Kinga Kaczmarek, Empirical analysis of fixed income products: the role of interest rates and spread duration in ALM, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis)
 
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David Oesch, Manuel Ammann, Markus Schmid, Are better governed companies rewarded by capital markets?, Business and Economy, India: Banking, Finance, Markets, 2011. (Journal Article)
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Michael Stadelmann, On the Determination of the Fair Price of Contingent Convertible Bonds, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis)
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Fabian Karl, Is the value premium in influenced by investor sentiment? - An empirical investigation for the German market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis)
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Andreas Oberlin, Affine models of the commodity term structure, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis)
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 Ulrich Horst, Santiago Moreno-Bromberg, Efficiency and equilibria in games of optimal derivative design, Mathematics and Financial Economics, Vol. 5, 2011. (Journal Article)
In this paper, optimal derivative design when multiple firms compete for heterog-enous customers is studied. Ties in the agents’ best responses generate discontinuous payoffs. Efficient tie-breaking rules are considered: In a first step, the model presented by Carlier etal. (Math Financ Econ 1:57–80,2007) is extended, and results of Page and Monteiro (J Math Econ 39:63–109, 2003, J Econ Theory 134:566–575, 2007, Econ Theory 34:503–524, 2008) are used to prove the existence of (mixed-strategies) Nash equilibria. In a second step, thecase of risk minimizing firms is studied. Socially efficient allocations are introduced, andtheir existence is proved. In particular, the entropic risk measure is considered. |
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Irina Todoran, Semi-Automatic Service Integration of Telecom and Internet Services in a Service Delivery Platform, Aalto University Helsinki and Technische Universität München, School of Science and Technology, 2011. (Master's Thesis)
The purpose of this study was to identify the most appropriate way to (semi-)automatically
integrate external Internet and telecom services into a Service Delivery Platform (SDP) for a
Telecommunications operator, thus making them available to the community of developers. Another
aim was to show how the concept can be implemented in a service-oriented manner.
Both the literature review and design science methods were applied in this thesis. The literature review was conducted to identify and assess the existing service description languages
for Representational State Transfer (REST) architectures, and automatic code generation alternatives. For this, the concept-centric approach was used. The design science focused on implementing a prototype for the automatic code generation service, which shows how the concept
developed can be materialized. The artifact constructed consists of a use case based on the
Google Language Application Programming Interface (API). The literature review indicated that an Extensible Markup Language (XML)-based description meets the requirements for the service specifications on an SDP. Furthermore, the study revealed that an engine which uses the description as the data model and a template as input, processes the data, and outputs a Java file is the most suitable solution for the automatic source code generation. The template engine chosen to develop this was the Apache Velocity open source software project, and the automatically generated source code was packaged within an Open Services Gateway initiative framework (OSGi) bundle, which can be deployed on the SDP. The principal conclusion drawn was that semi-automatic code generation can be achieved on an SDP by using a template-driven approach. This solution meets the requirements regarding the generality of the project, and works for services with an indefinite number of compulsory and optional parameters. Therefore, the data model can be customized for any RESTful service which exposes its interface, and service-oriented architecture design principles such as loose coupling, composability and reusability are enabled. |
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Redaktion, Alexandre Ziegler, Experten warnen vor Währungsrisiken, In: Neue Luzerner Zeitung, 1 July 2011. (Media Coverage)
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Marcel Speiser, Alexandre Ziegler, SNB beeinflusst Währungsrisiken, In: Aargauer Zeitung, 1 July 2011. (Media Coverage)
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Maike Scherrer-Rathje, Patricia Deflorin, Establishing a Lead Factory - when can an intra-firm network benefit the most? , In: 18th Annual European Operations Management Association (EUROMA) Conference. 2011. (Conference Presentation)
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Ramazan Gençay, Francis In, Sangbae Kim, Investment horizon effect on asset allocation between value and growth strategies, Economic Modelling, Vol. 28 (4), 2011. (Journal Article)
How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to address these questions by examining portfolio allocation between value and growth stocks over various investment horizons. This new approach is based on wavelet analysis, which decomposes the returns of a particular investment strategy across multiple investment horizons. The key empirical results show that the success of pursuing the value strategy (short-selling growth stocks and going long on value stocks) is impacted by the approach used to classify value and growth stock returns. We explore two common alternatives: Fama-French versus Standard & Poor's (S&P) 500/Barra portfolios. The results using Fama–French portfolios show that as the investment horizon increases, the optimal mean allocation of investors tilts heavily away from growth stocks, particularly for lower and moderate levels of risk aversion. Interestingly, for S&P 500/Barra portfolios the allocation weights between value and growth do not vary much. |
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Urs Birchler, SNB beeinflusst Weltwährungsreserven, In: Aargauer Zeitung, p. 9, 1 July 2011. (Newspaper Article)
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Bruno Frey, Happiness – a revolution in social science, In: nexus: Warwick Business School Alumni Association magazine, p. 15, 1 July 2011. (Newspaper Article)
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Johannes Schwarze, Rainer Winkelmann, Happiness and altruism within the extended family, Journal of Population Economics, Vol. 24 (3), 2011. (Journal Article)
We propose a direct measure of altruism between parents and adult children, using survey data on happiness from the German Socio-Economic Panel for the years 2000–2004. The question of altruism within families has policy relevance, for example, to understand whether public transfers crowd out private ones. Previous empirical evidence, based on observed transfer behavior, has failed to establish a clear consensus. Using various cross section, panel data, and instrumental variable estimators, we find a robust association between the happiness of parents and that of their adult children. A 1 standard deviation increase in a child’s happiness is associated with the same increase in own happiness as that of a 20–45% increase in household income, depending on specification. |
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Jan Boone, Jan C van Ours, Jean-Philippe Wüllrich, Josef Zweimüller, Recessions are bad for workplace safety, Journal of Health Economics, Vol. 30 (4), 2011. (Journal Article)
Workplace accidents are an important economic phenomenon. Yet, the pro-cyclical fluctuations in workplace accidents are not well understood. They could be related to fluctuations in effort and working hours, but workplace accidents may also be affected by reporting behavior. Our paper uses unique data on workplace accidents from an Austrian matched worker-firm dataset to study in detail how economic incentives affect workplace accidents. We find that workers who reported an accident in a particular period of time are more likely to be fired later on. And, we find support for the idea that recessions influence the reporting of moderate workplace accidents: if workers think the probability of dismissals at the firm level is high, they are less likely to report a moderate workplace accident. |
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Lorenzo Casaburi, G Alfredo Minerva, Production in advance versus production to order: the role of downstream spatial clustering and product differentiation, Journal of Urban Economics, Vol. 70 (1), 2011. (Journal Article)
In every production process, suppliers have to decide whether an item should be produced and stored as inventory before an explicit purchase order is received (production in advance), or whether it should be produced only after such an order is received (production to order). We study the determinants of this firm-level choice. We present a simple conceptual framework to derive predictions that we subsequently test in the empirical analysis. We argue that an increment in buyers’ spatial concentration benefits production in advance more in homogenous industries than in differentiated ones, while the benefits for production to order are larger as product differentiation increases. Consequently, the propensity to adopt one of the two production modes, following an increase in the number of local downstream buyers, changes according to the degree of product differentiation of the goods. Relying on a large data set of Italian manufacturing firms, we find empirical support to our ideas. |
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Urs Birchler, Ursula Gut, Der Kanton Zürich und die Nationalbank, In: NZZ, 150, p. 19, 30 June 2011. (Newspaper Article)
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Raphael Flepp, Stephan Nüesch, Egon Franck, Market Structures and Informational Efficiency: Explaining Inter-Market Price Deviations in the Betting Industry, In: WEAI Conference 2011. 2011-06-29. (Conference Presentation)
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Felix-Robinson Aschoff, Verena Schaer, Gerhard Schwabe, Where should I send my post? The concept of discourse quality in online communities and its dependency on membership size, In: 5th International Conference on Communities & Technologies, Association for Computing Machinery, Brisbane, Australia, 2011-06-29. (Conference or Workshop Paper published in Proceedings)
Today's Web users are faced with a large number of available online communities for every domain. While there are rules-of-thumb for the choice of a specific community, the validity of these heuristics has hardly been tested empirically. Furthermore, there is a lack of well-founded measures that allow for a systematic comparison of different online forum communities. In this contribution, we propose the concept of discourse quality as a means to this end. This measure is conceptualized from a user perspective and combines quantitative as well as qualitative parts, including a codebook for content analysis. To show the applicability and the usefulness of this measure, we systematically compare 34 online forums with varying degrees of membership size. We are able to show that the forums with the most members online consistently show high discourse quality. Finally, we discuss the potential of benchmark measures for future online community research. |
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Uschi Backes-Gellner, Explaining the Gender Pay Gap Revisited, In: Kolloquium des Fachbereichs Wirtschaftswissenschaft. 2011. (Conference Presentation)
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