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Contributions published at Finance (Henrik Hasseltoft)

Contribution
Markus Sommer, Volatility Spillovers of Commodity Prices on Equity Excess Returns, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Arben Hasanaj, Soccer, Investor Mood and Stock Returns: An Analysis for Switzerland, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Magnus Dahlquist, Henrik Hasseltoft, Economic Momentum and Currency Returns, In: n/a, No. n/a, 2015. (Working Paper) Past trends in a broad range of fundamental variables predict currency returns. We document that a trading strategy that goes long currencies in countries with strong economic momentum and short currencies in countries with weak economic momen- tum exhibits an annualized Sharpe ratio of about one and yields a significant alpha when controlling for standard carry, momentum, and value strategies. The economic momentum strategy subsumes the alpha of carry trades, suggesting that cross-country di↵erences in carry are captured by di↵erences in past economic trends. Moreover, we study investors’ expectations of fundamental variables and find the expectations to be extrapolative but negatively related to the portfolio weights, which rank economic trends across countries.
Dominik Studer, Predictability of Swiss Stock Returns - An Empirical Analysis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis) null
Jashari Besnik, On the Existence of Risk Premia on Commodity Futures Markets, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis) null
Nicola Grass, Investor Sentiment - An examination of different proxies and their forecastability on stock, bond and FX returns, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis) null
Ermir Binakaj, The Effect of Leverage on Financial Markets, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Fabian Mark, Performance and Diversification Benefits from Investing in Sports Companies, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Peter Maag, Post-Crisis Equity Fund Performance in the Swiss Financial Market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Florian Scheid, Natural Language Processing - Prediction of S&P500 stock returns using textual analysis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Markus Müller, Regime Dependent Carry Trades, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Felix Attinger, Testing the Fed model; with special Focus on Switzerland, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Larissa Luchmann, Carry Trades in Emerging and Frontier Markets, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Martin Overhoff, Sentiment-Indicators forecastability of Stock Market Returns, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) This thesis studies the effects of investors’ sentiment on aggregated international stock markets. The major goal is to test whether academic findings for national stock markets (mainly US-Markets) also hold within an international and especially global framework. For measuring the sentiment an index is used similar to the Baker/Wurgler-Index, but based on even more commonly discussed proxies to capture investors’ sentiment. My results tie in several findings in current research: Investors’ sentiment has some predictive power not only for US markets, but it is rather small.
Khongorzul Tudev, A Comparative Study of Market Anomalies in Emerging Stock Markets, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) This thesis is concerned with stock market anomalies in 20 emerging stock markets in three regions: APAC (PR China, India, Indonesia, Malaysia, Philippines, Taiwan, Thailand), Europe (Czech Republic, Hungary, Poland, Russia, Turkey), Middle East & Africa (Egypt, Morocco, South Africa), and Latin America (Brazil, Chile, Colombia, Mexico, Peru). I will present an extensive empirical investigation of the momentum, reversal, size, and value effects in these stock markets, including the statistical significance of my results and various asset pricing tests.
Justin Lahart, Henrik Hasseltoft, Black and White News Makes Market Red All Over, In: Wallstreet online, 8 January 2014. (Media Coverage) null
Dominic Burkhardt, Three Essays in Asset Pricing, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Dissertation)
Julia Dumanskaya, How Demographics Influence Interest Rates, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Master's Thesis) null
EunSoo Jeong, Do technical indicators predict Risk Premiums?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2013. (Master's Thesis) null
Henrik Hasseltoft, Michal Dzielinski, Aggregate News Tone, Stock Returns, and Volatility, In: European Financial Association Annual Meeting. 2013. (Conference Presentation) We examine whether soft information in rm-specic news contains valuable information about aggregate stock returns and volatility. Using a large data set in which the language of millions of rm-specic news items has been quantied, we construct two novel measures: The aggregate level of news tone and the aggregate dispersion of news tone. We nd aggregate news tone to be more closely related to economic factors than investor sentiment. The dispersion of news tone leads measures of analyst disagreement and forecasts aggregate stock returns with a negative sign in times of high short-sale constraints. Furthermore, the dispersion of news tone is countercyclical, asymmetric, and forecasts realized variance. Our ndings suggest that dispersion of soft rm-specic news serves as a high-frequency measure of disagreement and lend support to models on disagreement and short-sale constraints.

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