Publications

ZORA Publication List

Publications

• 2024

  • Albertazzi, Ugo; Fringuellotti, Fulvia; Ongena, Steven (2024). Fixed rate versus adjustable rate mortgages: Evidence from euro area banks European Economic Review, 161:104643.
  • Keil, Jan; Ongena, Steven (2024). The demise of branch banking - Technology, consolidation, bank fragility Journal of Banking and Finance, 158:107038.

• 2023

  • De Haas, Ralph; Lu, Liping; Ongena, Steven (2023). Close competitors? Bilateral bank competition and spatial variation in firms’ access to credit Journal of Economic Geography, 23(6):1237-1271.
  • Sautner, Zacharias; van Lent, Laurence; Vilkov, Grigory; Zhang, Ruishen (2023). Pricing climate change exposure Management Science, 69(12):7540-7561.
  • Leippold, Markus; Yang, Hanlin (2023). Mixed-Frequency Predictive Regressions Journal of Forecasting, 42(8):1955-1972.
  • Puschmann, Thomas; Quattrocchi, Dario (2023). Decreasing the impact of climate change in value chains by leveraging sustainable finance Journal of Cleaner Production, 429:139575.
  • Why do households repay their debt in UK during the COVID-19 crisis? Journal of Economic Studies, 50(8):1789-1823.
  • Braggion, Fabio; Von Meyerinck, Felix; Schaub, Nic (2023). Inflation and Individual Investors' Behavior: Evidence from the German Hyperinflation Review of Financial Studies, 36(12):5012-5045.
  • Custodio, Claudia; Ferreira, Miguel; Garcia-Appendini, Emilia (2023). Indirect Costs of Financial Distress Review of Finance, 27(6):2233-2270.
  • Hager, Diego M; Nitschka, Thomas (2023). Responses of Swiss interest rates and stock prices to ECB policy surprises Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 159:13.
  • Akyildirim, Erdinc; Cepni, Oguzhan; Corbet, Shaen; Uddin, Gazi Salah (2023). Forecasting mid-price movement of Bitcoin futures using machine learning Annals of Operations Research, 330(1-2):553-584.
  • Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; Reite, Endre J (2023). Back to the roots of internal credit risk models: Does risk explain why banks' risk-weighted asset levels converge over time?
  • Barth, Andreas; Laturnus, Valerie; Mansouri, Sasan; Wagner, Alexander (2023). Conflicted Analysts and Initial Coin Offerings Management Science, 69(11):6641-6666.
  • Weingärtner, Tim; Fasser, Fabian; Reis Sá da Costa, Pedro; Farkas, Walter (2023). Deciphering DeFi: A Comprehensive Analysis and Visualization of Risks in Decentralized Finance Journal of Risk and Financial Management, 16(10):454.
  • Strauß, Nadine; Krakow, Jonathan; Chesney, Marc (2023). It’s the News, Stupid! The Relationship Between News Attention, Literacy, Trust, Greenwashing Perceptions and Sustainable Finance Investment in Switzerland Journal of Sustainable Finance & Investment, 13(4):1480-1505.
  • Basten, Christoph; Mariathasan, Mike (2023). Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of central bank reserves Journal of Financial Stability, 68:101160.
  • Arce, Oscar; García-Posada, Miguel; Mayordomo, Sergio; Ongena, Steven (2023). Bank lending policies and monetary policy: some lessons from the negative interest era Economic Policy, 38(116):899-941.
  • Broda, Simon A; Paolella, Marc (2023). ARCHModels.jl: Estimating ARCH Models in Julia Journal of Statistical Software, 107(5):1-25.
  • Kubler, Felix; Scheidegger, Simon (2023). Uniformly self-justified equilibria Journal of Economic Theory, 212:105707.
  • Eugster, Patrick; Uhl, Matthias W (2023). Technical analysis: Novel insights on contrarian trading European financial management, 29(4):1160-1190.
  • Eichholtz, Piet; Ongena, Steven; Simeth, Nagihan; Yönder, Erkan (2023). Banks, non-banks, and the incorporation of local information in CMBS loan pricing Journal of Banking and Finance, 154:106918.
  • Basten, Christoph; Juelsrud, Ragnar (2023). Cross-Selling in Bank-Household Relationships: Mechanisms and Implications for Pricing Review of Financial Studies:Epub ahead of print.
  • Geng, Runjie; Kubler, Felix (2023). Stochastic overlapping generations with non-convex budget sets Journal of Mathematical Economics, 107:102866.
  • Leippold, Markus (2023). Sentiment spin: Attacking financial sentiment with GPT-3 Finance Research Letters, 55(B):103957.
  • Arduca, Maria; Munari, Cosimo (2023). Fundamental theorem of asset pricing with acceptable risk in markets with frictions Finance and Stochastics, 27(3):831-862.
  • Beck, Elliot; De Nard, Gianluca; Wolf, Michael (2023). Improved inference in financial factor models International Review of Economics and Finance, 86:364-379.
  • Ilhan, Emirhan; Krueger, Philipp; Sautner, Zacharias; Starks, Laura T (2023). Climate risk disclosure and institutional investors Review of Financial Studies, 36(7):2617-2650.
  • Evstigneev, Igor V; Hens, Thorsten; Javad Vanaei, Mohammad (2023). Evolutionary Finance: A model with endogenous asset payoffs Journal of Bioeconomics, 25:117-143.
  • Ongena, Steven; Delis, Manthos D; Dioikitopoulos, Evangelos V (2023). Population diversity and financial risk-taking Journal of Banking and Finance, 151:106852.
  • Sautner, Zacharias; Van Lent, Laurence; Vilkov, Grigory; Zhang, Ruishen (2023). Firm‐level climate change exposure Journal of Finance, 78(3):1449-1498.
  • Akyildirim, Erdinc; Corbet, Shaen; Tiniç, Murat; Sensoy, Ahmet (2023). Adverse selection in cryptocurrency markets The journal of financial research, 46(2):497-546.
  • Bedendo, Mascia; Garcia-Appendini, Emilia; Siming, Linus (2023). Managers' cultural origin and corporate response to an economic shock Journal of Corporate Finance, 80:102412.
  • Huang, Winifred; Molyneux, Philip; Ongena, Steven; Xie, Ru (2023). The new challenges of global banking and finance The European Journal of Finance, 29(7):693-699.
  • Fuhrer, Adrian; Hock, Thorsten (2023). Uncertainty in the black-litterman model: empirical estimation of the equilibrium Journal of Empirical Finance, 72:251-275.
  • Munari, Cosimo; Weber, Stefan; Wilhelmy, Lutz (2023). Capital requirements and claims recovery: A new perspective on solvency regulation The Journal of risk and insurance, 90(2):329-380.
  • Anderson, David R; Ulrych, Urban (2023). Accelerated American option pricing with deep neural networks Quantitative Finance and Economics, 7(2):207-228.
  • Leippold, Markus (2023). Thus spoke GPT-3: Interviewing a large-language model on climate finance Finance Research Letters, 53:103617.
  • Hediger, Simon; Näf, Jeffrey; Paolella, Marc S; Polak, Pawel (2023). Heterogeneous Tail Generalized Common Factor Modeling Digital Finance, 5:389-420.
  • Schmocker, David; Tanner, Carmen; Katsarov, Johannes; Christen, Markus (2023). Moral sensitivity in business: A revised measure Current Psychology, 42(12):10277-10291.
  • Hausfeld, Jan; Renerte, Baiba; Twardawski, Torsten (2023). Male and overconfident groups overinvest due to inflated perceived ability to beat the odds Frontiers in behavioral economics, 2:1111317.
  • Burietz, Aurore; Ongena, Steven; Picault, Matthieu (2023). Taxing banks leverage and syndicated lending: A cross-country comparison International Review of Law and Economics, 73:106103.
  • Cornelli, Giulio; Frost, Jon; Gambacorta, Leonardo; Rau, P Raghavendra; Wardrop, Robert; Ziegler, Tania (2023). Fintech and big tech credit: drivers of the growth of digital lending Journal of Banking and Finance, 148:106742.
  • Paolella, Marc S; Polak, Paweł (2023). Density and Risk Prediction with Non-Gaussian COMFORT Models Annals of Financial Economics, 18(01):2250033.
  • Riahi, Monireh; Kubler, Felix; Basiri, Abdolali; Rahmany, Sajjad (2023). Efficient Calculation of all Steady States in large-scale overlapping generations models Journal of Mathematics and Modeling in Finance, 3(1):15-48.
  • Benincasa, Emanuela; Kabas, Gazi; Ongena, Steven (2023). Uncoordinated climate policies: Implications for cross-border lending econpol Forum, 24(1):28-30.
  • Fu, Jonathan; Krauss, Annette (2023). Preparing fertile ground: how does the quality of business environments affect MSE growth?
  • Leippold, Markus; Svatoň, Michal (2023). Trend and Reversal of Idiosyncratic Volatility Revisited Critical Finance Review, 12(1-4):171-202.
  • Kok, Christoffer; Müller, Carola; Ongena, Steven; Pancaro, Cosimo (2023). The disciplining effect of supervisory scrutiny in the EU-wide stress test Journal of Financial Intermediation, 53:101015.
  • Aevoae, George-Marian; Andries, Alin Marius; Ongena, Steven; Sprincean, Nicu (2023). ESG and systemic risk Applied Economics, 55(27):3085-3109.
  • Mamatzakis, Emmanuel C; Ongena, Steven; Tsionas, Mike G (2023). The response of household debt to COVID-19 using a neural networks VAR in OECD Empirical Economics, 65:65-91.
  • Qi, Shusen; Hui, Kent Ngan-Cheung; Ongena, Steven (2023). Inter-industry FDI spillovers from foreign banks: Evidence in transition economies Financial Management, 52(1):97-126.
  • Akyildirim, Erdinc; Nguyen, Duc Khuong; Sensoy, Ahmet; Sikic, Mario (2023). Forecasting high‐frequency excess stock returns via data analytics and machine learning European financial management, 29(1):22-75.
  • Garcia-Appendini, Emilia; Gatti, Stefano; Nocera, Giacomo (2023). Does asset encumbrance affect bank risk? Evidence from covered bonds Journal of Banking and Finance, 146:106705.
  • Accetturo, Antonio; Barboni, Giorgia; Cascarano, Michele; Garcia-Appendini, Emilia (2023). The role of culture in firm-bank matching Journal of Financial Intermediation, 53:101018.
  • Efing, Matthias; Hau, Harald; Kampkötter, Patrick; Rochet, Jean-Charles (2023). Bank bonus pay as a risk sharing contract Review of Financial Studies, 36(1):235-280.
  • Brumm, Johannes; Grill, Michael; Kubler, Felix; Schmedders, Karl (2023). Re-use of collateral: Leverage, volatility, and welfare Review of Economic Dynamics, 47:19-46.
  • Fasnacht, Daniel (2023). Demokratisierung im Gesundheitswesen: Dezentrale Gesundheitsdaten Schweizerische Ärztezeitung (SÄZ), 48(104):25.

• 2022

  • Giansante, Simone; Fatouh, Mahmoud; Ongena, Steven (2022). The asset reallocation channel of quantitative easing. The case of the UK Journal of Corporate Finance, 77:102294.
  • Bingler, Julia Anna; Colesanti Senni, Chiara; Monnin, Pierre (2022). Understand what you measure: Where climate transition risk metrics converge and why they diverge Finance Research Letters, 50:103265.
  • Farkas, Walter; Ferrari, Francesco; Ulrych, Urban (2022). Pricing autocallables under local-stochastic volatility Frontiers of Mathematical Finance, 1(4):575-610.
  • Nyborg, Inke (2022). Papierenes Zahlungsversprechen: Wie Banknoten zu Bargeld wurden Bulletin der Schweizerischen Akademie der Geistes- und Sozialwissenschaften (SAGW), 28(3):44-47.
  • Azinovic, Marlon; Gaegauf, Luca; Scheidegger, Simon (2022). Deep Equilibrium Nets International Economic Review, 63(4):1471-1525.
  • Nguyen, Duc Duy; Ongena, Steven; Qi, Shusen; Sila, Vathunyoo (2022). Climate Change Risk and the Cost of Mortgage Credit Review of Finance, 26(6):1509-1549.
  • Rehbein, Oliver; Ongena, Steven (2022). Flooded through the back door: The role of bank capital in local shock spillovers Journal of Financial and Quantitative Analysis, 57(7):2627-2658.
  • Luciano, Elisa; Rochet, Jean-Charles (2022). The fluctuations of insurers’ risk appetite Journal of Economic Dynamics and Control, 144:104543.
  • Fischbacher, Urs; Hausfeld, Jan; Renerte, Baiba (2022). Strategic incentives undermine gaze as a signal of prosocial motives Games and Economic Behavior, 136:63-91.
  • Alessi, Lucia; Battiston, Stefano (2022). Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios International Review of Financial Analysis, 84:102319.
  • Paetzold, Falko; Busch, Timo; Utz, Sebastian; Kellers, Anne (2022). Between impact and returns: Private investors and the sustainable development goals Business Strategy and the Environment, 31(7):3182-3197.
  • Berger, Florian; Kölbel, Julian; Rigobon, Roberto (2022). Aggregate Confusion: The Divergence of ESG Ratings Review of Finance, 26(6):1315-1344.
  • De Nard, Gianluca (2022). Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage Journal of Financial Econometrics, 20(4):569-611.
  • Akyildirim, Erdinc; Cepni, Oguzhan; Pham, Linh; Uddin, Gazi Salah (2022). How connected is the agricultural commodity market to the news-based investor sentiment?
  • De Nard, Gianluca; Hediger, Simon; Leippold, Markus (2022). Subsampled Factor Models for Asset Pricing: The Rise of Vasa Journal of Forecasting, 41(6):1217-1247.
  • Dyachenko, Artem; Ley, Patrick; Rieger, Marc Oliver; Wagner, Alexander F (2022). The Asset Allocation of Defined Benefit Pension Plans: The Role of Sponsor Contributions Journal of Asset Management, 23:376-389.
  • Leippold, Markus; Wang, Qian; Zhou, Wenyu (2022). Machine-Learning in the Chinese Factor Zoo Journal of Financial Economics, 145(2):64-82.
  • Leippold, Markus; Matthys, Felix (2022). Economic Policy Uncertainty and the Yield Curve Review of Finance, 26(4):751-797.
  • Dogru, Tarik; Akyildirim, Erdinc; Cepni, Oguzhan; Ozdemir, Ozgur; Sharma, Abhinav; Yilmaz, Muhammed Hasan (2022). The effect of environmental, social and governance risks Annals of Tourism Research, 95:103432.
  • De Nard, Gianluca; Zhao, Zhao (2022). A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited International Review of Economics and Finance, 80:654-676.
  • Gropp, Reint; Ongena, Steven; Rocholl, Jörg; Saadi, Vahid (2022). The cleansing effect of banking crises Economic Inquiry, 60(3):1186-1213.
  • Edmondson, Amy; Ferrère, Antoine; Renerte, Baiba; Rider, Chris (2022). Fostering Ethical Conduct Through Psychological Safety MIT Sloan Management Review, 63(4):39-43.
  • Hens, Thorsten; Schnetzer, Michael (2022). Evolutionary Finance for Multi-Asset Investors Financial Analysts Journal, 78(3):115-127.
  • Akyildirim, Erdinc; Bariviera, Aurelio F; Nguyen, Duc Khuong; Sensoy, Ahmet (2022). Forecasting high-frequency stock returns: a comparison of alternative methods Annals of Operations Research, 313:639-690.
  • Hens, Thorsten (2022). Stefan Nagel: Machine learning in asset pricing Journal of Economics, 136:91-92.
  • Bingler, Julia Anna; Kraus, Mathias; Leippold, Markus; Webersinke, Nicolas (2022). Cheap talk and cherry-picking: What climatebert has to say on corporate climate risk disclosures Finance Research Letters, 47:102776.
  • Behnk, Sascha; Hao, Li; Reuben, Ernesto (2022). Shifting normative beliefs: On why groups behave more antisocially than individuals European Economic Review, 145:104116.
  • Akyildirim, Erdinc; Fabozzi, Frank J; Göncü, Ahmet; Sensoy, Ahmet (2022). Statistical arbitrage in jump-diffusion models with compound Poisson processes Annals of Operations Research, 313:1357-1371.
  • Asri, Ankush; Asri, Viola; Föllmi-Heusi, Franziska; Leuppi, Joerg D; Muser, Juergen; Nuesch, Reto; Fischbacher, Urs; Renerte, Baiba; Schuler, Dominik (2022). Which hospital workers do (not) want the jab? Behavioral correlates of COVID-19 vaccine willingness among employees of Swiss hospitals PLoS ONE, 17(5):e0268775.
  • Ongena, Steven; Savaser, Tanseli; Sisli Ciamarra, Elif (2022). CEO incentives and bank risk over the business cycle Journal of Banking and Finance, 138:106460.
  • De Nard, Gianluca; Engle, Robert F; Ledoit, Olivier; Wolf, Michael (2022). Large dynamic covariance matrices: Enhancements based on intraday data. Journal of Banking and Finance, 138:106426.
  • Hain, Linda Isabella; Kölbel, Julian; Leippold, Markus (2022). Let’s Get Physical: Comparing Metrics of Physical Climate Risk Finance Research Letters, 46:102406.
  • Akyildirim, Erdinc; Cepni, Oguzhan; Molnár, Peter; Uddin, Gazi Salah (2022). Connectedness of energy markets around the world during the COVID-19 pandemic Energy Economics, 109:105900.
  • Bettzüge, Marc Oliver; Hens, Thorsten; Zierhut, Michael (2022). Financial intermediation and the welfare theorems in incomplete markets Economic Theory, 73(2-3):457-486.
  • Coculescu, Delia; Delbaen, Freddy (2022). Fairness principles for insurance contracts in the presence of default risk Mathematical Finance, 32(2):595-626.
  • Fu, Jonathan; Mishra, Mrinal (2022). Fintech in the time of COVID-19: Technological adoption during crises Journal of Financial Intermediation, 50:100945.
  • Hens, Thorsten; Amir, Rabah; Evstigneev, Igor V; Belkov, Sergei (2022). An evolutionary finance model with short selling and endogenous asset supply Economic Theory, 73:655-677.
  • Liebrich, Felix-Benedikt; Munari, Cosimo (2022). Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity Mathematics and Financial Economics, 16(3):447-480.
  • Tanner, Carmen; Schmocker, David; Katsarov, Johannes; Christen, Markus (2022). Educating moral sensitivity in business: An experimental study to evaluate the effectiveness of a serious moral game Computers and Education, 178:104381.
  • Farkas, Walter; Mathys, Ludovic (2022). Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing Frontiers of Mathematical Finance, 1(1):1-51.
  • Karsten, Christel; Malmendier, Ulrike; Sautner, Zacharias (2022). Lawyer expertise and contract Design - evidence from M&A negotiations Economic Journal, 132(642):644-674.
  • Delis, Manthos D; Hasan, Iftekhar; Iosifidi, Maria; Ongena, Steven (2022). Gender, Credit, and Firm Outcomes Journal of Financial and Quantitative Analysis, 57(1):359-389.
  • Andries, Alin Marius; Ongena, Steven; Sprincean, Nicu; Tunaru, Radu (2022). Risk Spillovers and Interconnectedness between Systemically Important Institutions Journal of Financial Stability, 58:100963.

Pagination