Other Publications

ZORA Publication List

Publications

2020
- Conference or Workshop item
  - Mishra, Rahul; Yadav, Piyush; Calizzano, Remi; Leippold, Markus (2020). MuSeM: Detecting Incongruent News Headlines using Mutual Attentive Semantic Matching. In: International Conference on Machine Learning and Applications (ICMLA) 2020, Miami, Florida, 14 December 2020 - 17 December 2020, IEEE ICMLA.
  - Diggelmann, Thomas; Boyd-Graber, Jordan; Bulian, Jannis; Ciaramita, Massimiliano; Leippold, Markus (2020). Climate-fever: A Dataset for Verification of Real-World Climate Claims. In: Tackling Climate Change with Machine Learning workshop at NeurIPS 2020, Online, 11 December 2020, NeurIPS.
  - Varini, Francesco; Boyd-Graber, Jordan; Ciaramita, Massimiliano; Leippold, Markus (2020). ClimaText: A Dataset for Climate Change Topic Detection. In: Tackling Climate Change with Machine Learning workshop at NeurIPS 2020, Online, 11 December 2020, NeurIPS.
  - Mishra, Rahul; Gupta, Dhruv; Leippold, Markus (2020). Generating Fact Checking Summaries for Web Claims. In: The 2020 Conference on Empirical Methods in Natural Language Processing (EMNLP 2020), online, 16 November 2020 - 20 November 2020, arXiv.
  - Brumm, Johannes; Kotlikoff, Laurence; Kübler, Felix (2020). Leveraging Posterity's Prosperity?. In: ASSA Annual Meeting, San Diego, CA, 3 January 2020 - 5 January 2020. American Economic Association, 152-156.
- Dissertation
  - Maslov, Egor. Essays in financial integration, firm dynamics and risk sharing. 2020, University of Zurich, Faculty of Economics.
  - Mathys, Ludovic. American-type exotic options and risk management in Lévy-driven markets. 2020, University of Zurich, Faculty of Economics.
  - Hörnlein, Lena. Financing the energy transition: the impact of a changing power sector on investors. 2020, University of Zurich, Faculty of Economics.
  - Mazzone, Luca. Leverage, Business Cycles and Human Capital Accumulation. 2020, University of Zurich, Faculty of Economics.
  - Schnetzer, Michael. Essays on Institutional Asset Management. 2020, University of Zurich, Faculty of Economics.
  - Perillo, Chiara. A macro-financial network perspective to policy analysis. 2020, University of Zurich, Faculty of Economics.
  - Yang, Hanlin. Learning and Systematic Investing. 2020, University of Zurich, Faculty of Economics.
  - Janssen, Alexandra. Expectations, Fear, and Returns in Currency Markets. 2020, University of Zurich, Faculty of Economics.
  - Bilan, Andrada. Three Essays on the Consequences of Financial Market Frictions. 2020, University of Zurich, Faculty of Economics.
  - He, Yunhao. Essays on Factor Asset Pricing. 2020, University of Zurich, Faculty of Economics.
  - Schärer, Steven Patrick. Three Essays on Financial Engineering. 2020, University of Zurich, Faculty of Economics.
  - Geng, Runjie. Essays in equilibrium asset pricing. 2020, University of Zurich, Faculty of Economics.
- Published Research Report
  - Puschmann, Thomas; Leifer, Larry (2020). Sustainable Digital Finance: The Role of FinTech, InsurTech & Blockchain for Shaping the World for the Better. Zurich, Stanford: University of Zurich and Stanford University.
- Scientific Publication in Electronic Form
  - Fasnacht, Daniel (2020). Frugal Banking: An Opportunity to Create Customer Value in the Future?. : Innovationmanagement.se.
  - Chesney, Marc (2020). Sagten Sie «Zurück zur Normalität»?!. Infosperber.ch: Schweizerische Stiftung zur Förderung unabhängiger Information SSUI.
  - Chesney, Marc (2020). Von der Pest zum Coronavirus. Schweizerische Stiftung zur Förderung unabhängiger Information: Infosperber.
  - Fasnacht, Daniel (2020). Denkansätze zur Zukunft des Swiss Banking. : BEI Business Engineering Institute St.Gallen.
  - Fasnacht, Daniel (2020). The Way Forward - 21 Notes for the 21st Century Business Model. : medium.com.
  - Fasnacht, Daniel (2020). Chinese tourists are disrupting european payment services. : BEI Business Engineering Institute St.Gallen.
  - Antoniou, Fabio; Delis, Manthos D; Ongena, Steven; Tsoumas, Christos (2020). Pollution permits and financing costs. London: VoxEU, CEPR Policy Portal.
  - Danisewicz, Piotr; Ongena, Steven (2020). Stimulating entrepreneurial activity: The role of local government. London: VoxEU, CEPR Policy Portal.
  - Gropp, Reint; Ongena, Steven; Rocholl, Jörg; Saadi, Vahid (2020). The cleansing effect of banking crises. London: VoxEU, CEPR Policy Portal.
  - Basten, Christoph; Ongena, Steven (2020). Online mortgage platforms can allow small banks to improve their inter-regional diversification. London: VoxEU, CEPR Policy Portal.
  - Gandré, Pauline; Mariathasan, Mike; Merrouche, Ouarda; Ongena, Steven (2020). Regulatory arbitrage and the G20's global derivatives market reform. London: VoxEU, CEPR Policy Portal.
  - Beyene, Winta; Delis, Manthos D; De Greiff, Kathrin; Ongena, Steven (2020). Fuelling fossil fuel: bond to bank substitution in the transition to a low-carbon economy, principles for responsible investment. London: Principles for Responsible Investment.
  - De Jonghe, Olivier; Dewachter, Hans; Mulier, Klaas; Ongena, Steven; Schepens, Glenn (2020). Some borrowers are more equal than others: Bank funding shocks and credit reallocation. VoxEU.org: VOX CEPR Policy Portal.
  - Ongena, Steven; Auer, Raphael (2020). Spillovers and the optimal design of macroprudential measures: Evidence from Switzerland. London: VoxEU, CEPR Policy Portal.
- Working Paper
  - Linder, Stefan; Sohn, Matthias; Tanner, Carmen (2020). Moral commitment and corruption: Who is more likely to resist corrupt behavior?. SSRN 3530305, University of Zurich.
  - Yang, Yucheng; Pang, Yue; Huang, Guanhua; E, Weinan (2020). The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data. SSRN 3707964, University of Zurich.
  - Carletti, Elena; Colla, Paolo; Gulati, Mitu G; Ongena, Steven (2020). The Price of Law: The Case of the Eurozone Collective Action Clauses. Duke Law School Public Law & Legal Theory Series 2020-73, University of Zurich.
  - Bonfim, Diana; Nogueira, Gil; Ongena, Steven (2020). “Sorry, We're Closed" Bank Branch Closures, Loan Pricing, and Information Asymmetries. SSRN 2749155, University of Zurich.
  - Coculescu, Delia; Delbaen, Freddy (2020). Fairness principles for insurance contracts in the presence of default risk. ArXiv.org 2009.04408, Cornell University.
  - Wolff, Vincent Lars; Rossi, Enzo (2020). Spillovers to exchange rates from monetary and macroeconomic communications events. SNB Working Paper Series 18, University of Zurich.
  - Fasnacht, Daniel (2020). The Ecosystem Strategy: Disruptive Business Model Innovation. SSRN 3635363, University of Zurich.
  - Allard, Anne-Florence; Krakow, Nils Jonathan; Smedts, Kristien (2020). When Mutual Fund Names Misinform. SSRN 3628293, University of Zurich.
  - Kübler, F; Malhotra, R; Polemarchakis, H (2020). Identification of preferences, demand and equilibrium with finite data. CRETA Discussion Paper Series 60, Centre for Research in Economic Theory and its Applications.
  - Delis, Manthos D; Hasan, Iftekhar; Iosifidi, Maria; Ongena, Steven (2020). Gender, Credit, and Firm Outcomes. Swiss Finance Institute Research Paper 19-70, University of Zurich.
  - Basten, Christoph; Ongena, Steven (2020). The Geography of Mortgage Lending in Times of FinTech. CEPR Discussion Papers DP14918, Centre for Economic Policy Research (CEPR).
  - Yang, Hanlin (2020). Decomposing Factor Momentum. SSRN 3517888, University of Zurich.
  - Braggion, Fabio; Dwarkasing, Mintra; Ongena, Steven (2020). Household inequality, entrepreneurial dynamism and corporate financing. Swiss Finance Institute Research Paper 14-27, University of Zurich.
  - Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; Wang, Qian (2020). Does the CDS market reflect regulatory climate risk disclosures?. SSRN 3616324, University of Zurich.
  - Fu, Jonathan; Mishra, Mrinal (2020). The Global Impact of COVID-19 on Fintech Adoption. Swiss Finance Institute Research Paper 20-38, Swiss Finance Institute.
  - De Nard, Gianluca; Hediger, Simon; Leippold, Markus (2020). Subsampled Factor Models for Asset Pricing: The Rise of Vasa. SSRN 3557957, University of Zurich.
  - Fehrler, Sebastian; Renerte, Baiba; Wolff, Irenaeus (2020). Beliefs about others: A striking example of information neglect. Thurgau Institute of Economics at the University of Konstanz 118, University of Zurich.
  - Degryse, Hans; Gündüz, Yalin; O'Flynn, Kuchulain; Ongena, Steven (2020). Identifying Empty Creditors with a Shock and Micro-Data. Swiss Finance Institute Research Paper 20-15, University of Zurich.
  - Farkas, Walter; Mathys, Ludovic (2020). Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing. Swiss Finance Institute Research Paper 20-11, University of Zurich.
  - Broda, Simon A; Paolella, Marc S (2020). Archmodels.Jl: Estimating Arch Models in Julia. Econometrics: Computer Programs & Software SSRN eJournal 3551503, University of Zurich.
  - Leippold, Markus; He, Yunhao (2020). Short-run Risk, Business Cycle, and the Value Premium. SSRN 3519985, University of Zurich.
  - Fu, Jonathan; Krauss, Annette (2020). Preparing fertile ground: How does the business environment affect outcomes from microfinance?. SSRN 3532466, University of Zurich.
  - Ramelli, Stefano; Ossola, Elisa; Rancan, Michela (2020). Climate Sin Stocks: Stock Price Reactions to Global Climate Strikes. JRC Working Papers in Economics and Finance JRC120974, University of Zurich.
  - Bergesio, Andrea; Huber, Paul; Koch-Medina, Pablo; Wilhelmy, Lutz (2020). The Valuation of Insurance Liabilities: A Framework Based on First Principle. Swiss Finance Institute Research Paper 20-03, University of Zurich.
  - Farkas, Walter; Mathys, Ludovic; Vasiljevic, Nikola (2020). Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. Swiss Finance Institute Research Paper 19-76, University of Zurich.
  - Ongena, Steven; Kolaric, Sascha; Kiesel, Florian (2020). Market discipline through credit ratings and Too-Big-To-Fail in banking. Swiss Finance Institute Research Paper 17-09, University of Zurich.
  - Ongena, Steven; King, Michael R; Tarashev, Nikola (2020). Bank standalone credit ratings. BIS Working Paper 542, Bank for International Settlements.
  - Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; Smirnow, Alexander (2020). Optimal risk-sharing across a network of insurance companies. Swiss Finance Institute Research Paper 20-52, University of Zurich.
  - Cheng, Hua; Gawande, Kishore; Ongena, Steven; Qi, Shusen (2020). Get beyond policy uncertainty: Evidence from political connections. Swiss Finance Institute Research Paper 20-77, University of Zurich.
  - Coculescu, Delia; Dandapani, Aditi (2020). Insiders and their Free Lunches: the Role of Short Positions. ArXiv.org 2012.00359, Cornell University.
  - Coculescu, Delia; Delbaen, Freddy (2020). Group cohesion under individual regulatory constraints. ArXiv.org 2010.0142, Cornell University.
  - Ulrych, Urban; Vasiljevic, Nikola (2020). Ambiguity and the Home Currency Bias. Swiss Finance Institute Research Paper 20-73, Swiss Finance Institute.
2019
- Conference or Workshop item
  - He, Qing; Lu, Liping; Ongena, Steven (2019). Who gains from credit granted between firms? Evidence from inter-corporate loan announcements made in China. In: ASSA, Atlanta, 4 January 2019 - 6 January 2019, SSRN.
- Dissertation
  - Vargas, Carlos Alberto. Essays in sustainable finance. 2019, University of Zurich, Faculty of Economics.
  - Tosi, Adriano. Essays in systematic asset pricing. 2019, University of Zurich, Faculty of Economics.
  - Rüegg, Roger. Essays on active investing. 2019, University of Zurich, Faculty of Economics.
  - Petrov, Vladimir. Essays on Directional-Change Intrinsic Time. 2019, University of Zurich, Faculty of Economics.
  - Mukhlynina, Lilia. Essays on valuation, investments, and asset pricing. 2019, University of Zurich, Faculty of Economics.
  - Hammerschmid, Regina. Essays on the pricing of commodity and currency returns. 2019, University of Zurich, Faculty of Economics.
  - De Greiff, Kathrin. Essays on the Link of Climate Change and the Banking Sector. 2019, University of Zurich, Faculty of Economics.
  - Fringuellotti, Fulvia. Three Essays on Bank Lending. 2019, University of Zurich, Faculty of Economics.
  - Richter, Thomas Julian. Trading, Liquidity and Regulation in Sovereign Bond Markets. 2019, University of Zurich, Faculty of Economics.
- Published Research Report
  - Kwon, Taeun; Paetzold, Falko (2019). Sustainable Investing Capabilities of Private Banks : 3rd Report: Assessment of 20 European Private Banks; 2019. Zurich: University of Zurich.
  - Yum, Pearline (2019). Impact Investing: Mapping Families' Interests and Activities. New York: The ImPact.
  - Brown, Katherine; Wood, David; Paetzold, Falko (2019). Impact Investing for the Next Generation: Insights from Young Members of Investor and Business Families. Cologny/Geneva: World Economic Forum.
- Scientific Publication in Electronic Form
  - Fasnacht, Daniel (2019). Who is going to eat the bank's lunch?. London: Finextra.
  - Petrov, Vladimir; Golub, Anton (2019). Listening to the financial heartbeat with agent-based models. London - Informa Connect: Quant Finance.
  - Maddaloni, Angela; Scopelliti, Alessandro (2019). Prudential regulation, national differences and banking stability. European Central Bank: ECB - Frankfurt am Main.
  - Bedendo, Mascia; Garcia, Emilia; Siming, Linus (2019). Kultur prägt die Finanzierungsstruktur der Unternehmen. Zürich: Ökonomenstimme – Die Internetplattform für Ökonominnen und Ökonomen im deutschsprachigen Raum.
  - Goncharenko, Roman; Ongena, Steven; Rauf, Asad (2019). The agency of CoCos: Why contingent convertible bonds aren't for everyone. London: VoxEU, CEPR Policy Portal.
- Working Paper
  - Eichholtz, Piet; Ongena, Steven; Mimiroglu, Nagihan; Yönder, Erkan (2019). Distance effects in CMBS loan pricing banks versus non-banks. Swiss Finance Institute Research Paper 19-58, University of Zurich.
  - Basten, Christoph; Ongena, Steven (2019). The geography of mortgage lending in times of FinTech. Swiss Finance Institute Research Paper 19-39, University of Zurich.
  - Alper, Koray; Altunok, Fatih; Taniu, Capacioglu; Ongena, Steven (2019). The effect of unconventional monetary policy on cross-border bank loans. SFI Research Paper 19-38, University of Zurich.
  - Meyer, Julia; Krauss, Annette; Bachmann, Kremena (2019). Drivers of Investor Motivations for Impact Investments: The Case of Microfinance. SSRN 3395275, University of Zurich.
  - Nyborg, Kjell G; Wang, Zexi (2019). The effect of stock liquidity on cash holdings: The repurchase motiv. Swiss Finance Institute Research Paper 19-30, University of Zurich.
  - Hörnlein, Lena (2019). Utility divestitures in Germany. A case study of corporate financial strategies and energy transition risk. SSRN 2019-04, University of Zurich.
  - Kubler, Felix; Selden, Larry; Wei, Xiao (2019). Time consistency, temporal resolution indifference and the separation of time and risk. Columbia Business School Working Paper -, Columbia Business School.
  - Leippold, Markus; Svatoň, Michal (2019). Trend and reversal of idiosyncratic volatility revisited. Critical Finance Review 3321678, SSRN.
  - Nyborg, Kjell G; Rösler, Cornelia (2019). Repo Rates and the Collateral Spread: Evidence. Swiss Finance Institute Research Paper 19-05, University of Zurich.
  - Nyborg, Kjell G (2019). Repo Rates and the Collateral Spread Puzzle. Swiss Finance Institute Research Paper 19-04, University of Zurich.
  - Delis, Manthos; Fringuellotti, Fulvia; Ongena, Steven (2019). Credit and Income. CEPR Discussion Papers 13468, Centre for Economic Policy Research (CEPR).
  - Bernardi, Simone; Leippold, Markus; Lohre, Harald (2019). Second-Order Risk of Alternative Risk Parity Strategies. SSRN 3090624, University of Zurich.
  - Paolella, Marc; Polak, Pawel; Walker, Patrick (2019). A Flexible Regime Switching Model for Asset Returns. Swiss Finance Institute Research Paper 19-27, University of Zurich.
  - Hediger, Simon; Michel, Loris; Näf, Jeffrey (2019). On the Use of Random Forest for Two-Sample Testing. ArXiv.org 190306287, Cornell University.
2018
- Conference or Workshop item
  - Geng, Runjie (2018). Recursive equilibria in dynamic economies with bounded rationality. In: Society for Economic Dynamics (SED), Mexico City, 28 June 2018 - 30 June 2018. s.n., 1-25.
  - Kübler, Felix; Scheidegger, Simon (2018). Self-justified equilibria: Existence and computation. In: Society for Economic Dynamics (SED), Mexico City, 28 June 2018 - 30 June 2018. s.n., 1-22.
  - Kübler, Felix; Mikushin, Dmitry; Scheidegger, Simon; Schenk, Olaf (2018). Rethinking large-scale economic modeling for efficiency: optimizations for GPU and Xeon Phi clusters. In: IPDPS 2018, Vancouver, BC, Canada, 21 May 2018 - 25 May 2018, Institute of Electrical and Electronics Engineers.
- Dissertation
  - Bernardi, Simone. Three essays on regulatory, market, and estimation risk. 2018, University of Zurich, Faculty of Economics.

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