Publications

ZORA Publication List

Publications

• 2020

  • Ongena, Steven; Qi, Shusen (2020). Fuel the engine: bank credit and firm innovation Journal of Financial Services Research, 57:115-147.
  • Jakovljević, Sanja; Degryse, Hans; Ongena, Steven (2020). Introduction to the Symposium on Contemporary Banking Research: The use of fixed effects to disentangle loan demand from loan supply Economic Inquiry, 58(2):917-920.
  • Epper, Thomas; Fehr, Ernst; Fehr-Duda, Helga; Kreiner, Claus Thustrup; Lassen, David Dreyer; Leth-Petersen, Søren; Rasmussen, Gregers Nytoft (2020). Time discounting and wealth inequality American Economic Review, 110(4):1177-1205.
  • Druz, Marina; Petzev, Ivan; Wagner, Alexander F; Zeckhauser, Richard J (2020). When Managers Change Their Tone, Analysts and Investors Change Their Tune Financial Analysts Journal, 76(2):47-69.
  • Fasnacht, Daniel (2020). Die Ökosystemstrategie : Disruptive Innovationen mit klassischen Geschäftsmodellen kombinieren und neuen effektiven Mehrwert generieren Zeitschrift Führung + Organisation, 89(03):168-173.
  • Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Woesthoff, Mathis-Hendrik (2020). Escaping the Backtesting Illusion Journal of Portfolio Management, 46(4):81-93.
  • Basten, Christoph (2020). Higher Bank Capital Requirements and Mortgage Pricing: Evidence from the Counter-Cyclical Capital Buffer Review of Finance, 24(2):453-495.
  • Akyildirim, Erdinc; Corbet, Shaen; Lucey, Brian; Sensoy, Ahmet; Yarovaya, Larisa (2020). The relationship between implied volatility and cryptocurrency returns Finance Research Letters, 33:101212.
  • Krueger, Philipp; Sautner, Zacharias; Starks, Laura T (2020). The importance of climate risks for institutional investors Review of Financial Studies, 33(3):1067-1111.
  • Ladika, Tomislav; Sautner, Zacharias (2020). Managerial short-termism and investment: Evidence from accelerated option vesting Review of Finance, 24(2):305-344.
  • Brealey, Richard A; Cooper, Ian A; Habib, Michel A (2020). Cost of capital and valuation in the public and private sectors: tax, risk, and debt capacity Journal of Business Finance and Accounting, 47(1-2):163-187.
  • De Jonghe, Olivier; Dewachter, Hans; Ongena, Steven (2020). Bank capital (requirements) and credit supply: Evidence from pillar 2 decisions Journal of Corporate Finance, 60:101518.
  • 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 Review of Finance, 24(1):1-43.
  • Andrieș, Alin Marius; Nistor, Simona; Ongena, Steven; Sprincean, Nicu (2020). On Becoming an O-SII ("Other Systemically Important Institution") Journal of Banking and Finance, 111:105723.
  • Baes, Michel; Munari, Cosimo (2020). A continuous selection for optimal portfolios under convex risk measures does not always exist Mathematical Methods of Operations Research, 91(1):5-23.
  • Delis, Manthos D; Iosifidi, Maria; Kokas, Sotiris; Xefteris, Dimitrios; Ongena, Steven (2020). Enforcement actions on banks and the structure of loan syndicates Journal of Corporate Finance, 60:101527.
  • Wagner, Alexander (2020). COVID-19 und Aktienkurse Expert Focus, 10:5.
  • Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo (2020). Existence, uniqueness, and stability of optimal payoffs of eligible assets Mathematical Finance, 30:128-166.
  • Leippold, Markus; Vasiljevic, Nikola (2020). Option-Implied Intrahorizon Value at Risk Management Science, 66(1):397-414.
  • Schnetzer, Michael (2020). How Good Is Tactical Asset Allocation Using Standard Indicators?
  • Reppen, A Max; Soner, Halil Mete; Rochet, Jean-Charles (2020). Optimal dividend policies with random profitability Mathematical Finance, 30(1):228-259.
  • Zeisberger, Stefan; Borsboom, Charlotte (2020). What makes an investment risky? An analysis of price path characteristics Journal of Economic Behavior & Organization, 169:92-125.
  • Gao, Niushan; Munari, Cosimo; Xanthos, Foivos (2020). Stability properties of Haezendonck–Goovaerts premium principles Insurance: Mathematics and Economics, 94:94-99.
  • Leippold, Markus; Bernardi, Simone; Lohre, Harald (2020). Second-Order Risk of Alternative Risk Parity Strategies Journal of Risk, 21(3):1-25.

• 2019

  • Paolella, Marc S; Polak, Paweł; Walker, Patrick S (2019). Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns Journal of Econometrics, 213(2):493-515.
  • Koch-Medina, Pablo; Albrecher, Hansjörg; Bommier, Antoine; Filipović, Damir; Loisel, Stéphane; Schmeiser, Hato (2019). Insurance: models, digitalization, and data science European Actuarial Journal, 9(2):349-360.
  • Akyildirim, Erdinc; Corbet, Shaen; Ekinci, Cumhur (2019). Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets Finance Research Letters, 31:155-164.
  • Krauss, Annette; Chmelikova, Gabriela; Dvoulety, Ondrej (2019). Performance of Microfinance Institutions in Europe - Does Social Capital Matter?
  • Battiston, Stefano; Delpini, Danilo; Caldarelli, Guido; Riccaboni, Massimo (2019). Systemic risk from investment similarities PLoS ONE, 14(5):e0217141-e0217141.
  • Daubanes, Julien; Rochet, Jean-Charles (2019). The Rise of NGO Activism American Economic Journal: Economic Policy, 11(4):183-212.
  • Zeisberger, Stefan; Huber, Jürgen; Palan, Stefan (2019). Does investor risk perception drive asset prices in markets? Experimental evidence Journal of Banking and Finance, 108:105635.
  • Rochet, Jean-Charles; Thanassoulis, John (2019). Intertemporal price discrimination with two products RAND Journal of Economics, 50(4):951-973.
  • Ongena, Steven; Popov, Alexander; van Horen, Neeltje (2019). The invisible hand of the government: moral suasion during the European sovereign debt crisis American Economic Journal: Macroeconomics, 11(4):346-379.
  • Leippold, Markus; Yang, Hanlin (2019). Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models Econometrics and Statistics, 12:25-41.
  • Schmidt, Peter S; von Arx, Urs; Schrimpf, Andreas; Wagner, Alexander F; Ziegler, Andreas (2019). Common Risk Factors in International Stock Markets Financial markets and portfolio management, 33(3):213-241.
  • Broda, Simon A (2019). Testing for Individual Sphericity in Heterogeneous Panels Biometrika, 106(3):740-747.
  • Katsarov, Johannes; Christen, Markus; Schmocker, David; Tanner, Carmen; Mauerhofer, Ralf (2019). Training moral sensitivity through video games: a review of suitable game mechanisms Games and Culture, 14(4):344-366.
  • Tanner, Carmen; Gangl, Katharina; Witt, Nicole (2019). The German Ethical Culture Scale (GECS): Development and first construct testing Frontiers in Psychology:10:1667.
  • Näf, Jeffrey; Paolella, Marc S; Polak, Paweł (2019). Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition Journal of Multivariate Analysis, 172:84-106.
  • Basten, Christoph; Siegenthaler, Michael (2019). Do Immigrants Take or Create Residents’ Jobs? Evidence from Free Movement of Workers in Switzerland Scandinavian Journal of Economics, 121(3):994-1019.
  • Meyer, Julia (2019). Outreach and performance of microfinance institutions: the importance of portfolio yield Applied Economics, 51(27):2945-2962.
  • Hörnlein, Lena (2019). The value of gas-fired power plants in markets with high shares of renewable energy Energy Economics, 81:1078-1098.
  • Necula, Ciprian; Drimus, Gabriel; Farkas, Walter (2019). A general closed form option pricing formula Review of Derivatives Research, 22:1-40.
  • Petrov, Vladimir; Golub, Anton; Olsen, Richard (2019). Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time Journal of Risk and Financial Management, 12(2):54.
  • Beck, Thorsten; Ongena, Steven; Sendeniz-Yüncü, Ilkay (2019). Keep walking? Geographical proximity, religion, and relationship banking Journal of Corporate Finance, 55:49-68.
  • Qi, Shusen; Ongena, Steven (2019). Will money talk? Firm bribery and credit access Financial Management, 48(1):117-157.
  • Behnk, Sascha; Barreda-Tarrazona, Iván; García-Gallego, Aurora (2019). Deception and reputation – An experimental test of reporting systems Journal of Economic Psychology, 71:37-58.
  • Gotthelf, Nina; Uhl, Matthias W (2019). News Sentiment: A New Yield Curve Factor Journal of Behavioral Finance, 20(1):21-31.
  • Bardgett, Chris; Gourier, Elise; Leippold, Markus (2019). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets Journal of Financial Economics, 131(3):593-618.
  • Bielagk, Jana; Horst, Ulrich; Moreno-Bromberg, Santiago (2019). Trading Under Market Impact: Crossing Networks Interacting With Dealer Markets Journal of Economic Dynamics and Control, 100:131-151.
  • Kara, Alper; Marques-Ibanez, David; Ongena, Steven (2019). Securitization and credit quality in the European market European financial management, 25(2):407-434.
  • Ravanelli, Claudia; Svindland, Gregor (2019). Ambiguity sensitive preferences in Ellsberg frameworks Economic Theory, 67(1):53-89.
  • Braggion, Fabio; Ongena, Steven (2019). Banking sector deregulation, bank–firm relationships and corporate leverage Economic Journal, 129(618):765-789.
  • Böcking, Hans-Joachim; Bundle, Laura; Schmid, Remo; Wagner, Alexander (2019). Neukonzeption der variablen Vorstandsvergütung durch den Entwurf des deutschen Corporate Governance Kodex Der Betrieb, 4:137-144.
  • Bradbury, Meike A S; Hens, Thorsten; Zeisberger, Stefan (2019). How Persistent are the Effects of Experience Sampling on Investor Behavior?
  • Coculescu, Delia; Delbaen, Freddy (2019). Surplus Sharing with Coherent Utility Functions Risks, 7(1):7.
  • Coculescu, Delia; Jeanblanc, Monique (2019). Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices Finance and Stochastics, 23(2):397-421.
  • Hens, Thorsten; Ritter, Andreas (2019). Mystery Shopping als Teil der Compliance - Am Beispiel des Bilanz Private Banking Rating Schweizerische Zeitschrift für Wirtschafts- und Finanzmarktrecht (SZW), (6):568-581.
  • von der Crone, Hans Caspar; Monsch, Martin; Meisser, Luzius (2019). Aktien-Token GesKR: Schweizerische Zeitschrift für Gesellschafts- und Kapitalmarktrecht sowie Umstrukturierungen, 1:1-17.
  • Gropp, Reint; Mosk, Thomas; Wix, Carlo; Ongena, Steven (2019). Banks response to higher capital requirements: evidence from a quasi-natural experiment Review of Financial Studies, 32(1):266-299.
  • Böcking, Hans-Joachim; Bundle, Laura; Schmid, Remo; Wagner, Alexander (2019). Eine Analyse zur Vergütung von 100 Schweizer und 130 deutschen Unternehmen unter besonderer Berücksichtigung der Corporate Governance Der Konzern, 2019(2):61-69.
  • Schnetzer, Michael (2019). Carry-Based Expected Returns for Strategic Asset Allocation Journal of Portfolio Management, 45(2):68-81.

• 2018

  • Monasterolo, Irene; Zheng, Jiani Isabelle; Battiston, Stefano (2018). Climate Transition Risk and Development Finance: A Carbon Risk Assessment of China's Overseas Energy Portfolios China & World Economy, 26(6):116-142.
  • Rohner, Philippe; Uhl, Matthias W (2018). The Compensation Portfolio Finance Research Letters, 27:60-64.
  • Bruno, Brunella; Garcia-Appendini, Emilia; Nocera, Giacomo (2018). Experience and Brokerage in Asset Markets: Evidence from Art Auctions Financial Management, 47(4):833-864.
  • Hens, Thorsten; Lensberg, Terje; Schenk-Hoppé, Klaus Reiner (2018). Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading International Review of Finance, 18(4):727-741.
  • Perillo, Chiara; Battiston, Stefano (2018). A multiplex financial network approach to policy evaluation: the case of euro area Quantitative Easing Applied Network Science, 3:49.
  • Jochem, Torsten; Ladika, Tomislav; Sautner, Zacharias (2018). The retention effects of unvested equity: Evidence from accelerated option vesting Review of Financial Studies, 31(11):4142-4186.
  • Wagner, Alexander F; Zeckhauser, Richard J; Ziegler, Alexandre (2018). Company Stock Price Reactions to the 2016 Election Shock: Trump, Taxes and Trade Journal of Financial Economics, 130(2):428-451.
  • Akyildirim, Erdinc; Nguyen, Duc Khuong; Sensoy, Ahmet (2018). A tale of two risks in the EMU sovereign debt markets Economics Letters, 172:102-106.
  • Rüegg, Roger; Leippold, Markus (2018). The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?
  • Chesney, Marc; Vargas, Carlos; Balietti, Anca (2018). Long-Term Investment Choices for Quinoa Farmers in Puno, Peru: A Real Options Case Study International Journal of Food and Agricultural Economics, 6(4):1-19.
  • Behnk, Sascha; Barreda-Tarrazona, Iván; García-Gallego, Aurora (2018). Punishing liars - how monitoring affects honesty and trust PLoS ONE, 13(10):1-30.
  • Broda, Simon A; Krause, Jochen; Paolella, Marc S (2018). Approximating expected shortfall for heavy-tailed distributions Econometrics and Statistics, 8:184-203.
  • Battiston, Stefano; Karpf, Andreas; Mandel, Antoine (2018). Price and network dynamics in the European carbon market Journal of Economic Behavior & Organization, 153:103-122.
  • Dacorogna, Michel; Ferriero, Alessandro; Krief, David (2018). One-Year Change Methodologies for Fixed-Sum Insurance Contracts Risks, 6(3):75.
  • Sautner, Zacharias; Vladimirov, Vladimir (2018). Indirect costs of financial distress and bankruptcy law: Evidence from trade credit and sales Review of Finance, 22(5):1667-1704.
  • Battiston, Stefano; Monasterolo, Irene; Stolbova, Veronika (2018). A Financial Macro-Network Approach to Climate Policy Evaluation Ecological Economics, 149:239-253.
  • Hammerschmid, Regina; Lohre, Harald (2018). Regime shifts and stock return predictability International Review of Economics and Finance, 56:138-160.
  • Ongena, Steven; Tumer-Alkan, Gunseli; von Westernhagen, Natalja (2018). Do exposures to sagging real estate, subprime or conduits abroad lead to contraction and flight to quality in bank lending at home?
  • Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor (2018). Which eligible assets are compatible with comonotonic capital requirements?
  • Ongena, Steven; Zalewska, Anna (Ania) (2018). Institutional and individual investors: Saving for old age Journal of Banking and Finance, 92:257-268.
  • Hens, Thorsten; Mayer, János (2018). Decision Theory Matters for Financial Advice Computational Economics, 52(1):195-226.
  • Fuhrer, Lucas Marc (2018). Liquidity in the Repo Market Journal of International Money and Finance, 84:1-22.
  • Almansour, Abdullah M; Ongena, Steven (2018). Bank loan announcements and religious investors: Empirical evidence from Saudi Arabia Journal of Empirical Finance, 47:78-89.
  • Meisser, Luzius; Meisser, Christian; Kogens, Ronald (2018). Verfügungsmacht und Verfügungsrecht an Bitcoins im Konkurs Jusletter IT:online.
  • Wagner, Alexander; Zeckhauser, Richard J; Ziegler, Alexandre (2018). Unequal Rewards to Firms: Stock Market Responses to the Trump Election and the 2017 Corporate Tax Reform American Economic Association. Papers and Proceedings, 108(May):590-596.
  • Temesvary, Judit; Ongena, Steven; Owen, Ann L (2018). A global lending channel unplugged? Does U.S. monetary policy affect cross-border and affiliate lending by global U.S. banks?
  • Chesney, Marc; Vasiljevic, Nikola (2018). Parisian Options with Jumps: A Maturity-Excursion Randomization Approach Quantitative Finance, 18(11):1887-1908.
  • Albrecher, Hansjörg; Bauer, Daniel; Embrechts, Paul; Filipović, Damir; Koch-Medina, Pablo; Korn, Ralf; Loisel, Stéphane; Pelsser, Antoon; Schiller, Frank; Schmeiser, Hato; Wagner, Joël (2018). Asset-liability management for long-term insurance business European Actuarial Journal, 8(1):9-25.
  • Meisser, Luzius; Hauser-Spühler, Gabriela (2018). Eigenschaften der Kryptowährung Bitcoin Digma, 1:6-12.
  • Sikic, Mario; Schweizer, Martin; Zivoi, Danijel (2018). Dynamic Mean-Variance Optimization Problems with Deterministic Information International Journal of Theoretical and Applied Finance, 21(02):1850011.
  • Roukny, Tarik; Battiston, Stefano; Stiglitz, Joseph E (2018). Interconnectedness as a Source of Uncertainty in Systemic Risk Journal of Financial Stability, 35:93-106.
  • Gao, Niushan; Leung, Denny; Munari, Cosimo; Xanthos, Foivos (2018). Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces Finance and Stochastics, 22(2):395-415.
  • D'Errico, Marco; Battiston, Stefano; Peltonen, Tuomas; Scheicher, Martin (2018). How does risk flow in the credit default swap market?
  • Habib, Michel A (2018). Multifaceted Transactions and Organizational Ownership Review of Corporate Finance Studies, 7(1):22-69.
  • Iyer, Rajkamal; Sautner, Zacharias (2018). Contracting between Firms: Empirical Evidence The Review of Economics and Statistics, 100(1):92-104.
  • Koch-Medina, Pablo; Wenzelburger, Jan (2018). Equilibria in the CAPM with non-tradeable endowments Journal of Mathematical Economics, 75:93-107.
  • Grosshans, Daniel; Zeisberger, Stefan (2018). All's Well That Ends Well? On the Importance of How Returns Are Achieved Journal of Banking and Finance, 87:397-410.
  • Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario (2018). A simple characterization of tightness for convex solid sets of positive random variables Positivity, 22(4):1015-1022.

Pagination