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Contributions published at Financial Economics (Thorsten Hens)

Contribution
Timo Wassmer, Renditemuster von Aktienfonds und deren Prognosegüte für abnormale Preisreaktionen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) null
Johannes J Schraner, Thorsten Hens, Ausbildung für die Game-Generation, In: Schweizer Bank, p. 58 - 59, 1 October 2009. (Newspaper Article)
Stefan Schneider, Thorsten Hens, Gesellschaft profitiert, In: Handelsblatt, 19 September 2009. (Media Coverage) null
Thomas Ungricht, Thorsten Hens, Mit der Herde ins Verderben, In: SonntagsZeitung, 13 September 2009. (Media Coverage) null
Thorsten Hens, Wenn Börsianer tratschen, In: NZZ Online, p. 1 - 2, 9 September 2009. (Newspaper Article)
Hungerbuehler Philippe, Analysis of a momentum strategy to control the equity exposure, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Master's Thesis) null
Ralf Vetsch, Fixed Income Arbitrage, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) null
Thorsten Hens, Keine Panik in Krisenzeiten, In: Global Investor, p. 27 - 30, 1 September 2009. (Newspaper Article)
Thorsten Hens, Bankensystem ohne Banken, In: Finanz und Wirtschaft, p. 1, 26 August 2009. (Newspaper Article)
Ramazan Gençay, The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading , In: Annual Congress of the European Economic Association. 2009. (Conference Presentation) In this study, we examine the rationale that informed traders use in choosing various financial instruments in order to speculate on the volatility of the underlying asset, here a common stock. Using a continuous-time trading model, we demonstrate that the quality of the private information regarding the volatility parameter together with the relative transaction costs observed in the various segments of the cash and derivatives markets will determine informed agents' trading habitats. We further show that in the presence of imprecise volatility signals, only the "most sophisticated" traders (those with highly precise volatility signals) will engage in pure volatility bets. Traders with less precise signals will choose a naked option strategy, while traders at the low spectrum of the precision scale will invest in the underlying stock. Thus, the low volume of pure volatility trades observed by Lakonishok et al. (2007) does not necessarily imply that only fringe traders have chosen to speculate on volatility. Rather, it may suggest that the majority of informed traders do not have precise volatility signals.
Emanuel Moya, Das Verhältnis von sozialen und finanziellen Erfolgserwartungen von Mikrofinanzinstitutionen in der institutionellen Transformation, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) null
Reto Järmann, Der Nutzen von Anlageberatung: eine experimentelle Untersuchung, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) null
Michael Wiehl, Können Aktienrückkäufe, Kapitalerhöhungen und Fusionen die "Excess Volatility" in der Schweiz erklären?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) null
Siegel Kristin, Optimizing structured products with barriers for retail investors, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) null
Amelie Brune, An empirical study on the impact of microfinance institutions on development, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) This paper examines the impact of microfinance institutions on development in an empirical setting, and therewith aims at filling a gap in econometric assessments of microfinance institutions. Using data of MFIs operating in selected African and Asian countries and choosing average savings and loan balances per client as proxies for development, there is empirical evidence for significant positive impact of microfinance institutions on development. Microcredit is the most robust mechanism to enhance development in recent years. While an MFI's size is mostly irrelevant, its experience was found to be especially enhancing for the amount of credit granted to the poor. Savings is found to be the best estimator for development in recent years, yet a structural break between 2003 and 2006 is possible. While African development is generally in arrears compared to Asia, there is no statistical evidence for differences in the marginal impact of microfinance institutions subject to geographical positions, which allows for the conclusion of environment independent positive impact of microfinance institutions on development in low-income countries.
Enrico De Giorgi, Shane Legg, Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting , In: 15th International Conference on Computing in Economics and Finance. 2009. (Conference Presentation) This paper shows that the framework proposed by Barberis and Huang (2009) to incorporate narrow framing and loss aversion in dynamic models of portfolio choice and asset pricing can be extended to also account for probability weighting and a value function which is convex on losses and concave on gains. We show that the addition of probability weighting and a convex-concave value function reinforces previous applications of narrow framing and cumulative prospect theory to explain the stock market non-participation puzzle and the equity premium puzzle. Moreover, we show that a convex-concave value function generates new wealth effects that are consistent with empirical observations on stock market participation.
Ramazan Gençay, Global Financial Crisis and Growth Prospects for the World Economy, In: Financial Economics Panes. 2009. (Conference Presentation) null
Jürg Syz, Paolo Vanini, Property derivatives and the subprime crisis, Wilmott journal, Vol. 1 (3), 2009. (Journal Article) The recent real estate bubble was fuelled by non-risk-adjusted lending policies, low interest rates, and complex finance vehicles. Mortgage-backed securities (MBS) played a crucial role in the crisis. These vehicles were praised as liquid capital market instruments that allowed mortgage lenders to replenish their funds, which could then be used for additional origination activities. However, in some forms, securitized mortgage pools are highly complex and hard to price. It turned out that MBS were not able to deal with the risks of the real estate market appropriately. The painful burst of the real estate bubble highlights the urgent need for instru-ments that provide more transparency and allow better mitigating of both house price and commercial property risk. Property derivatives, currently emerging in the US and the UK, address real estate prices directly and make them more transparent. Thus, they facilitate a more efficient risk allocation. We illustrate the possibilities and limitations of property derivatives with respect to the current subprime crisis.
Molitor Marie-Christine, Methoden der Mikrokreditvergabe und ihre Anwendung im klassischen Bankbetrieb, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) null
Patricia Diana, Measuring Social Performance of Microfinance Institutions in Peru, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2009. (Bachelor's Thesis) null

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