Felix Hoffmann, Autonomous drone applications in public entities; Organizational consequences of autonomous drone use in police operations, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
 
The goal of this thesis is to analyze what the potential applications for human-drone collaboration in public entities are, which organizational and procedural consequences the police force is faced with in order to integrate autonomous drones and what challenges arise during a police operation with autonomous drone support. Literature research and interviews with test subjects and police representatives resulted in potential use cases such as assisting the police during police operations, arriving first at a crime scene and providing visual information, helping fire fighters find the source of a fire, enabling rescue teams locate missing people, and many more. Consequences for the police force are the implementation of novel technology, training officers to use it efficiently and having to maintain reputation. Managing communication is the most dominant challenge for the police when operating with an autonomous drone. |
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Claudia Wenzel, The social dilemma of personal data: Understanding people’s inconsistency in sharing data for social versus personal good and how to overcome it, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Dissertation)

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Nemanja Simic, Momentumeffekt bei Währungen, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)
 
Ziel dieser Arbeit ist die Beantwortung der Frage, ob sich Momentumstrategien mit Währungen lohnen und welche Implikationen dies für die Effizienzmarkthypothese hat. Dazu wurden sechs Momentumstrategien und eine Buy-And-Hold-Strategie auf einen historischen Datensatz der wichtigsten Währungen angewendet und die Ergebnisse mit bestehenden Studien verglichen. Entgegen der Literatur konnten signifikante negative Gesamtrenditen bei allen Momentumstrategien nachgewiesen werden, was eine Erhöhung der Informationseffizienz im Devisenmarkt impliziert. Dabei schneiden Long-Short-Strategien besser ab als Long-Only-Strategien. Der Widerspruch zur Literatur begründet sich durch unterschiedliche Studienzeiträume und unterschiedlich komplexe Methoden. Basierend auf den Erkenntnissen wird von einer erschwerten Existenz und Profitabilität des Momentum-Effekts ausgegangen. |
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Carole Mäder, ESG-Ratings bei Emerging-Markets-Anlagen aus Anlegersicht, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)
 
Die vorliegende Arbeit zielt auf die Identifikation von Unterschieden der
ESG-Ratings, der Rendite-/Risikokennzahlen und der Exponierung gegenüber den
Investmentfaktoren zwischen nachhaltigen MSCI Emerging Markets- und
Welt-Indizes ab. Die Emerging Markets-Indizes weisen ein überdurchschnittlich
hohes Verbesserungspotential gegenüber dem Governance-Faktor auf. Aufgrund der
schlechteren ESG-Ratings und schlechteren Rendite-/Risikoverhältnisse sind
Investitionen in Schwellenländer mit höheren Risiken verbunden. Aufgrund ähnlicher
Rendite-/Risikoeigenschaften und hohen Bestimmtheitsmasse in den Faktoranalyse
kann angenommen werden, dass die nachhaltigen Indizes gute Alternativen zu
herkömmlichen Anlagen darstellen. Die zunehmende Fokussierung nachhaltiger
Schwellenländer-Indizes gegenüber Large-Cap Unternehmen steht jedoch im
Widerspruch gängiger Erwartungen über die Exponierung gegenüber dem
Size-Premium. |
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Jan Bieser, Beatrice Salieri, Roland Hischier, Lorenz Hilty, Opportunities of 5G Mobile Technology for Climate Protection in Switzerland, In: Advances and New Trends in Environmental Informatics : Environmental Informatics and the UN Sustainable Development Goals, Springer, Cham, p. 217 - 235, 2023. (Book Chapter)
 
5G mobile networks are intended to meet the increasing requirements placed on mobile communications. Producing and operating 5G infrastructure causes direct effects on greenhouse gas (GHG) emissions. Meanwhile, 5G is expected to support applications that contribute to GHG abatement. We investigated (i) the GHG footprint of 5G infrastructure, and (ii) the GHG abatement potential of four 5G-supported use cases (i.e., flexible work, smart grids, automated driving and precision farming) for Switzerland in 2030. Our results show that 5G infrastructure is expected to cause 0.018 Mt CO2 e/year. Per unit of data transmitted, 5G is expected to cause 85% less GHG emissions in 2030 than today’s 2G/3G/4G network mix. The four 5G-supported use cases have the potential to avoid up to 2.1 Mt CO2 e/year; clearly more than the predicted GHG footprint of 5G infrastructure. The use cases benefit especially from ultra-low latency, the possibility to connect many devices, high reliability, mobility, availability and security provided by 5G. To put 5G at the service of climate protection, measures should be taken in two fields. First, the GHG footprint of 5G should be kept small, by installing only as much 5G infrastructure as required, running 5G with electricity from renewable energy sources, and decommissioning older network technologies once 5G is widely available. Second, the GHG abatements enabled by 5G-supported use cases should be unleashed by creating conditions that target GHG reductions and mitigate rebound effects. The final outcome depends largely on the political will to steer the development into the direction of a net GHG reduction. |
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Lin Lu, Sustainability Reporting and Corporate Innovation, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)

In this thesis, I examine the impact of sustainability reporting (SR) on corporate innovation
measured by the number of patents, the number of forward citations, and the real value
of patents, based on the U.S.-listed firms from 1989 to 2020. I employ the Propensity
ScoreMatching approach to obtain SR firms (treatment group) and matched non-SR firms
(control group). In the matched sample, I apply the Difference-in-Differences approach
to compare how sustainability reports change corporate innovation. The results indicate
that sustainability information disclosure has no significant relationship with innovation
output. To make the analysis robust, I conduct two tests. The first test is the industrial
analysis. I choose firms in manufacturing industries since these industries have sufficient
observations. I discover that the impact of sustainability reporting on innovation output is
still insignificant. The second one is using an alternate event window. The sustainability
reporting impact on innovation remains insignificant. Then, I performadditional analysis
in the sample without inactive companies. The finding is that sustainability reporting negatively
influences innovation captured by the number and the economic value of patents.
This study helps to fill the gap in the existing literature and provides policy recommendations
for regulators and some insight for companies. |
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Gianni Buchmann, Harmonization of External Green Bond Ratings, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Bachelor's Thesis)

In this thesis, a harmonized rating scale for a selection of green bond ratings is created using bond-specific external review data. The rating scale can be used to compare external green bond ratings with one another. The basis of the scale is a set of indicators derived from the Green Bond Principles (GBP). A final score is attributed to each rating and consists of its average conformity with the GBP. This is measured by the ratings’ average performance in each indicator. This way both positive and negative opinions voiced by external reviewers are integrated. I find that equally positioned ratings on average show the same conformity with the GBP. There is however a distinct difference in conformity noticeable between relatively good and relatively bad ratings. Moreover, a brief yield analysis is conducted using the harmonized rating scale. The analysis shows that the relative differences in conformity of ratings originating from the same external reviewer are mirrored in the relative difference in their yields. Also, the findings show that when corrected for unobserved bond characteristics, this relation can also be seen for ratings from different external reviewers. |
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Carlo Campajola, Domenico Di Gangi, Fabrizio Lillo, Daniele Tantari, Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model, Scientific Reports, Vol. 12 (1), 2023. (Journal Article)

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Linus Kempe, Firm Performance and CSR during the Global Financial Crisis: Evidence from Mergers and Acquisitions, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)

Mergers and acquisitions (M&As) provide a good framework for shedding light on how corporate
social responsibility (CSR) activities influence firms’ stock market performance. Using a large
sample of US M&As, this study analyzes whether CSR created value for acquiring firms’ shareholders
prior to and during the global financial crisis of 2007-2009. CSR scores are calculated using the MSCI ESG KLD Stats database. The results suggest that there is no effect of CSR on acquirer announcement returns. Additionally, no effect of CSR activities on acquirer announcement returns is found comparing the time period prior to the global financial crisis to the time period during the global financial crisis, suggesting that high CSR acquirers do not outperform
during times of economic downturn. The empirical evidence, therefore, indicates that CSR has no impact on M&A performance and that therefore the performance must mainly be driven by other factors. |
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Jonas Maag, Wie beeinflusst Covid-19 den Schweizer Immobilienmarkt? Eine Ereignisstudie über Börsenmarktreaktionen nach regulatorischen Beschlüssen des Bundesrats, University of Zurich, Faculty of Business, Economics and Informatics, 2023. (Master's Thesis)

Der Ausbruch von Covid-19 überraschte im Frühjahr 2020 die gesamte Weltwirtschaft wie
auch die Finanzmärkte in einem Ausmass ohne Präzedenz. Um der rapiden Verbreitung des
Virus gezielt entgegenzuwirken, beschlossen Regierungen Sofortmassnahmen mit dem Ziel,
die Bevölkerung entsprechend zu schützen. Hierzu wurden entlang der Pandemie vom
Schweizer Bundesrat wiederholt restriktive Massnahmen wie Ausgangssperren, Verordnungen
zur sozialen Distanzierung, Laden-, Schul- und Grenzschliessungen sowie auch Zugangsbeschränkungen
beschlossen. Diese Arbeit untersucht, wie sich die Ankündigungen
solcher Massnahmen auf Börsenkurse von 48 kotierten Schweizer Immobilienfonds und -
aktien auswirken. Mittels quantitativer Methodik einer Ereignisstudie werden sechs ausgewählte
Ankündigungen von Massnahmen des Bundesrats im Zeitraum zwischen dem 16.
März 2020 und 17. Dezember 2021 untersucht. Die Resultate dieser Arbeit zeigen, dass sich
die Ankündigungen des Bundesrats zu Beginn der Pandemie stark auf Immobilienaktien und
-fonds auswirken. So resultieren insbesondere bei der erstmaligen Ankündigung der Ausgangssperre
signifikant negatives abnormales Renditeverhalten sowohl bei den untersuchten
Aktien als auch den Fonds. Mit deutlich geringerem Wirkungseffekt sind solche Kursreaktionen
auch bei der Ankündigung der zweiten Ausgangssperre Anfang 2021 bei den Immobilienfonds
evident. Bei den zeitlich nachgelagerten Massnahmenankündigungen resultieren
marginale bis inexistente Kursreaktionen. Weiter zeigt die Analyse der Subsektoren des
Schweizer Immobilienmarktes, dass bei erster Ankündigung der Ausganssperre die Kursreaktionen
bei Fonds und Aktien mit Mehrheitsinvestitionen im Wohnsektor geringer sind,
während diese insbesondere im Bürosektor stärker negativ ausfallen. Obschon nur ein Teilbereich
des Schweizer Immobiliensektors untersucht wird, liefert diese Arbeit erste Erkenntnisse
über den Einfluss der Pandemie auf den kotierten Schweizer Immobiliensektor und
legt somit den Grundstein für weiterführende Forschung. |
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Erdinc Akyildirim, Shaen Corbet, Murat Tiniç, Ahmet Sensoy, Adverse Selection in Cryptocurrency Markets, Journal of Financial Research, Vol. forthcoming, 2023. (Journal Article)

In this article we investigate the influence that information asymmetry may have on future volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the adverse-selection component of the effective spread as a proxy for overall information asymmetry. Using order and trade data from the Bitfinex exchange, we first document statistically significant adverse-selection costs for major cryptocurrencies. Also, our results suggest that adverse-selection costs, on average, correspond to 10% of the estimated effective spread, indicating an economically significant impact of adverse-selection risk on transaction costs in cryptocurrency markets. Finally, we document that adverse-selection costs are important predictors of intraday volatility, liquidity, market toxicity, and returns. |
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Jan Bieser, Daniel Fasnacht, Hype or help: what blockchain really does, 2023. (Studies and Reports Commissionned)

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Daniel Fasnacht, Offene Ökosysteme: Wie durch Branchen- und Technologiekonvergenz Mehrwert entsteht, Springer Nature, Berlin, 2023. (Book/Research Monograph)

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Daniel Fasnacht, Christian Straube, L. Stolpmann, Quantencomputing als Basistechnologie für den nächsten Konjunkturzyklus, HMD, Vol. forthcoming, 2023. (Journal Article)

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Daniel Fasnacht, D. Proba, Inter-Organizational Agility as Driving Force for Innovation, Journal of Systems Research and Behavioural Science, Vol. forthcoming, 2023. (Journal Article)

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Jennifer Sparr, David Waldman, Eric Kearney, Paradoxes in agentic and communal leadership, In: The SAGE Handbook of Leadership, SAGE Publications, London, p. 472 - 483, 2023. (Book Chapter)

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Christoffer Kok, Carola Müller, Steven Ongena, Cosimo Pancaro, The Disciplining Effect of Supervisory Scrutiny in the EU-Wide Stress Test, Journal of Financial Intermediation, Vol. 53, 2023. (Journal Article)

Relying on confidential supervisory data related to the 2016 EU-wide stress test, this paper presents novel empirical evidence that supervisory scrutiny associated to stress testing has a disciplining effect on bank risk. We find that banks that participated in the 2016 EU-wide stress test subsequently reduced their credit risk relative to banks that were not part of this exercise. Relying on new metrics for supervisory scrutiny that measure the quantity, potential impact, and duration of interactions between banks and supervisors during the stress test, we find that the disciplining effect is stronger for banks subject to more intrusive supervisory scrutiny during the exercise. We also find that a strong risk management culture is a prerequisite for the supervisory scrutiny to be effective. Finally, we show that a similar disciplining effect is not exerted neither by higher capital charges nor by more transparency and related market discipline induced by the stress test. |
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Emmanuel Mamatzakis, Steven Ongena, Mike G Tsionas, The response of household debt to COVID-19 using a neural networks VAR in OECD, Empirical Economics, Vol. forthcoming, 2023. (Journal Article)

This paper investigates responses of household debt to COVID-19 related data like confirmed cases and confirmed deaths within a panel VAR framework for OECD countries. We also employ a plethora of non-pharmaceutical and pharmaceutical interventions as shocks. In terms of methodology, we opt for a global panel VAR (GVAR) methodology that nests underlying country VARs. In addition, as linear factor models may be unable to capture the variability in the data, we use an artificial neural network (ANN) method. The number of factors, as well as the number of intermediate layers, are determined using the marginal likelihood criterion and we estimate the GVAR with MCMC techniques. Results reveal that household debt positively responds to COVID-19 infections and mortality as well as lockdowns, though this response is valid in the short term. However, vaccinations and testing appear to negatively affect household debt. Lockdown measures such as stay-at-home advice, and closing schools, all have a positive impact on household debt in GVAR, though of transitory nature. |
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Shusen Qi, Kent Hui, Steven Ongena, Inter-industry FDI spillovers from foreign banks: Evidence in transition economies, Financial Management, Vol. forthcoming, 2023. (Journal Article)

Using a sample of non-financial domestic firms in transition economies from Eastern Europe and Central Asia, we examine whether and how inter-industry spillover from FDI in the banking sector occurs. Our findings show that the innovation pursued by domestic firms benefits from foreign bank penetration. However, these positive inter-industry spillovers surprisingly do not seem to work through enhanced credit access. We further find these positive spillovers to occur mainly for foreign banks that use relationship lending, domestic firms that do not export, and host countries that are less open to the global market. |
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Florian Heeb, Julian Kölbel, Falko Paetzold, Stefan Zeisberger, Do Investors Care about Impact?, The Review of Financial Studies, Vol. forthcoming, 2023. (Journal Article)

We assess how investors’ willingness-to-pay (WTP) for sustainable investments responds to the social impact of those investments, using a framed field experiment. While investors have a substantial WTP for sustainable investments, they do not pay significantly more for more impact. This also holds for dedicated impact investors. When investors compare several sustainable investments, their WTP responds to relative, but not to absolute, levels of impact. Regardless of investments' impact, investors experience positive emotions when choosing sustainable investments. Our findings suggest that the WTP for sustainable investments is primarily driven by an emotional, rather than a calculative, valuation of impact. |
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