Neshat Alili, The Impact of the Ukraine-Russian conflict of 2022 to the US and EU banking sector, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Master's Thesis)
The Russia-Ukraine war started on February 24, 2022. Its prelude and the actual war had differing effects on the US and European Bank Holding Companies. In this analysis we use the event study methodology to assess the effect of five different war related events on the investor’s behavior with regards to US and European based BHCs. For our analysis we use financial indicators to give information about the investor’s behavior. The outcome shows mixed results with a more significant impact in the European than in the US based BHCs. Overall, the statistical analysis shows that the conflict remains a potential source for affecting investors. While the US based BHCs seem to be insulated from the war and the imposed sanctions, the European based BHCs are more affected. The surprising part of the results is that the investors do not seem to demonstrate concern in their expectations, a factor which seems to be similar for the BHCs of both regions. |
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Simone Giansante, Mahmoud Fatouh, Steven Ongena, The asset reallocation channel of quantitative easing. The case of the UK, Journal of Corporate Finance, Vol. 77, 2022. (Journal Article)
We investigate the impact of the Bank of England's asset purchase program (APP) on the composition of assets of UK banks with unique data on the received reserves injections. The Monetary Policy Committee (MPC) didn’t expect there to be strong transmission of the APP’s impact through the bank lending channel. We find that compared to the control group, treated banks reallocated their assets towards lower risk-weighted investments, such as government securities, but did not provide more credit to the real economy. Overall, our findings suggest that when banks are not adequately capitalised, risk-based capital constraints can limit the effectiveness of expansionary unconventional monetary policies and provide incentives for carry trade activities. |
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Emanuela Benincasa, Gazi Kabas, Steven Ongena, There is no planet B", but for banks there are "countries B to Z": Domestic climate policy and cross-border bank lending, In: e-Seminar. 2022. (Conference Presentation)
The stringency of climate policy varies from one country to the next. This column examines global syndicated loans to show that banks increase their cross-border lending in response to greater climate policy stringency in their home country, if the home country has more stringent climate policy than the borrowers' countries. Used in this way as a regulatory arbitrage tool, cross-border lending can reduce the effectiveness of climate policies if global coordination is not enforced. |
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Romina Sieni Saliba, Is Corruption part of the cost of doing business. When informal payments are necessary for trade., University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Master's Thesis)
This study uses firm level survey data from 33 countries and 18’887 enterprises, to analyse
the magnitude of, and factors contributing to, corruption, here defined as the practice of firms
giving informal payments or gifts to public officials. The data was obtained from the EBRDEIB-
WB Enterprise Survey (ES) (World Bank, the European Bank for Reconstrcution and
Development (EBRD) and the European Investment Bank (EIB), 2022). To empirically
evaluate the connection between bribery and the observed factors, a series of multiple
regressions were performed using the Ordinary least squared method (OLS).
In this study it was found that corruption is more likely to occur in specific countries, while
the predominant religion of the country has been shown to have no impact upon corruption.
However, the industry within which a firm operates can have an impact upon corruption.
Lastly, the Corruption Perception Index was found to have no correlation with the type of
bribery investigated in this study.
These results could help us understand how much corruption exits, and under which
conditions corruption is more likely to occur. Such findings could help assist in the
mitigation process of corruption. |
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Duc Duy Nguyen, Steven Ongena, Shusen Qi, Vathunyoo Sila, Climate Change Risk and the Cost of Mortgage Credit, Review of Finance, Vol. 26 (6), 2022. (Journal Article)
We show that lenders charge higher interest rates for mortgages on properties exposed to a greater risk of sea level rise (SLR). This SLR premium is not evident in short-term loans and is not related to borrowers’ short-term realized default or creditworthiness. Further, the SLR premium is smaller when the consequences of climate change are less salient and in areas with more climate change deniers. Overall, our results suggest that mortgage lenders view the risk of SLR as a long-term risk and that attention and beliefs are potential barriers through which SLR risk is priced in residential mortgage markets. |
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Shusen Qi, Steven Ongena, Hua Cheng, Working with women, do men get all the credit?, Small Business Economics, Vol. 59, 2022. (Journal Article)
Are firms that are managed and owned by females-only appraised differently than those where genders mix at the top? To answer this question, we study 7,467 small and medium-sized firms from 22 countries. We find that – when borrowing from banks – firms that are both managed and owned by females more often report binding credit constraints and higher interest rate payments than male-only firms; differences that we can attribute to taste-based discrimination. In contrast, if the manager and the owner have a different gender, we find no such differences with male-only firms. Hence, interestingly banks seem to assume that women invariably play second fiddle in the mixed-gender firms. We also show that discrimination between female-only and other firms disappears from economically more developed regions and from credit markets that are more competitive or dominated by transactional lenders. |
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Oliver Rehbein, Steven Ongena, Flooded through the back door: The role of bank capital in local shock spillovers, Journal of Financial and Quantitative Analysis, Vol. 57 (7), 2022. (Journal Article)
This paper demonstrates that low bank capital carries a negative externality because it amplifies local shock spillovers. We exploit a natural disaster that is transmitted to firms in non-disaster areas via their banks. Firms connected to a strongly disaster-exposed bank with lowest-quartile capitalization significantly reduce their total borrowing by 6.6% and tangible assets by 6.9% compared to similar firms connected to a well-capitalized bank. These findings translate to negative regional effects on GDP and unemployment. Additionally, following a disaster event, banks reduce their exposure to currently unaffected but generally disaster-prone areas. |
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Steven Ongena, Green versus sustainable loans: The impact on firms’ ESG performance, In: SYMPOSIUM: ESG and Firm Value: a Multi-Stakeholder Approach. 2022. (Conference Presentation)
This paper studies the development of a firm’s Environmental, Social, and Governance (ESG) performance following the issuance of “green loans” earmarked for green projects versus “sustainable loans” to firms bench-marked by ESG criteria. Firms issuing green loans appear to be effective in shrinking their environmental emissions; however, they weaken in social performance indicated by a decrease in their human rights, community, and product responsibility scores. This implies that they prioritize their environmental goals, yet neglect their commitment towards their clients and society. Sustainable loans, on the other hand, we find to incentivize firms to improve their ESG performance by increasing their environmental and governance scores. Thus, the issuance of a sustainable loan surely precedes (and may consequentially signal) subsequent improvements in a firm’s overall ESG performance. |
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Claudia Custodio, Miguel Ferreira, Emilia Garcia, Indirect Costs of Financial Distress, In: SSRN, No. 3310941, 2022. (Working Paper)
We estimate the indirect costs of financial distress due to lost sales by exploiting real estate shocks and cross-supplier variation in real estate assets and leverage. We show that for the same client buying from different suppliers, the client’s purchases from distressed suppliers decline by an additional 13% following a drop in local real estate prices. The effect is more pronounced in more competitive industries, manufacturing, durable goods, less-specific goods, and when the costs of switching suppliers are low. Our results suggest that clients reduce their exposure to suppliers in financial distress. |
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Antonio Moreno, Steven Ongena, Alexia Ventula Veghazy, Alexander Wagner, "Long GFC"? The Global Financial Crisis, Health Care, and Covid-19 Deaths, In: Swiss Finance Institute Research Paper, No. 22-44, 2022. (Working Paper)
Do financial crises affect long-term public health? To answer this question, we study the connection between the 2007-2009 Global Financial Crisis (GFC) and the 2020-2022 pandemic. Specifically, we examine the relation between macroeconomic and financial losses derived from the GFC, and the health outcomes associated with the first wave of the pandemic. At the European level, countries more affected by the financial crisis had more deaths relative to coronavirus cases. An analogous relation emerges across Spanish provinces and US states. Part of the transmission from finance to health outcomes appears to have occurred through cross-sectional differences in health care facilities. |
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Raphael Auer, Alexandra Matyunina, Steven Ongena, The Countercyclical Capital Buffer and the Composition of Bank Lending, Journal of Financial Intermediation, Vol. 52, 2022. (Journal Article)
Do targeted macroprudential measures impact non-targeted sectors too? We investigate the compositional changes in the supply of credit by Swiss banks, exploiting their differential exposure to the activation in 2013 of the countercyclical capital buffer (CCyB) which targeted banks’ exposure to residential mortgages. We find that the additional capital requirements resulting from the activation of the CCyB are associated with higher growth in banks’ commercial lending. While banks are lending more to all types of businesses, the new macroprudential policy benefits smaller and riskier businesses the most. However, the interest rates and other costs of obtaining credit for these firms rise as well. |
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Emanuela Benincasa, Gazi Kabas, Steven Ongena, Lending in a landscape of uncoordinated climate policies, The Banker, https://www.thebanker.com/Sustainability/Lending-in-a-landscape-of-uncoordinated-climate-policies?ct=true, 2022-09-23. (Scientific Publication In Electronic Form)
With the stringency of climate policy varying from one country to the next, how are banks taking advantage of this lack of coordination? |
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Laurin Honegger, Auswirkungen von Filialschliessungen der Schweizer Banken, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Bachelor's Thesis)
Das Ziel der vorliegenden Arbeit ist es, die Filialschliessungen der Schweizer Banken,
insbesondere der Grossbanken, Kantonalbanken und Raiffeisenbanken, in einen
historischen Kontext zu setzen, und deren Auswirkungen zu diskutieren. Dafür wird die
Entwicklung der Anzahl Filialen mit Statistiken der Schweizer Nationalbank aufgezeigt,
und mit wirtschaftlichen, politischen und technologischen Ereignissen verglichen. Als
weiterer Indikator werden auch Öffnungszeiten der Schalter analysiert und in den
Vergleich miteinbezogen. In der Diskussion werden die Auswirkungen auf
unterschiedliche Bevölkerungsgruppen untersucht. Die Datenanalyse zeigt, dass alle
Bankengruppen um das Jahr 1990 herum die höchste Filialdichte hatten. Danach schlossen
besonders die Grossbanken und die Kantonalbanken rasant einen grossen Teil ihrer
Filialen, während die Raiffeisenbanken ihr Filialnetz weniger stark ausdünnten. In den
vergangenen zwanzig Jahren zeigte sich über alle Bankengruppen eine kontinuierliche
Tendenz zu einer niedrigeren Filialdichte. Während die Finanzkrisen und
wirtschaftspolitischen Ereignisse wenig bis keinen Einfluss auf die Entwicklung der
Anzahl Filialen zeigten, scheint vor allem das Internet und die mit ihm kommende
Digitalisierung ein Haupttreiber für Filialschliessungen gewesen zu sein. Negativ betroffen
von den Filialschliessungen scheint dabei primär der älteste Bevölkerungsteil zu sein,
welcher wenig mit dem Internet vertraut ist. Ein Trendwechsel der Filialentwicklungen ist
nicht in Sicht, doch während die Grossbanken vermehrt auf digitale Lösungen setzen
wollen, bekräftigen die Raiffeisenbanken nach wie vor die Wichtigkeit der physischen
Präsenz. |
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Romina Trivella, Welchen Einfluss hat die Hypothekarzinsentwicklung auf die Preise der Schweizer Eigentumswohnungen?, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Bachelor's Thesis)
Diese Arbeit analysiert, welchen Einfluss die Hypothekarzinsentwicklung auf die
Eigentumswohnungspreise im Schweizer Immobilienmarkt hat und durch welche weiteren
Einflussfaktoren die Preisentwicklung signifikant beschrieben werden kann. Dazu wird die
Preisveränderung gegen die Hypothekarzinsänderung regressiert und mit Kontrollvariablen,
welche die zusätzlichen Einflussfaktoren repräsentieren, erweitert.
Anhand der umfassenden Analyse der Entwicklung des Schweizer Hypothekar- und
Immobilienmarktes lässt sich bestätigen, dass die Hypothekarzinsentwicklung einen
statistisch signifikanten Einfluss auf die Eigentumswohnungspreise hat, jedoch auch weitere
Einflussfaktoren, wie das Zusammenspiel zwischen Nachfrage und Angebot ebenfalls die
Preise beeinflussen können. Die Stärke der Signifikanz der grundlegenden Parameter bewegt
sich dabei von Schweizer Grossstadt-Kantonen zu peripheren Regionen und Tourismusgebieten
auf unterschiedlichem Niveau. |
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Steven Ongena, Banks and Climate Risks, In: BOFIT Bank of Finland Workshop on Banking and Institutions. 2022. (Conference Presentation)
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Felix Von Meyerinck, Fabio Braggion, Nic Schaub, Inflation and Individual Investors' Behavior: Evidence from the German Hyperinflation, In: Helsinki Finance Summit. 2022. (Conference Presentation)
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Felix Von Meyerinck, Vesa Pursiainen, Markus Schmid, Competition and the Reputational Costs of Litigation, In: University of St.Gallen - School of Finance Research Paper, No. 2020/07, 2022. (Working Paper)
We study the role of competition in customers' reactions to litigation against firms, using anonymized mobile phone location data. A class action lawsuit filing results in a 4% average reduction in customer visits to target firms' outlets in the following months. The effect strongly depends on competition. Outlets facing more competition experience significantly larger negative effects. Closer competition matters more, both in terms of geographic and industry proximity. Announcement returns and quarterly accounting revenues around lawsuit filings also strongly depend on competition. Our results suggest that competition is an important component in customers' ability to discipline firms for misbehavior. |
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Elvan Ciftci, Anlageentscheide Schweizer Vorsorgeeinrichtungen inmitten der Covid-19-Pandemie, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Bachelor's Thesis)
Die individuellen Anlagestrategien Schweizer Vorsorgeeinrichtungen werden von zahlreichen Faktoren
geprägt, unter anderem von gesetzlichen Rahmenbedingungen. Diesbezüglich gibt der Gesetzgeber
vor, dass Vorsorgeeinrichtungen das Vorsorgevermögen jederzeit in angemessenerWeise
verwalten müssen. Hierbei müssen spezifische Grundsätze auch während Krisenzeiten erfüllt sein.
In dieser Arbeit werden die Anlageentscheide Schweizer Vorsorgeeinrichtungen im Rahmen der
Covid-19-Pandemie untersucht. Dies erfolgt mittels einer online durchgeführten Umfrage und
Experteninterviews, wobei der Fokus auf den Letzeren liegt. Die empirischen Untersuchungen
haben ergeben, dass die Anlageentscheide Schweizer Vorsorgeeinrichtungen nicht von der Covid-
19-Pandemie tangiert sind. Sowohl die befragten Vorsorgeeinrichtungen als auch die Experten
schätzen zudem den zukünftigen Einfluss der Covid-19-Pandemie als sehr gering ein. |
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Lukas Wegmann, The impact of cyberattacks on cybersecurity stock returns, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Master's Thesis)
This age of information is characterized by rapid developments of information technology
and the fundamental change processes caused by such developments. However, the digital
transformation and the resulting increase in connectivity and dependency of the economy
through innovations such as the Internet of Things, Artificial Intelligence and Big Data also
bring new threats - cyberattacks. Due to the increasing frequency of cyberattacks and in
order to respond to the resulting threats to business processes, investments in cybersecurity
have become of critical importance. As such, announcements of cyberattacks are a potential
signal to investors about the future performance of cybersecurity companies. In this respect,
there are only a few studies focusing on the impact of cyberattack announcements on the
returns of cybersecurity companies and the most recent findings are based on observations
from 1996 to 2001 and from 2006 to 2007. Therefore, this thesis is the first study to analyze
this impact over a period from 2015 to 2021. This study uses the event study methodology
and analyzes a total of 163 cyber events and the impact of these events on the returns of
cybersecurity companies headquartered in the United States. The adjusted-market model is
used to compute the abnormal returns within the event window. In contrast to previous
research, this study does not find a significant impact. Furthermore, the impact of
cyberattacks, classified by an impact-based cyber taxonomy, of different types is also
examined. This isolated consideration also did not provide any significant results. This study
can therefore not support the results of previous research in this field for a recent observation
period from 2015 to 2021. These new results indicate that either investor perceptions of the
optimal level of cybersecurity investment by attacked organizations have changed or that the
information transfer effect is very small relative to the overall demand for cybersecurity. |
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Markus Burtscher, Auswirkungen von Cash-Beständen und Verschuldung auf die Aktienrendite von SPI gelisteten Unternehmen im ersten Quartal des Corona-Jahres 2020, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Bachelor's Thesis)
Diese Arbeit untersucht die Auswirkungen von Cash-Beständen und Leverage auf die Aktienrendite von SPI gelisteten Unternehmen während dem ersten Quartal 2020. Die Auswirkungen werden mittels Ordinary Least Squares Regressionen untersucht. Insgesamt wurden dabei über 160 am SPI gelistete Unternehmen aus neun verschiedenen Sektoren betrachtet. Die für die Regressionen verwendeten Daten wurden der Datenbank von Refinitiv Eikon entnommen. Die Ergebnisse der Regressionen zeigten, dass der Leverage eine signifikant negative Auswirkung auf die Aktienrendite der Firmen im ersten Quartal 2020 hatte. Die Cash-Bestände hatten nur zu Beginn des ersten Quartals 2020 signifikante Auswirkungen auf die Aktienrendite. In dieser Periode hatten die Cash-Bestände eine positive Auswirkung auf die Aktienrendite. Ein tiefer Leverage und hohe Cash-Bestände wurden von den Investoren und Investorinnen während dem ersten Quartal 2020, dem Quartal, in dem die Coronapandemie in Europa und der Schweiz ausgebrochen war, als Vorteil angesehen. |
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