Christian König, EDV in der Gemeindeverwaltung zentral oder dezentral? Aufgabenanalyse und Kriterienkatalog, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 1977. (Dissertation)
|
|
Rudolf Marty, PROMID - eine problembezogene Programmiersprache für die mittlere Datentechnik, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 1975. (Dissertation)
|
|
Edwin Wydler, Wertschriften-Informationssystem mit Hilfe der elektronischen Datenverarbeitung, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 1968. (Dissertation)
|
|
Sebastian Fehrler, Baiba Renerte, Irenaeus Wolff, Beliefs about others: A striking example of information neglect, In: Thurgau Institute of Economics at the University of Konstanz, No. 118, 2020. (Working Paper)
In many games of imperfect information, players can make Bayesian inferences about other players’ types based on the information that is contained in their own type. Several behavioral theories of belief-updating even start from the assumption that players project their own type onto others also when it is not rational. We investigate such inferences in a simple environment that is a vital ingredient of numerous game-theoretic models and experiments, in which types are drawn from one out of two states of the world and participants have to guess the type of another participant. We find little evidence for irrational over-projection. Instead, between 50% and 70% of the participants in our experiment completely neglect the information contained in their own type and base their beliefs and choices only on the prior probabilities. Using several experimental interventions, we show that this striking neglect of information is very robust. |
|
Fabio Braggion, Felix Von Meyerinck, Nic Schaub, Michael Weber, The long-term effects of inflation on inflation expectations, In: Chicago Booth Paper, No. 23-13, 2023. (Working Paper)
We study the long-term effects of inflation surges on inflation expectations. German households living in areas with higher local inflation during the hyperinflation of the 1920s expect higher inflation today. Our evidence points towards a transmission of inflation experiences from parents to children and through local institutions. Differential historical inflation also modulates the updating of expectations to current inflation, the response to unconventional fiscal policies, and financial decisions. We obtain similar results in a test with Polish households residing in formerly German areas. Overall, our findings are consistent with inflationary shocks having a long-lasting impact on attitudes towards inflation. |
|
Delia Coculescu, Huyen Pham, Mederic Motte, Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation, In: ArXiv.org, No. 2306.16553, 2023. (Working Paper)
We study binary opinion formation in a large population where individuals are influenced by the opinions of other individuals. The population is characterised by the existence of (i) communities where individuals share some similar features, (ii) opinion leaders that may trigger unpredictable opinion shifts in the short term (iii) some degree of incomplete information in the observation of the individual or public opinion processes. In this setting, we study three different approximate mechanisms: common sampling approximation, independent sampling approximation, and, what will be our main focus in this paper, McKean-Vlasov (or mean-field) approximation. We show that all three approximations perform well in terms of different metrics that we introduce for measuring population level and individual level errors. In the presence of a common noise represented by the major influencers opinions processes, and despite the absence of idiosyncratic noises, we derive a propagation of chaos type result. For the particular case of a linear model and particular specifications of the major influencers opinion dynamics, we provide additional analysis, including long term behavior and fluctuations of the public opinion. The theoretical results are complemented by some concrete examples and numerical analysis, illustrating the formation of echo-chambers, the propagation of chaos, and phenomena such as snowball effect and social inertia. |
|
Tsuyoshi Iwata, Marc Weibel, A Factor-Tilt Approach to ESG Investing, In: SSRN, No. 4456943, 2023. (Working Paper)
This research examines the incorporation of Environmental, Social, and Governance (ESG) factors into portfolio construction, focusing on identifying companies with strong ESG practices and their relationship with financial performance. Drawing on a US sample of companies and timely ESG data provided by RepRisk, the research proposes a relative approach for constructing a portfolio with a desired exposure to traditional risk premia while tilting the final portfolio towards a quantitative ESG objective. The methodology combines bottom-up and top-down approaches to identify a potential ESG alpha while neutralizing the relative exposure to risk premia associated with traditional factors. The findings indicate a significant and positive ESG premium in the US market while addressing criticisms regarding the lack of forward-looking ESG data. The study makes a novel contribution to the literature on ESG investing by demonstrating the potential of a more flexible and nuanced approach to portfolio construction that incorporates timely ESG information. The results have general implications for investors seeking to align their investments with ESG principles, achieve better risk-adjusted returns, and generate sustainable and resilient portfolios. |
|
Zoran Filipovic, Alexander Wagner, The Intangibles Song in Takeover Announcements: Good Tempo, Hollow Tune, In: Swiss Finance Institute Research Paper, No. 19-03, 2023. (Working Paper)
Mergers and acquisitions are often motivated by the intention of creating value from intangible assets. We develop a novel word list of intangibles and apply it to takeover announcements. The value of these deals to the acquirer, as shown by abnormal announcement returns, is questionable: One standard deviation more in intangibles talk lowers returns by 0.50 percentage points. Agency problems explain little of these results. Rather, the cross-section of announcement returns, payment mode choices, and insider trades suggest that intangibles talk reflects managerial overoptimism. In sum, takeover announcements reveal important information regarding the quality of deals. |
|
Vitaly Orlov, Stefano Ramelli, Alexander Wagner, Revealed Beliefs about Responsible Investing: Evidence from Mutual Fund Managers, In: Swiss Finance Institute Research Paper, No. 22-98, 2023. (Working Paper)
What do asset managers believe regarding the financial performance of Environmental, Social, and Governance (ESG) investment strategies? We address this question by exploring the relationship between fund managers’ co-ownership and portfolio ESG performance. Managers with more “skin in the game” exhibit significantly lower ESG performance in funds they manage than their peers. ESG performance is sensitive to changes in managerial ownership. Co-investing managers were less likely to increase their stake in high-ESG stocks after an exogenous shock in ESG-driven fund flows. Moreover, the negative effect of managerial ownership on ESG performance is stronger for managers paid to maximize assets under management, and weaker for managers paid exclusively to maximize financial returns. Overall, the results are contrary to what one would expect if managers really considered ESG strategies an enhanced form of portfolio management. |
|
Raphael Auer, Bruce Iwadate, Andreas Schrimpf, Alexander Wagner, Global Production Linkages and Stock Market Comovement, In: Swiss Finance Institute Research Paper, No. 22-18, 2022. (Working Paper)
Although real integration conceptually plays an important role for the comovement of international equity markets, documenting this link empirically has proven challenging. We construct a new dataset of theory-guided, relevant measures of bilateral trade in final and intermediate goods and services. With these measures, we provide evidence of a strong link between changes in international trade – in particular global value chains – and equity market comovement.These results suggest that supply chain disruptions and reshoring, for instance due to political tensions, war, and the COVID-19 crisis, might affect the interconnections between stock markets via rippling through the global production network. |
|
Alexander Wagner, Ming Deng, Markus Leippold, Qian Wang, War and Policy: Investor Expectations on the Net-Zero Transition, In: Swiss Finance Institute Research Paper, No. 22-29, 2023. (Working Paper)
This study employs novel text-based proxies to analyze corporate exposure to regulatory risks in the low-carbon transition. In response to the Russia-Ukraine war, stocks with higher transition risk outperformed, suggesting an expected slowdown in the transition. These effects were far more pronounced in the US than Europe, where renewable energy policy support was anticipated. The US Inflation Reduction Act (IRA) and the REPowerEU plan increased the value of firms with renewable energy opportunities, but the IRA also benefited higher transition risk firms. Overall, the findings highlight an international divergence in the energy transition pace. |
|
Andreas G F Hoepner, Johannes Klausmann, Markus Leippold, Jordy Rillaerts, Beyond climate: the impact of biodiversity, water, and pollution on the CDS term structure, In: Swiss Finance Institute Research Paper, No. 23-10, 2023. (Working Paper)
We investigate the impact of three non-climate environmental criteria: biodiversity, water, and pollution prevention, on infrastructure firms' credit risk term structure from the perspective of double materiality. Our findings show that firms that effectively manage these three environmental risks to which they are materially exposed have up to 93bps better long-term refinancing conditions compared to the worst-performing firms. While the results are less significant for the firm's material impact on the environment, investors still reward the management of these criteria beyond climate with improved long-term financing conditions for infrastructure investments. Overall, we find that financial markets respond positively to the prospect of more stringent regulations related to these criteria, which are currently used by the EU Taxonomy to assess the sustainability of investments. |
|
Marco Ceccarelli, Christoph Herpfer, Steven Ongena, Gender, performance, and promotion in the labor market for commercial bankers, In: Swiss Finance Institute Research Paper, No. 23-23, 2023. (Working Paper)
Using data from the US syndicated loan market, we find women to be underrepresented among senior commercial bankers. This gap persists due to unequal promotion rates for men and women at the same institution in the same year, and cannot be explained by different individual or managerial performance. The gap is influenced more by individuals than by institutions, with senior bankers showing assortative matching when changing jobs, and perpetuating the gender gap from their previous workplace. Our findings suggest that the gender gap may be partially attributable to women taking on more family care responsibilities. Hard credentials or female leadership at the top of banks do not alleviate the gender gap, but targeted gender discrimination lawsuits and female leadership on the local level result in increased promotion of women. |
|
Michel Habib, Yushi Peng, Yanjie Wang, Zexi Wang, The Implementation of Central Bank Policy in China: The Roles of Commercial Bank Ownership and CEO Faction Membership, In: CEPR Discussion Papers, No. 17918, 2023. (Working Paper)
We examine the roles of bank ownership and CEO political faction membership in facilitating or hindering the implementation of central bank policy in China. Specifically, we examine the response of China's commercial banks to People's Bank of China (PBC) guidelines intended to decrease mortgage lending and to slow down the rise in residential property prices. We find that both bank ownership and faction membership matter. Central government-owned banks whose CEOs are members of the specialist finance faction within the Chinese Communist Party (CCP) respond most strongly to PBC guidance, whereas provincial or city government-owned banks whose CEOs are members of a generalist faction respond least strongly. The implementation of PBC policy has real effects: in those cities where central government-owned banks with specialist CEOs constitute a larger percentage of total bank branches, house prices grew more slowly, as did the number of residential real estate transactions and the number of new listings. Where in contrast provincial and city government-owned banks with generalist CEOs dominate, the number of transactions grew faster; the rate of house price appreciation and the number of listings were however unaffected. We conclude that China's different levels of government and the CCP's different factions enjoy some discretion in responding to PBC guidance and that they exploit the discretion they are afforded to vary the strength of their response. |
|
Fabrice Collard, Michel Habib, Ugo Panizza, Jean-Charles Rochet, Debt Sustainability with Involuntary Default, In: CEPR Discussion Papers, No. 17357, 2022. (Working Paper)
This paper studies public debt sustainability under the assumption that a country always tries to service its debt obligations. We assume that default decreases the level of resources available for debt service, which consist of the country’s primary surplus and the proceeds from new debt issuance. We show that our model encompasses the well-known result that, as long as r < g, countries can permanently run small deficits. In our model, this result holds if there is no decrease in resource availability following default. We thus show that, in the presence of involuntary default, a lesser decrease in resource availability in default –a lower cost of default– increases maximum sustainable debt. This is the opposite of what it is normally found in models that assume limited commitment and strategic default. We calibrate our model using data for the Eurozone and find that many countries have actual debt levels that are higher than their maximum sustainable debt. In discussing possible reasons for these high observed debt levels, we emphasize the role of expected GDP growth, growth volatility, and resource availability. We also model the role of the European Stability Mechanism (ESM). We show that while the ESM can increase the level of maximum sustainable debt, it also crowds out private lending. |
|
Stefan Pohl, Capital Structure Variation across Europe: Decomposing Country-, Industry- and Firm-Specific Effects on Leverage, In: SSRN, No. 3406806, 2019. (Working Paper)
I find that corporate European leverage variation between 2007 and 2015 is largely driven by firm and industry characteristics. Conventional, time-varying firm characteristics explain as much leverage variation as country and industry fixed effects combined. Cross-sectional leverage disparities are more distinct between industries than between countries. Corporate tax rate does have a significant positive effect on leverage, as predicted by the traditional tradeoff theory. The impact is however negligibly small relative to firm- and industry-specific effects. Evidence on both the tradeoff and pecking order model is, at best, mixed. Moreover, macroeconomic conditions are largely insignificant and unable to explain leverage differences in a linear regression context. Macroeconomic effects on capital structure might however channel through firm and industry determinants, thus affecting financing choice indirectly. A more dynamic, possibly nonlinear model specification is needed. Effects of the financial crisis of 2008 and the subsequent European debt crisis are apparent across all of corporate Europe and are most severe for Southern European firms. |
|
Stefan Pohl, Vesa Pursiainen, The Role of Stock Indices in Analyst Career Outcomes and Stock Recommendations, In: Swiss Finance Institute Research Paper, No. 23-50, 2023. (Working Paper)
Random changes in firms' stock index membership have important implications on sell-side analysts' career outcomes. Covered firms moving from the bottom of Russell 1000 to the top of Russell 2000 significantly increase an analyst's likelihood of moving to a high-status broker or receiving a career-first All-Star Analyst nomination - particularly for early-career analysts. This is reflected in analyst recommendations. For firms that are just above the index threshold - that might move to Russell 2000 if their share price decreases slightly - analyst recommendations are significantly more negative around the time of defining the index weights that determine index membership. |
|
Tsuyoshi Iwata, Marc Weibel, Enhancing Equity Factor Model with Publicly-reported ESG Data, In: SSRN, No. 4411532, 2023. (Working Paper)
This study examines the alpha-generating power of the public-report-based ESG score, which is based on ESG incident data collected by RepRisk from various public sources, and its relationship with the self-disclosure-based ESG score obtained from Refinitiv. We construct pure ESG factor portfolios to neutralize exposure to common style factors and isolate the pure ESG factor returns. Our results suggest that (i) the source difference is the main cause of the negative correlation between the public report ESG and the self-disclosure ESG score, (ii) the public report ESG score and its subscores produce the mixed results in terms of their adjusted factor returns across regions, (iii) the combination of the public report ESG and the self-disclosure ESG score significantly improves the risk-return profiles of the combined ESG factor returns in the US, EU and Japan. |
|
Michele Pelli, How Do Households Respond to Negative Deposit Rates? Evidence from a Swiss Bank, In: -, No. -, 2023. (Working Paper)
I employ bank-household relationship data from a Swiss bank to study, for the first time, the response of retail depositors to negative deposit rates. The tiered implementation allows me to employ both a Regression Kink Design and a Difference-in-Differences analysis to investigate the transmission of negative policy rates through the deposits channel. I find that affected households reduce their deposit holdings swiftly and substantially following the official announcement. They respond by investing with the bank some deposits exceeding the exemption threshold, by transferring some excess deposits to accounts held at other banks, and by withdrawing some cash. I do not observe any effect on consumption, which I proxy by debit and credit card spending. I also investigate if and how the characteristics of depositors differentially affect their responses. |
|
Michele Pelli, Cross-Border M&A and the Exchange Rate: Evidence from Switzerland, In: -, No. -, 2021. (Working Paper)
|
|