Working Papers on Finance

From University of St. Gallen, School of Finance
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1516: Asset Pricing of Financial Insitutions: The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry

Semir Ben Ammar, Martin Eling and Andreas Milidonis

1515: Conflicts of Interest and the Role of Financial Advisors in M&A Transactions: Empirical Evidence from the Private Equity Industry

Stefan Morkoetter and Thomas Wetzer

1514: The Value of Creditor Governance: Debt Renegotiations In and Outside Distress

Marc Arnold and Ramona Westermann

1513: Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation

Matthias D. Aepli, Karl Frauendorfer, Roland Fuess and Florentina Paraschiv

1512: Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach

Steffen Mahringer, Roland Fuess and Marcel Prokopczuk

1511: Do CEOs Matter? Corporate Performance and the CEO Life Cycle

Peter Limbach, Markus Schmid and Meik Scholz

1510: Competing with Superstars

Manuel Ammann, Philipp Horsch and David Oesch

1509: The Exposure of Mortgage Borrowers to Interest Rate Risk, Income Risk and House Price Risk – Evidence from Swiss Loan Application Data

Martin Brown and Benjamin Guin

1508: Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings

Vikas Agarwal, Stefan Ruenzi and Florian Weigert

1507: Sharing a Director with a Peer

Tatjana Berg, Philipp Horsch and Markus Schmid

1506: The Exposure of Microfinance Institutions to Financial Risk

Thomas Gietzen

1505: Competition in the Credit Rating Industry: Benefits for Investors and Issuers

Stefan Morkoetter, Roman Stebler and Simone Westerfeld

1504: Internal Control and Strategic Communication within Firms – Evidence from Bank Lending

Martin Brown, Matthias Schaller, Simone Westerfeld and Markus Heusler

1503: Insurability of Cyber Risk: An Empirical Analysis

Christian Biener, Martin Eling and Jan Wirfs

1502: The Determinants of Efficiency and Productivity in the Swiss Insurance Industry

Christian Biener, Martin Eling and Jan Wirfs

1501: Does Female Management Influence Firm Performance? Evidence from Luxembourg Banks

Regina M. Reinert, Florian Weigert and Christoph H. Winnefeld

1423: Sovereign Risk and the Pricing of Corporate Credit Default Swaps

Matthias Haerri, Stefan Morkoetter and Simone Westerfeld

1422: Sophisticated vs. Simple Systemic Risk Measures

David Pankoke

1421: Systemic Risk in the Insurance Sector: Review and Directions for Future Research

Martin Eling and David Pankoke

1420: Costs and Benefits of Financial Regulation – An Empirical Assessment for Insurance Companies

Martin Eling and David Pankoke

1419: The Impact of Financial Advice on Trade Performance and Behavioral Biases

Daniel Hoechle, Stefan Ruenzi, Nic Schaub and Markus Schmid

1418: Ambiguity and Reality

Fabio Trojani, Christian Wiehenkamp and Jan Wrampelmeyer

1417: Non-Interest Income and Bank Performance: Does Ring-Fencing Reduce Bank Risk?

Anthony Saunders, Markus Schmid and Ingo Walter

1416: Shareholder Voting and Merger Returns

Laura Henning

1415: Do Mutual Funds Outperform During Recessions? International (Counter-) Evidence

Christopher Fink, Katharina Raatz and Florian Weigert

1414: Credit Booms and Busts in Emerging Markets: The Role of Bank Governance and Risk Managment

Alin Marius Andries and Martin Brown

1413: Financialization in Commodity Markets: A Passing Trend or the New Normal?

Zeno Adams and Thorsten Glueck

1412: The Euroization of Bank Deposits in Eastern Europe

Martin Brown and Helmut Stix

1411: Trade credit use as firms approach default: A supplier's hold-up story

Emilia Garcia-Appendini and Judit Montoriol-Garriga

1410: Idiosyncratic Shocks and Industry Contagion: Evidence from a Quasi-experiment

Emilia Garcia-Appendini

1409: Precious Metals Under the Microscope: A High-Frequency Analysis

Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo

1408: Individual Investor Activity and Performance

Magnus Dahlquist, Jose Vincente Martinez and Paul Söderlind

1407: The Threat of Exclusion and Implicit Contracting

Martin Brown and Marta Serra-Garcia

1406: Neglected Risk: Evidence from Structured Product Counterparty Exposure

Marc Arnold, Dustin Schuette and Alexander Wagner

1405: Real Effects of Investment Banking Relationships: Evidence from the Financial Crisis

David Oesch, Dustin Schuette and Ingo Walter

1404: Corporate Transparency and Bond Liquidity

Falko Fecht, Roland Füss and Philipp B. Rindler

1403: Between-Group Adverse Selection: Evidence from Group Critical Illness Insurance

Martin Eling, Ruo Jia and Yi Yao

1402: Banks’ Loan Screening Incentives with Credit Risk Transfer: An Alternative to Risk Retention

Marc Arnold

1401: Board Industry Experience, Firm Value, and Investment Behavior

Wolfgang Drobetz, Felix von Meyerinck, David Oesch and Markus Schmid

1329: Management Influence on Investors: Evidence from Shareholder Votes on the Frequency of Say on Pay

Fabrizio Ferri and David Oesch

1328: Hysteresis in Potential Output and Monetary Policy

Daniel Kienzler and Kai Schmid

1327: Regional Inflation and Financial Dollarization

Martin Brown, Ralph De Haas and Vladimir Sokolov

1326: Extreme Downside Liquidity Risk

Stefan Ruenzi, Michael Ungeheuer and Florian Weigert

1325: Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide

Florian Weigert

1324: Crash Sensitivity and the Cross-Section of Expected Stock Returns

Fousseni Chabi-Yo, Stefan Ruenzi and Florian Weigert

1323: Electricity Spot and Derivatives Pricing when Markets are Interconnected

Roland Füss, Steffen Mahringer and Marcel Prokopczuk

1322: Monetary Policy Effects on Long-term Rates and Stock Prices

Angelo Ranaldo and Samuel Reynard

1321: This article analyzes the impact of the introduction of centrally cleared credit risk transfer on a loan originating bank's lending discipline in the primary loan market. Under Basel III, a bank can transfer credit risk via central clearing at favorable regulatory conditions. Central clearing, however, reduces the lending discipline because the fact that only standardized contracts can be centrally cleared allows the originating bank to profitably grant and hedge a low quality loan. The impact on the lending discipline crucially depends on the regulatory design of central clearing such as capital requirements, disclosure standards, risk retention, and access to uncleared credit risk transfer. I also show that the lending discipline is an important determinant of the impact of central clearing on system risk

Marc Arnold

1320: Financing Asset Sales and Business Cycles

Marc Arnold, Dirk Hackbarth and Tatjana-Xenia Puhan

1319: Deposit Withdrawals from Distressed Commercial Banks: The Importance of Switching Costs

Martin Brown, Benjamin Guin and Stefan Morkoetter