Publications des institutions partenaires
The Exposure of Mortgage Borrowers to Interest Rate Risk, Income Risk and House Price Risk – Evidence from Swiss Loan Application Data
We study the exposure of mortgage borrowers in Switzerland to interest rate, income and house price risks and examine how the households' choice of risky mortgages is related to individual interest rate expectations and risk-aversion. Our analysis is based on a unique data set of household mortgage applications from September 2012 until January 2014. Our assessment of risk…
Institution partenaire
English / 01/08/2015
Microfinance Banks and Financial Inclusion
We examine how the geographical proximity to a microfinance bank affects financial inclusion. We study the expansion of the branch network of ProCredit banks in South-East Europe between 2006 and 2010. We report three main findings: First, ProCredit is more likely to open a new branch in areas with a large share of low-income households. Second, in locations where ProCredit opens a…
Institution partenaire
English / 03/07/2015
Culture and Household Saving
In this paper, I examine the role of culture for households' saving decisions. Exploiting historical language borders within Switzerland, I isolate the effect of culture from economic, institutional, demographic and geographic factors for a homogeneous and representative sample of households. The analysis is based on the Swiss Household Panel that I complement with geographic…
Institution partenaire
English / 06/06/2015
Sovereign Risk and the Pricing of Corporate Credit Default Swaps
Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact increases throughout…
Institution partenaire
English / 01/03/2015
Pre-Trade Transparency and Return Co-movements in Commercial Real Estate Markets
This paper proposes an empirical framework that is based on pre-trade transparency to test for information-based return co-movements among international commercial real estate markets. We introduce a benchmark portfolio that includes property markets with a higher pre-trade transparency to assess expected returns in less transparent markets. Investors can earn abnormal returns in…
Institution partenaire
English / 01/01/2015
Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry
This paper investigates the announcement effects of CoCo bonds issued by global banks between January 2009 and June 2014. Using a sample of 34 financial institutions, we examine abnormal stock price reactions and CDS spread changes before and after the announcement dates. We find that the announcement of CoCos correlates with positive abnormal stock returns and negative CDS spread…
Institution partenaire
English / 01/01/2015
Financing Asset Sales and Business Cycles
This paper analyzes the decision of firms to sell assets to fund investments (financing asset sales). For a sample of U.S. manufacturing firms during the 1971-2010 period, we document new stylized facts about financing asset sales that cannot be explained by traditional motives for selling assets, such as financial distress or financing constraints. Using a structural model of…
Institution partenaire
English / 01/01/2015
The Value of Creditor Governance: Debt Renegotiations In and Outside Distress
This paper analyzes the impact of debt covenant renegotiations on corporate policies. We develop a structural model of a levered firm that can renegotiate debt both at investment and in corporate distress. Covenant renegotiation at investment disciplines equity holders in their financing and investment decisions and, hence, mitigates the agency cost of debt. Our model explains the…
Institution partenaire
English / 01/01/2015
Internal Control and Strategic Communication within Firms - Evidence from Bank Lending
The allocation of authority affects the communication of information about clients within banks. We document that in small business lending internal control leads loan officers to propose inflated credit ratings for their clients. Inflated ratings are, however, anticipated and partly reversed by the credit officers responsible for approving credit assessments. More experienced loan…
Institution partenaire
English / 01/01/2015
Stock Underpricing and Firm News Disclosure
Using a sample of 77,036 firm-quarters, we test whether firms change their news disclosure when experiencing an exogenous negative shock to their stock price. We use mutual fund flow-induced selling pressure to measure exogenous undervaluation and classify news as positive and negative based on textual analysis. Our results show a robust negative relationship between mutual fund flow…
Institution partenaire
English / 01/01/2015
State Space Geometry of Asset Pricing: An Introduction
This note is aimed at familiarizing the reader with state space geometry, a useful tool in teaching asset pricing concepts. Building on the analogy between expectation and dot product, I visualize basic notions using Euclidean geometry in 2D and 3D. Numerical examples are given such that the reader could easily follow the explanations.
Institution partenaire
English / 01/01/2015
Testing Competing Factor Pricing Models
A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same. Simulations demonstrate the small sample properties. As an illustration, the test is applied to the Fama-French (1996, 2015) models.
Institution partenaire
English / 01/01/2015
The euroization of bank deposits in Eastern Europe
In Central, Eastern and Southeastern Europe a substantial share of bank deposits
are denominated in foreign currency. Deposit euroization poses key challenges for
monetary policy and financial sector supervision. On the one hand, it limits the effectiveness of monetary policy interventions. On the other hand, it increases financial sector fragility by exposing banks to…
Institution partenaire
English / 03/12/2014
Bank Funding, Securitization, and Loan Terms: Evidence from Foreign Currency Lending
We examine how bank funding structure and securitization activities affect the currency denomination of business loans. We analyze a unique data set that includes information on the requested and granted loan currency for 99,490 loans granted to 57,464 firms by a Bulgarian bank. Our findings document that foreign currency lending is at least partially driven by bank eagerness to…
Institution partenaire
English / 01/10/2014
Non-Interest Income and Bank Performance
The optimum scope of bank activities is central to many proposals for banking system reform. For example, a core component of the Dodd-Frank Act (2010) and regulatory proposals in the UK and the EU has been the concept of “ring-fencing” – i.e., restricting banks’ activities to their core retail and wholesale financial intermediation functions. It is argued that limiting the scope of…
Institution partenaire
English / 01/10/2014
Non-Core Banking, Performance, and Risk
One of the most dramatic trends in banking since 2000 has been the secular movement away from core banking and interest generating activities towards enhanced reliance on non-interest-generating activities that focus largely on fees and trading profits. This has changed the banking model from traditional asset formation, such as deposit taking and lending, towards a model built on…
Institution partenaire
English / 01/10/2014
Do Newspaper Articles Predict Aggregate Stock Returns?
We analyze whether newspaper content can predict aggregate future stock returns. Our study is based on articles published in the Handelsblatt, a leading German Financial newspaper, from July 1989 to March 2011. We summarize newspaper content in a systematic way by constructing word-count indices for a large number of words. Wordcount indices are instantly available and therefore…
Institution partenaire
English / 01/09/2014
Hysteresis in Potential Ourtput and Monetary Policy
We show that actively stabilizing economic activity plays a more prominent role in the conduct of monetary policy when potential output is subject to hysteresis. We augment a basic New Keynesian model by hysteresis in potential output and contrast simulation outcomes of this extended model to the standard model. We find that considering hysteresis allows for a more realistic…
Institution partenaire
English / 01/09/2014
ECB's negative rates experiment will buy time, but brings danger
Institution partenaire
English / 16/06/2014
Target Capital Structure and Adjustment Speed in Asia
Studies on the capital structure of Asian corporations are rare, and most of those studies support different explanations of financing decisions compared to the ones accepted for the USA and Europe. We test relationships that are typical of the Tradeoff Theory and the Pecking Order Theory, and analyze the speed of adjustment toward target capital structures for 1239 companies with…
Institution partenaire
English / 01/02/2014
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