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Contributions published at Financial Economics (Thorsten Hens)

Contribution
Ramazan Gençay, Liquidity-Induced Dynamics in Futures Markets, In: International Conference on Price, Liquidity and Credit Risk. 2008. (Conference Presentation) Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is the world’s most actively traded physical commodity. Under normal market conditions, traders can easily find counterparties for their trades, resulting in an efficient market with virtually no return predictability. Yet even this extremely liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return predictability. This paper identifies an important and recurring cause of these shocks: the accumulation of extreme and opposing positions by the two main trader classes in the market, namely hedgers and speculators. As positions become extreme, approaching their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity-induced price adjustments are found to be driven by systematic speculative behavior and are determined to be significant.
Claudio Eberle, Lebenszyklusplanung aus der Sicht der Behavioural Finance, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis) null
Niki Schuler, Klassifizierung von Termingeschäften und der Handel von Derivaten in der Praxis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis) null
Michael Limacher, Behavioral Finance im Devisenhandel, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis) null
Rina Rosenblatt-Wisch, Loss aversion in aggregate macroeconomic time series, European Economic Review, Vol. 52 (7), 2008. (Journal Article) Prospect theory has been the focus of increasing attention in many fields of economics. However, it has scarcely been addressed in macroeconomic growth models--neither on theoretical nor on empirical grounds. In this paper we use prospect theory in a stochastic optimal growth model. Thereafter, the focus lies on linking the Euler equation obtained from a prospect theory growth model of this kind to real macroeconomic data. We will use generalized method of moments (GMM) estimation to test the implications of such a non-linear prospect utility Euler equation. Our results indicate that loss aversion can be traced in aggregate macroeconomic time series.
Thorsten Hens, Optimale Beratung, In: Finanz und Wirtschaft, Sonder, p. 42 - 45, 1 October 2008. (Newspaper Article) Behavioral Finance hat bahnbrechende Erkenntnisse zur Psychologie von Investoen hervorgebracht. Sie können helfen, den Prozess der Kundenberatun in Banken zu verbessern.
Fredy Hämmerli, Thorsten Hens, Spielerische Elemente sind sehr wichtig, In: SonntagsZeitung – Geld Extra, 28 September 2008. (Media Coverage) null
Pierre-Alexandre Sallier, Thorsten Hens, La finance comportementale est plus en phase avec la réalité des banquiers, In: Le temps, 17 September 2008. (Media Coverage) null
Thorsten Hens, Wege aus der Psychofalle, In: Frankfurter Allgemeine Zeitung, 212, p. 1, 10 September 2008. (Newspaper Article)
Rino Borini, Cyril Schicker, Thorsten Hens, Die Produkte der modernen Geldanlage, In: PUNKTuell, 7 September 2008. (Media Coverage) null
Diego Schultheiss, Immobilien Performance Measurement mit Bilanzen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis) null
Steven Weissen, Erklärung des Asset Allocation Puzzles durch Hedonic Editing, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis) null
Joël Rossier, Die Wirkung von Baukosten auf das Ausüben von Renovationsoptionen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis) null
J. Althof, Thorsten Hens, Frei von Spekulation, In: €uro, 1 September 2008. (Media Coverage) null
Cyril Schicker, Thorsten Hens, Der Behavioral Finance-Experte, In: Punkt, 1 September 2008. (Media Coverage) null
Fredy Hämmerli, Thorsten Hens, Nicht im Interesse der Kunden, In: K-Geld, 25 August 2008. (Media Coverage) null
Sandra Wilmeroth, Thorsten Hens, Wider die Gefühle handeln, In: Handelszeitung, 12 August 2008. (Media Coverage) null
Tahiraj Blerim, Strukturierte Produkte: Änderung von Kennzahlen im Verlauf der Finanzkrise, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis) null
Reto Hirzel, Ist geographische Diversifikation eine gute Alternative zur Standard-Portfolio-Optimierung?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis) null
Kevin Schwarz, An analysis of direct and indirect real estate investments, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2008. (Bachelor's Thesis) null

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