David Baum, Momentum- und Reversal-Strategien am Schweizer Aktienmarkt, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Bachelor's Thesis)
 
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David Baum, Momentum- und Reversalstrategien am Schweizer Aktienmarkt, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis)
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Alexander Gartmann, The Relationship between Overnight and Daytime Returns, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis)
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Farrah De Riz, Erfolgsvoraussetzungen für den Euro, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis)
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Oxana Lüber-Sedova, Das Rendite- und Risikoprofil börsengehandelter Immobilienfinanzprodukte in Grossbritannien, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis)
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Olga Motovilova, The Costs and Benefits of Tail Risk Hedging Strategies, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis)
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Dijana Skoric, The Risk Profile and Performance of Environmental Hedge Funds, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis)
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Milen Bekcic, Handelsstrategien für Devisenmärkte, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis)
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Alexandre Ziegler, Kursuntergrenze - eine gute Idee?, In: Finanz und Wirtschaft, p. 21, 7 September 2011. (Newspaper Article)
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Darko Miodragovic, Einsatz und Preisbestimmung von Wetterderivaten, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis)
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Ahmetcan Salepci, The Performance of Pairs Trading Strategies on the Swiss Stock Market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis)
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 Norman Schürhoff, Alexandre Ziegler, Variance risk, Financial intermediation, and the cross-section of expected option returns, In: NCCR, No. 712, 2011. (Working Paper)
We explore the pricing of variance risk by decomposing stocks' total variance into systematic and idiosyncratic return variances. While systematic variance risk exhibits a negative price of risk, common shocks to the variances of idiosyncratic returns carry a large positive risk premium. This implies investors pay for insurance against increases (declines) in systematic (idiosyncratic) variance, even though both variances comove countercyclically. Common
idiosyncratic variance risk is an important determinant for the cross-section of expected option returns. These findings reconcile several phenomena, including the pricing differences between index and stock options, the cross-sectional variation in stock option expensiveness,the volatility mispricing puzzle, and the signifcant returns earned on various option portfolio strategies. Our results are consistent with theories of financial intermediation under capital constraints. |
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Jean-Marc Meier, The Impact of Market Conditions on the Performance of Different Option Pricing Models, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis)
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Etienne Schwartz, Die Risikoprämie auf die Veröffentlichung von Quartalszahlen: Eine empirische Analyse für den europäischen Aktienmarkt, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis)
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Alexandre Ziegler, Die Devisenverluste treffen alle, In: Tages Anzeiger, p. 9, 6 July 2011. (Newspaper Article)
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Marcel Speiser, Alexandre Ziegler, SNB beeinflusst Währungsrisiken, In: Aargauer Zeitung, 1 July 2011. (Media Coverage)
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Andreas Schranz, The Risk Profile and Predictability of Hedge Fund Returns: Implications for Asset Management, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis)
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Sinta Lehmann, Möglichkeiten und Grenzen des Einsatzes von Insurance Linked Securities bei Schweizer Pensionskassen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis)
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Urs Schweri, Three essays in financial economics, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Dissertation)
In the modern world of finance, understanding the drivers of asset value is crucial. This thesis is divided into three research articles that covers various aspects of this issue. The first paper estimates the pricing kernel from equity data. The pricing kernel is an essential tool to price a given random stream of payment, for example, a stock. While standard economic theory suggests a decreasing pricing kernel; empirical literature on the other hand often finds a U-shaped one. The main contribution of this paper to the existing literature is the systematic testing of the increasing parts for statistical significance and the finding that the increases are not statistically significant. Even if not significant, the U-shaped pricing kernels are found in various datasets and in different time periods, thus indicating the existence of increasing parts in the kernel. It is also found that the U-shape can be obtained by estimating the kernel with various functional forms, thereby ruling out the role of the specificity of the pricing kernel functional form. The second paper develops a model to analyze the impact of financial constraints on the value and investment behavior of a firm. The model explains many puzzling effects found in empirical literature such as the high-growth, high-risk nature of small firms, pro-cyclical investment behavior, the leverage effect and the higher average returns of value stocks. The last paper uses simulations to show that in the long run, a strategy based on the fundamental value of an asset (more specifically, the expected discounted value of dividend payments) is better than many other potentially irrational investment strategies and that this is particularly true when firms can default and dividends are nonstationary. This finding extends the existing literature on evolutionary finance.
In modernen Finanzmärkten ist es wichtig zu verstehen, wie der Wert eines Wertpapiers bestimmt wird. Diese Dissertation behandelt dieses Thema in drei Teilen. Der erste Teil schätzt den Pricing Kernel mit Hilfe von Aktiendaten. Mit dem Pricing Kernel kann der Wert eines zufälligen Zahlungsstroms, z. B. einer Aktie, bestimmt werden. Gemäss den üblichen ökonomischen An- nahmen muss der Kernel fallend sein; empirische Schätzungen finden jedoch häufig U-förmige Teile im Pricing Kernel. Im Wesentlichen zeigt dieser Teil, dass die steigenden Teile im Kernel nicht statistisch signifikant sind. Jedoch kann die U-Form in verschiedenen Datensätzen und Zeitperioden gefunden werden. Dies deutet darauf hin, dass der Kernel trotzdem steigende Teile enthalten kann. Gestützt wird dies durch die Tatsache, dass die U-Form bestehen bleibt, auch wenn unterschiedliche funktionale Formen für den Kernel verwendet werden. Der zweite Teil entwickelt und analysiert, was mit dem Wert und den Investitionen einer Firma geschieht, wenn diese keinen Zugriff auf externe Finanzierung hat. Es stellt sich heraus, dass verschiedene Puzzles aus der empirischen Literatur, wie das hohe Wachstum und Risiko kleiner Firmen, das pro-zyklische Investitionsverhalten, der Leverage Effekt oder die höhere Durchschnittsrendite von Value Aktien, dadurch erklärt werden können. Der letzte Teil simuliert Investitionsstrategien. Dabei wird aufgezeigt, dass sich eine Strategie, welche auf Basis der Fundamentalwerte der Firmen (der Summe der erwarteten, abdiskontierten Dividendenzahlungen) investiert, eine bessere langfristige Performance erzielt als andere potentiell irrationale Strategien. Dies gilt im Besonderen auch dann, wenn die Dividenden nicht stationär sind und Firmen Bankrott gehen können. Letzteres trägt zur Erweiterung der bestehenden Literatur in Evolutionary Finance bei. |
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Alexandre Ziegler, How much is Banking Secrecy worth? The case of Swiss Banks, In: NCCR, No. 331, 2011. (Working Paper)
We use an early episode of negotiations between Switzerland and the European Union to investigate the value of banking secrecy for four Swiss banks: two universal banks and two private banks. We nd that the value of banking secrecy to private banks is large, accounting for at least 8 to 14% of their market value. Perhaps surprisingly, banking secrecy appears to account for only a very small fraction of the market value of the universal banks. |
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