Contributions published at Finance (Kjell G. Nyborg)

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The aim of this thesis is to examine whether the information contained in macroeconomic variables can be used to predict stock market returns in Switzerland. On the one hand, the efficient market hypothesis states that currently available information should be fully reflected in current prices. Hence, no reliable forecasts should be possible. On the other hand, some studies have shown that certain macroeconomic variables are sufficiently persistent and correlated with stock market returns to make forecasts which are superior to random guesses.

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Diese Bachelorarbeit untersucht das Vorgehen der OECD gegen schädliche Steuerpraktiken und setzt dieses in Kontext der Massnahmen des Aktionspunktes 5 des BEPS-Projektes. Die OECD bleibt ihrer Linie in Bezug auf schädliche Steuerpraktiken treu und grenzt die Möglichkeiten des steuerlichen Wettbewerbs wieder ein. Im Aktionspunkt 5 werden weitere Restriktionen für IP-Regelungen eingeführt. Die Einführung eines Rahmens für einen verbindlichen spontanen Informationsaustausch über Sonderregelungen wird die Praxis der geheimen Rulings beenden. Für die Schweiz bedeutet das eine Umstellung und Verlust eines Wettbewerbsvorteils. Die Auswirkungen des Aktionspunktes 5 auf die Schweiz schlagen sich auch in der angehenden Unternehmenssteuerreform III nieder.

This thesis provides a literature review and a small study on the subject of market reactions after dividend changes in the universe of Swiss stocks. There is little evidence that there are statistically significant abnormal returns to be found after dividend events. The firms mean abnormal returns however do differ depending on which sectors they are operating in.

In response to the financial crisis in 2008, the Federal Reserve created several facilities to lower financial turmoil and support financial markets. This thesis pointed out the impact on the Fed’s balance sheet and analyzed the composition of the appropriated collateral of each program. Thereby I found out that, beside the large-asset scale purchases, the Term Auction Facility had the highest and the Term Assed-Backed Loan Facility the longest effects on the size of the balance sheet. By accepting collateral, the Fed often was confronted with the trade-off of covering risk or providing liquidity to the markets.

This thesis provides evidence of the outperformance of low volatility (in returns) stocks in the Swiss market. Portfolios invested in low volatility stocks between 1997 and 2014 realize superior risk-adjusted returns compared to high volatility portfolios. This phenomenon is referred to as the low volatility anomaly. It appears that the volatility effect is largely independent from size, value and momentum factors. Restrictions on borrowing and benchmark-driven managers, who over allocate high risk stocks, strong operating performance and behavioral biases are among the most commonly named explanations for why the low risk effect is not fully exploited by investors.

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This study examines low-beta outperformance for the stock markets of Germany and the United Kingdom over the period 1995-2013. The well-known techniques of Black, Jensen and Scholes (1972) and Fama and MacBeth (1973) are used to test the Capital Asset Pricing Model with a focus on low-beta outperformance. I find evidence that low-beta portfolios tend to have higher alphas and Sharpe ratios than high-beta portfolios. Furthermore, the Security Market Line is in general empirically flatter than predicted by the standard form of the Capital Asset Pricing Model and for some periods even negative.

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This paper seeks to inform about a feature of monetary policy that is largely overlooked, yet occupies a central role in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood by the observation that the money at the core of these systems, central bank money, is injected into the economy on terms, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning, reach, and impact of collateral frameworks. A theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability. Evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and, more generally, impairs market forces and discipline. The paper also emphasizes the important role of ratings and government guarantees in the Eurosystem’s collateral framework.