Publications

ZORA Publication List

Publications

• 2015

  • Moenninghoff, Sebastian C; Ongena, Steven; Wieandt, Axel (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.
  • Brumm, Johannes; Scheidegger, Simon; Mikushin, Dmitry; Schenk, Olaf (2015). Scalable high-dimensional dynamic stochastic economic modeling Journal of Computational Science, 11:12-25.
  • Paetzold, Falko; Busch, Timo; Chesney, Marc (2015). More than money: exploring the role of investment advisors for sustainable investing Annals in Social Responsibility, 1(1):195-223.
  • Leippold, Markus; Su, Lujing (2015). Collateral smile Journal of Banking and Finance, 58:15 - 28.
  • Hvide, Hans K; Östberg, Per (2015). Social interaction at work Journal of Financial Economics, 117(3):628-652.
  • Chesney, Marc; Crameri, Remo; Mancini, Loriano (2015). Detecting abnormal trading activities in option markets Journal of Empirical Finance, 33:263-275.
  • Magill, Michael; Quinzii, Martine; Rochet, Jean-Charles (2015). A Theory of the Stakeholder Corporation Econometrica, 83(5):1685-1725.
  • Paolella, Marc S; Polak, Pawel (2015). COMFORT: A common market factor non-Gaussian returns model Journal of Econometrics, 187(2):593-605.
  • Ioannidou, Vasso; Ongena, Steven; Peydró, José-Luis (2015). Monetary policy, risk-taking and pricing: Evidence from a quasi-natural experiment Review of Finance, 19(1):95-144.
  • Calvet, Laurent E; Fearnley, Marcus; Fisher, Adlai J; Leippold, Markus (2015). What is beneath the surface? Option pricing with multifrequency latent states Journal of Econometrics, 187(2):498-511.
  • Bonacina, Fausto; D'Errico, Marco; Moretto, Enrico; Stefani, Silvana; Zambruno, Giovanni; Torriero, Anna (2015). A multiple network approach to corporate governance Quality & Quantity, 49(4):1585-1595.
  • Geršl, Adam; Jakubik, Petr; Kowalczyk, Dorota; Ongena, Steven; Peydró, José Luis (2015). Monetary conditions and banks' behaviour in the Czech Republic Open Economies Review, 26(3):407-445.
  • Bardoscia, Marco; Battiston, Stefano; Caccioli, Fabio; Caldarelli, Guido (2015). DebtRank: A Microscopic Foundation for Shock Propagation PLoS ONE, 10(7):e0130406.
  • Biais, Bruno; Rochet, Jean-Charles; Woolley, Paul (2015). Dynamics of innovation and risks Review of Financial Studies, 28(5):1353-1380.
  • Bahn, Olivier; Chesney, Marc; Gheyssens, Jonathan; Knutti, Reto; Pana, Anca Claudia (2015). Is there room for geoengineering in the optimal climate policy mix?
  • Brune, Amelie; Hens, Thorsten; Rieger, Marc Oliver; Wang, Mei (2015). The war puzzle: contradictory effects of international conflicts on stock markets International Review of Economics, 62(1):1-21.
  • Rosenblatt-Wisch, Rina; Scheufele, Rolf (2015). Quantification and characteristics of household inflation expectations in Switzerland Applied Economics, 47(26):2699-2716.
  • Kübler, Felix; Schmedders, Karl; Brumm, Johannes; Grill, Michael (2015). Collateral requirements and asset prices International Economic Review, 56(1):1-25.
  • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2015). Measuring risk with multiple eligible assets Mathematics and Financial Economics, 9(1):3-27.
  • D'Errico, Marco; Macchiarelli, Corrado; Serafini, Roberta (2015). Differently unequal: Zooming-in on the distributional dimensions of the crisis in euro area countries Economic Modelling, 48:93-115.
  • Paolella, Marc S; Polak, Pawel (2015). ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails International Review of Economics and Finance, 40:282-297.
  • Ludwig, Markus (2015). Robust estimation of shape-constrained state price density surfaces The Journal of Derivatives, 22(3):56-72.
  • Paolella, Marc S (2015). Multivariate asset return prediction with mixture models The European Journal of Finance, 21(13-14):1214-1252.
  • Collard, Fabrice; Habib, Michel; Rochet, Jean-Charles (2015). Sovereign debt sustainability in advanced economies Journal of the European Economic Association, 13(3):381-420.
  • Koch-Medina, Pablo; Moreno-Bromberg, Santiago; Munari, Cosimo (2015). Capital adequacy tests and limited liability of financial institutions Journal of Banking and Finance, 51:93-102.
  • Gottardi, Piero; Kübler, Felix (2015). Dynamic competitive economies with complete markets and collateral constraints Review of Economic Studies, 82(3):1119-1153.
  • Paolella, Marc S (2015). New graphical methods and test statistics for testing composite normality Econometrics, 3(3):532-560.
  • Carletti, Elena; Hartmann, Philipp; Ongena, Steven (2015). The economic impact of merger control legislation International Review of Law and Economics, 42(6):88-104.
  • Farkas, Walter; Schmid, Sandro (2015). Akkurate Messung der Portfoliorisiken im Pensionskassengeschäft Schweizerische Zeitschrift für Sozialversicherung und berufliche Vorsorge, 59(5):406-414.
  • Ongena, Steven; Qi, Shusen; Qin, Fengming (2015). Impact of foreign bank presence on foreign direct investment in China China & World Economy, 23(4):40-59.
  • Hens, Thorsten; Breuer, Wolfgang; Wang, Mei; Salzmann, Astrid J (2015). On the determinants of household debt maturity choice Applied Economics, 47(5):449-465.
  • Rieger, Marc Oliver; Wang, Mei; Hens, Thorsten (2015). Risk preferences around the world Management Science, 61(3):637-648.

• 2014

  • Uhl, Matthias W (2014). Reuters Sentiment and Stock Returns Journal of Behavioral Finance, 15(4):287-298.
  • Leippold, Markus; Lohre, Harald (2014). The Dispersion Effect in International Stock Returns Journal of Empirical Finance, 29:331-342.
  • Wagner, Alexander F; Wenk, Christoph (2014). Aktionäre und Stimmrechtsberater im Jahr 1 nach der Abzocker-Initiative Der Schweizer Treuhänder, (12):1147-1152.
  • Paetzold, Falko; Busch, Timo (2014). Unleashing the powerful few: sustainable investing behaviour of wealthy private investors Organization & Environment, 27(4):347-367.
  • Kübler, Felix; Selden, Larry; Wei, Xiao (2014). Asset Demand Based Tests of Expected Utility Maximization American Economic Review, 104(11):3459-3480.
  • Puhan, Tatjana-Xenia; Vogel, Rick; Shehu, Edlira; Kliger, Doron; Beese, Henning (2014). Funding decisions and entrepreneurial team diversity: A field study Journal of Economic Behavior & Organization, 107:595-613.
  • Puliga, Michelangelo; Caldarelli, Guido; Battiston, Stefano (2014). Credit default swaps networks and systemic risk Scientific Reports, 4(6822):online.
  • Brown, Martin; Kirschenmann, Karolin; Ongena, Steven (2014). Bank funding, securitization, and loan terms: evidence from foreign currency lending Journal of Money, Credit and Banking, 46(7):1501-1534.
  • Akyildirim, Erdinc; Dolinsky, Yan; Soner, H Mete (2014). Approximating stochastic volatility by recombinant trees Annals of Applied Probability, 24(5):2176-2205.
  • Koch-Medina, Pablo; Munari, Cosimo (2014). Law-invariant risk measures: extension properties and qualitative robustness Statistics & Risk Modeling, 31(3):1-22.
  • Paolella, Marc (2014). Fast methods for large-scale non-elliptical portfolio optimization Annals of Financial Economics, 9(2):1-32.
  • Vitali, Stefania; Battiston, Stefano (2014). The Community Structure of the Global Corporate Network PLoS ONE, 9(8):e104655.
  • Peters, Florian S; Wagner, Alexander F (2014). The executive turnover risk premium Journal of Finance, 69(4):1529-1563.
  • Chesney, Marc; Taschini, Luca; Wang, Mei (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(1):23-50.
  • Busse, Marc; Dacorogna, Michel; Kratz, Marie (2014). The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio Risks, 2(3):260-276.
  • Kübler, Felix; Selden, Larry; Wei, Xiao (2014). When is a Risky Asset "Urgently Needed"?
  • D'Errico, Marco; Stefani, Silvana; Torriero, Anna (2014). Informal ties in organizations : a case study Quality and Quantity, 48(4):1929-1943.
  • Krause, Jochen; Paolella, Marc S (2014). A fast, accurate method for value-at-risk and expected shortfall Econometrics, 2(2):98-122.
  • Nyborg, Kjell G; Östberg, Per (2014). Money and liquidity in financial markets Journal of Financial Economics, 112(1):30-52.
  • Wagner, Alexander (2014). Regulierung von Managervergütung Der Schweizer Treuhänder, (5):420-424.
  • Stöckli, Peter Lucas; Tanner, Carmen (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(3):202-208.
  • Ongena, Steven (2014). Discussion of Presbitero, Udell and Zazzaro Journal of Money, Credit, and Banking, 46(s1):87-91.
  • Akyildirim, Erdinç; Güney, I Ethem; Rochet, Jean-Charles; Soner, H Mete (2014). Optimal dividend policy with random interest rates Journal of Mathematical Economics, 51:93-101.
  • Jimenez, Gabriel; Ongena, Steven; Peydró, José Luis; Saurina, Jesús (2014). Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk?
  • Ongena, Steven; Roscovan, Viorel; Song, Wei-Ling; Werker, Bas (2014). Banks and bonds: the impact of bank loan announcements on bond and equity prices Journal of Financial Management, Markets and Institutions, 2(2):131-155.
  • Brown, Martin; Ongena, Steven; Yeşin, Pinar (2014). Information asymmetry and foreign currency borrowing by small firms Comparative Economic Studies, 56:110-131.
  • Rochet, Jean-Charles; Cerasi, Vittoria (2014). Rethinking the regulatory treatment of securitization Journal of Financial Stability, 10:20-31.
  • Hens, Thorsten; Rieger, Marc Oliver (2014). Can utility optimization explain the demand for structured investment products?
  • Christen, Markus; Ineichen, Christian; Tanner, Carmen (2014). How “moral” are the principles of biomedical ethics? – A cross-domain evaluation of the common morality hypothesis BMC Medical Ethics, 15:47.
  • Basten, Christoph; Fagereng, Andreas; Telle, Kjetil (2014). Cash-on-hand and the Duration of Job Search: Quasi-experimental Evidence from Norway Economic Journal, 124(576):540-568.
  • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2014). Capital Requirements with Defaultable Securities Insurance: Mathematics and Economics, 55:58-67.
  • Barone-Adesi, Giovanni; Farkas, Walter; Koch-Medina, Pablo (2014). Capital levels and risk-taking propensity in financial institutions Accounting and Finance Research, 3(1):85-89.
  • Baele, Lieven; Farooq, Moazzam; Ongena, Steven (2014). Of religion and redemption: evidence from default on islamic loans Journal of Banking and Finance, 44:141-159.
  • Brumm, Johannes; Grill, Michael (2014). Computing equilibria in dynamic models with occasionally binding constraints Journal of Economic Dynamics and Control, 38:142-160.
  • Gibson, Rajna; Habib, Michel A; Ziegler, Alexandre (2014). Reinsurance or Securitization: The Case of Natural Catastrophe Risk Journal of Mathematical Economics, 53:79-100.
  • Leippold, Markus; Strømberg, Jacob (2014). Time-changed Levy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube Journal of Financial Economics, 111(1):224-250.
  • Barth, Andrea; Moreno-Bromberg, Santiago (2014). Optimal risk and liquidity management with costly refinancing opportunities Insurance: Mathematics and Economics, 57:31-45.
  • Ravanelli, Claudia; Svindland, Gregor (2014). Comonotone Pareto optimal allocations for law invariant robust utilities on L 1 Finance and Stochastics, 18(1):249-269.

• 2013

  • Hens, Thorsten; Rieger, Marc Oliver; Wang, Mei (2013). International evidence on the equity premium puzzle and time discounting Multinational Finance Journal, 17(3/4):149-163.
  • Habib, Michel A; Hege, Ulrich; Mella-Barral, Pierre (2013). Entrepreneurial spawning and firm characteristics Management Science, 59(12):2790-2804.
  • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2013). Beyond cash-additive risk measures: When changing the numeraire fails Finance and Stochastics, 18(1):145-173.
  • Garcia-Appendini, Emilia (2013). Book review of Fault Lines by Raghuram G. Rajan Financial markets and portfolio management, 27(4):431-433.
  • Arping, Stefan; Sautner, Zacharias (2013). Did sox section 404 make firms less opaque? Evidence from cross-listed firms Contemporary Accounting Research, 30(3):1133-1165.
  • Rochet, Jean-Charles; Dubois, Pierre; Schlenker, Jean-Marc (2013). Productivity and mobility in academic research: evidence from mathematicians Scientometrics, 98(3):1669-1701.
  • Glaser, Markus; Lopez-De-Silanes, Florencio; Sautner, Zacharias (2013). Opening the black box: internal capital markets and managerial power Journal of Finance, 68(4):1577-1631.
  • Molnár, Peter; Nyborg, Kjell G (2013). Tax-adjusted discount rates: a general formula under constant leverage ratios tax-adjusted discount rates European financial management, 19(3):419-428.
  • Miller, Nolan; Wagner, Alexander F; Zeckhauser, Richard J (2013). Solomonic separation: Risk decisions as productivity indicators Journal of Risk and Uncertainty, 46(3):265-297.
  • Garcia-Appendini, Emilia; Montoriol-Garriga, Judit (2013). Firms as liquidity providers: Evidence from the 2007–2008 financial crisis Journal of Financial Economics, 190(1):272-291.
  • Hens, Thorsten; Reichlin, Christian (2013). Three solutions to the pricing kernel puzzle Review of Finance, 17(3):1065-1098.
  • Bodnaruk, Andriy; Östberg, Per (2013). The shareholder base and payout policy Journal of Financial and Quantitative Analysis, 48(3):729-760.
  • Tai-Leung, Chong Terrence; Lu, Liping; Ongena, Steven (2013). Does banking competition alleviate or worsen credit constraints faced by small and medium enterprises? Evidence from China Journal of Banking and Finance, 37(9):3412-3424.
  • Garcia-Appendini, Emilia (2013). Contracts and returns in private equity investments Journal of Financial Intermediation, 22(2):201-217.
  • Ongena, Steven; Roscovan, Viorel (2013). Bank loan announcements and borrower stock returns: Does bank origin matter?
  • Haug, Jorgen; Hens, Thorsten; Woehrmann, Peter (2013). Risk aversion in the large and in the small Economics Letters, 118(2):310-313.
  • Arnold, Marc; Wagner, Alexander F; Westermann, Ramona (2013). Growth options, macroeconomic conditions, and the cross section of credit risk Journal of Financial Economics, 107(2):350-385.
  • Gibson, Rajna; Tanner, Carmen; Wagner, Alexander F (2013). Preferences for truthfulness: Heterogeneity among and within individuals American Economic Review, 103(1):532-548.
  • Ongena, Steven; Popov, Alexander; Udell, Gregory F (2013). "When the cat's away the mice will play": Does regulation at home affect bank risk-taking abroad?
  • Basten, Christoph; Betz, Frank (2013). Beyond Work Ethic: Religion, Individual, and Political Preferences American Economic Journal: Economic Policy, 5(3):67-91.
  • Rochet, Jean-Charles; Biais, Bruno; Martimort, David (2013). Corrigendum to "Competing Mechanisms in a Common Value Environment" Econometrica, 81(1):393-406.
  • Bachem, Olivier; Drimus, Gabriel; Farkas, Walter (2013). Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams Quantitative Finance, 13(11):1801-1812.
  • Habib, Michel A; Mella-Barral, Pierre (2013). Skills, core capabilities, and the choice between merging, allying, and trading assets Journal of Mathematical Economics, 49(1):31-48.
  • Roukny, Tarik; Bersini, Hugues; Pirotte, Hugues; Caldarelli, Guido; Battiston, Stefano (2013). Default cascades in complex networks: topology and systemic risk Scientific Reports, 3(2759):online.
  • Drimus, Gabriel; Farkas, Walter (2013). Local volatility of volatility for the VIX market Review of Derivatives Research, 16(3):267-293.
  • Kaushik, Rahul; Battiston, Stefano (2013). Credit default swaps drawup networks: Too interconnected to be stable?
  • Dahlquist, Magnus; Hasseltoft, Henrik (2013). International Bond Risk Premia Journal of International Economics, 90(1):17-32.
  • Garcia-Appendini, Emilia (2013). Come sarebbe l'Italia con 1000 imprese quotate Economia & Management : la rivista di direzione aziendale, 3:95-115.
  • Broda, Simon A; Haas, Markus; Krause, Jochen; Paolella, Marc S; Steude, Sven C (2013). Stable mixture GARCH models Journal of Econometrics, 172(2):292-306.
  • Kübler, Felix; Selden, Larry; Wei, Xiao (2013). Inferior good and Giffen behavior for investing and borrowing American Economic Review, 103(2):1034-1053.

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