3), 2010. (Journal Article) We study high-frequency exchange rates over the period 1993--2008. Based on the recent literature on volatility and liquidity risk premia, we use a factor model to capture linear and non-linear linkages between currencies, stock and bond markets as well as proxies for market volatility and liquidity. We document that the Swiss franc and Japanese yen appreciate against the US dollar when US stock prices decrease and US bond prices and FX volatility increase. These safe haven properties materialise over different time granularities (from a few hours to several days) and non-linearly with the volatility factor and during crises. The latter effects were particularly discernible for the yen during the recent financial crisis. Copyright 2010, Oxford University Press.
Leyh-Bannurah Tris-Denny, Sentiment Weighted Maximum Likelihood for Stock Returns, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis) null
Thorsten Hens, Vom Wesen der Spekulation, In: Finanz und Wirtschaft, p. 1, 30 June 2010. (Newspaper Article) null
Enrico De Giorgi, D.B. Brown, M. Sim, Dual Representation of Choice and Aspirational Preferences, In: Risk, Uncertainty, and Decision 2010 (RUD) conference. 2010. (Conference Presentation) We consider choice over a set of monetary acts and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts, over which concentration is instead preferred. This structure encompasses a number of known models, such as expected utility theory, maxmin utility theory, and convex risk measures. We show that such preferences share a dual representation in terms of a family of measures of risk and a target function. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target function at that level is acceptable. This dual representation may help to uncover new models of choice. One that we explore in detail is the special case of a bounded target function. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model results in optimization problems that may be efficiently solved in large-scale.
Thorsten Hens, Vom Secret Banking zum Private Banking, In: NZZ, p. 1, 16 June 2010. (Newspaper Article) null
Christian Reichlin, Thorsten Hens, Three Solutions to the Pricing Kernel Puzzle, In: XIXth European Workshop on General Equilibrium Theory 2010. 2010. (Conference Presentation) null
Ramazan Gençay, Jump detection with wavelets, In: RCEA Conference in Economics and Finance. 2010. (Conference Presentation) null
Thorsten Hens, Three Solutions to the Pricing Kernel Puzzle, In: Research Seminar, Humboldt-Universität. 2010. (Conference Presentation) null
Jürg Syz, Benefits of Green Buildings, In: Zurich Sustainability Days. 2010. (Conference Presentation) null
Thorsten Hens, Marc Oliver Rieger, Financial economics: a concise introduction to classical and behavioral finance, Springer, Berlin, 2010-06-01. (Book/Research Monograph)
Maik Dierkes, Carsten Erner, Stefan Zeisberger, Investment horizon ant the attractiveness of investment strategies: A behavioral approach, Journal of Banking and Finance, Vol. 34 (5), 2010. (Journal Article) We analyze the attractiveness of investment strategies over a variety of investment horizons from the viewpoint of an investor with preferences described by Cumulative Prospect Theory (CPT), currently the most prominent descriptive theory for decision making under uncertainty. A bootstrap technique is applied using historical return data of 1926–2008. To allow for variety in investors’ preferences, we conduct several sensitivity analyses and further provide robustness checks for the results. In addition, we analyze the attractiveness of the investment strategies based on a set of experimentally elicited preference parameters. Our study reveals that strategy attractiveness substantially depends on the investment horizon. While for almost every preference parameter combination a bond strategy is preferred for the short run, stocks show an outperformance for longer horizons. Portfolio insurance turns out to be attractive for almost every investment horizon. Interestingly, we find probability weighting to be a driving factor for insurance strategies’ attractiveness.
Thorsten Hens, Abzocker-Initiative, wozu?, In: Finanz und Wirtschaft, 33, p. 1, 28 April 2010. (Newspaper Article) null

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