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Contributions published at Financial Economics (Felix Kübler)

Contribution
Samuel Keller, A dynamic model of investor sentiments and leverage, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis) null
Benjamin Zimmermann, An Analysis of Risk-Adjusted Performance Measures when Applied to Structured Products with Asymmetric Return Profiles, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Felix Kübler, Computational Methods for Heterogeneous Agent Models, In: 11th World Congress of the Econometric Society. 2015. (Conference Presentation) null
Solal Dubois du Nilac, Customer Satisfaction and Stock Returns: An Empirical Analysis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis) null
Ni Jiang, The Equity Premium Puzzle in Switzerland, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Sandra Natour, The equity premium: what can history tell us about the future?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis) null
Alexander Gusev, Can the Fama and French three factor model be applied to Swiss SMEs?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Felix Kübler, Asset Pricing in Large Economies with Boundedly Rational Agents, In: 15th SAET Conference on Current Trends in Economics. 2015. (Conference Presentation) null
Felix Kübler, Why is too much leverage bad for the Economy?, In: Regulating Financial Markets Conference. 2015. (Conference Presentation) null
Agron Gashi, Disappointment aversion, rare disasters, and the equity premium: A computational approach, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis) null
Felix Kübler, Recent Advances in the Computation of Equilibria in Heterogeneous Agent Macro Models, In: Becker Friedman Institute for Research in Economics. 2015. (Conference Presentation) null
Marius Bräm, Return of a cash secured put selling strategy in European index markets, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Lukas Fischer, Value Investing according to Greenblatt: A simple strategy to beat the market?, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis) null
Felix Kübler, Karl Schmedders, Johannes Brumm, Michael Grill, Collateral requirements and asset prices, International Economic Review, Vol. 56 (1), 2015. (Journal Article) Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral premium and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing col- lateral constraints for borrowing. We document that borrowing against collateral substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of collateralizability exhibit substantially different return dynamics because their prices contain a sizable collateral premium that varies over time. This premium can be positive even for assets that never pay dividends.
Piero Gottardi, Felix Kübler, Dynamic competitive economies with complete markets and collateral constraints, Review of Economic Studies, Vol. 82 (3), 2015. (Journal Article) In this article we examine the competitive equilibria of a dynamic stochastic economy with complete markets and collateral constraints. We show that, provided the sets of asset pay-offs and of collateral levels are sufficiently rich, the equilibrium allocations with sequential trades and collateral constraints are equivalent to those obtained in Arrow–Debreu markets subject to a series of limited pledgeability constraints. We provide both necessary and sufficient conditions for equilibria to be Pareto efficient and show that when collateral is scarce equilibria are not only Pareto inefficient but also often constrained inefficient, in the sense that imposing tighter borrowing restrictions can make everybody in the economy better off. We derive sufficient conditions for the existence of Markov equilibria and, for the case of two agents, for the existence of equilibria that have finite support. These equilibria can be computed with arbitrary accuracy and the model is very tractable.
Johannes Brumm, Dominika Kryczka, Felix Kübler, Recursive equilibria in dynamic economies with stochastic production, In: s.n., No. n/a, 2014. (Working Paper)
David Fritschi, The Relevance of Exchange Rate Exposure for Swiss Companies, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Master's Thesis) null
Felix Kübler, Larry Selden, Xiao Wei, Asset Demand Based Tests of Expected Utility Maximization, American Economic Review, Vol. 104 (11), 2014. (Journal Article) In the neoclassical model of consumer behavior, considerable work has been done investigating when a consumer's demand behavior can be described as having been derived from utility maximization. However, most discussions are in a certainty world. We expand on prior analyses in an uncertainty setting by providing conditions under which contingent claim and asset demands will be consistent with state independent Expected Utility maximization. The question is addressed using two different traditional approaches. First given the analytical form of the demand functions, we derive necessary and sufficient conditions such that the consumer's behavior can be rationalized by an Expected Utility function. Second, we provide a necessary and sufficient condition for a finite set of observations on prices, probabilities and quantities to be consistent with Expected Utility maximization for the case of a single commodity in each state. This condition is shown to be analogous to the strong axiom of revealed preference in classical certainty demand theory. For both approaches, we consider the complete and incomplete asset market cases.
Rafael Kaufmann, The Carhart Model and Alternative Versions therefrom - An Empirical Analysis Focusing on the SPI, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null
Jeremias Hess, Continuation of a Contribution to the Empirics of Economic Growth, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2014. (Bachelor's Thesis) null

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