Publications des institutions partenaires

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Individual Investor Activity and performance

We examine the daily activity and performance of a large panel of individual investors in Sweden's Premium Pension System. We find that active investors earn higher returns and risk-adjusted returns than inactive investors. A performance decomposition analysis reveals that most of the outperformance of active investors is the result of these investors successfully timing mutual...

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English / 07/11/2016

The role of spatial and temporal structure for residential rent predictions

This paper examines the predictive power of five linear hedonic pricing models for the residential market with varying levels of complexity in their spatial and temporal structures. Unlike similar studies, we extend the out-of-sample forecast evaluation to one-day-ahead predictions with a rolling estimation window, which is a reasonable setting for many practical applications. We...

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English / 01/10/2016

Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds

This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational design, management incentives, target setting, investment strategy, investment processes,...

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English / 05/09/2016

Liquidity Constraints, Wealth Transfers and Home Ownership

We study the impact of liquidity constraints on home ownership by comparing the tenure and housing choice of households who receive intra-family wealth transfers to those that do not. Our analysis is based on household-level panel data providing annual information on household characteristics, wealth transfers, tenure status as well as changes in the size and quality of housing. Our...

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English / 01/09/2016

Unsecured and Secured Funding

We provide the first joint analysis of the secured and unsecured money markets of the euro area using bank-level data. After the Lehman crisis, two important substitution mechanisms emerge: banks with higher credit risk offset reductions of unsecured borrowing with secured funding. Riskier banks replace unsecured lending by granting more secured loans. However, high leverage and...

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English / 01/08/2016

Conditional Currency Hedging

This research proposes Conditional Currency Hedging based on FX risk factors to reduce total portfolio risk of given stock, bond or commodity portfolios. In our employed sample, a conditional currency hedging framework based on implied FX volatility results in lower variance of a global equity portfolio than achieved by either no, full or unconditional mean-variance hedging, both in...

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English / 02/07/2016

Immigration, Real Estate Prices and the Consumption Decisions of Native Households

Since house prices govern the consumption decisions of renters and owners alike, changing house prices can have far-reaching macroeconomic consequences. We analyze how the disposable income and consumption decisions of households are affected by exogenous house price changes in Switzerland. We look at consumption of both housing and non-durable goods to establish a comprehensive...

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English / 01/07/2016

Toward Removal of Swiss Franc Cap: Market Expectations and Verbal Interventions

We ask whether the markets expected the Swiss National Bank (SNB) to discontinue the 1.20 cap on the Swiss franc against the euro in January 2015. In the run-up to the SNB announcement, neither options on the euro/Swiss franc nor FX liquidity indicated a significant shift in market expectations. Furthermore, we find that the SNB's verbal interventions during the period of cap...

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English / 01/07/2016

Competing with Superstars

This paper investigates the effect of superstar CEOs on their competitors. Exploiting shocks to CEO status due to prestigious media awards, we document a significant positive stock market performance of competitors of superstar CEOs subsequent to the award. The effect is more pronounced for competitors who have not received an Award themselves, who are geographically close to an...

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English / 18/04/2016

All Good Things Come to an End: CEO Tenure and Firm Value

We provide evidence that CEO tenure exhibits an inverted U-shaped relation with firm value and M&A announcement returns, consistent with benefits (e.g., experience, learning, relations) and costs (e.g., CEO-firm mismatch, entrenchment, reluctance to change) arising over a CEO’s time in office. Depending on the dynamics of a firm’s economic environment which affect the cost-...

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English / 08/04/2016

Social Norms and Strategic Default

This paper studies the behavioral mechanisms underlying the increase in strategic defaults during an economic crisis. We report data from a laboratory experiment in which we exogenously vary the state of the economy. Our data reveal two main reasons for why an economic contraction adversely affects repayments. First, weak economic conditions seem to soften debtors' moral...

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English / 07/03/2016

Uniform-Price Auctions for Swiss Government Bonds: Origin and Evolution

The Swiss Treasury has used the sealed-bid, uniform-price auction format for allocating government bonds since 1980. In this study, we examine the authorities’ motivation for choosing the uniform-price auction. In addition, we describe how the institutional set-up evolved over time. It includes bidding requirements, class of bidders, pre-auction information, the bidding process, the...

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English / 01/03/2016

Characteristics-based Porfolio Choice with Leverage Constraints

We show that the introduction of a leverage constraint improves the practical implementation of characteristics-based portfolios. The addition of the constraint leads to significantly lower transaction costs, to a reduction of negative portfolio weights, and to a decrease in volatility and misspecification risk. Furthermore, it allows investors to implement any desired level of...

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English / 01/01/2016

Experience and Brokerage in Asset Markets: Evidence from Art Auctions

Focusing on the art market, where auction houses act as brokers between art sellers and buyers, we investigate whether more experienced brokers achieve better performance as information providers. We use a unique data set of auctions of Italian paintings in various houses around the world, and we measure experience as the number of times an auctioneer has auctioned the artworks of a...

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English / 01/01/2016

Crash Sensitivity and Cross-Section of Expected Stock Returns

This paper examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower tail dependence (LTD) with the market based on copulas. We find that stocks with weak LTD serve as a hedge during crises, but, overall, stocks with strong LTD have higher average future returns. This effect cannot be explained by...

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English / 01/01/2016

Fragility of Money Markets

We provide the first comprehensive theoretical model for money markets encompassing unsecured and secured funding, asset markets, and central bank policy. In our model, leveraged banks invest in assets and raise short-term funds by borrowing in the unsecured and secured money markets. We derive how funding liquidity across money markets is related, explain how a shock to asset values...

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English / 01/01/2016

Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide

This paper examines whether investors receive compensation for holding stocks with a strong sensitivity to extreme market downturns in a sample covering forty countries. Worldwide, stocks with strong crash sensitivity deliver average returns of more than 7% p.a. higher than stocks with weak crash sensitivity. The effect is robust across geographical subsamples and is not explained by...

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English / 01/01/2016

Is Director Industry Experience Valuable?

We investigate whether investor reactions to the announcement of a new outside director appointment significantly depend upon the director's experience in the appointing firm's industry. Our sample includes 688 outside director appointments to boards of S&P 500 companies from 2005 to 2010. We find significantly higher announcement returns upon appointments of...

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English / 01/01/2016

Target Capital Structure Determinants and Speed of Adjustment Analysis to Address the Keynes-Hayek Debate

According to F. A. Hayek, Keynes' General Theory neglects an analysis of the production structure. As a contribution to this research gap, we look at companies' decisions to finance investments and at their agility to adjust their capital structure. We thus study the relationship between capital structure to finance corporate production and shifts in aggregate demand....

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English / 14/12/2015

Foreign bank ownership and household credit

Theoretical and empirical work on banking emphasizes the role of banks in overcoming information asymmetries and agency problems between borrowers and lenders. This paper investigates the importance of bank ownership in determining the sorts of customers that a bank serves, and consequently, the sorts of information problems a bank lender chooses to address. Using survey data for...

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English / 01/10/2015

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