Publications

ZORA Publication List

Publications

• 2022

  • De Nard, G., & Zhao, Z. (2022). A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited International Review of Economics and Finance, 80, 654–676. https://doi.org/10.1016/j.iref.2022.02.049
  • Gropp, R., Ongena, S., Rocholl, J., & Saadi, V. (2022). The cleansing effect of banking crises Economic Inquiry, 60, 1186–1213. https://doi.org/10.1111/ecin.13069
  • Edmondson, A., Ferrère, A., Renerte, B., & Rider, C. (2022). Fostering Ethical Conduct Through Psychological Safety MIT Sloan Management Review, 63, 39–43.
  • Hens, T., & Schnetzer, M. (2022). Evolutionary Finance for Multi-Asset Investors Financial Analysts Journal, 78, 115–127. https://doi.org/10.1080/0015198X.2022.2071581
  • Hens, T. (2022). Stefan Nagel: Machine learning in asset pricing Journal of Economics, 136, 91–92. https://doi.org/10.1007/s00712-022-00775-x
  • Hediger, S., Michel, L., & Näf, J. (2022). On the use of random forest for two-sample testing Computational Statistics & Data Analysis, 170, 107435. https://doi.org/10.1016/j.csda.2022.107435
  • Akyildirim, E., Bariviera, A. F., Nguyen, D. K., & Sensoy, A. (2022). Forecasting high-frequency stock returns: a comparison of alternative methods Annals of Operations Research, 313, 639–690. https://doi.org/10.1007/s10479-021-04464-8
  • Akyildirim, E., Fabozzi, F. J., Göncü, A., & Sensoy, A. (2022). Statistical arbitrage in jump-diffusion models with compound Poisson processes Annals of Operations Research, 313, 1357–1371. https://doi.org/10.1007/s10479-021-03965-w
  • Bingler, J. A., Kraus, M., Leippold, M., & Webersinke, N. (2022). Cheap talk and cherry-picking: What climatebert has to say on corporate climate risk disclosures Finance Research Letters, 47, 102776. https://doi.org/10.1016/j.frl.2022.102776
  • Asri, A., Asri, V., Föllmi-Heusi, F., Leuppi, J. D., Muser, J., Nuesch, R., Fischbacher, U., Renerte, B., & Schuler, D. (2022). Which hospital workers do (not) want the jab? Behavioral correlates of COVID-19 vaccine willingness among employees of Swiss hospitals PLoS ONE, 17, e0268775. https://doi.org/10.1371/journal.pone.0268775
  • Hain, L. I., Kölbel, J., & Leippold, M. (2022). Let’s Get Physical: Comparing Metrics of Physical Climate Risk Finance Research Letters, 46, 102406. https://doi.org/10.1016/j.frl.2021.102406
  • Akyildirim, E., Cepni, O., Molnár, P., & Uddin, G. S. (2022). Connectedness of energy markets around the world during the COVID-19 pandemic Energy Economics, 109, 105900. https://doi.org/10.1016/j.eneco.2022.105900
  • Brumm, J., Feng, X., Kotlikoff, L., & Kübler, F. (2022). Are Deficits free? Journal of Public Economics, 208, 104627. https://doi.org/10.1016/j.jpubeco.2022.104627
  • Bettzüge, M. O., Hens, T., & Zierhut, M. (2022). Financial intermediation and the welfare theorems in incomplete markets Economic Theory, 73, 457–486. https://doi.org/10.1007/s00199-020-01294-w
  • Fu, J., & Mishra, M. (2022). Fintech in the time of COVID-19: Technological adoption during crises Journal of Financial Intermediation, 50, 100945. https://doi.org/10.1016/j.jfi.2021.100945
  • Coculescu, D., & Delbaen, F. (2022). Fairness principles for insurance contracts in the presence of default risk Mathematical Finance, 32, 595–626. https://doi.org/10.1111/mafi.12344
  • Tanner, C., Schmocker, D., Katsarov, J., & Christen, M. (2022). Educating moral sensitivity in business: An experimental study to evaluate the effectiveness of a serious moral game Computers and Education, 178, 104381. https://doi.org/10.1016/j.compedu.2021.104381
  • Farkas, W., & Mathys, L. (2022). Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing Frontiers of Mathematical Finance, 1, 1–51. https://doi.org/10.3934/fmf.2021001
  • Delis, M. D., Hasan, I., Iosifidi, M., & Ongena, S. (2022). Gender, Credit, and Firm Outcomes Journal of Financial and Quantitative Analysis, 57, 359–389. https://doi.org/10.1017/S0022109020000897
  • Andries, A. M., Ongena, S., Sprincean, N., & Tunaru, R. (2022). Risk Spillovers and Interconnectedness between Systemically Important Institutions Journal of Financial Stability, 58, 100963. https://doi.org/10.1016/j.jfs.2021.100963
  • Carroux, S. L., Busch, T., & Paetzold, F. (2022). Unlocking the black box of private impact investors Qualitative Research in Financial Markets, 14, 149–168. https://doi.org/10.1108/QRFM-04-2020-0071
  • Coculescu, D., & Delbaen, F. (2022). Group cohesion under individual regulatory constraints Scandinavian Actuarial Journal, 2022, 80–93. https://doi.org/10.1080/03461238.2021.1934104
  • Delis, M. D., Iosifidi, M., Kazakis, P., Ongena, S., & Tsionas, M. G. (2022). Management practises and M&A success Journal of Banking and Finance, 134, 106355. https://doi.org/10.1016/j.jbankfin.2021.106355
  • Battiston, S., Bressan, G., & Monasterolo, I. (2022). Sustainable investing and climate transition risk: a portfolio rebalancing approach Journal of Portfolio Management, 48, 165–192. https://doi.org/10.3905/jpm.2022.1.394
  • Hens, T., & Naebi, F. (2022). Behavioral heterogeneity in the CAPM with evolutionary dynamics Journal of Evolutionary Economics, 32, 1499–1521. https://doi.org/10.1007/s00191-022-00786-3
  • Burzoni, M., Munari, C., & Wang, R. (2022). Adjusted Expected Shortfall Journal of Banking and Finance, 134, 106297. https://doi.org/10.1016/j.jbankfin.2021.106297
  • Coculescu, D., & Dandapani, A. (2022). Insiders and Their Free Lunches: The Role of Short Positions SIAM Journal on Financial Mathematics, 13, 877–902. https://doi.org/10.1137/20M1375826
  • Borsboom, C., Janssen, D.-J., Strucks, M., & Zeisberger, S. (2022). History Matters: How Short-Term Price Charts Hurt Investment Performance Journal of Banking and Finance, 134, 106351. https://doi.org/10.1016/j.jbankfin.2021.106351

• 2021

  • Chesney, M. (2021). L’injustice sociale à l’heure de la financiarisation et de la digitalisation de l’économie. Filosofia e teologia, 2, 243–251. https://marcchesney.com/site/assets/files/1270/linjustice_sociale_a_lheure_de_la_financiarisation_-_marc_chesney_-_janvier_2021.pdf
  • Akyildirim, E., Sensoy, A., Gulay, G., Corbet, S., & Salari, H. N. (2021). Big data analytics, order imbalance and the predictability of stock returns Journal of Multinational Financial Management, 62, 100717. https://doi.org/10.1016/j.mulfin.2021.100717
  • Chmelikova, G., Krauss, A., & Lategan, F. (2021). Microfinance as a Mechanism against Financial Exclusion in the European Rural Areas – an Inspiration for the Czech Republic AGRIS On-Line Papers in Economics and Informatics, 13, 61–69. https://doi.org/10.7160/aol.2021.130406
  • Ramelli, S., Wagner, A., Zeckhauser, R., & Ziegler, A. (2021). Investor Rewards to Climate Responsibility: Stock-Price Responses to the Opposite Shocks of the 2016 and 2020 U.S. Elections Review of Corporate Finance Studies, 10, 748–787. https://doi.org/10.1093/rcfs/cfab010
  • Fatouh, M., Giansante, S., & Ongena, S. (2021). Economic support during the Covid crisis. Quantitative Easing and Lending Support Schemes in the UK Economics Letters, 209, 110138–110138. https://doi.org/10.1016/j.econlet.2021.110138
  • Carletti, E., Colla, P., Gulati, M. G., & Ongena, S. (2021). The Price of Law: The Case of the Eurozone Collective Action Clauses Review of Financial Studies, 34, 5933–5976. https://doi.org/10.1093/rfs/hhaa140
  • Ongena, S. (2021). Do governments and banks see eye to eye about the environment? Maybe not yet, but can they? Economic and Political Studies, 9, 461–462. https://doi.org/10.1080/20954816.2021.1976905
  • Roncoroni, A., Battiston, S., D’Errico, M., Hałaj, G., & Kok, C. (2021). Interconnected banks and systemically important exposures Journal of Economic Dynamics and Control, 133, 104266. https://doi.org/10.1016/j.jedc.2021.104266
  • Risi, D., Paetzold, F., & Kellers, A. (2021). Wealthy Private Investors and Socially Responsible Investing: The Influence of Reference Groups Sustainability, 13, 12931. https://doi.org/10.3390/su132212931
  • Cheng, H. K., Hu, D., Puschmann, T., & Zhao, J. L. (2021). The Landscape of Blockchain Research: Impacts and Opportunities Information Systems and E-Business Management, 19, 749–755. https://doi.org/10.1007/s10257-021-00544-1
  • Andries, A. M., Ongena, S., & Sprincean, N. (2021). The COVID-19 Pandemic and Sovereign Bond Risk North American Journal of Economics and Finance, 58, 101527. https://doi.org/10.1016/j.najef.2021.101527
  • Nyborg, K. G., & Wang, Z. (2021). The Effect of Stock Liquidity on Cash Holdings: The Repurchase Motiv Journal of Financial Economics, 142, 905–927. https://doi.org/10.1016/j.jfineco.2021.05.027
  • Altavilla, C., Boucinha, M., Holton, S., & Ongena, S. (2021). Credit Supply and Demand in Unconventional Times Journal of Money, Credit and Banking, 53, 2071–2098. https://doi.org/10.1111/jmcb.12792
  • Cheng, H., Gawande, K., Ongena, S., & Qi, S. (2021). Connected banks and economic policy uncertainty Journal of Financial Stability, 56, 100920–100920. https://doi.org/10.1016/j.jfs.2021.100920
  • Goncharenko, R., Ongena, S., & Rauf, A. (2021). The Agency of CoCos: Why Contingent Convertible Bonds Aren’t for Everyone Journal of Financial Intermediation, 48, 100882. https://doi.org/10.1016/j.jfi.2020.100882
  • Dasgupta, A., Fos, V., & Sautner, Z. (2021). Institutional investors and corporate governance Foundations and Trends in Finance, 12, 276–394. https://doi.org/10.1561/0500000056
  • Akyildirim, E., Aysan, A. F., Cepni, O., & Darendeli, S. P. C. (2021). Do investor sentiments drive cryptocurrency prices? Economics Letters, 206, 109980–109980. https://doi.org/10.1016/j.econlet.2021.109980
  • Rochet, J.-C., & Verdier, M. (2021). Banques, monnaie et paiements Revue d’économie financière, 2, 135–155. https://doi.org/10.3917/ecofi.142.0135
  • Fasnacht, D. (2021). Agil und frugal in die Zukunft : Strategien für einen nachhaltigen Umgang mit Ausnahmesituationen. Zeitschrift Führung + Organisation, 04, 243–248.
  • Dyachenko, A., Farkas, W., & Rieger, M. O. (2021). Volatility Dependent Structured Products The Journal of Investing, 30, 53–60. https://doi.org/10.3905/joi.2020.1.162
  • Asri, A., Asri, V., Fischbacher, U., Föllmi-Heusi, F., Leuppi, J. D., Muser, J., Nuesch, R., Renerte, B., & Schuler, D. (2021). Wearing a mask - For yourself or for others? Behavioral correlates of mask wearing among COVID-19 frontline workers PLoS ONE, 16, e02536211. https://doi.org/10.1371/journal.pone.0253621
  • Falkinger, J., & Habib, M. A. (2021). Managerial Discretion and Shareholder Capital at Risk Journal of Business Finance and Accounting, 48, 1215–1245. https://doi.org/10.1111/jbfa.12513
  • Kotlikoff, L., Kübler, F., Polbin, A., & Scheidegger, S. (2021). Pareto-Improving Carbon-Risk Taxation Economic Policy, 36, 551–589. https://doi.org/10.1093/epolic/eiab008
  • Bardoscia, M., Barucca, P., Battiston, S., Caccioli, F., Cimini, G., Garlaschelli, D., Saracco, F., Squartini, T., & Caldarelli, G. (2021). The Physics of Financial Networks Nature Reviews. Physics, 3, 490–507. https://doi.org/10.1038/s42254-021-00322-5
  • Amir, R., Evstigneev, I. V., Hens, T., Potapova, V., & Schenk-Hoppé, K. R. (2021). Evolution in pecunia Proceedings of the National Academy of Sciences of the United States of America, 118, e2016514118. https://doi.org/10.1073/pnas.2016514118
  • Battiston, S., Escobar-Farfán, L. O. L., Martinez-Jaramillo, S., & Roncoroni, A. (2021). Climate risk and financial stability in the network of banks and investment funds Journal of Financial Stability, 54, 100870. https://doi.org/10.1016/j.jfs.2021.100870
  • Battiston, S., Monasterolo, I., Riahi, K., & van Ruijven, B. J. (2021). Accounting for finance is key for climate mitigation pathways Science, 372, 918–920. https://doi.org/10.1126/science.abf3877
  • Bellini, F., Koch-Medina, P., Munari, C., & Svindland, G. (2021). Law-invariant functionals that collapse to the mean Insurance: Mathematics and Economics, 98, 83–91. https://doi.org/10.1016/j.insmatheco.2021.03.002
  • Braggion, F., Dwarkasing, M., & Ongena, S. (2021). Household Inequality, Entrepreneurial Dynamism, and Corporate Financing Review of Financial Studies, 34, 2448–2507. https://doi.org/10.1093/rfs/hhaa097
  • Tsionas, M. G., Mamatzakis, E., & Ongena, S. (2021). Does alternative finance moderate bank fragility? Evidence from the euro-area Journal of International Financial Markets, Institutions & Money, 72, 101340. https://doi.org/10.1016/j.intfin.2021.101340
  • Farkas, W., Mathys, L., & Vasiljevic, N. (2021). Intra‐Horizon expected shortfall and risk structure in models with jumps Mathematical Finance, 31, 772–823. https://doi.org/10.1111/mafi.12302
  • Carletti, E., Ongena, S., Siedlarek, J.-P., & Spagnolo, G. (2021). The Impact of Stricter Merger Control on Bank Mergers and Acquisitions: Too-Big-To-Fail and Competition Journal of Financial Intermediation, 46, 100859. https://doi.org/10.1016/j.jfi.2020.100859
  • Kolaric, S., Kiesel, F., & Ongena, S. (2021). Market Discipline through Credit Ratings and Too‐Big‐to‐Fail in Banking Journal of Money, Credit and Banking, 53, 367–400. https://doi.org/10.1111/jmcb.12789
  • Paolella, M. S., Polak, P., & Walker, P. S. (2021). A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs Journal of Banking and Finance, 125, 106046. https://doi.org/10.1016/j.jbankfin.2021.106046
  • Arnold, M., Schütte, D., & Wagner, A. (2021). Neglected Risk in Financial Innovation: Evidence from Structured Product Counterparty Exposure European Financial Management, 27, 287–325. https://doi.org/10.1111/eufm.12281
  • Akyildirim, E., Corbet, S., O’Connell, J. F., & Sensoy, A. (2021). The influence of aviation disasters on engine manufacturers: An analysis of financial and reputational contagion risks International Review of Financial Analysis, 74, 101630. https://doi.org/10.1016/j.irfa.2020.101630
  • Ongena, S., Schindele, I., & Vonnak, D. (2021). In lands of foreign currency credit, bank lending channels run through? Journal of International Economics, 129, 103435. https://doi.org/10.1016/j.jinteco.2021.103435
  • Hens, T., Rieger, M. O., & Wang, M. (2021). Universal time preference PLoS ONE, 16, e0245692. https://doi.org/10.1371/journal.pone.0245692
  • Ilhan, E., Sautner, Z., & Vilkov, G. (2021). Carbon tail risk Review of Financial Studies, 34, 1540–1571. https://doi.org/10.1093/rfs/hhaa071
  • Battiston, S., Barucca, P., Napoletano, M., & Luu, D. T. (2021). Collateral Unchained: Rehypothecation networks, concentration and systemic effects Journal of Financial Stability, 52, 100811. https://doi.org/10.1016/j.jfs.2020.100811
  • Kotlikoff, L., Kübler, F., Polbin, A., Sachs, J., & Scheidegger, S. (2021). Making Carbon Taxation a Generational Win Win International Economic Review, 62, 3–46. https://doi.org/10.1111/iere.12483
  • Battiston, S., & Martinez-Jaramillo, S. (2021). Network models and stress testing for financial stability: The conference Journal of Financial Stability, 52, 100812. https://doi.org/10.1016/j.jfs.2020.100812
  • Akyildirim, E., Göncü, A., & Sensoy, A. (2021). Prediction of cryptocurrency returns using machine learning Annals of Operations Research, 297, 3–36. https://doi.org/10.1007/s10479-020-03575-y
  • Chesney, M., & Vargas, C. (2021). End of Life Decommissioning and Recycling of Solar Panels in the United States. A Real Options Analysis Journal of Sustainable Finance & Investment, 11, 82–102. https://doi.org/10.1080/20430795.2019.1700723
  • Mayordomo, S., Moreno, A., Ongena, S., & Rodriguez-Moreno, M. (2021). Bank capital requirements, loan guarantees and firm performance Journal of Financial Intermediation, 45, 100825. https://doi.org/10.1016/j.jfi.2019.05.002
  • Bellini, F., Koch-Medina, P., Munari, C., & Svindland, G. (2021). Law-Invariant Functionals on General Spaces of Random Variables SIAM Journal on Financial Mathematics, 12, 318–341. https://doi.org/10.1137/20m1341258
  • Beyene, W., Delis, M. D., & Ongena, S. (2021). Disclosure of Bank Fossil Fuel Exposures European Economy – Banks, Regulation, and the Real Sector, 4, 89–103. https://european-economy.eu/wp-content/uploads/2022/05/EE-2021.2-SUSTAINABLE-FINANCE-WHY-AND-HOW.pdf
  • Izzeldin, M., Johnes, J., Ongena, S., Pappas, V., & Tsionas, M. (2021). Efficiency convergence in Islamic and conventional banks Journal of International Financial Markets, Institutions & Money, 70, 101279. https://doi.org/10.1016/j.intfin.2020.101279
  • Hoyer, K., Zeisberger, S., Breugelmans, S. M., & Zeelenberg, M. (2021). The effect of dispositional greed on individual trading behavior in experimental asset markets Decision (Washington), 8, 80–96. https://doi.org/10.1037/dec0000149
  • Meyer, J., & Krauss, A. (2021). The social performance of microfinance investment vehicles Journal of Sustainable Finance & Investment, 11, 163–186. https://doi.org/10.1080/20430795.2020.1715094
  • Leippold, M., & Rüegg, R. (2021). Fama–French Factor Timing: The Long-Only Integrated Approach European Financial Management, 27, 666–700. https://doi.org/10.1111/eufm.12285
  • Hens, T., & Naebi, F. (2021). Behavioural heterogeneity in the capital asset pricing model with an application to the low-beta anomaly Applied Economics Letters, 28, 501–507. https://doi.org/10.1080/13504851.2020.1761529
  • Arduca, M., Koch-Medina, P., & Munari, C. (2021). Dual representations for systemic risk measures based on acceptance sets Mathematics and Financial Economics, 15, 155–184. https://doi.org/10.1007/s11579-019-00250-0
  • Munari, C. (2021). Multi-utility representations of incomplete preferences induced by set-valued risk measures Finance and Stochastics, 25, 77–99. https://doi.org/10.1007/s00780-020-00440-5

• 2020

  • Chesney, M., Stromberg, J., Wagner, A., & Wolff, V. L. (2020). Managerial incentives to take asset risk Journal of Corporate Finance, 65, 101758. https://doi.org/10.1016/j.jcorpfin.2020.101758
  • Farkas, W., Fringuellotti, F., & Tunaru, R. (2020). A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk Journal of Corporate Finance, 65, 101753. https://doi.org/10.1016/j.jcorpfin.2020.101753
  • Akyildirim, E., Corbet, S., Sensoy, A., & Yarovaya, L. (2020). The impact of blockchain related name changes on corporate performance Journal of Corporate Finance, 65, 101759. https://doi.org/10.1016/j.jcorpfin.2020.101759
  • Leippold, M., & He, Y. (2020). Short-run risk, business cycle, and the value premium Journal of Economic Dynamics and Control, 120, 103993. https://doi.org/10.1016/j.jedc.2020.103993
  • Gao, N., & Munari, C. (2020). Surplus-invariant risk measures Mathematics of Operations Research, 45, 1342–1370. https://doi.org/10.1287/moor.2019.1035
  • Ettlin, N., Farkas, W., Kull, A., & Smirnow, A. (2020). Optimal Risk-Sharing Across a Network of Insurance Companies Insurance: Mathematics and Economics, 95, 39–47. https://doi.org/10.1016/j.insmatheco.2020.08.002
  • Ramelli, S., & Wagner, A. F. (2020). Feverish Stock Price Reactions to COVID-19 Review of Corporate Finance Studies, 9, 622–655. https://doi.org/10.1093/rcfs/cfaa012
  • Duygun, M., Miao, J., & Östberg, P. (2020). Monitoring market participants, externals and financial transactions in a global financial stability environment Journal of Banking and Finance, 119, 105937–105937. https://doi.org/10.1016/j.jbankfin.2020.105937
  • Akyildirim, E., Corbet, S., Cumming, D., Lucey, B., & Sensoy, A. (2020). Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements Technological Forecasting and Social Change, 159, 120191. https://doi.org/10.1016/j.techfore.2020.120191
  • Ongena, S., Cerqueiro, G., & Roszbach, K. (2020). Collateral Damaged? Priority Structure, Credit Supply, and Firm Performance Journal of Financial Intermediation, 44, 100824–100824. https://doi.org/10.1016/j.jfi.2019.05.001
  • Barucca, P., Bardoscia, M., Caccioli, F., D’Errico, M., Visentin, G., Caldarelli, G., & Battiston, S. (2020). Network valuation in financial systems Mathematical Finance, 30, 1181–1204. https://doi.org/10.1111/mafi.12272
  • Cremers, M., Pareek, A., & Sautner, Z. (2020). Short-term investors, long-term investments, and firm value: Evidence from Russell 2000 index inclusions Management Science, 66, 4535–4551. https://doi.org/10.1287/mnsc.2019.3361
  • Féray, V., Méliot, P., & Nikeghbali, A. (2020). Graphons, permutons and the Thoma simplex: three mod‐Gaussian moduli spaces Proceedings of the London Mathematical Society, 121, 876–926. https://doi.org/10.1112/plms.12344
  • Perillo, C., & Battiston, S. (2020). Financialization and unconventional monetary policy: a financial-network analysis Journal of Evolutionary Economics, 30, 1385–1428. https://doi.org/10.1007/s00191-020-00698-0
  • Mathys, L. (2020). On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options Journal of Computational Finance, 24, 33–76. https://doi.org/10.21314/JCF.2020.397
  • Akyildirim, E., Corbet, S., Nguyen, D. K., & Sensoy, A. (2020). Regulatory changes and long-run relationships of the EMU sovereign debt markets: Implications for future policy framework International Review of Law and Economics, 63, 105907. https://doi.org/10.1016/j.irle.2020.105907
  • King, M. R., Ongena, S., & Tarashev, N. (2020). Bank Standalone Credit Ratings International Journal of Central Banking, 16, 101–144. https://www.ijcb.org/journal/ijcb20q3a3.htm
  • Schmocker, D., Tanner, C., Katsarov, J., & Christen, M. (2020). An Advanced Measure of Moral Sensitivity in Business European Journal of Psychological Assessment, 36, 864–873. https://doi.org/10.1027/1015-5759/a000564

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