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Contributions published at Finance

Contribution
Alexandre Fatio, Liquidity Premia on the Swiss Stock Market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Patrick Michael Kunz, Saisonalität auf Rohstoffmärkten, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Nico Reber, Determinanten der Nachfrage nach Binäroptionen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Christopher Radler, Dark Pools: Funktionsweise, Bedeutung und Regulierungsbedarf, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Felix Fattinger, Alexandre Ziegler, Risk and Return around the Clock, In: SSRN, No. 2606706, 2015. (Working Paper) We investigate price discovery over the 24-hour trading day for equities, currencies, bonds, and commodities. Sizable price discovery occurs around the clock for most assets. For a given asset, intraday risk and return distributions are fairly similar, indicating a broadly constant risk-return-relationship during the day. Although the amount of price discovery varies significantly during the day and differs across assets, price discovery is generally efficient around the clock. Most assets do not exhibit the U-shaped intraday volatility pattern that has been documented for US equities, even if only main trading hours are considered. Intraday spikes in volatility are driven by the open or close of the market for the respective asset or other assets and by macroeconomic announcements. Both diffusion and jump risk are important drivers of intraday volatility patterns, and US macroeconomic news account for a sizable fraction of jump-driven volatility. For some -- but not all -- assets, the relationship between volume and volatility that can generally be observed during the trading day does not hold at the time of jumps, suggesting that traders anticipate large price moves at the time of scheduled announcements and market depth falls accordingly.
Cyril Charrabé, Are Convertible Bonds Redundant?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis) null
Tobias S. Habetha, The Determinants of Gold Prices, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Cyrill Bühler, Kunst als Investitionsobjekt: Performance, Diversifikationseigenschaften und Krisenresistenz, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null
Michael Schäfer, Alexandre Ziegler, An Hedge-Funds scheiden sich die Geister, In: NZZ, 6 October 2014. (Media Coverage) null
Alexander Gartmann, How Consistent are Ratings and Default Rates?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Marc Geissbühler, Value Investing in European Stock Markets - An Application of Fundamental Analysis on Liquid Stores, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Adrian Kunz, Die Auswirkungen der UCITS-Regulierungen auf Fonds-Performance und -Risiko, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Marco Oeggerli, Die Prognosegenauigkeit von Kreditrisikomodellen am Euro-Bond-Markt, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null
Philipp Handler, Einfluss des US-Steuerstreits auf die Aktienkurse und Kreditrisiken von Schweizer Banken, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null
Reto Oliver Braunschweiler, Verbessert Fundamentalanalyse die erzielten Renditen? Eine empirische Analyse für Aktienmärkte der Eurozone, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null
Lukas Oppermann, Die Preisfindung auf dem Schweizer Finanzmarkt: Analyse der Beziehung zwischen Kassa- und Futures-Preisen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null
Jonas Holzreiter, Die Bewertung strukturierter Finanzprodukte durch Ratingagenturen: Probleme und Lösungsansätze, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null
Erich Meier, Spekulation auf Energie- und Nahrungsmittelmärkten: Ausmass und Konsequenzen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null
André Schuler, Sind Finanzmärkte in aufstrebenden Ländern informationseffizient? Eine empirische Analyse, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null
Alexandre Ziegler, Returns from investing in S&P500 futures options, 1985-2010, In: Handbook of Futures Markets, Imperial College Press, London, p. n/a, 2014. (Book Chapter) Puts and calls on S&P500 futures are bought and sold for various purposes including speculation, hedging and portfolio insurance. We investigate the rate of return from buying or selling these options from the start of options trading in 1985 until 2010. These rates of return are variable and depend upon the trading horizons, the level of the VIX volatility index, whether the options are in or out or near the money and whether the market is rallying or in a crash mode. We specifically study the 2007-9 stock market crash period and various bullish market periods. Our results show that while selling out-of-the-money options is generally profitable, it sometimes generates steep losses. Hence, speculators trying to take advantage of mispriced options are wise to utilize accurate prediction models, devise variable types of hedged strategies and be well capitalized to weather market storms and have strategies in place to deal with them.

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