Publications des institutions partenaires
Cash Holdings and the Performance of European Mutual Funds
We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly inuenced by a fund's fee structure, past ows and ow volatility, and a fund's Investment strategy. EU Funds with cash…
Institution partenaire
English / 01/02/2018
Immigration and the Displacement of Incumbent Households
We make use of the universe of immigrants who arrived in Switzerland between 1992 and 2013, granular community level house price and wage data as well as detailed information on the Swiss population to study the effects of immigration on the location choice of incumbent households. Immigration influences a household’s location choice through three distinct channels: house price…
Institution partenaire
English / 01/02/2018
International arbitrage and the extensive margin of trade between rich and poor countries
We incorporate consumption indivisibilities into the Krugman (1980) model and show that an importer’s per capita income becomes a primary determinant of “export zeros”. Households in the rich North (poor South) are willing to pay high (low) prices for consumer goods; hence unconstrained monopoly pricing generates arbitrage opportunities for internationally traded products. Export…
Institution partenaire
English / 01/01/2018
A dynamic North-South Model of Demand-induced Product Cycles
This paper presents a dynamic North-South general-equilibrium model where per capita incomes shape demand patterns across regions. Innovation takes place in a rich North while firms in a poor South imitate products manufactured in North. Allowing a role for per capita incomes in determining demand delivers a complete international product cycle as described by Vernon (1966), where…
Institution partenaire
English / 01/01/2018
The Choice of Interest Rate Models and Its Effect on Bank Capital Requirement Regulation and Financial Stability
According to the Basel regulation banks may use internal risk models to measure interest rate risk and calculate regulatory capital requirements. Under its pillar II the Basel framework grants leeway to banks in their choice of these models. We therefore focus on how well interest rate models describe real interest rate movements empirically and which impact the model choice has on…
Institution partenaire
English / 01/01/2018
RWebData: A High-Level Interface to the Programmable Web
The rise of the programmable web offers new opportunities for the empirically driven sciences. The access to, compilation and preparation of data from the programmable web for statistical analysis can, however, involve substantial up-front costs for the practical researcher. The R-package RWebData provides a high-level framework that allows data to be easily collected from the…
Institution partenaire
English / 01/01/2018
Payment Evasion
This paper shows that a firm can use the purchase price and the fine imposed on detected payment evaders to discriminate between unobservable consumer types. Assuming that consumers self-select into regular buyers and payment evaders, we show that the firm typically engages in second-degree price discrimination in which the purchase price exceeds the expected fine. In addition, we…
Institution partenaire
English / 18/12/2017
Momentum and Crash Sensitivity
This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1.84%. We find additional…
Institution partenaire
English / 15/12/2017
Volatile Top Income Shares in Switzerland? Reassessing the Evolution Between 1981 and 2010
In the last 20 years, the share of top incomes in Switzerland has risen, while
exhibiting large variations. Switzerland is similar to European countries for the top
1% but closer to the U.S. for higher top income groups. With the synthetic control
method we close a time gap in the tax data, exploiting the fact that Swiss cantons
changed their tax system at…
Institution partenaire
English / 01/12/2017
Europe Fettered: The impact of crisis-era trade distortions on exports from the European Union
Having grown in real terms by 60% between 2000 to 2008, extra-EU exports have since stagnated. Stripping out other determinants of EU export growth, the focus here is on the impact of trade distortions imposed by foreign governments since the global economic crisis began. Our econometric analysis implies that crisis-era trade distortions held back EU Member State export growth to…
Institution partenaire
English / 01/12/2017
Effective Trust Management- An Evidence-based Practitioner‘s Guideline on how to Enable Stakeholders‘ Trust in Institutions
This infographic targets the debate on the dichotomy of trust and distrust, arguing in favor of trust and distrust being two seperate constructs, hence are not two opposite ends of the same continuum. Further, this infographic shows, that trust and distrust have different antecedents, distinct properties and disparate outcomes.
Given this, this infographic further summarizes…
Institution partenaire
English / 09/11/2017
Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance
Multivariate GARCH models have been designed as an extension of their univariate counterparts. Such a view is appealing from a modeling perspective but imposes correlation dynamics that are similar to time-varying volatility. In this paper, we argue that correlations are quite different in nature. We demonstrate that the highly unstable and erratic behavior that is typically observed…
Institution partenaire
English / 01/11/2017
Shirk or Work? On How Legislators React to Monitoring
In 2014 the Swiss Upper House introduced an electronic voting system, which would make it easier to monitor the voting behavior of its legislators. In this system, individual decisions on specific exogenously defined vote types are published automatically, while all other votes are not publicly disclosed. The present paper uses this institutional change to determine, in a quasi-…
Institution partenaire
English / 01/11/2017
Hostage to fortune: Local labour markets and the case for trade
Institution partenaire
English / 01/11/2017
Dyadic Value Distance: Determinants and Consequences
This paper establishes a measure of bilateral differences in values using 857 questions from the World Values Survey. We explore the determinants of value distance, linking it to geography as well as the historical relatedness of populations across 90 countries. Furthermore, we explore the explanatory power of value distance for the diffusion of technological development.
Institution partenaire
English / 27/10/2017
Winning a Deal in Private Equity: Do Educational Networks Matter?
Networks can establish business connections and facilitate information flows; but how valuable are they in competitive settings, such as in the deal generation of private equity funds? We find that educational ties between management teams of acquiring fund and target company are frequent (around 15%) and increase the odds of winning a deal (by 79%). When competing with other funds,…
Institution partenaire
English / 01/10/2017
Book Review: Lucas Bergkamp/Michael Faure/Monika Hinteregger/Niels Philipsen (ed.), Civil Liability in Europe for Terrorism-Related Risk
Institution partenaire
English / 01/10/2017
Something in the Air: Information Density, News Surprises, and Price Jumps
This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy "ticker" news before scheduled macroeconomic announcements, is significantly related to the…
Institution partenaire
English / 20/09/2017
Something in the Air : Information Density, News Surprises, and Price Jumps
This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy "ticker" news before scheduled macroeconomic announcements, is significantly related to the…
Institution partenaire
English / 20/09/2017
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