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
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
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
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
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
Settling the Staggered Board Debate
We address the heated debate over the staggered board. One theory claims that a staggered board facilitates entrenchment of inefficient management and thus harms corporate value. Consequently, some institutional investors and shareholder rights advocates have argued for the elimination of the staggered board. The opposite theory is that staggered boards are value enhancing since they...
Institution partenaire
/ 08/09/2017
Tail Risk in Hedge Funds : A Unique View from Portfolio Heldings
We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tail-sensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as well as exposure to...
Institution partenaire
English / 01/09/2017
Tail Risk in Hedge Funds: A Unique View from Portfolio Heldings
We develop a new tail risk measure for hedge funds to examine the impact of tail risk on fund performance and to identify the sources of tail risk. We find that tail risk affects the cross-sectional variation in fund returns, and investments in both, tail-sensitive stocks as well as options, drive tail risk. Moreover, managerial incentives and discretion as well as exposure to...
Institution partenaire
English / 27/06/2017
Cultural Preferences and the Choice between Formal and Informal Financing
This paper documents significant differences in the financing structure of small firms with managers of diverse cultural backgrounds. To separate the effect of culture from other factors that affect the financing structure of firms, we exploit cultural heterogeneity within a geographical area with shared regulations, institutions, and macroeconomic cycles. Our findings suggest that...
Institution partenaire
English / 01/05/2017
Monetary Policy and Currency Returns: the Foresight Saga
We document a drift in exchange rates before monetary policy changes across major economies. Currencies tend to depreciate by 0.7 percent over ten days before policy rate cuts and appreciate by 0.5 percent before policy rate increases. We show that available fixed income instruments allow to accurately forecast monetary policy decisions and thus that the drift is foreseeable and...
Institution partenaire
English / 01/05/2017
Illuminating the Dark Side of Financial Innovation: The Role of Investor Information
This paper investigates the impact of investor information on financial innovation. We identify specific channels through which issuers of financially engineered products exploit retail investors by using their privileged access to information. Our results imply that imperfect investor information regarding volatility and dividends is crucial to explain the pricing and design of...
Institution partenaire
English / 10/03/2017
The Long-Term Performance of IPO's, Revisited
The literature on IPO long-term performance generally focuses on three- to five-year post-issue time horizons. Research published in the 2000s shows that the apparent underperformance of IPOs docu-mented in the 1990s disappears when the different risk exposures between IPO and mature firms are accounted for by using a Carhart (1997) factor model. In this paper, we show that a sample...
Institution partenaire
English / 01/03/2017
The Impact of Financial Advice on Trade Performance and Behavioral Biases
We use a dataset from a large retail bank to examine the impact of financial advice on investors’ stock trading performance and behavioral biases. Our data allow us to classify each individual trade as either advised or independent and to compare them in a trade-bytrade within-person analysis. Thus, our study is not plagued by the endogeneity problems typically faced by studies on...
Institution partenaire
English / 01/03/2017
Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization
The financialization of crude oil markets over the last decade has changed the behavior of oil prices in fundamental ways. In this paper, we uncover the gradual transformation of crude oil from a physical to a financial asset. Although economic demand and supply factors continue to play an important role, recent indicators associated with financialization have emerged since 2008. We...
Institution partenaire
English / 01/02/2017
Competition in the Credit Rating Industry: Benefits for Investors and Issuers
We empirically investigate the benefits of multiple ratings not only at issuance of debt instruments but also during the subsequent monitoring phase. Using a record of monthly credit rating migration data on all U.S. residential mortgage-backed securities rated by Standard & Poor's, Moody's, and Fitch between 1985 and 2012 (154'600 tranches), our results provide em...
Institution partenaire
English / 01/02/2017
Financial distress and corporate investment
This paper analyzes whether the financial distress of a firm affects the investment decisions of non-distressed competitors. On average, firms in distress impose indirect costs to non-distressed competitors by increasing costs of credit in the industry and hence restricting credit access and investment. These average negative spillover effects continue to hold in the absence of...
Institution partenaire
English / 16/01/2017
Does Foreign Information Predict the Returns of Multinational Firms Worldwide?
We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future returns of more than 10% p.a. globally. The return spread due to foreign information is...
Institution partenaire
English / 10/01/2017
Hold-up in Ventures for Technology Transfer
Entrepreneurs and Investors found ventures for transferring technology and bringing it closer to the market.
Focusing on a situation in which the investor exercises hold-up at the disadvantage of the entrepreneur, this paper works on three points: We identify (1) conditions which make hold-up possible, and discuss (2) measures which help entrepreneurs to protect themselves...
Institution partenaire
English / 01/01/2017
The Role of Data Providers as Information Intermediaries
This study investigates whether financial data providers serve as information intermediaries in capital markets. To this end, I examine whether the timeliness of earnings information disseminated by First Call (Thomson Reuters) affects the market's reaction to earnings announcements. I document that the immediate price and volume response is weaker and the post-earnings...
Institution partenaire
English / 01/01/2017
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