Swiss Finance Institute Research Paper Series最新文献

{"title":"Choosing Investment Managers","authors":"Amit Goyal, Sunil Wahal, M. Yavuz","doi":"10.2139/ssrn.3651476","DOIUrl":"https://doi.org/10.2139/ssrn.3651476","url":null,"abstract":"We study how plan sponsors choose investment management firms from their opportunity set when delegating $1.6 trillion in assets between 2002 and 2017. Two factors play an influential role in choice: pre-hiring returns, and pre-existing personal connections between personnel at the plan (or consultant advising the plan), and the investment management firm. Post-hiring returns for chosen firms are significantly lower than those for unchosen firms. The post-hiring returns of firms with relationships are, at best, indistinguishable from those without relationships, and often significantly worse. While relationships are conducive to asset gathering by investment managers, they do not appear to generate commensurate benefits for plan sponsors via higher gross returns or lower fees.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127206967","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Significant Hot Hand Effect in International Cricket","authors":"Sumit Ram, Shyam Nandan, D. Sornette","doi":"10.2139/ssrn.3644211","DOIUrl":"https://doi.org/10.2139/ssrn.3644211","url":null,"abstract":"We investigate the hot hand effect in the game of cricket by analyzing the complete recorded history of international cricket. We introduce an original temporal representation of performance streaks, which is suitable to be modelled as a self-exciting point process. We confirm the presence of hot hands across the players' careers. We show that the self-excitation patterns in performance clusters can be exploited for predicting future performances. This paper contributes to recent historiographical debates concerning the presence of hot hands in the sequence of successes in individual performances. The introduction of several metrics and methods can be useful to test and exploit the clustering of performance in the study of human behavior and the design of algorithms for predicting success.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130225580","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"COVID-19 and Its Initial Signaling Effects on the Stock Markets of India, Switzerland, Taiwan and Brazil - A Comparative Analysis of the Change in the Stock Market Indices during the Initial Period of Pandemic in the Respective Countries","authors":"Jasmine Mehta, Paridhi Singhania","doi":"10.2139/ssrn.3920253","DOIUrl":"https://doi.org/10.2139/ssrn.3920253","url":null,"abstract":"The world economies are highly integrated to each other. Events that occur in other economies has an impact on the stock market of a particular country. Many of the events act as financial signals and affects stock market. The purpose of this paper is to conceptualize the views and analysis of initial signaling effect of pandemic like COVID-19 on the stock markets of India, Switzerland, Taiwan and Brazil in the post pandemic declaration by World Health Organization. The number of COVID-19 reported cases during initial period of pandemic has been taken for analysis with the corresponding closing price of Sensex, Swiss Market Index (SMI), TAIEX, BOVESPA as the stock market data. The market Indices are affected due to a variety of factors, but the present study aims to find the impact of only one factor that is the pandemic caused by COVID-19 on the stock markets of India, Switzerland, Taiwan and Brazil, all other factor which would have also affected the indices are assumed to be constant. Correlation is used to test if the number of cases has any impact on the respective stock markets. This exploratory study shows a strong negative correlation between these variables which is statistically significant. Furthermore, we also try to show a comparative analysis of the aggregate change in the stock market indices during the initial period of pandemic in respective countries and try to infer that, among the four countries chosen by us, whose stock market index has been affected the most through comparing the aggregate change each country has had in its stock market indices.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124948091","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Climate Risk Disclosure and Institutional Investors","authors":"Emirhan Ilhan, Philipp Krueger, Z. Sautner, L. Starks","doi":"10.2139/ssrn.3437178","DOIUrl":"https://doi.org/10.2139/ssrn.3437178","url":null,"abstract":"\u0000 Through a survey and analyses of observational data, we provide systematic evidence that institutional investors value and demand climate risk disclosures. The survey reveals the investors have a strong demand for climate risk disclosures, and many actively engage their portfolio firms for improvements. Empirical analyses of holdings data corroborate this evidence by showing a significantly positive association between climate-conscious institutional ownership and better firm-level climate risk disclosure. We establish further evidence of institutional investors’ influence on firms’ climate risk disclosures by examining a shock to the climate risk disclosure demand of French institutional investors (French Article 173).","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123633396","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Optimal Risk-Sharing Across a Network of Insurance Companies","authors":"Nicolas Ettlin, W. Farkas, Andre Kull, Alexander Smirnow","doi":"10.2139/ssrn.3417016","DOIUrl":"https://doi.org/10.2139/ssrn.3417016","url":null,"abstract":"Abstract Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is used to mitigate risk and manage capital requirements. We investigate risk transfer in the context of a network environment of insurers and consider capital costs and capital constraints at the level of individual insurance companies. We demonstrate that the optimisation of profitability across the network can be achieved through risk transfer. Considering only individual insurance companies, there is no unique optimal solution and, a priori, it is not clear which solutions are fair. However, from a network perspective, we derive a unique fair solution in the sense of cooperative game theory. Implications for systemic risk are briefly discussed.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126432152","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Catch, Restrict, and Release: The Real Story of Bank Bailouts","authors":"Allen N. Berger, Simona Nistor, S. Ongena, S. Tsyplakov","doi":"10.2139/ssrn.3611480","DOIUrl":"https://doi.org/10.2139/ssrn.3611480","url":null,"abstract":"Bank bailouts are not the \"one-shot\" events commonly described in the literature. These bailouts are instead dynamic processes in which regulators \"catch\" financially distressed banks; \"restrict\" their activities over time; and \"release\" the banks from restrictions at sufficiently healthy capital ratios. The \"catch-restrict-release\" approach is a global phenomenon, which we document using hand-collected data on capital injection and debt guarantee bailouts in the European Union (EU) over 2008-2014. We present a dynamic theoretical model of socially-optimizing regulators engaging in \"catch-restrict-release\" capital injection and debt guarantee bailouts, and empirically test model predictions. Observed EU bailouts are qualitatively consistent with optimizing behavior.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134289382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Human-Environment-Health and Reinforcement of Individual Resilience","authors":"D. Sornette, P. Cauwels, E. Mearns, Ke Wu","doi":"10.2139/ssrn.3580740","DOIUrl":"https://doi.org/10.2139/ssrn.3580740","url":null,"abstract":"The ongoing SARS-CoV-2 pandemic is stressing the world population, health care system and economies at a level not experienced since WWII or the last “Spanish flu” pandemic of 1918. This shock provides a real-life test of the resilience of human societies, challenging our understanding and level of preparation. We suggest that a decay of global individual health resilience, due to cumulative multi-factor pollutions and modern ways of life, has made the whole population strongly susceptible to the Covid 19 pandemic. To ensure future resilient societies, we propose to prioritize economic development fostering depollution of the ecosystem and of individuals, and training individual responsibility.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128179587","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Prediction for the Outbreak of COVID-19 for 15 States in USA by Using Turning Phase Concepts as of April 10, 2020","authors":"George Xianzhi Yuan, Lan Di, Y. Gu, G. Qian, X. Qian","doi":"10.1101/2020.04.13.20064048","DOIUrl":"https://doi.org/10.1101/2020.04.13.20064048","url":null,"abstract":"Based on a new concept called Turning Period,the goal of this report is to show how we can conduct the prediction for the outlook in the different stages for the battle with outbreak of COVID-19 currently in US, in particular, to identify when each of top 15 states in USA (basically on their populations) is going to enter into the stage that the outbreak of COVID-19 is under the control by the criteria such as daily change of new patients is less than 10% smoothly. Indeed, based on the data of April 10, 2020 with the numerical analysis, we are able to classify 15 states of US into the following four different categories for the Prevention and Control of Infectious Diseases Today and the main conclusion are: First, staring around April 14, 20202, three states which are Washington State, Louisiana and Indiana are entering the stage that the outbreak of COVID-19 is under the control, which means daily change of new patients is less than 10% and the gamma is less than zero in general. Second, staring around April 15, 20202, two states which are New Jersey, and New York are entering the stage that the outbreak of COVID-19 is under the control, which means daily change of new patients is less than 10% and the gamma is less than zero in general. Third, staring around April 16, 20202, seven states which are California, Florida, Georgia (GA), Illinois, Maryland, Indiana, Michigan, and Pennsylvania are entering the stage that the outbreak of COVID-19 is under the control, which means daily change of new patients is less than 10% and the gamma is less than zero in general. Fourth, staring around April 17, 20202, three states which are Texas, Massachusetts, and Connecticut are entering the stage that the outbreak of COVID-19 is under the control, which means daily change of new patients is less than 10% and the gamma is less than zero in general. Finally, we want to reinforce that emergency risk management is always associated with the implementation of an emergency plan. The identification of the Turning Time Period is key to emergency planning as it provides a timeline for effective actions and solutions to combat a pandemic by reducing as much unexpected risk as soon as possible.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122067502","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets","authors":"I. Evstigneev, T. Hens, V. Potapova, K. Schenk-Hoppé","doi":"10.2139/ssrn.3571162","DOIUrl":"https://doi.org/10.2139/ssrn.3571162","url":null,"abstract":"Abstract This paper analyzes a dynamic stochastic equilibrium model of an asset market based on behavioral and evolutionary principles. The core of the model is a non-traditional game-theoretic framework combining elements of stochastic dynamic games and evolutionary game theory. Its key characteristic feature is that it relies only on objectively observable market data and does not use hidden individual agents’ characteristics (such as their utilities and beliefs). A central goal of the study is to identify an investment strategy that allows an investor to survive in the market selection process, i.e., to keep with probability one a strictly positive, bounded away from zero share of market wealth over an infinite time horizon, irrespective of the strategies used by the other players. The main results show that under very general assumptions, such a strategy exists, is asymptotically unique and easily computable.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116052570","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Multidimensional Effects of Central Clearing on CDS Market Liquidity and Their Economic Channels – A Regression Discontinuity Approach","authors":"G. Schoenemann","doi":"10.2139/ssrn.3561116","DOIUrl":"https://doi.org/10.2139/ssrn.3561116","url":null,"abstract":"In this study, I analyze the effect of central clearing on market liquidity in the CDS market. This study extends existing literature by using semi-parametric and non-parametric regression discontinuity designs (RDD) in order to isolate the effect of central clearing on measures of market tightness, market depth and market resiliency. I find evidence for a decrease in absolute bid-ask spreads with the beginning of central clearing and an increase in gross trading volume. Bid-ask spread resiliency decreases with the beginning of central clearing. These effect differ across contracts depending on their fundamental risk and liquidity risk. I show that counterparty risk and inventory costs may partly explain the effects of central clearing on CDS market liquidity. Especially the lower relevance of counterparty risk and lower regulatory capital charges seem to affect positively dealer competition and risk-taking capacity in the CDS market.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132677886","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}