Working Papers on Finance

From University of St. Gallen, School of Finance
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1718: Tha Impact of the Morningstar Sustainability Rating on Mutual Fund Flows

Manuel Ammann, Christopher Bauer, Sebastian Fischer and Philipp Mueller

1717: Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?

Daniel Hoechle, Markus Schmid and Heinz Zimmermann

1716: Get the Balance Right: A Simultaneous Equation Model to Analyze Growth, Profitability, and Safety

Martin Eling, Ruo Jia and Philipp Schaper

1714: Do Local Governments Tax Homeowner Communities Differently?

Roland Fuess and Oliver Lerbs

1713: Settling the Staggered Board Debate

Yakov Amihud, Markus Schmid and Steven Davidoff Solomon

1712: Investor Attention and Sentiment: Risk or Anomaly?

Melk C. Bucher

1711: Numeracy and the quality of on-the-job decisions: Evidence from loan officers

Martin Brown, Karolin Kirschenmann and Thomas Spycher

1710: Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization

Zeno Adams and Maria Kartsakli

1709: Credit Scoring vs. Expert Judgment – A Randomized Controlled Trial

Thomas Gietzen

1708: Monetary Policy and Currency Returns: the Foresight Saga

Dmitry Borisenko and Igor Pozdeev

1707: Cultural Preferences and the Choice between Formal and Informal Financing

Mascia Bedendo, Emilia Garcia-Appendini and Linus Siming

1706: The Long-Term Performance of IPO’s, Revisited

Daniel Hoechle, Larissa Karthaus and Markus Schmid

1705: Best Land Use with Negative Externalities: Determining Land Values from Residential Rents

Roland Fuess, Jan A. Koller and Alois Weigand

1704: Illuminating the Dark Side of Financial Innovation: The Role of Investor Information

Manuel Ammann, Marc Arnold and Simon Straumann

1703: Culture and Financial Literacy

Martin Brown, Caroline Henchoz and Thomas Spycher

1702: Agglomeration Effects and Liquidity Gradients in Local Rental Housing Markets

Daniel Ruf

1701: Contract Nonperformance Risk and Uncertainty in Insurance Markets

Christian Biener, Andreas Landmann and Maria Isabel Santana

1623: Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds

Manuel Ammann and Christian Ehmann

1622: Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market

Lars Ivar Hagfors, Hilde Horthe Kamperud , Florentina Paraschiv, Marcel Prokopczuk, Alma Sator and Sjur Westgaard

1621: Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns

Semir Ben Ammar, Alexander Braun and Martin Eling

1620: Currency Strategies and Sovereign Ratings

Nina Karnaukh

1619: The Forward Premium in Short-Term Rates

Angelo Ranaldo and Matthias Rupprecht

1618: Liquidity Constraints, Wealth Transfers and Home Ownership

Kristian Blickle and Martin Brown

1617: Pricing of Catastrophe Risk and the Implied Volatility Smile

Semir Ben Ammar

1616: Unsecured and Secured Funding

Angelo Ranaldo and Jan Wrampelmeyer

1615: Immigration, Real Estate Prices and the Consumption Decisions of Native Households

Zeno Adams and Kristian Blickle

1614: Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions

Nikola Mirkov, Igor Pozdeev and Paul Söderlind

1613: Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

Zeno Adams, Roland Fuess and Thorsten Glueck

1612: The Impact of Credit Information Sharing on Interest Rates

Thomas Gietzen

1611: A Structural Model for Electricity Forward Prices

Fred Espen Benth and Florentina Paraschiv

1610: Can Group Incentives Alleviate Moral Hazard? The Role of Pro-Social Preferences

Christian Biener, Martin Eling and Shailee Pradhan

1609: Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution

Angelo Ranaldo and Enzo Rossi

1608: Social Norms and Strategic Default

Martin Brown, Jan Schmitz and Christian Zehnder

1607: Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients

Florentina Paraschiv, Derek Bunn and Sjur Westgaard

1607: Characteristics-based Portfolio Choice with Leverage Constraints

Manuel Ammann, Guillaume Coqueret and Jan-Philip Schade

1605: Experience and Brokerage in Asset Markets: Evidence from Art Auctions

Brunella Bruno, Emilia Garcia-Appendini and Giacomo Nocera

1604: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century

Farshid Abdi and Angelo Ranaldo

1603: The Structure of the Global Reinsurance Market: An Analysis of Efficiency, Scale, and Scope

Christian Biener, Martin Eling and Ruo Jia

1602: The Roles of Industry Idiosyncrasy, Cost Efficiency, and Risk in Internationalization: Evidence from the Insurance Industry

Christian Biener, Martin Eling and Ruo Jia

1601: Funding Illiquidity

Matthias Rupprecht and Jan Wrampelmeyer

1526: The Economic Drivers of Differences in House Price Inflation Rates across MSAs

Roland Fuess and Joachim Zietz

1525: Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry

Manuel Ammann, Kristian Blickle and Christian Ehmann

1524: Testing Competing Factor Pricing Models

Paul Soederlind

1523: The Role of Spatial and Temporal Structure for Residential Rent Predictions

Roland Fuess and Jan Koller

1522: Do Private Equity Funds Always Pay Less? A Synergy-Related Explanation Based on Add-on Acquisitions

Stefan Morkoetter and Thomas Wetzer

1521: Econometric Analysis of 15-minute Intraday Electricity Prices

Ruediger Kiesel and Florentina Paraschiv

1520: Pre-Trade Transparency and Return Co-movements in Commercial Real Estate Markets

Roland Fuess and Daniel Ruf

1519: Does Foreign Information Predict the Returns of Multinational Firms Worldwide?

Christian Finke and Florian Weigert

1518: State Space Geometry of Asset Pricing: An Introduction

Igor Pozdeev

1517: Something in the Air: Information Density, News Surprises, and Price Jumps

Roland Fuess, Markus Grabellus, Ferdinand Mager and Michael Stein