Contributions published at Financial Engineering (Markus Leippold)

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Theorie und Praxis gehen nicht immer Hand in Hand. Oft bleibt es an Hochschulen bei der Theorie. Nicht so bei Prof. Leippold von der Universität Zürich. Für seinem Masterlehrgang „Quantitative Finance“ setzt er gezielt auf das Know-how von UBS Global AM, um seinen Studenten Einblicke in die Praxis des Asset Management zu ermöglichen. Im jüngst abgelaufenen Semester hielten Mitarbeiter von UBS Global AM vier Vorträge mit anschliessenden Diskussionen.

Die folgende Forschungsarbeit untersucht den Effekt auf den Aktienkurs, der durch eine Dividendenauszahlung oder Nennwertrückzahlung ausgelöst wird. Desweiteren wird analysiert, wie stark sich der Aktienkurs im Verhältnis zum Betrag der Divi- dende verändert. Dabei werden durchschnittliche Drop-Offs am Ex-Dividenden-Tag berechnet und Regressionen durchgeführt. Es wird gezeigt, welche Auswirkungen eine Dividendenausschüttung auf das Aktienkursverhalten in einem Zeithorizont von einem Tag, einer Woche und einem Monat hat. Der Aktienkurs fällt am Ex-Dividenden-Tag bei einer Dividendenauszahlung um 79% und bei einer Nennwertrückzahlung um 97% des jeweils ausgeschütteten Be- trags. Mittels Regressionsanalyse wird deutlich gezeigt, dass eine Dividende sowie eine Nennwertrückzahlung zumindest am Ex-Dividenden-Tag signifikante Auswir- kungen auf die Entwicklung des Aktienkurses haben.

Seit der Veröffentlichung der Arbeit „Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland” von Prof. Dr. Martin Wallmeier und Martin Diethelm im Jahr 2008 hat der Markt durch die Krise und andere Faktoren für Strukturierte Produkte einen grossen Wandel durchlebt. Damals wurde ein durchschnittliches Overpricing von 3,4 % für Triple-Asset Barrier Reverse Convertibles festgestellt. Wie sich diese Veränderungen auf das Pricing von TBRCs auswirken, wird durch das Wiederholen der Berechnung, mittels der Modellierung eines Trinominalmodells in Excel, von Prof. Dr. Martin Wallmeier und Martin Diethelm in dieser Arbeit analysiert. Die Resultate dieser empirischen Analyse überraschen. So wurde sechs Jahre nach der Veröffentlichung ein durchschnittliches Overpricing 0,1685 % ermittelt.

In der vorliegenden Arbeit wird ein Performancevergleich von Exchange Traded Funds (ETFs) unterschiedlicher Anbieter anhand von historischen Performancezahlen durch- geführt. Mit Hilfe der Daten aus Bloomberg und der Factsheets werden die historischen Renditen ausgewiesen und unter Berücksichtigung der Selektionskriterien Total Expen- se Ratio, Handelsspanne und Replikationsmethode untersucht und miteinander vergli- chen, um auf diese Weise die genannten Selektionskriterien im Hinblick auf ihre Güte theoretisch zu beurteilen. Ziel ist es aufzuzeigen, ob ein Selektionskriterium existiert, welches eine bessere Performance zur Folge hat. Zusammenfassend ist festzuhalten, dass die einzelnen Selektionskriterien alleine keine ausreichende Entscheidungsgrundlage für den Investor darstellen. Viel mehr wird emp- fohlen, alle Faktoren im Selektionsprozess zu berücksichtigen.

This thesis takes an in-depth look into several technical trading strategies on foreign exchange and precious metals and analyses if there are constant and significant excess returns achievable within the last years. The results show that the excess returns have diminished in the last decades and reached a level where one may suggest that trading based on technical signals does not produce any excess returns – at least not for foreign exchange. Precious metals may provide excess returns but with the downside of accepting higher volatility. However, combining fundamental data and technical trading strategies, or bundling the strategies into an optimised portfolio, may still lead to reasonable returns.

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We propose a novel time-changed Lévy LIBOR (London Interbank Offered Rate) market model for jointly pricing of caps and swaptions. The time changes are split into three components. The first component allows matching the volatility term structure, the second generates stochastic volatility, and the third accommodates for stochastic skew. The parsimonious model is flexible enough to accommodate the behavior of both caps and swaptions. For the joint estimation we use a comprehensive data set spanning the financial crisis of 2007–2010. We find that, even during this period, neither market is as fragmented as suggested by the previous literature.

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This thesis is concerned with the modelling of inflation with the aim of extracting the inflation risk premium (IRP) from asset prices. The pricing of inflation-indexed derivatives is required for this purpose. First, a modelling framework is assumed, whereby all rates in the market are driven by three latent factors, which follow a mean-reverting Vasicek process. Additionally, a price level process is coupled to this. Second, pricing applications of the model are considered and formulae for zero- coupon inflation-indexed swaps, year-on-year inflation-indexed swaps and inflation- indexed caps and floors are presented. Next, the standard and unscented Kalman- filters are presented as means of estimating the sample log-likelihood. Methods for maximising this to estimate model parameters are then considered. Given this setup, the calibration of the model to four data sets in US and European markets is performed. Data sets including swap rates and cap prices are used. The IRP is then extracted from the model and analysed. The thesis concludes with the analysis of a number of applications of the framework, including the use of the IRP in a bond trading strategy.

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The prospect of this thesis is to investigate the relationship between the shareholder constellation and the stock performance as well as to analyze how these two variables are interconnected with stock liquidity. It is widely acknowledged that liquidity, inter alia, is an important determinant of the asset price. Various theoretical and empirical studies state that the market value of an asset increases with its liquidity (Merton, 1987). This positive relationship between an asset’s liquidity and its value is commonly viewed as realistic and there are no major studies that vitiate this theory. The idea that a large shareholder base increases the liquidity of an asset has been subject to extensive research and there has been substantial empirical evidence for it. The question that leads to controversy is whether the liquidity benefits of a dispersed ownership outweigh the benefits of a concentrated ownership. Often stated as an important benefit of a concentrated ownership is that a large blockholder reduces the agency problem and improves corporate governance (Bhide, 1993). But not all researches agree with Bhide and there exists further disagreement about what exactly the specific benefits of a concentrated ownership are and whether they have a significant influence on the firm’s performance. This dissension and the different arguments for and against the benefits of the different shareholder constellations are empirically investigated in this thesis. The paper includes a review and discussion of the existing theories as well as a detailed empirical analysis concerning the above-­‐mentioned issue. The empirical analysis is structured in the following way: first the general structure of the sample data will be explained using an univariate analysis and possible correlations between the variables liquidity, ownership constellation, stock price and stock performance will be identified. Then two regressions will be carried out. The purpose of the first regression is to investigate the relationship between a stock’s liquidity and its price and the aim of the second regression is to examine the relationship between its liquidity and its performance. In the last section the results of the empirical analysis will be interpreted in a wider context and in consideration of previous researches and existing theories. The empirical analysis showed strong evidence for a negative relationship between a stock’s liquidity and its price. The empirical evidence for the positive influence of the liquidity on the stock performance was not as unequivocal. Nonetheless the overall results of the investigations imply that in general, a higher liquidity increases the stock value. By including the ownership structure in the analysis, it was additionally shown that a stock’s liquidity is not the only determinant for its performance. The results of the analyses indicate that a dispersed shareholder constellation is associated with a higher stock liquidity. They also imply that there exists a trade-­‐off between liquidity and control. The two groups with an ownership structure that lies between total dispersion and complete concentration have significantly better returns and price-­‐earnings ratios. These findings suggest that the optimal ownership structure is one that contains a blockholder, who holds a stake between 10% and 49% and additionally enough small shareholders in order to keep the stock liquid. Anyhow, a more specific statement about the optimal shareholder structure cannot be made and further research is required to capture the whole range of this complex relationship between shareholder constellation, liquidity and stock performance.

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