Daniel Kostadinovic, Technische Analyse der Finanzmärkte Sind Finanzmärkte in schwacher Form effizient? Überprüfung mittels technischer Analyse , University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
In der vorliegenden Arbeit wird mittels technischer Analyse untersucht, ob der Schweizer Aktienmarkt in der Zeitperiode von 2000-2014 in schwacher Form effizient war oder ob eine Überrendite im Vergleich zur passiven Buy-and-Hold-Strategie erzielt werden konnte. Mittels Backtesting werden die Chart-Muster Moving Average und Relative Strength Index ange- wandt. Über die gesamte Untersuchungsdauer konnte unter Berücksichtigung von Transakti- onskosten keine signifikante Überrendite erzielt werden. Werden Transaktionskosten ausser Acht gelassen, erzielt der 50-Tage und der 200-Tage Moving Average eine signifikante Über- rendite im Vergleich zur Buy-and-Hold-Strategie. |
|
En Coc Lien, Momentum Strategies in the Swiss Stock Market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
This paper examines 16 different momentum trading strategies and shows, that past winner stocks continue to perform well and outperform the naive 1/N weighted SMI Expanded index portfolio, whereas past loser stocks continue to perform poorly, making the going short strategy profitable. The positive-momentum trading strategy with 3-months formation/3-month holding gives the best returns. The over performances can not be attributed to any size or systematic risk effects. |
|
Laurent E Calvet, Marcus Fearnley, Adlai J Fisher, Markus Leippold, What is beneath the surface? Option pricing with multifrequency latent states, Journal of Econometrics, Vol. 187 (2), 2015. (Journal Article)
We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The specications require few xed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory suggests. Empirically, the model matches implied volatility surfaces and their dynamics without requiring parameter recalibration. A variety of metrics show improvements over traditional benchmarks in- and out-of-sample. |
|
Pascal Krattiger, An Empirical Test of Low Risk Anomaly in China, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
This thesis tests the low risk anomaly in the Chinese equity market using stocks from the Shanghai Stock Exchange (SSE). The low risk anomaly is tested using the Capital Asset Pricing Model (CAPM) and the Fama-French three- and five-factor models while additionally augmenting them with an illiquidity factor due to China’s restrictions on foreign investing. My results do not confirm recent findings of a low risk anomaly in China, showing for all factor-models, that low volatility and low beta portfolios do not achieve better risk-adjusted returns than high volatility and high beta portfolios. |
|
Fabian Schaub, Optimierung der Portfoliooptimierung - Empirische Analyse im Schweizer Aktienmarkt, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
In der vorliegenden Arbeit werden Anlagestrategien über einen längeren Zeitraum im Schweizer Aktien- markt überprüft und mit dem naiven 1/N Portfolio verglichen. Die Strategien zeichnen sich dadurch aus, dass in ein Minimum-Varianz Portfolio investiert wird. Anstatt der traditionellen Kovarianzmatrix der his- torischen Renditen werden unterschiedliche Blockstrukturen für die Kovarianzmatrix verwendet. Die dar- aus resultierenden Portfoliogewichte sind stets positiv. Die Überprüfung wird anhand von sieben Datensätzen vorgenommen, welche je ein Portfolio simulieren. Einer der sieben Datensätze repräsentiert einen durchschnittlichen Schweizer Privatinvestor. Die Untersuchungen zeigen, dass die Strategien in Be- zug auf die Sharpe Ratio und auch andere Performancemasse besser abschneiden als das 1/N Portfolio. |
|
Moritz Vontobel, Industry and Country E↵ects on Developed Market Stock Returns, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
I use the Heston and Rouwenhorst (1994) approach to analyse country and industry effects on equity returns of the eight largest capitalised developed countries. Most previous studies have found that country effects were relatively more important than industry effects, but the difference between the effects declined. Using popular metrics, I provide evidence that country effects are not dominating industry effects anymore. In contrast, industry effects have been larger during the financial crisis. The results are supported by a correlation analysis of the same data set and support the notion that industry allocation is as important as country allocation. |
|
Adrian Aeschbacher, Turtle Trading System im Schweizer Aktienmarkt, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
Die vorliegende Arbeit untersucht die Profitabilität des Turtle Trading Systems im Schweizer Aktienmarkt. Dieses Trendfolgehandelssystem der Technischen Analyse basiert auf dem Donchian Channel und der Average True Range. Mittels Backtesting wird überprüft, ob eine Anlagestrategie nach den originalen Turtle Trading Regeln eine bessere Performance über die letzten 15 Jahre liefert als eine Buy & Hold-Strategie. Eine Überrendite würde der schwachen Form der Markteffizienz nach Fama widersprechen. Die Arbeit zeigt, dass das Turtle Trading System eine deutlich geringere jährliche Rendite (System 1: 0.96%, System 2: 2.18%) als die Buy & Hold-Strategie (6.41%) über den betrachteten Zeitraum aufweist. |
|
David Gugler, Performance-Vergleich quantitativer Valle-Strategien am Schweizer Aktienmarkt, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
Die vier Value-Strategien, Dividend Yield, Earning-Price Ratio, Book-to-Market Ratio und Cash Flow-Price Ratio, erzielen alle eine risikoadjustierte Outperformance gegenüber dem SLI, wobei die letzteren Fundamentals zusätzlich noch über eine signifikant hohe, statistische Erklärungs-kraft bezüglich den erzielten Überrenditen verfügen. Dies deckt sich mit der Mehrheit der früheren Arbeiten auf nationaler, wie auch auf internationaler Ebene. Die Value-Strategien sind gemessen an der Standardabweichung riskanter. Das erhöhte Risiko stimmt allerdings mit vie-len, an ausländischen Aktienmärkten erzielten Ergebnissen nicht überein. Im Verlauf der Unter-suchung konnten jedoch frühere Erkenntnisse am Schweizer Aktienmarkt bestätigt werden. |
|
Johanna Christina Schreier, Linearity-Generating Processes - Theory and Application, University of Zurich, Faculty of Business, Economics and Informatics, 2015. (Master's Thesis)
Linearity-generating processes allow to treat dierent asset classes symmetrically. For
both equities and interest rates, convexity cancels out in the respective pricing formulas.
Bonds as well as stock prices are linear in the underlying factors. The distribution of
higher order terms does not in
uence prices. Hence volatility is unidentied by the term
structure of prices. This characteristic of unspanned stochastic volatility simplies parameter
estimation since term structure parameters can be derived independently of the
volatility dynamics. Following [16,36], this thesis focuses on the xed income market. By
thoughtful modeling of the interest rate and the state price density, closed form solutions
for bonds and therefore for all products built out of bonds are achieved. Theoretical LG
processes will be applied to price Libor and Swap rates as well as swaptions. |
|
Elias Lipp, Aktienkursverhalten um den Auszahlungszeitpunkt von Dividenden, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
Das Aktienkursverhalten um den Auszahlungszeitpunkt von Dividenden ist in der Finance-Literatur eine breit diskutierte Thematik. Laut der Irrelevanzthese von Modigliani/Miller sollte der Aktienkursrückgang am Ex-Dividendentag genau der ausgeschütteten Dividende entsprechen. Der Aktienkursrückgang fällt allerdings in vielen Studien geringer aus. Anhand dieser Erkenntnis werden Schlüsse auf die steuerliche Belastung und Transaktionskosten gezogen. In dieser Arbeit werden mithilfe einer Studie bestehende Erkenntnisse aus der Literatur am Schweizer Markt überprüft und Gründe für die Ergebnisse geliefert. Die Analyse ergibt, dass auch am Schweizer Markt die Pricedrop- to-Dividend Ratio geringer als Eins ausfällt. Dies bietet einem Schweizer Investor Arbitragemöglichkeiten, welche mit einer Strategieempfehlung dargelegt werden. |
|
Michael Häberli, Performancevergleich von nachhaltigen Anlagen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
Die vorliegende Arbeit verschafft einen Überblick über die verschiedenen Anlagestrategien, Ansätze und Ausprägungsformen des nachhaltigen Investierens und hinterfragt diese kritisch. Basierend auf einem 12-jährigen Datensample von 20 nachhaltigen und konventionellen Aktienfonds konnten, die von der Portfoliotheorie prognostizierten negativen Auswirkungen von Socially Responsible Invest- ments auf das optimale Risiko-Renditeprofil, nicht bestätigt werden. Zudem wurde festgestellt, dass die verschiedenen Screening Ansätze von nachhaltigen Aktienfonds in den betrachteten Zeitperioden zu signifikant unterschiedlichen risikoadjustierten Performancemassen führten. Die Vermutung, dass durch die Anwendung eines „Nachhaltigkeitsfilters“ im Anlageprozess gewisse kurzfristige Risiken eliminiert werden, konnte über alle Ereignisse kumuliert betrachtet nicht bestätigt werden. |
|
Markus Leippold, Felix Matthys, Endogenous Markov Switching Regression Models for High-Frequency Data under Microstructure Noise, In: SSRN, No. 2611154, 2015. (Working Paper)
We present a novel method in analyzing microstructure noise of high-frequency data as a measurement error problem within an endogenous Markov-switching regression model. In this model, the regression disturbance and the latent state variable controlling the regime are correlated. We show that under endogeneity the popular realized variance estimator is biased and no longer converges to the integrated regime dependent volatility. Exploring intraday return data on foreign exchange rates, we find significant endogeneity at high frequencies. Similar to the popular volatility signature plot suggested by Andersen, Bollerslev, Diebold, and Labys (2000b), we propose an endogeneity plot, which indicates as to which sampling frequency the assumption of exogeneity of the state variable controlling the regime remains valid. |
|
Flurin Caduff, Technische Aktienanalyse im Performance-Vergleich, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Bachelor's Thesis)
Die vorliegende Arbeit untersucht verschiedene Handelsstrategien und versucht eine Überrendite mit- tels technischer Aktienanalyse, im Vergleich zur „Buy-and-Hold“-Strategie, zu erzielen. Durch die Un- tersuchungen konnten signifikante Überrenditen während der Finanzkrise in den Jahren 2007/2008, sowie über einen Zeitraum von 10 Jahren generiert werden. Die höchste Performance wiesen dabei langfristige Indikatoren in Kombination mit kurz- oder mittelfristigen auf. In einem Aufwärtstrend do- minierte dagegen die „Buy-and-Hold“-Strategie. Weiter konnte mit Hilfe der Wochentag-Anomalie ein weiterer direkter Widerspruch zur Markteffizienz festgestellt werden. |
|
Tobias Bertschinger, The Value of Analyst Recommendations in the Swiss Stock Market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis)
Aggregated analyst consensus recommendations provide easily accessible investment advice on listed companies. This thesis investigates whether consensus recommendations can be prof- itably exploited in the Swiss stock market between 1998 and 2014. Empirical tests indicate that monthly abnormal returns of roughly 1.4% against the Carhart four-factor model can be earned when investing according to simple portfolio construction criteria. Even after accounting for reasonable transaction costs, abnormal returns are roughly 1%. The findings show that espe- cially sell ratings for companies with small market capitalisation contain valuable information and that the outperformance has diminished after the downturn in the financial markets in 2008. |
|
Markus Leippold, Nikola Vasiljevic, Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model, In: SFI Research Paper, No. 15-08, 2015. (Working Paper)
We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by following a maturity randomization approach, we solve the partial integro-differential equation and obtain a tight lower bound for the American option price. Secondly, our method allows us to disentangle the contributions of jump and diffusion for the American early exercise premium. Finally, using American-style options on S&P 100 index from 2007 until 2013, we estimate a range of hyper-exponential specifications and investigate the implications for option pricing and jump-diffusion disentanglement. We find that jump risk accounts for a large part of early exercise premium. |
|
Eleni Verteouri, Forecasting Volatility: Causality of Index and Constituents, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis)
This thesis constructs an analytic framework to backtest forecasts on the volatility smile through a risk based perspective. Using public data we focus on the high frequency interaction of returns and volatilities of Euro Stoxx 50 and its components. We select the components Total S.A., BNP Paribas S.A., Soci ́et ́e G ́en ́erale S.A., Intesa Sanpaolo SpA, UniCredit SpA, Banco Bilbao Vizcaya Argentaria S.A. and Banco Santander S.A.. We use fully synchronized tick data at 5 minute inter- vals to obtain the respective 15 minute returns and realized volatilities. We formulate our questions within a VAR-4D model, calculate the optimal lag, utilize the leverage and volatility feedback effect and construct Causality measures. We present lagged dependencies, response to shocks, impulse re- sponse functions and causality estimates. We proceed to enrich our parsimonious model with residual structure that allows for point and interval forecasts. Then we perform a comparison between the three different models: GARCH, EGARCH and GJR applied on the returns residuals. We proceed with performance metrics to assess the statistical significance of our results and trading strategies for the components that are tested out of sample to assess the economic significance. We also test the measure of causality for robustness by changing the timeframe of our analysis and the stock selection to the top 10 market capitalized components of Euro Stoxx 50. Moreover we assess the causality between index and the components Total S.A., Sanofi S.A. and Daimler AG using daily implied volatilities. We recover the implied volatilities using Black-76 model for the European options of the index and Bjerksund and Stensland (2002) model for the American options of the components. We estimate causalities, assess forecasts, trading strategies, the impact of discounting and outliers. We conclude that a common view for index and components is generally not advised and that cautious- ness is needed to apply causality measures. |
|
Gianluca Marcoli, Comparison of market code-books for S&P 500 options, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Master's Thesis)
The market code-books are models which describe simultaneously the dynamics of the underlying instrument and of the traded derivative instruments. The main advantage of the market code-book approach is to allow the existence of option price movements which cannot be attributed to changes in the price of the underlying asset.
In this Master Thesis, we review the theory around the market code-books and tangent models developed by Ren ́e Carmona and Sergey Nadtochiy in their recent papers. We present the design of a L ́evy density code-book. The model is then calibrated to the market prices of the S&P 500 equity index and of the traded European options written on the same index. After that, the L ́evy density code-book is set in motion by the mean of a stochastic diffusion model to create the so called tangent L ́evy market model. Finally, we will asses the accuracy of the tangent L ́evy market model in predicting the future states of the S&P 500 option market. |
|
Felix Matthys, Yacine Ait-Sahalia, Robust Portfolio Optimization with Jumps, In: -, No. -, 2015. (Working Paper)
We study an infinite horizon consumption-portfolio allocation problem in continuous time where asset prices follow L ́evy processes and the investor is concerned about potential model misspecification of his reference model. We derive optimal portfolio holdings in closed form in the presence of model uncertainty, where we analyze perturbations to the reference model in the form of both drift and jump intensity perturbations. Furthermore, we present a method for calculating error-detection probabilities by means of Fourier inversion techniques of the conditional characteristic function in the case when the measure change follows a jump-diffusion process. |
|
Meriton Ibraimi, Essays on Arbitrage Pricing Theory and Systemic Risk Modeling, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Dissertation)
|
|
Markus Ludwig, Three Essays on Option Implied Information, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2015. (Dissertation)
|
|