Publications

ZORA Publication List

Publications

• 2016

  • Vitali, S., Battiston, S., & Gallegati, M. (2016). Financial fragility and distress propagation in a network of regions Journal of Economic Dynamics and Control, 62, 56–75. https://doi.org/10.1016/j.jedc.2015.10.003
  • Dluhosch, B., & Hens, T. (2016). A rigorous approach to business services offshoring and North–North trade Applied Economics, 48, 1390–1401. https://doi.org/10.1080/00036846.2015.1100259
  • Koch-Medina, P., & Munari, C. (2016). Unexpected shortfalls of expected Shortfall: Extreme default profiles and regulatory arbitrage Journal of Banking and Finance, 62, 141–151. https://doi.org/10.1016/j.jbankfin.2015.11.006
  • De Giorgi, E. G., & Mahmoud, O. (2016). Diversification preferences in the theory of choice Decisions in Economics and Finance, 39, 143–174. https://doi.org/10.1007/s10203-016-0182-4
  • Battiston, S., & Tasca, P. (2016). Market procyclicality and systemic risk Quantitative Finance, 16, 1219–1235. https://doi.org/10.1080/14697688.2015.1123817
  • Akyildirim, E., & Altarovici, A. (2016). Partial hedging and cash requirements in discrete time Quantitative Finance, 16, 929–945. https://doi.org/10.1080/14697688.2015.1095347
  • Wang, M., Rieger, M. O., & Hens, T. (2016). How time preferences differ: Evidence from 53 countries Journal of Economic Psychology, 52, 115–135. https://doi.org/10.1016/j.joep.2015.12.001
  • Fasnacht, D., & Stämpfli, T. (2016). Antizyklisches verhalten lohnt sich in volatilen Märkten Private - Das Geld-Magazin, 22–23. http://www.private.ch/media/docs/private/2016/01/de/22_Antizyklisches-Verhalten.pdf
  • Nooijen, S. J., & Broda, S. (2016). Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models Journal of Behavioral Finance, 17, 321–335. https://doi.org/10.1080/15427560.2016.1238370
  • Ongena, S., Peydró, J. L., & van Horen, N. (2016). Shocks abroad, pain at home? Bank-firm level evidence on financial contagion during the recent financial crisis IMF Economic Review, 63, 698–750. https://doi.org/10.1057/imfer.2015.34
  • Drimus, G., Farkas, W., & Gourier, E. (2016). Valuations of options on discretely sampled variance: A general analytic approximation Journal of Computational Finance, 20(2), 39–66. https://doi.org/10.21314/JCF.2016.314
  • Göncü, A., & Akyildirim, E. (2016). A stochastic model for commodity pairs trading Quantitative Finance, 16, 1843–1857. https://doi.org/10.1080/14697688.2016.1211793

• 2015

  • Moenninghoff, S. C., Ongena, S., & Wieandt, A. (2015). The perennial challenge to counter Too-Big-to-Fail in banking: Empirical evidence from the new international regulation dealing with Global Systemically Important Banks Journal of Banking and Finance, 61, 221–236. https://doi.org/10.1016/j.jbankfin.2015.01.017
  • Jakovljević, S., Degryse, H., & Ongena, S. (2015). A review of empirical resarch on the design and impact of regulation in the banking sector Annual Review of Financial Economics, 7, 423–443. https://doi.org/10.1146/annurev-financial-111914-042024
  • Basten, C., & Koch, C. (2015). The causal effect of house prices on mortgage demand and mortgage supply: Evidence from Switzerland Journal of Housing Economics, 30, 1–22. https://doi.org/10.1016/j.jhe.2015.07.001
  • Petrov, V. Y., & Tribelsky, M. I. (2015). FOREX Trades: Can the Takens Algorithm Help to Obtain Steady Profit at Investment Reallocations? JETP Letters, 102, 841–844. https://doi.org/10.1134/S002136401524008X
  • Li, C., & Ongena, S. (2015). Bank loan announcements and borrower stock returns before and during the recent financial crisis Journal of Financial Stability, 21, 1–12. https://doi.org/10.1016/j.jfs.2015.09.006
  • Brumm, J., Scheidegger, S., Mikushin, D., & Schenk, O. (2015). Scalable high-dimensional dynamic stochastic economic modeling Journal of Computational Science, 11, 12–25. https://doi.org/10.1016/j.jocs.2015.07.004
  • Paetzold, F., Busch, T., & Chesney, M. (2015). More than money: exploring the role of investment advisors for sustainable investing Annals in Social Responsibility, 1, 195–223. https://doi.org/10.1108/ASR-12-2014-0002
  • Hvide, H. K., & Östberg, P. (2015). Social interaction at work Journal of Financial Economics, 117, 628–652. https://doi.org/10.1016/j.jfineco.2015.06.004
  • Chesney, M., Crameri, R., & Mancini, L. (2015). Detecting abnormal trading activities in option markets Journal of Empirical Finance, 33, 263–275. https://doi.org/10.1016/j.jempfin.2015.03.008
  • Magill, M., Quinzii, M., & Rochet, J.-C. (2015). A Theory of the Stakeholder Corporation Econometrica, 83, 1685–1725. https://doi.org/10.3982/ECTA11455
  • Leippold, M., & Su, L. (2015). Collateral smile Journal of Banking and Finance, 58, 15–28. https://doi.org/10.1016/j.jbankfin.2015.03.019
  • Calvet, L. E., Fearnley, M., Fisher, A. J., & Leippold, M. (2015). What is beneath the surface? Option pricing with multifrequency latent states Journal of Econometrics, 187, 498–511. https://doi.org/10.1016/j.jeconom.2015.02.034
  • Ioannidou, V., Ongena, S., & Peydró, J.-L. (2015). Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment Review of Finance, 19, 95–144. https://doi.org/10.1093/rof/rfu035
  • Epper, T., & Fehr-Duda, H. (2015). Comment on “risk preferences are not time preferences”: balancing on a budget line. American Economic Review, 105, 2261–2271. https://doi.org/10.1257/aer.20130420
  • Geršl, A., Jakubik, P., Kowalczyk, D., Ongena, S., & Peydró, J. L. (2015). Monetary conditions and banks’ behaviour in the Czech Republic. Open Economies Review, 26, 407–445. https://doi.org/10.1007/s11079-015-9355-y
  • Bonacina, F., D’Errico, M., Moretto, E., Stefani, S., Zambruno, G., & Torriero, A. (2015). A multiple network approach to corporate governance Quality & Quantity, 49, 1585–1595. https://doi.org/10.1007/s11135-014-0075-y
  • Bardoscia, M., Battiston, S., Caccioli, F., & Caldarelli, G. (2015). DebtRank: A Microscopic Foundation for Shock Propagation PLoS ONE, 10, e0130406. https://doi.org/10.1371/journal.pone.0130406
  • Brune, A., Hens, T., Rieger, M. O., & Wang, M. (2015). The war puzzle: contradictory effects of international conflicts on stock markets International Review of Economics, 62, 1–21. https://doi.org/10.1007/s12232-014-0215-7
  • Rosenblatt-Wisch, R., & Scheufele, R. (2015). Quantification and characteristics of household inflation expectations in Switzerland Applied Economics, 47, 2699–2716. https://doi.org/10.1080/00036846.2015.1008773
  • Gottardi, P., & Kübler, F. (2015). Dynamic competitive economies with complete markets and collateral constraints Review of Economic Studies, 82, 1119–1153. https://doi.org/10.1093/restud/rdv002
  • Farkas, W., Koch-Medina, P., & Munari, C. (2015). Measuring risk with multiple eligible assets Mathematics and Financial Economics, 9, 3–27. https://doi.org/10.1007/s11579-014-0118-0
  • Collard, F., Habib, M., & Rochet, J.-C. (2015). Sovereign debt sustainability in advanced economies Journal of the European Economic Association, 13, 381–420. https://doi.org/10.1111/jeea.12135
  • Bachmann, K., & Hens, T. (2015). Investment competence and advice seeking Journal of Behavioral and Experimental Finance, 6, 27–41. https://doi.org/10.1016/j.jbef.2015.03.001
  • Barrieu, P., & Ravanelli, C. (2015). Robust capital requirements with model risk Economic Notes, 44, 1–28. https://doi.org/10.1111/ecno.12025
  • Hens, T., Breuer, W., Wang, M., & Salzmann, A. J. (2015). On the determinants of household debt maturity choice Applied Economics, 47, 449–465. https://doi.org/10.1080/00036846.2014.972547
  • Koch-Medina, P., Moreno-Bromberg, S., & Munari, C. (2015). Capital adequacy tests and limited liability of financial institutions Journal of Banking and Finance, 51, 93–102. https://doi.org/10.1016/j.jbankfin.2014.11.002
  • Paolella, M. S. (2015). New graphical methods and test statistics for testing composite normality Econometrics, 3, 532–560. https://doi.org/10.3390/econometrics3030532
  • Paolella, M. S., & Polak, P. (2015). ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails International Review of Economics and Finance, 40, 282–297. https://doi.org/10.1016/j.iref.2015.02.025
  • Paolella, M. S. (2015). Multivariate asset return prediction with mixture models The European Journal of Finance, 21, 1214–1252. https://doi.org/10.1080/1351847X.2012.760167
  • Carletti, E., Hartmann, P., & Ongena, S. (2015). The economic impact of merger control legislation International Review of Law and Economics, 42, 88–104. https://doi.org/10.1016/j.irle.2015.01.004
  • Bradbury, M. A. S., Hens, T., & Zeisberger, S. (2015). Improving investment decisions with simulated experience Review of Finance, 19, 1019–1052. https://doi.org/10.1093/rof/rfu021
  • Ongena, S., Qi, S., & Qin, F. (2015). Impact of foreign bank presence on foreign direct investment in China China & World Economy, 23, 40–59. https://doi.org/10.1111/cwe.12120
  • D’Errico, M., Macchiarelli, C., & Serafini, R. (2015). Differently unequal: Zooming-in on the distributional dimensions of the crisis in euro area countries Economic Modelling, 48, 93–115. https://doi.org/10.1016/j.econmod.2014.11.022

• 2014

  • Uhl, M. W. (2014). Reuters Sentiment and Stock Returns Journal of Behavioral Finance, 15, 287–298. https://doi.org/10.1080/15427560.2014.967852
  • Wagner, A. F., & Wenk, C. (2014). Aktionäre und Stimmrechtsberater im Jahr 1 nach der Abzocker-Initiative Der Schweizer Treuhänder, 1147–1152. https://www.uzh.ch/dam/bf/persons/employee-assets/wagner_alexander/papers/WagnerWenk_AktionaereStimmrechtsberater_2014.pdf
  • Paetzold, F., & Busch, T. (2014). Unleashing the powerful few: sustainable investing behaviour of wealthy private investors Organization & Environment, 27, 347–367. https://doi.org/10.1177/1086026614555991
  • Leippold, M., & Lohre, H. (2014). The Dispersion Effect in International Stock Returns Journal of Empirical Finance, 29, 331–342. https://doi.org/10.1016/j.jempfin.2014.09.001
  • Puliga, M., Caldarelli, G., & Battiston, S. (2014). Credit default swaps networks and systemic risk Scientific Reports, 4, online. https://doi.org/10.1038/srep06822
  • Léautier, T.-O., & Rochet, J.-C. (2014). On the strategic value of risk management International Journal of Industrial Organization, 37, 153–169. https://doi.org/10.1016/j.ijindorg.2014.07.006
  • Kübler, F., Selden, L., & Wei, X. (2014). Asset Demand Based Tests of Expected Utility Maximization American Economic Review, 104, 3459–3480. https://doi.org/10.1257/aer.104.11.3459
  • Puhan, T.-X., Vogel, R., Shehu, E., Kliger, D., & Beese, H. (2014). Funding decisions and entrepreneurial team diversity: A field study Journal of Economic Behavior & Organization, 107, 595–613. https://doi.org/10.1016/j.jebo.2014.02.021
  • Brown, M., Kirschenmann, K., & Ongena, S. (2014). Bank funding, securitization, and loan terms: evidence from foreign currency lending Journal of Money, Credit and Banking, 46, 1501–1534. https://doi.org/10.1111/jmcb.12147
  • Akyildirim, E., Dolinsky, Y., & Soner, H. M. (2014). Approximating stochastic volatility by recombinant trees Annals of Applied Probability, 24, 2176–2205. https://doi.org/10.1214/13-AAP977
  • Koch-Medina, P., & Munari, C. (2014). Law-invariant risk measures: extension properties and qualitative robustness Statistics & Risk Modeling, 31, 1–22. https://doi.org/10.1515/strm-2014-0002
  • de Palma, A., Abdellaoui, M., Attanasi, G., Ben-Akiva, M., Erev, I., Fehr-Duda, H., Fok, D., Fox, C. R., Hertwig, R., Picard, N., Wakker, P. P., Walker, J. L., & Weber, M. (2014). Beware of black swans: Taking stock of the description-experience gap in decision under uncertainty Marketing Letters, 25, 269–280. https://doi.org/10.1007/s11002-014-9316-z
  • Chesney, M., Taschini, L., & Wang, M. (2014). Experimental comparison between markets on dynamic permit trading and investment in irreversible abatement with and without non-regulated companies Journal of Regulatory Economics, 46, 23–50. https://doi.org/10.1007/s11149-013-9238-3
  • Peters, F. S., & Wagner, A. F. (2014). The executive turnover risk premium Journal of Finance, 69, 1529–1563. https://doi.org/10.1111/jofi.12166
  • Busse, M., Dacorogna, M., & Kratz, M. (2014). The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio Risks, 2, 260–276. https://doi.org/10.3390/risks2030260
  • Kübler, F., Selden, L., & Wei, X. (2014). When is a Risky Asset “Urgently Needed”? American Economic Journal: Microeconomics, 6, 131–162. https://doi.org/10.1257/mic.6.2.131
  • D’Errico, M., Stefani, S., & Torriero, A. (2014). Informal ties in organizations : a case study. Quality & Quantity, 48, 1929–1943. https://doi.org/10.1007/s11135-013-9862-0
  • Krause, J., & Paolella, M. S. (2014). A fast, accurate method for value-at-risk and expected shortfall Econometrics, 2, 98–122. https://doi.org/10.3390/econometrics2020098
  • Nyborg, K. G., & Östberg, P. (2014). Money and liquidity in financial markets Journal of Financial Economics, 112, 30–52. https://doi.org/10.1016/j.jfineco.2013.12.003
  • Behnk, S., Barreda-Tarrazona, I., & García-Gallego, A. (2014). The role of ex post transparency in information transmission - An experiment Journal of Economic Behavior & Organization, 101, 45–64. https://doi.org/10.1016/j.jebo.2014.02.006
  • Wagner, A. (2014). Regulierung von Managervergütung Der Schweizer Treuhänder, 420–424. https://www.uzh.ch/dam/bf/persons/employee-assets/wagner_alexander/papers/Wagner_RegulierungManagerverg%C3%BCtung_2014.pdf
  • Ongena, S. (2014). Discussion of Presbitero, Udell and Zazzaro Journal of Money, Credit and Banking, 46, 87–91. https://doi.org/10.1111/jmcb.12079
  • Stöckli, P. L., & Tanner, C. (2014). Are integrative or distributive outcomes more satisfactory? The effects of interest-based versus value-based issues on negotiator satisfaction Negotiator satisfaction European Journal of Social Psychology, 44, 202–208. https://doi.org/10.1002/ejsp.2003
  • Jimenez, G., Ongena, S., Peydró, J. L., & Saurina, J. (2014). Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk? Econometrica, 82, 463–505. https://doi.org/10.3982/ECTA10104
  • Akyildirim, E., Güney, I. E., Rochet, J.-C., & Soner, H. M. (2014). Optimal dividend policy with random interest rates Journal of Mathematical Economics, 51, 93–101. https://doi.org/10.1016/j.jmateco.2014.01.005
  • Ongena, S., Roscovan, V., Song, W.-L., & Werker, B. (2014). Banks and bonds: the impact of bank loan announcements on bond and equity prices Journal of Financial Management, Markets and Institutions, 2, 131–155. https://doi.org/10.12831/78756
  • Brown, M., Ongena, S., & Yeşin, P. (2014). Information asymmetry and foreign currency borrowing by small firms Comparative Economic Studies, 56, 110–131. https://doi.org/10.1057/ces.2013.9
  • Brumm, J., & Grill, M. (2014). Computing equilibria in dynamic models with occasionally binding constraints Journal of Economic Dynamics and Control, 38, 142–160. https://doi.org/10.1016/j.jedc.2013.09.007
  • Farkas, W., Koch-Medina, P., & Munari, C. (2014). Capital Requirements with Defaultable Securities Insurance: Mathematics and Economics, 55, 58–67. https://doi.org/10.1016/j.insmatheco.2013.11.009
  • Barone-Adesi, G., Farkas, W., & Koch-Medina, P. (2014). Capital levels and risk-taking propensity in financial institutions Accounting and Finance Research, 3, 85–89. https://doi.org/10.5430/afr.v3n1p85
  • Leippold, M., & Strømberg, J. (2014). Time-changed Levy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube Journal of Financial Economics, 111, 224–250. https://doi.org/10.1016/j.jfineco.2013.08.016
  • Basten, C., Fagereng, A., & Telle, K. (2014). Cash-on-hand and the Duration of Job Search: Quasi-experimental Evidence from Norway Economic Journal, 124, 540–568. https://doi.org/10.1111/ecoj.12135
  • Barth, A., & Moreno-Bromberg, S. (2014). Optimal risk and liquidity management with costly refinancing opportunities Insurance: Mathematics and Economics, 57, 31–45. https://doi.org/10.1016/j.insmatheco.2014.05.001
  • Christen, M., Ineichen, C., & Tanner, C. (2014). How “moral” are the principles of biomedical ethics? – A cross-domain evaluation of the common morality hypothesis BMC Medical Ethics, 15, 47. https://doi.org/10.1186/1472-6939-15-47
  • Gibson, R., Habib, M. A., & Ziegler, A. (2014). Reinsurance or Securitization: The Case of Natural Catastrophe Risk Journal of Mathematical Economics, 53, 79–100. https://doi.org/10.1016/j.jmateco.2014.05.007
  • Baele, L., Farooq, M., & Ongena, S. (2014). Of religion and redemption: evidence from default on islamic loans Journal of Banking and Finance, 44, 141–159. https://doi.org/10.1016/j.jbankfin.2014.03.005

• 2013

  • Hens, T., Rieger, M. O., & Wang, M. (2013). International evidence on the equity premium puzzle and time discounting Multinational Finance Journal, 17, 149–163. http://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/MJ~0~p194oq5k5eatuosfrj11lc2mj94.pdf
  • Farkas, W., Koch-Medina, P., & Munari, C. (2013). Beyond cash-additive risk measures: When changing the numeraire fails Finance and Stochastics, 18, 145–173. https://doi.org/10.1007/s00780-013-0220-9
  • Garcia-Appendini, E. (2013). Book review of Fault Lines by Raghuram G. Rajan Financial Markets and Portfolio Management, 27, 431–433. https://doi.org/10.1007/s11408-013-0219-4
  • Arping, S., & Sautner, Z. (2013). Did sox section 404 make firms less opaque? Evidence from cross-listed firms Contemporary Accounting Research, 30, 1133–1165. https://doi.org/10.1111/j.1911-3846.2012.01188.x
  • Rochet, J.-C., Dubois, P., & Schlenker, J.-M. (2013). Productivity and mobility in academic research: evidence from mathematicians Scientometrics, 98, 1669–1701. https://doi.org/10.1007/s11192-013-1112-7
  • Glaser, M., Lopez-De-Silanes, F., & Sautner, Z. (2013). Opening the black box: internal capital markets and managerial power Journal of Finance, 68, 1577–1631. https://doi.org/10.1111/jofi.12046
  • Molnár, P., & Nyborg, K. G. (2013). Tax-adjusted discount rates: a general formula under constant leverage ratios tax-adjusted discount rates European Financial Management, 19, 419–428. https://doi.org/10.1111/j.1468-036X.2011.00619.x
  • Miller, N., Wagner, A. F., & Zeckhauser, R. J. (2013). Solomonic separation: Risk decisions as productivity indicators Journal of Risk and Uncertainty, 46, 265–297. https://doi.org/10.1007/s11166-013-9168-6
  • Garcia-Appendini, E., & Montoriol-Garriga, J. (2013). Firms as liquidity providers: Evidence from the 2007–2008 financial crisis Journal of Financial Economics, 190, 272–291. https://doi.org/10.1016/j.jfineco.2013.02.010
  • Bodnaruk, A., & Östberg, P. (2013). The shareholder base and payout policy Journal of Financial and Quantitative Analysis, 48, 729–760. https://doi.org/10.1017/S0022109013000252
  • Tai-Leung, C. T., Lu, L., & Ongena, S. (2013). Does banking competition alleviate or worsen credit constraints faced by small and medium enterprises? Evidence from China Journal of Banking and Finance, 37, 3412–3424. https://doi.org/10.1016/j.jbankfin.2013.05.006
  • Garcia-Appendini, E. (2013). Contracts and returns in private equity investments Journal of Financial Intermediation, 22, 201–217. https://doi.org/10.1016/j.jfi.2012.08.002
  • Ongena, S., & Roscovan, V. (2013). Bank loan announcements and borrower stock returns: Does bank origin matter? International Review of Finance, 13, 137–159. https://doi.org/10.1111/irfi.12002
  • Haug, J., Hens, T., & Woehrmann, P. (2013). Risk aversion in the large and in the small Economics Letters, 118, 310–313. https://doi.org/10.1016/j.econlet.2012.11.013
  • Gibson, R., Tanner, C., & Wagner, A. F. (2013). Preferences for truthfulness: Heterogeneity among and within individuals American Economic Review, 103, 532–548. https://doi.org/10.1257/aer.103.1.532
  • Ongena, S., Popov, A., & Udell, G. F. (2013). “When the cat’s away the mice will play”: Does regulation at home affect bank risk-taking abroad? Journal of Financial Economics, 108, 727–750. https://doi.org/10.1016/j.jfineco.2013.01.006
  • Battiston, S., & Caldarelli, G. (2013). Systemic Risk in Financial Networks Journal of Financial Management, Markets and Institutions, 1, 129–154. https://doi.org/10.12831/75568
  • Goldberg, L. R., Hayes, M. Y., & Mahmoud, O. (2013). Minimizing shortfall Quantitative Finance, 13, 1533–1545. https://doi.org/10.1080/14697688.2012.734633
  • Fischbacher, U., Hens, T., & Zeisberger, S. (2013). The impact of monetary policy on stock market bubbles and trading behavior: evidence from the lab Journal of Economic Dynamics and Control, 37, 2104–2122. https://doi.org/10.1016/j.jedc.2013.04.004

Pagination