Contributions published at Quantitative Finance (Marc Chesney)

What happened with parameters like spreads, depths, volatility, and prices among Swiss share classes after the tick size change in early January 2018? Using a difference-indifference test (DiD), changes in these parameters are estimated, and there are some significant ones. The average bid-ask spread decreased by 52% or more, and turnover dropped by more than 31%, both after a tick size reduction. Volatility went up after the tick size has increased for some of the shares. These findings show that, according to other studies conducted in other markets, tick size changes do have an impact on market parameters, market participants, and hence, market quality.

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Das Ende der Pandemie kann zu Fortschritten führen, falls wir uns von der Finanzlogik und der zügellosen Globalisierung entfernen.

We draw on mobile application data from 74 countries to document the effects of the COVID-19 pandemic on the adoption of digital finance and fintech. We estimate that the spread of COVID-19 and related government lockdowns have led to between a 24 and 32 percent increase in the relative rate of daily downloads of finance mobile applications in the sample countries. In absolute terms, this equates to an average daily increase of roughly 5.2 to 6.3 million application downloads and an aggregate increase of about 316 million app downloads since the pandemic’s outbreak to the present, taking into account prior trends. Most regions across the world exhibit notable increases in absolute, relative, and per capita terms. Preliminary analysis of country-level characteristics suggest that market size and demographics, rather than level of economic development and ex-ante adoption rates, drive differential trends.

We present evidence that sustainability is inextricably linked with market-implied uncertainty and sentiment. We derive an econometric decomposition of sustainability ratings yielding three orthogonal components capturing uncertainty, investor sentiment, and an idiosyncratic sustainability factor. Examining the shock of the COVID-19 pandemic to the US stock market in light of these explanatory factors, we show that the perceived immunity of sustainable stocks during the crash is essentially driven through the uncertainty channel. Once controlling for uncertainty, sentiment and firm fundamentals, the positive relationship between idiosyncratic sustainability and resilience persists, albeit weakly.

La fin de la pandémie peut déboucher sur un progrès si l’on considère la santé comme un bien public et si l’on sort de la logique financière et de la globalisation débridée, écrit le professeur Marc Chesney, directeur du Centre de compétence en finance durable de l’Université de Zurich

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This paper draws on nationally representative survey data from 11 emerging and developed economies to measure consumer financial well-being and provide a systematic analysis of its predictors. Whereas the extant literature has been dominated by studies emphasizing the role of individuals’ levels of financial literacy and formal financial inclusion, the paper shifts focus towards contextual-level predictors by exploiting subregional variation in structural and institutional features of financial sectors, both within and across countries. It develops a conceptual framework that categorizes such features into 1) those that enhance or inhibit decision-making when selecting or using formal products and 2) those that provide viable substitutes or complements to formal products. It then provides empirical evidence on several examples. Specifically, it highlights the relative importance of having greater prevalence of independent information resources concerning financial products and services, additional provider choice, and some forms of semi-formal and informal finance. The main policy implications are that current efforts to improve broader welfare outcomes through financial literacy and inclusion interventions may still be too narrowly framed. Structural and institutional features related to financial sectors may hinder or enhance financial well-being, even if individuals have adequate financial literacy or be included in formal financial markets. The financial well-being concept may also serve as a useful indicator for monitoring progress towards SDGs 1, 3, 10, and 16.

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Finanzprofessor Marc Chesney kritisiert seine eigene Branche fundamental. Zu viele glaubten ans Paradigma des Wachstums. Er will in der Lehre ethische Werte etablieren – und auch die Umwelt.