Leonhard Dobusch, Waldemar Kremser, David Seidl, Felix Werle, A Communication Perspective on Open Strategy and Open Innovation, Managementforschung, Vol. 27, 2018. (Journal Article)
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Dennis Mumby, Robyn Thomas, David Seidl, Ignasi Marti, Resistance redux, Organization Studies, Vol. 38 (9), 2018. (Journal Article)
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D van Aaken, Katja Rost, David Seidl, The Substitution of Governance Mechanisms in the Evolution of Family Firms, Long Range Planning, Vol. 50 (6), 2018. (Journal Article)
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Shenghui Ma, David Seidl, New CEOs and their collaborators: Divergence and convergence between the strategic leadership constellation and the top management team, Strategic Management Journal, Vol. 39, 2018. (Journal Article)
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David Seidl, Felix Werle, Inter-organizational sensemaking in the face of strategic meta-problems: Requisite variety and the dynamics of participation, Strategic Management Journal, Vol. 39, 2018. (Journal Article)
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Katharina Dittrich, David Seidl, Emerging intentionality in routine dynamics: A pragmatist view, Academy of Management Journal, Vol. 61 (1), 2018. (Journal Article)
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 Ewa Skimina, Jan Cieciuch, Shalom H. Schwartz, Eldad Davidov, René Algesheimer, Testing the Circular Structure and Importance Hierarchy of Value States in Real-Time Behaviors, Journal of Research in Personality, Vol. 74, 2018. (Journal Article)
This research is the first to assess directly Schwartz’s claim that the circular structure of values derives from value compatibilities or conflicts experienced in real-time behaviors. We differentiate two types of values: value traits guide perception and behavior over time and situations and value states guide real-time behavioral acts. We measured the value states of 374 participants for 13,873 behavioral acts with experience sampling, distinguishing volitional from non-volitional acts. As hypothesized, value states for volitional acts, but not for non-volitional acts reproduced the circular value structure. The importance hierarchies of value states differed substantially from the importance hierarchy of value traits, suggesting that the importance of value states depends more on situations than on the hierarchy of value traits. |
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Markus Leippold, Chris Bardgett, Elise Gourier, Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets, Journal of Financial Economics, Vol. forthcoming, 2018. (Journal Article)
We estimate a flexible affine model using an unbalanced panel containing S\&P 500 and VIX index returns and option prices, and analyze the contribution of VIX options to the model's in- and out-of-sample performance. We find that they contain valuable information on the risk-neutral conditional distributions of volatility at different time horizons, which is not spanned by the S\&P 500 market. This information allows enhanced estimation of the variance risk premium. We gain new insights on the term structure of the variance risk premium, present a trading strategy exploiting these insights and show how to improve S&P 500 return forecasts. |
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Lucas Fuhrer, Liquidity in the Repo Market, Journal of International Money and Finance, Vol. forthcoming, 2018. (Journal Article)
This paper examines liquidity in the Swiss franc repurchase (repo) market and assesses its determinants using a proprietary dataset ranging from 2006 to 2016. I find that repo market liquidity has a distinct intraday pattern, with low liquidity in early and late trading hours. Moreover, repo market liquidity is negatively affected by stress in the global financial system and the end of the minimum reserve requirement period if central bank reserves are scarce. Furthermore, I show that with excess central bank reserves in the financial system, quoted volumes in the interbank market get imbalanced towards more cash provider relative to cash taker quotes and the trading volume declines. By estimating liquidity in an interbank repo market and explaining its drivers, this paper contributes to the ongoing debate on repo market functioning. |
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Pablo Koch Medina, Cosimo Munari, Mario Šikić, A simple characterization of tightness for convex solid sets of positive random variables, Positivity, Vol. forthcoming, 2018. (Journal Article)
We show that for a convex solid set of positive random variables to be tight, or equivalently bounded in probability, it is necessary and sufficient to be is radially bounded, i.e. that every ray passing through one of its elements eventually leaves the set. The result is motivated by problems arising in mathematical finance. |
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Anastasiia Sokko, Essays in Behavioural Financial Markets and Asset Pricing, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Dissertation)
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Inès Dinh, Gender as a Risk Factor in the Calculation of Insurance Premiums and Benefits, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master Thesis)
The use of gender as a risk factor in the calculation of premiums and benefits has been
a deep-rooted actuarial practice. Statistical evidence demonstrates systematic
differences in the loss frequency in terms of mortality rate and traffic accidents
between men and women, which are reflected in their life and motor insurance
premiums. Nevertheless, on 1 March 2011 the European Court of Justice decided to
prohibit gender-based pricing in the insurance sector since it was deemed to go against
the principle of equal treatment between individuals. This research provides a
comprehensive discussion on the current use of gender as a risk factor in insurance
pricing and the potential economical implications of unisex pricing within a Swiss
context. The first parts focus on the theoretical and legal aspects of insurance pricing.
There then follows a thorough discussion on the current practice with regard to the use
of gender and the practical application of the European Court of Justice Judgment. This
research outlines the economic inefficiencies of imposing unisex pricing by
investigating the case of term life insurance and motor insurance in Switzerland. |
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Martin Waser, A hybrid least-Squares support vector machines based local neuro-fuzzy model using a feed-forward artificial neural network for class membership weight generation, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master Thesis)
Heterogeneous data spaces with multiple underlying regimes may
present difficulties for a global supervised inference engine. A way
of increasing prediction accuracy is to divide the input space among
multiple models and aggregate predictions. This paper proposes a
novel hybrid neuro-fuzzy model combining a feed-forward artificial
neural network (ANN) for data space partition with weighted leastsquares
support vector machines (LSSVM) as local inference engines.
Model parameter are estimated via error backpropagation by using
the derivatives of the LSSVM core equations with regard to the ANN
final layer outputs. Empirical tests on benchmark time series show
increased forecasting performance for some data sets compared to less
flexible architectures but this comes at a significant increase in computational
costs. |
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Richard Olsen, Stefano Battiston, Guido Caldarelli, Anton Golub, Mihail Nikulin, Sergey Ivliev, Case study of Lykke exchange: architecture and outlook, The Journal of Risk Finance, Vol. forthcoming, 2018. (Journal Article)
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Marco Geiger, An Econometric Analysis of the Global Forest Cover Loss with a Focus on the Real Exchange Rate, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master Thesis)
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Esther d'Overschie, Anthropometrie und Gesundheit in der Schweiz (1800-1802), University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Bachelor Thesis)
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Nicola Alessio Möbius, Central Bank Digital Currencies Strategies for implementation, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master Thesis)
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Hart Posen, Thomas Keil, Sangyun Kim, Felix Meissner, Renewing Research on Problemistic Search - A Review and Research Agenda, Academy of Management Annals, 2018. (Journal Article)
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Lorenz Hilty, Patrizia Huber, Motivating students on ICT-related study programs to engage with the subject of sustainable development, International Journal of Sustainability in Higher Education, Vol. 19 (3), 2018. (Journal Article)
Purpose: Sustainable development (SD) does not usually form part of the curriculum of ICT-related study programs such as Computer Science, Information Technology, Information Systems, and Informatics. However, many topics form a bridge between SD and ICT and could potentially be integrated into ICT-related study programs. This paper reports the findings of a study into which specific topics in the field of SD have the greatest potential to motivate students on ICT-related study programs to engage with the topic of sustainability.
Design/methodology/approach: In this exploratory study, the authors evaluated Bachelor’s and Master’s courses that introduced the topic of SD to students on ICT-related study programs. The evaluation focuses on the insights that the students gained into sustainability and the extent to which their motivation to engage with the subject was increased. The evaluation combines qualitative and quantitative approaches.
Findings: The authors identify five thematic clusters with the greatest potential to motivate students to engage with the topic of sustainability: A conceptual model of the positive and negative impacts of ICT; Reports on the recycling of ICT hardware; Examples of using ICT to reduce greenhouse gas emissions with a focus on the substitution of virtual for physical presence; Statistical data on post-industrial seemingly dematerialized economies and the contradiction with regard to the total material demand of such economies; Evidence for rebound effects that lead to increasing demand for goods or services that are produced with less energy input or can be consumed faster.
Originality/value: ICT is a transformational and to a certain extent disruptive technology. It is therefore important to discuss the development of ICT and its applications in the context of SD. Several authors have pointed out the need to integrate the topic of sustainability into ICT courses at universities and similar, but few have discussed how this can be done in practice. Our study is the first to explore which topics have the greatest potential to motivate students on ICT-related programs to engage with the area of SD. |
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Silvio Leoni, Common determinants and spillovers in Australian and Chinese stock prices, exchange rates and bilaterally traded commodities, University of Zurich, Faculty of Business, Economics and Informatics, 2018. (Master Thesis)
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