Contributions published at Quantitative Finance (Marc Chesney)

Im Jahr 2008 waren global Zinsen von ca. drei bis fünf Prozent üblich, bis die Zentralbanken diese als Reaktion auf die Finanzkrise drastisch zur Nullgrenze hin senkten. Mit der Einführung des Negativzinses von –0.75 % im Jahr 2015 durch die SNB, hat das Zinsniveau in der Schweiz einen historischen Tiefstand erreicht. Die SNB betrat mit dieser Entscheidung Neuland, weshalb damals die zu erwartenden Folgen der Negativzinspolitik auf die Gesamtwirtschaft schwierig einzuschätzen waren. Heute, sechs Jahre später, gibt es zahlreiche Studien und Literatur zu den Auswirkungen der Negativzinsen. Zu den Hauptbetroffenen dieser Zinspolitik zählt unter anderem der Schweizer Bankensektor, dessen Geschäfte massgeblich vom Zinsniveau abhängig sind. In dieser Arbeit werden mittels Sichten und Auswerten der bestehenden Literatur- und Datenquellen die Negativzinspolitik der SNB sowie deren Auswirkungen auf den Schweizer Bankensektor diskutiert. Im Rahmen der Analyse Letzterer wird zudem in einer Einzelbetrachtung untersucht, ob und wie sich die identifizierten Branchentrends bzw. -beobachtungen in einzelnen Fällen abbilden. Dabei wird ebenfalls analysiert, ob es diesbezüglich Unterschiede zwischen den untersuchten Bankengruppen gibt. Zur Beantwortung dieser Forschungsfrage wird auf die Geschäftsberichte der fünf untersuchten Banken zurückgegriffen, um die Entwicklungen einiger Kennzahlen, Erfolgs- und Bilanzpositionen während des Zeitraums von 2015 bis 2019 zu analysieren. In einem letzten Schritt wird basierend auf dem Gesamtfazit und weiteren Erkenntnissen der Arbeit ein Ausblick auf den Schweizer Bankensektor gegeben.

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Die Pandemie kostet Tausenden den Job. Doch die Chefs der grossen Schweizer Unternehmen sahnen ab. Sogar der Staat lässt üppige Boni fliessen.

Die CS versinkt in Skandalen. Dahinter steckt System. Das zeigt ein massiver Betrugsfall aus der Ära Rohner, dessen Dimensionen erst jetzt klar werden.

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In this paper, we use the content of U.S. mutual funds' prospectuses to examine the informational value of funds' qualitative disclosures. We document significant heterogeneity in the cross-section of funds' qualitative disclosures, primarily attributed to characteristics at the investment company level. Using textual analysis, we decompose funds' qualitative disclosures into informative and standard content. Our results show that funds' risk-taking behavior and risk-adjusted-performance increase with the informativeness of their disclosures. Content-based updates of disclosures are informative about funds' future risk-taking and their future performance. Finally, we document evidence that investors react to some extent to the informativeness of fund disclosures.

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Financial companies are increasingly divesting from coal to reduce their environmental footprint. Debt divestment is real and significant: By 2020, 68 coal divestment plans were announced by banks managing loan books of nearly USD 20tn. Divestors reduce their exposure to the coal sector by 50% in the year of their divestment announcement, but the exposure increases again in subsequent years. Nevertheless, the social and governance scores of coal lenders increase by 5.4% between 2015 and 2019. Furthermore, the divestment movement has no significant impact on loan spreads. Therefore, the efficacy of debt divestment to curb coal production remains doubtful.

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This master thesis is about the sustainability and the financial performance of a selection of sustainability funds (Nachhaltigkeitsfonds, NF) and conventional funds (konventionelle Anlagefonds, KF) that are approved in Switzerland. In the first part it is analyzed if NF have a higher ESG rating than comparable KF. Additionally, it is analyzed which sustainability investment strategies (Nachhaltigkeitsanlagestrategien, NAS) applied by NF influence the ESG rating of a fund. This evaluation is based on the portfolios of the funds on the 31st of December 2019. The ESG rating of Refinitiv and Inrate are used as the measure of sustainability. It can be shown that NF have a higher ESG rating than KF. Moreover, funds with an investment focus «Switzerland» and «Europe» have a higher and funds with an investment focus «North America» have a lower ESG rating on average than funds with an investment focus «Global». The NAS «positive screening» and «negative screening» correlate positively with the ESG rating of a fund. The NAS «engagement» in contrast correlates negatively with the ESG rating. In the second part it is analyzed if NF and KF differ in their financial performance in a time window from July 2016 to June 2020. Jensen’s Alpha (Jensen, 1968) is estimated with the CAPM and the Five Factor Model (FFM) (Fama & French, 2015) with daily total return data and the Fama French factors. First, it is analyzed if the average financial performance of NF or KF is different from the regional benchmarks and if NF and KF differ from each other in their financial performance. The analysis shows no clear relationship. In a second analysis with estimated alphas for each fund and a Wilcoxon test (Wilcoxon, 1945), there is some evidence that NF perform better than KF. The Wilcoxon test is statistically significant over 3 time windows (2016-2020, 2017-2020, 2019-2020) with the CAPM and the FFM. So, there is evidence that the NF performed better in these 3 time windows compared to the KF. In no analysis there is evidence that NF perform worse than KF.

Die vorliegende Arbeit setzt sich mit der brasilianischen Wirtschaftspolitik im Rahmen der finanziellen Inklusion auseinander. Sie verfolgt einen qualitativen Ansatz und stützt sich dabei auf verschiedene Studien, die von empirisch fundierten Analysen, deskriptiven Daten bis hin zu Empfehlungen internationaler Entwicklungsorganisationen reichen. Die Ergebnisse legen nahe, dass das Potenzial finanzieller Inklusion bisher auf mehreren Ebenen verkannt worden ist. In der jüngsten Vergangenheit erhielt der Inklusionsmarkt allerdings durch Fintechs wie Nubank und den gebührenfreien Sofortbezahldienst Pix neue Impulse.

Measuring, disclosing, and reducing the carbon footprint of investment portfolios are increasingly prominent issues for institutional investors. Although carbon emissions cannot capture the entire spectrum of climate risks and caveat regarding data assessment and standardization remain, they are momentarily one of the most widely used proxies to identify assets with exposure to non-physical climate risks. In practice, the strategy chosen to reduce the carbon footprint of equity portfolios is critically dependent on how investor define, measure, and reduce carbon emissions at a portfolio level. This thesis demonstrates that there are different ways to measure and reduce the carbon exposure of investment portfolios. Moreover, it shows that an inclusion of all up- and downstream corporate carbon emissions – so-called scope 3 emissions – might potentially improve existing limitations of emission-based investment strategies and reframe the discussion around emission metrics and climate risks. Using novel scope 3 emission data, this thesis presents evidence that emission data are dominated by outliers, sector differences and scope 3 emissions. Moreover, this thesis examines the relevance of scope 3 emissions from various aspects and thereby contributes to the understanding of the implications of a scope 3 emission data inclusion for low-carbon portfolio construction+. The inclusion of scope 3 emission data leads to a different emission distribution within and between sectors/companies, reduces the potential for a relative reduction of a portfolio’s carbon footprint, and potentially results in a different construction of low-carbon portfolios. Although significant performance differences between different scope emission portfolios could not be observed, the inclusion of scope 3 emission data led to significant differences in constituents, sector and emission characteristics indicating relevant implication for the construction of low-carbon portfolios.

Uma iniciativa popular na Suíça está dando novo fôlego à antiga proposta de tributar as transações financeiras. No entanto, será que o “microimposto” conseguirá sair do papel?

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An initiative in Switzerland is giving new life to the old idea of taxing financial transactions. But can the “microtax” make it beyond the status of mere idea?

Practitioners and academics have been using different terms to describe investments in the sustainability context. The latest inflationary term is impact investments—investments that focus on real-world changes in terms of solving social challenges and/or mitigating ecological degradation. At the core of this definition is an emphasis on transformational changes. However, the term impact investment is often used interchangeably for any investment that incorporates environmental, social, and governance (ESG) aspects. In the latter instance, achieving transformational change is not the main purpose of such investments, which therefore carries the risk of impact washing (akin to “green washing”). To offer (re-)orientation from an academic perspective, we derive a new typology of sustainable investments. This typology delivers a precise definition of what impact investments are and what they should cover. As one central contribution, we propose distinguishing between impact-aligned investments and impact-generating investments. Based on these insights, we hope to lay the foundation for future research and debates in the field of impact investing by practitioners, policymakers, and academics alike.