Patrick Heimann, Executive's Pay and Agency Problem, Two Faces of the same Coin, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis)
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Mathias Winzeler, Holdings- and returns-based style analysis on the returns of the trading portfolio of Oaktree Capital Management, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis)
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Marc Chesney, Remo Crameri, Loriano Mancini, Detecting informed trading activities in the options markets, In: NCCR FINRISK Working Paper, No. 560, 2014. (Working Paper)
We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding millions,is not contemporaneously reflected in the underlying stock price, involves around the money options during calm times and out-of-the-money options during turbulent times. These findings are not driven by false discoveries in informed trades which are controlled using multiple hypothesis testing techniques. |
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Falko Paetzold, Timo Busch, Cognitive Barriers to Sustainable Investing: Unleashing the Power of Wealthy Private Investors, In: DSF Policy Paper, No. 41, 2014. (Working Paper)
Sustainable investing (SI) has lately been viewed as a mainstream investment style. However, this notion can be questioned since private investors appear substantially underrepresented in SI compared to institutional investors. In this study, we empirically explore SI-barriers for private investors. We provide insights from interviews with High Net Worth Individuals (HNWIs), an economically highly significant yet secretive and thus little researched segment of private investors. Our results indicate substantial interest in SI amongst HNWIs, while the perception of what SI entails varied across individuals. From our analysis, we propose three specific SI-barriers. The first is an SI-information asymmetry based on investment advisors’ perception that appears to misinterpret clients’ interest in SI. The second relates to HNWIs’ perception of SI to be more volatile then average investments. This perception limits the engagement in SI in situations where the investor has a short-term investment horizon. The third barrier highlights the role of recent financial losses. In situations where the investor experienced such losses, the perception of SI as being more volatile than average investments results in less SI engagement. We reflect on these empirical results by drawing on insights from Prospect Theory and propose avenues for future research. In sum, this paper shows that investors’ cognition of SI appears to be an important engagement reason that goes beyond the usual business-case-arguments. |
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Tatjana-Xenia Puhan, Marc Arnold, Dirk Hackbarth, Financing asset sales and business cycles, In: Swiss Finance Institute Research Paper, No. 14-11, 2014. (Working Paper)
This paper analyzes the decision of firms to sell assets to fund investments (financing asset sales). For a sample of U.S. manufacturing firms during the 1971-2010 period, we document new stylized facts about financing asset sales that cannot be explained by traditional motives for selling assets, such as financial distress or financing constraints. Using a structural model of financing, investment, and macroeconomic risk, we show that financing asset sales attenuate the debt overhang problem, because asset sale financed investments imply lower wealth Transfers from equity to debt than otherwise identical but equity financed investments. This novel motive to reduce the debt overhang problem can explain how financing asset sales relate to firm characteristics and business cycles. We also confirm with simulated panels of model firms that are structurally similar to their empirical counterpart that they indeed feature the dynamic patterns of financing asset sales we observe in the data for real firms. |
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Marcel Krieger, The Role of Banks during the First Phase of the European Union's Emission Trading Scheme, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis)
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Paula Castro, Lena Hörnlein, Katharina Michaelowa, Constructed peer groups and path dependence in international organizations: The case of the international climate change negotiations, Global Environmental Change, Vol. 25, 2014. (Journal Article)
International organizations sometimes institutionalize country groupings by specifying differentiated commitments that may, in turn, affect negotiation dynamics. Drawing on incentive-based and socialization arguments, we develop a “constructed peer group” hypothesis suggesting that by creating these groups those organizations may actually construct new lines of confrontation over and above the substance-based disagreements existing between countries. This generates a particular type of path dependence, rendering broad-based international agreements more difficult in the future.
We analyze this question at the example of the United Nations Framework Convention on Climate Change's increasingly politicized split between Annex I and non-Annex I countries. Using a self-coded dataset of country oral statements during the negotiations between December 2007 and December 2009 we assess whether Annex I membership influences a country's stance toward other countries’ arguments, while controlling for country characteristics that may drive their preferences and the affiliation to Annex I. We find that the split between Annex I and non-Annex I has indeed influenced negotiation behavior and amplified the divide between developing and industrialized countries in the climate negotiations. |
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Tatjana-Xenia Puhan, Essays in Finance, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Dissertation)
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Dörte Kreher, Strict Local Martingales, Random Times and Non-Standard Changes of Probability Measure in Financial Mathematics, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Dissertation)
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Marc Chesney, Enjeux et conséquences de l'utilisation de l'anglais pour les études d'économie et de gestion à l'université, In: L'économie au service des citoyens : essais en mémoire de Peter Tschopp, s.n., Genf, p. 200 - 215, 2014. (Book Chapter)
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Brigitte Maranghino-Singer, Hat das Risikokomitee der UBS im Devisenskandal versagt?, 2014. (Other Publication)
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Brigitte Maranghino-Singer, Der Kunde soll wieder König werden – auch in der Finanzindustrie, 2014. (Other Publication)
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Brigitte Maranghino-Singer, Der Frieden als Tummelplatz für Ellbögler und Aufschneider, 2014. (Other Publication)
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Brigitte Maranghino-Singer, Revolution in der Ökonomie, 2014. (Other Publication)
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Marc Chesney, Vom Grossen Krieg zur permanenten Krise : der Aufstieg der Finanzaristokratie und das Versagen der Demokratie, Versus Verlag, Zürich, 2014. (Book/Research Monograph)
1914 und 2014: Ein Jahrhundert ist es her, seit die europäische und vor allem französische und deutsche Jugend auf den Schlachtfeldern des Ersten Weltkriegs geopfert wurde. Heute gibt es in Europa glücklicherweise keine Schützengräben mehr, doch die aktuellen Generationen leiden unter einer Finanzkrise, die seit 2007 andauert und die Zukunftsperspektiven überschattet. Damals lehnte die Mehrheit der Bevölkerung einen Krieg ab oder rechnete nur mit einem sehr kurzen Verlauf. Der Krieg sollte jedoch vier lange Jahre dauern. Aktuell zieht sich die Krise in die Länge - trotz zahlreicher Beteuerungen der Regierungen, dass ein Weg aus der Massenarbeitslosigkeit und der Krise gefunden werden könnte. Marc Chesney zieht Parallelen zwischen der Gesellschaft von 1914 und der heutigen. Er analysiert die Rolle der Finanzaristokratie und die Diktatur der Finanzmärkte. Im Vordergrund steht die Forderung, dass die Finanzsphäre primär der Wirtschaft und Gesellschaft dienen sollte. Er zeigt zahlreiche Lösungsansätze auf, wie sich dieses Prinzip verwirklichen lässt. «Während des Ersten Weltkrieges waren es die Nationen, die aufs Podest gestellt wurden, die Opfer verlangten. Das grösste Opfer, das darin bestand, 'auf dem Felde der Ehre zu fallen', war dann auch das Los von Millionen Europäern. Heute verlangen die ebenfalls zum Gott erhobenen Finanzmärkte fortwährende Befriedigung und die damit verbundenen Opfer. Die Frage, ob ein solches Ziel wünschenswert ist, mag unpassend wirken, so eindeutig scheint die Antwort zu sein! Selbstverständlich sollte man das, sonst erwartet uns das Schlimmste [...]» |
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Hans Weitmayr, Marc Chesney, Maschinen auf Speed, In: The European Value Investor, 16 December 2013. (Media Coverage)
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Caspar Heer, Marc Chesney, Die Systemrisiken sind nach wie vor gross, In: take it, 12 December 2013. (Media Coverage)
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Mariella Göbl, Analysis of Equity and Commodity Market Correlations in the Context of Commodity Speculation, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis)
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Niklaus von Burg, Eine komparative Studie der Eigenkapitalvorschriften für Banken: Basel III, Verordnungen des Bundesrats, Massnahmen in der EU und in den USA, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis)
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Jeremy Fritzsche, Gründe für und gegen die Trennung des Investment Banking vom Commercial Banking, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis)
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