Vassilios Laios, Estimating Cross Asset Jump Process, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis)
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Marco Arcari, Do simple heuristics make us smart? - an analysis of gain-loss realization rules, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Master's Thesis)
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Mila Winter, A Test of the Credit Suisse Real Estate Risk Profiler, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Master's Thesis)
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Angelo Ranaldo, Enzo Rossi, The reaction of asset markets to Swiss National Bank communication, Journal of International Money and Finance, Vol. 29 (3), 2010. (Journal Article)
In this paper we analyze high-frequency movements in Swiss asset markets in reaction to real-time communication by the Swiss National Bank. Our analysis of central bank communication encompasses monetary policy announcements, speeches and interviews. We examine the reactions of the currency market, the bond market and the stock exchange. The evidence suggests that speeches and interviews, along with monetary policy announcements, engender a significant price reaction. This paper sheds light on the relevance of communications other than monetary policy announcements. |
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Andreas Scholz, Thorsten Hens, Der Aktienmarkt bildet den Boden, In: Das Investment, 13 March 2010. (Media Coverage)
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Marco Müller, A study on consumers' expectations of economic situation using secondary data analysis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis)
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Cyrill Staubli, Price-Earnings Ratio and Excess Return: An Empirical Analysis of the Swiss Stock Market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Master's Thesis)
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Dominik Füglister, Eine Feldstudie: Strukturierte Produkte und Investorentypen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis)
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Fabienne Locher, The Influence of News Sentiment on the Stocks of the Dow Jones Index, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis)
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Ramazan Gençay, Nikola Gradojevic, Crash of '87 - Was it expected?: Aggregate market fears and long-range dependence, Journal of Empirical Finance, Vol. 17 (2), 2010. (Journal Article)
We develop a dynamic framework to identify aggregate market fears ahead of a major market crash through the skewness premium of European options. Our methodology is based on measuring the distribution of a skewness premium through a q-Gaussian density and a maximum entropy principle. Our findings indicate that the October 19th, 1987 crash was predictable from the study of the skewness premium of deepest out-of-the-money options about two months prior to the crash. |
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Ulrike Malmendier, Josh Lerner, Contractibility and the Design of Research Agreements, American Economic Review, Vol. 100 (1), 2010. (Journal Article)
We analyze how contractibility affects contract design. A major concern when designing research agreements is that researchers use their funding to subsidize other projects. We show that, when research activities are not contractible, an option contract is optimal. The financing firm obtains the option to terminate the agreement and, in case of termination, broad property rights. The threat of termination deters researchers from cross-subsidization, and the cost of exercising the termination option deters the financing firm from opportunistic termination. We test this prediction using 580 biotechnology research agreements. Contracts with termination options are more common when research is non-contractible. |
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Angelo Ranaldo, Matteo Bonato, Massimiliano Caporin, A Forecast Based Comparison of Restricted Realized Covariance Models, In: SSRN, No. 1557343, 2010. (Working Paper)
Models for realized covariance matrices may suffer for the curse of dimensionality as more traditional multivariate volatility models(such as GARCH and stochastic volatility). Within the class of realized covariance models we focus on the Wishart specification introduced by Gourieroux et al. (2009) and analyze here the forecasting performances of the parametric restrictions discussed in Bonato et al. (2009) which are motivated by asset features such as their economic sector, book-to-market or price-earnings ratios, among others. Our purpose is to verify if restricted model forecasts are statistically equivalent to full model specification, a result that would support the use of restrictions when the problem cross sectional dimension is large. |
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Thorsten Hens, Three Solutions to the Pricing Kernel Puzzle, In: Research Seminar, University of Konstanz. 2010. (Conference Presentation)
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Enrico De Giorgi, D.B. Brown, Melvyn Sim, A Satisficing Alternative to Prospect Theory , In: 5th Annual CARISMA (Conference 2010: The Interface of Behavioural Finance and Quantitative Finance). 2010. (Conference Presentation)
In this paper, we axiomatize a target-based model of choice that allows decision makers to be both risk averse and risk seeking, depending on the payoff's position relative to a prespecified target. The approach can be viewed as a hybrid model, capturing in spirit two celebrated ideas: first, the satisficing concept of Simon (1955); second, the switch between risk aversion and risk seeking popularized by the prospect theory of Kahneman and Tversky (1979). Our axioms are simple and intuitive; in order to be implemented in practice, our approach requires only the specification of an aspiration level. We show that this approach is dual to a known approach using risk measures, thereby allowing us to connect to existing theory. Though our approach is intended to be normative, we also show that it resolves the classical examples of Allais (1953) and Ellsberg (1961). |
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Thorsten Hens, Anke Gerber, Peter Woehrmann, Dynamic general equilibrium and T-period fund separation, Journal of Financial and Quantitative Analysis, Vol. 45 (2), 2010. (Journal Article)
In a dynamic general equilibrium model, we derive conditions for a mutual fund separation property by which the savings decision is separated from the asset allocation decision. With logarithmic utility functions, this separation holds for any heterogeneity in discount factors, while the generalization to constant relative risk aversion holds only for homogeneous discount factors but allows for any heterogeneity in endowments. The logarithmic case provides a general equilibrium foundation for the growth-optimal portfolio literature. Both cases yield equilibrium asset pricing formulas that allow for investor heterogeneity, in which the return process is endogenous and asset prices are determined by expected discounted relative dividends. Our results have simple asset pricing implications for the time series as well as the cross section of relative asset prices. It is found that on data from the Dow Jones Industrial Average, a risk aversion smaller than in the logarithmic case fits best. |
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Damianov Peter, Credit Default Swaps (CDSs) - Entstehung, Funktion und ihre Rolle in der Finanzkrise, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis)
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Alexander Tobler, The Impact of Property Investments for Insitutional Investors, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis)
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Thorsten Hens, Finanzplatz Schweiz - quo vadis?, In: Unijournal: Die Zeitung der Universität Zürich, 1, p. 8, 1 February 2010. (Newspaper Article)
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Peter Illetschko, Thorsten Hens, Die Moral wird durch das Geld zerstört, In: Der Standard, 12 January 2010. (Media Coverage)
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Thorsten Hens, Rendite ohne Risiko, In: Finanz und Wirtschaft, p. 1, 9 January 2010. (Newspaper Article)
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