Publications

ZORA Publication List

Publications

• 2011

  • Hens, Thorsten; Lensberg, Terje; Schenk-Hoppé, Klaus Reiner; Wöhrmann, Peter (2011). An evolutionary explanation of the value premium puzzle. Journal of Evolutionary Economics, 21(5):803-815.
  • Ranaldo, Angelo; Meichle, Mario; Zanetti, Attilio (2011). Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland. Financial markets and portfolio management, 25(4):435-453.
  • Ongena, Steven; Şendeniz-Yüncü, İlkay (2011). Which firms engage small, foreign, or state banks? And who goes Islamic? Evidence from Turkey. Journal of Banking and Finance, 35(12):3213-3224.
  • Fecht, Falko; Nyborg, Kjell G; Rocholl, Jörg (2011). The price of liquidity: The effects of market conditions and bank characteristics. Journal of Financial Economics, 102(2):344-362.
  • Battiston, Stefano; Glattfelder, James B; Vitali, Stefania (2011). The network of global corporate control. PLoS ONE, 6(10):e25995.
  • Syz, Jürg M; Vanini, Paolo (2011). Arbitrage Free Price Bounds for Property Derivatives. The Journal of Real Estate Finance and Economics, 43(3):281-298.
  • Cerqueiro, Geraldo; Degryse, Hans; Ongena, Steven (2011). Rules versus discretion in loan rate setting. Journal of Financial Intermediation, 20(4):503-529.
  • Gençay, Ramazan; Gradojevic, Nikola (2011). Financial Applications of Nonextensive Entropy. IEEE signal processing magazine, 28(5):116-141.
  • Battiston, Stefano; Napoletano, M; Schweitzer, F; König, Michael D (2011). Recombinant knowledge and the evolution of innovation networks. Journal of Economic Behavior & Organization, 79(3):145-164.
  • Uhl, Matthias W (2011). Explaining US Consumer Behavior with News Sentiment. ACM Transactions on Management Information Systems, 2(2):1-18.
  • Gençay, Ramazan; In, Francis; Kim, Sangbae (2011). Investment horizon effect on asset allocation between value and growth strategies. Economic Modelling, 28(4):1489-1497.
  • Brown, Martin; Ongena, Steven; Yeşin, Pinar (2011). Foreign currency borrowing by small firms in the transition economies. Journal of Financial Intermediation, 20(3):285-302.
  • Battiston, Stefano; Vitali, Stefania (2011). Geography versus topology in the european ownership network. New Journal of Physics, 13:063021.
  • De Giorgi, Enrico G; Post, Thierry (2011). Loss Aversion with a State-Dependent Reference Point. Management Science, 57(6):1094-1110.
  • Ranaldo, Angelo; Christiansen, Charlotte; Söderlind, Paul (2011). The Time-Varying Systematic Risk of Carry Trade Strategies. Journal of Financial and Quantitative Analysis, 46(4):1107-1125.
  • Glattfelder, James B; Dupuis, A; Olsen, R B (2011). Patterns in high-frequency FX data: discovery of 12 empirical scaling laws. Quantitative Finance, 11(4):599-614.
  • Ongena, Steven; Tümer-Alkan, Günseli; Vermeer, Bram (2011). Corporate choice of banks: Decision factors, decision maker, and decision process - First evidence. Journal of Corporate Finance, 17(2):326-351.
  • Fehr-Duda, Helga; Epper, Thomas; Bruhin, Adrian; Schubert, Renate (2011). Risk and rationality: The effects of mood and decision rules on probability weighting. Journal of Economic Behavior & Organization, 78(1-2):14-24.
  • Lammert, Joachim; Watrin, Christoph; Zeisberger, Stefan (2011). Management Guidance - Bevorzugen professionelle Kapitalmarktteilnehmer wirklich Punktprognosen?. Zeitschrift für Planung & Unternehmenssteuerung, 21:349-364.
  • Rosenblatt-Wisch, Rina; Foellmi, Reto; Schenk-Hoppé, Klaus Reiner (2011). Consumption paths under prospect utility in an optimal growth model. Journal of Economic Dynamics and Control, 35(3):273-281.
  • Ongena, Steven; Popov, Alexander (2011). Interbank market integration, loan rates, and firm leverage. Journal of Banking and Finance, 35(3):544-559.
  • Coculescu, Delia (2011). Dividends and leverage: How to optimally exploit a non-renewable investment. Journal of Economic Dynamics and Control, 35(3):312-329.
  • Leippold, Markus; Bloechlinger, Andreas (2011). A new goodness of fit test for event forecasting and its application to credit default. Management Science, 57(3):487-505.
  • Forstinger, Christin; Wagner, Alexander (2011). Der Mehr(wert) von wert(e)orientierter Philanthropie. Der Schweizer Treuhänder, (12):1024-1029.
  • Malmendier, Ulrike; Nagel, Stefan (2011). Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?. Quarterly Journal of Economics, 126(1):373-416.
  • Cremers, K J Martijn; Huang, Rocco; Sautner, Zacharias (2011). Internal capital markets and corporate politics in a banking group. Review of Financial Studies, 24(2):358-401.
  • Chesney, Marc; Reshetar, Ganna; Karaman, Mustafa (2011). The impact of terrorism on financial markets: an empirical study. Journal of Banking and Finance, 35(2):253-267.
  • Brown, Martin; Ongena, Steven; Popov, Alexander; Yeşin, Pinar (2011). Who needs credit and who gets credit in Eastern Europe?. Economic Policy, 26(65):93-130.
  • Gençay, Ramazan; Gradojevic, Nikola (2011). Errors-in-Variables Estimation with Wavelets. Journal of Statistical Computation and Simulation, 81(11):1545-1564.
  • Malmendier, Ulrike; Young, Han Lee (2011). The Bidder’s Curse. American Economic Review, 101(2):749-787.
  • Malmendier, Ulrike; Card, David; DellaVigna, Stefano (2011). The Role of Theory in Field Experiments. Journal of Economic Perspectives, 25(3):39-62.
  • Ranaldo, Angelo; Fischer, Andreas M (2011). Does FOMC news increase global FX trading? (Global FX Trading & FOMC Deliberations). Journal of Banking and Finance, 35(11):2965-2973.
  • Syz, Jürg; Salvi, Marco (2011). What Drives "Green Housing" Construction? Evidence from Switzerland. Journal of financial economic policy, 3(1):86-102.
  • Evstigneev, Igor V; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (2011). Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset. Mathematics and Financial Economics, 5(3):185-202.
  • Hens, Thorsten; Amir, Rabah; Evstigneev, I V; Xu, Le (2011). Evolutionary finance and dynamic games. Mathematics and Financial Economics, 5(3):161-184.
  • Drimus, Gabriel G (2011). Closed-form convexity and cross-convexity adjustments for Heston prices. Quantitative Finance, 11(8):1137-1149.
  • Krauss, Annette (2011). Mikrofinanzierung – mehr als ein Steckenpferd für Wirtschaftswissenschaftler. SGG Revue, 150(1):12-15.
  • Judd, Kenneth L; Kübler, Felix; Schmedders, Karl (2011). Bond ladders and optimal portfolios. Review of Financial Studies, 24(12):4123-4166.
  • Rochet, Jean-Charles; Mariotti, Thomas; Décamps, Jean-Paul; Villeneuve, Stéphane (2011). Free cash flow, issuance costs, and stock prices. Journal of Finance, 66(5):1501-1544.
  • Rochet, Jean-Charles; Villeneuve, Stéphane (2011). Liquidity management and corporate demand for hedging and insurance. Journal of Financial Intermediation, 20(3):303-323.
  • Rochet, Jean-Charles; Tirole, Jean (2011). Must-take cards: Merchant discounts and avoided costs. Journal of the European Economic Association, 9(3):462-495.
  • Kubler, Felix (2011). Verifying competitive equilibria in dynamic economies. Review of Economic Studies, 78(4):1379-1399.
  • Birchler, Urs W; Schraner, Johannes J (2011). Bitte keine Schwimmwesten für Kapitäne mehr!. Schweizer Bank, 26:24-28.
  • Hens, Thorsten; Vlcek, Martin (2011). Does prospect theory explain the disposition effect?. Journal of Behavioral Finance, 12(3):141-157.
  • De Giorgi, Enrico; Hens, Thorsten; Mayer, Janos (2011). A note on reward-risk portfolio selection and two-fund separation. Finance Research Letters, 8(2):52-58.
  • Constantinescu, Mihnea (2011). How important is that footnote on page 3? Understanding the effect of autocorrelation on the calculation of expected shortfall. Journal of European Real Estate Research, 4(1):online.
  • Wagner, Alexander F (2011). Loyalty and competence in public agencies. Public Choice, 146(1/2):145-162.
  • Wagner, Alexander F (2011). Board independence and competence. Journal of Financial Intermediation, 20(1):71-93.
  • Gottardi, Piero; Kübler, Felix (2011). Social security and risk sharing. Journal of Economic Theory, 146(3):1078-1106.
  • Anderson, Ronald W; Nyborg, Kjell G (2011). Financing and growth under repeated moral hazard. Journal of Financial Intermediation, 20(1):1-24.
  • Leippold, Markus; Trojani, Fabio; Vanini, Paolo (2011). Multiperiod mean-variance efficient portfolios with endogenous liabilities. Quantitative Finance, 11(10):1535-1546.

• 2010

  • Rochet, Jean-Charles (2010). Systemic risk: changing the regulatory perspective. International Journal of Central Banking, 6:259-276.
  • Hens, Thorsten; Vogt, Bodo (2010). Indirect Reciprocity and Money. Games and Economic Behavior, 70(2):354-374.
  • Jostarndt, Philipp; Sautner, Zacharias (2010). Out-of-court restructuring versus formal bankruptcy in a non-interventionist bankruptcy setting. Review of Finance, 14(4):623-668.
  • Ioannidou, Vasso; Ongena, Steven (2010). “Time for a Change”: Loan conditions and bank behavior when firms switch banks. Journal of Finance, 65(5):1847-1877.
  • Malin, Benjamin A; Krüger, Dirk; Kübler, Felix (2010). Solving the Multi-Country Real Business Cycle Model using a Smolyak-Collocation Method. Journal of Economic Dynamics and Control, 35(2):229-239.
  • Gençay, Ramazan; Fan, Yanqin (2010). Unit root tests with wavelets. Econometric theory, 26(5):1305-1331.
  • De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver (2010). Financial Market Equilibria with Cumulative Prospect Theory. Journal of Mathematical Economics, 46(5):633-651.
  • Beer, Christian; Ongena, Steven; Peter, Marcel (2010). Borrowing in foreign currency: Austrian households as carry traders. Journal of Banking and Finance, 34(9):2198-2211.
  • Kübler, Felix; Schmedders, Karl (2010). Tackling multiplicity of equilibria with Gröbner bases. Operations Research, 58(4):1037-1050.
  • Ranaldo, Angelo; Söderlind, Paul (2010). Safe Haven Currencies. Review of Finance, 14(3):385-407.
  • Rochet, Jean-Charles (2010). An industrial organisation approach to the too-big-to-fail problem. Revue de la stabilité financière / Financial Stability Review, 14:93-100.
  • Arping, Stefan; Sautner, Zacharias (2010). Corporate governance and leverage: evidence from a natural experiment. Finance Research Letters, 7(2):127-134.
  • Scopelliti, Alessandro D (2010). Competition And Economic Growth: A Critical Survey Of The Theoretical Literature. Journal of Applied Economic Sciences, 5(11):70-93.
  • Rochet, Jean-Charles; Jeon, Doh-Shin (2010). The pricing of academic journals: a two-sided market perspective. American Economic Journal: Microeconomics, 2(2):222-255.
  • Dierkes, Maik; Erner, Carsten; Zeisberger, Stefan (2010). Investment horizon ant the attractiveness of investment strategies: A behavioral approach. Journal of Banking and Finance, 34(5):1032-1046.
  • Ranaldo, Angelo; Rossi, Enzo (2010). The reaction of asset markets to Swiss National Bank communication. Journal of International Money and Finance, 29(3):486-503.
  • Krauss, Annette; Stewart, Kearsley A; Diermeier, Daniel; Kelso, David; Palamountain, Kara M (2010). University Leadership for Innovation in Global Health and HIV/AIDS Diagnostics. Global public health, 5(2):189-196.
  • Gençay, Ramazan; Gradojevic, Nikola (2010). Crash of '87 - Was it expected?: Aggregate market fears and long-range dependence. Journal of Empirical Finance, 17(2):270-282.
  • Malmendier, Ulrike; Lerner, Josh (2010). Contractibility and the Design of Research Agreements. American Economic Review, 100(1):214-246.
  • Hens, Thorsten; Gerber, Anke; Woehrmann, Peter (2010). Dynamic general equilibrium and T-period fund separation. Journal of Financial and Quantitative Analysis, 45(2):369-400.
  • Chesney, Marc; Weber-Berg, Christoph (2010). Banken ohne moralischen Kompass. UZH magazin: die Wissenschaftszeitschrift:online.
  • Rossi, Enzo; Jordan, Thomas (2010). Inflation und die Geldpolitik der Schweizerischen Nationalbank. Die Volkswirtschaft, 83(1/2):21-25.
  • Tanner, Carmen; Brugger, Alexander; van Schie, Susan; Lebherz, Carmen (2010). Actions Speak Louder Than Words. Zeitschrift für Psychologie, 218(4):225-233.
  • Kubler, Felix; Schmedders, Karl (2010). Competitive equilibria in semi-algebraic economies. Journal of Economic Theory, 145(1):301-330.
  • Rossi, Enzo; Jordan, Thomas; Peytrignet, Michel (2010). Ten Years' Experience with the Swiss National Bank's Monetary Policy Strategy. Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 146:9-90.
  • Ekeland, Ivar; Moreno-Bromberg, Santiago (2010). An algorithm for computing solutions of variational problems with global convexity constraints. Numerische Mathematik, 115(1):45-69.
  • Bardey, David; Rochet, Jean-Charles (2010). Competition among health plans: a two-sided market approach. Journal of Economics and Management Strategy, 19(2):435-451.
  • Grünewald, Seraina N; Wagner, Alexander F; Weber, Rolf H (2010). Short selling regulation after the financial crisis - first principles revisited. International Journal of Disclosure and Governance, 7(2):108-135.
  • Biais, Bruno; Mariotti, Thomas; Rochet, Jean-Charles; Villeneuve, Stéphane (2010). Large risks, limited liability, and dynamic moral hazard. Econometrica, 78(1):73-118.
  • Constantinescu, Mihnea (2010). What is the “duration” of Swiss direct real estate?. Journal of Property Investment & Finance, 28(3):181-197.
  • Goers, Sebastian R; Wagner, Alexander F; Wegmayr, Jürgen (2010). New and old market-based instruments for climate change policy. Environmental Economics and Policy Studies, 12(1/2):1-30.
  • Gerber, Anke; Hens, Thorsten; Vogt, Bodo (2010). Rational investor sentiment in a repeated stochastic game with imperfect monitoring. Journal of Economic Behavior & Organization, 76(3):669-704.
  • Rochet, Jean-Charles; Wright, Julian (2010). Credit card interchange fees. Journal of Banking and Finance, 34(8):1788-1797.
  • Kubler, Felix; Schmedders, Karl (2010). Non-parametric counterfactual analysis in dynamic general equilibrium. Economic Theory, 45(1-2):181-200.
  • Egloff, Daniel; Leippold, Markus; Wu, Liuren (2010). The term structure of variance swap rates and optimal variance swap investments. Journal of Financial and Quantitative Analysis, 45(5):1279-1310.
  • Leippold, Markus; Egloff, Daniel (2010). Quantile Estimation with Adaptive Importance Sampling. Annals of Statistics, 38(2):1244-1278.

• 2009

  • Chenchiah, Isaac Vikram; Rieger, Marc Oliver; Zimmer, Johannes (2009). Gradient flows in asymmetric metric spaces. Nonlinear Analysis: Theory, Methods & Applications, 71(11):5820-5834.
  • Mancini, Loriano; Fan, Jianqing (2009). Option pricing with model-guided nonparametric methods. Journal of the American Statistical Association, 104(488):1351-1372.
  • Malmendier, Ulrike (2009). Law and Finance "at the Origin". Journal of Economic Literature, 47(4):1076-1108.
  • Ranaldo, Angelo (2009). Segmentation and time-of-day patterns in foreign exchange markets. Journal of Banking and Finance, 33(12):2199-2206.
  • Malmendier, Ulrike; Tate, Geoffrey (2009). Superstars CEOs. Quarterly Journal of Economics, 124(4):1593-1638.
  • Lorenz, Jan; Battiston, Stefano; Schweitzer, Frank (2009). Systemic risk in a unifying framework for cascading processes on networks. European Physical Journal B : Condensed Matter and Complex Systems, 71(4):441-460.
  • Ranaldo, Angelo; Jordan, Thomas; Söderlind, Paul (2009). The implementation of SNB monetary policy. Financial markets and portfolio management, 23(4):349-359.
  • Ranaldo, Angelo; Söderlind, Paul (2009). Editorial. Financial markets and portfolio management, 23(4):333-334.
  • Bindseil, Ulrich; Nyborg, Kjell G; Strebulaev, Ilya A (2009). Repo auctions and the market for liquidity. Journal of Money, Credit and Banking, 41(7):1391-1421.
  • Battiston, Stefano; Glattfelder, James B (2009). Backbone of complex networks of corporations: The flow of control. Physical review. E, 80(3):036104.
  • Ongena, Steven; Penas, María Fabiana (2009). Bondholders’ wealth effects in domestic and cross-border bank mergers. Journal of Financial Stability, 5(3):256-271.
  • Syz, Jürg; Vanini, Paolo (2009). Property derivatives and the subprime crisis. Wilmott journal, 1(3):163-166.
  • Sautner, Zacharias; Weber, Martin (2009). How do managers behave in stock option plans? Clinical evidence from exercise and survey data. The journal of financial research, 32(2):123-155.
  • Leippold, Markus; Egloff, Daniel (2009). American Options with Stochastic Stopping Time Constraints. Applied Mathematical Finance, 16(3):287-305.
  • Ranaldo, Angelo; Christiansen, Charlotte (2009). Extreme coexceedances in new EU member states' stock markets. Journal of Banking and Finance, 33(6):1048-1057.
  • Weber, Rolf H; Grünewald, Seraina (2009). UCITS and the Madoff scandal: liability of depositary banks?. Butterworths Journal of International Banking and Financial Law, 24(6):338-341.
  • Gençay, Ramazan; Gradojevic, Nikola; Kukolj, Dragan (2009). Option Pricing With Modular Neural Networks. IEEE Transactions on Neural Networks, 20(4):626-637.
  • Giannetti, Mariassunta; Ongena, Steven (2009). Financial Integration and Firm Performance: Evidence from Foreign Bank Entry in Emerging Markets. Review of Finance, 13(2):181-223.
  • Ongena, Steven; Degryse, H; Laeven, L (2009). The Impact of Organizational Structure and Lending Technology on Banking Competition. Review of Finance, 13(2):225-259.
  • Gort, Christoph (2009). Overconfidence and active management: An empirical study across Swiss pension plans. Journal of Behavioral Finance, 10(2):69-80.
  • Halla, Martina; Schneider, Friedrich; Wagner, Alexander F (2009). The quality of institutions and satisfaction with democracy in Western Europe — A panel analysis. European Journal of Political Economy, 25(1):30-41.
  • Rosenblatt-Wisch, Rina; Schenk-Hoppe, Klaus Reiner (2009). (Un)anticipated Technological Change in an Endogenous Growth Model. Studies in nonlinear dynamics and econometrics, 13(1):1-18.
  • Broda, Simon; Paolella, Marc S (2009). Evaluating the density of ratios of noncentral quadratic forms in normal variables. Computational Statistics and Data Analysis, 53(4):1264-1270.
  • Hens, Thorsten; Steude, Sven C (2009). The leverage effect without leverage. Finance Research Letters, 6(2):83-94.
  • Haas, Markus; Mittnik, Stefan; Paolella, Marc S (2009). Asymmetric multivariate normal mixture GARCH. Computational Statistics and Data Analysis, 53(6):2129-2154.
  • Darbellay, Aline; Wagner, Alexander F; Weber, Rolf H (2009). Pension Fund Governance: Eine rechtlich-ökonomische Analyse des Stiftungsrates und der Anreize in Pensionskassen. Der Schweizer Treuhänder, 83(1-2):54-66.
  • Rieger, Marc Oliver; Zimmer, Johannes (2009). Young measure flow as a model for damage. Zeitschrift für Angewandte Mathematik und Physik (ZAMP), 60(1):1-32.
  • Tanner, Carmen (2009). Geschützte Werte - Fluch oder Segen?. Wissenswert, (3):6-9.
  • Syz, Jürg; Camp, Raphael (2009). Regelungsdefizite bei strukturierten Produkten in der gebundenen Vorsorge 3a. Schweizerische Zeitschrift für Sozialversicherung und berufliche Vorsorge, 53(2):99-115.
  • Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo (2009). Risk measures and efficient use of capital. ASTIN Bulletin, 39(1):101-116.
  • Gourier, Elise; Abbate, Donato; Farkas, Walter (2009). Operational risk quantification using extreme value theory and copulas: from theory to practice. The Journal of Operational Risk, 4(3):1-24.
  • Bodnaruk, Andriy; Östberg, Per (2009). Does investor recognition predict returns?. Journal of Financial Economics, 91(2):208-226.
  • De Giorgi, Enrico; Hens, Thorsten (2009). Prospect theory and mean-variance analysis: Does it make a difference in wealth management?. Investment Management and Financial Innovations, 6(1):122-129.
  • Weber, Rolf H; Grünewald, Seraina (2009). Settlement Finality and Financial Collateral Directives: ignored but crucial in financial turmoil. Butterworths Journal of International Banking and Financial Law, 24(2):70-73.
  • Broda, Simon; Carstensen, Kai; Paolella, Marc S (2009). Assessing and improving the performance of nearly efficient unit root tests in small samples. Econometric Reviews, 28(5):468-494.
  • Broda, Simon; Paolella, Marc S (2009). CHICAGO: A fast and accurate method for portfolio risk calculation. Journal of Financial Econometrics, 7(4):412-436.
  • Fünfgeld, Brigitte; Wang, Mei (2009). Attitudes and behaviour in everyday finance: evidence from Switzerland. International Journal of Bank Marketing, 27(2):108-128.
  • Weber, Rolf H (2009). Mapping and structuring international financial regulation – A theoretical approach. European Business Law Review, 20(5):651-688.
  • Weber, Rolf H; Grünewald, Seraina (2009). Finanzkrise und Wirtschaftspolitik: Herausforderungen für das Europäische Wettbewerbsrecht. Zeitschrift für Europarecht, 11(3):58-67.
  • El Karoui, Nicole; Ravanelli, Claudia (2009). Cash sub-additive risk measures and interest rate ambiguity. Mathematical Finance, 19(4):561-590.
  • Daniel, Gilles; Sornette, Didier; Woehrmann, Peter (2009). Look-ahead benchmark bias in portfolio performance evaluation. Journal of Portfolio Management, 36(1):121-130.

Pagination