Master Theses

2018

Multivariate Methods for Stock Selection
Marc Djerrah

 

Contrarian Carry Trade Strategy and Volatility
Jannik Brunner

 

The Term Structure of Risk Aversion in Foreign Exchange Markets - An Analysis of Foreign Exchange Option Data over Varying Time Horizons
Reto Willi

 

Portfolio Analysis of Cryptocurrencies: Diversification Benefits and Return Factors
Rafael Gerpe

 

The Risk and Return Relation of Direct Real Estate and REITs - Evidence from European Markets
Zhizhi Li

 

Long or Short? Sources of returns in factor portfolios
Tobias S. Habetha

 

Improving the Currency Carry Trade Strategy: From Time Series Models to Machine Learning Methods
Velimir Gordic

 

Hybrides Beratungsmodell im Private Banking
Luca von Wyttenbach

 

Cross-Sectional Variation in Commodity Futures Risk Premia: An Analysis based on Factor Models
Adrian Lukas Senn

 

Technische Aktienanalyse im Performance-Vergleich zur Buy and Hold-Strategie
Flurin Caduff

 

2017

Non-Parametric Estimation of State Price Densities
Daniel Grosshans

 

Emerging Market Monetary Policy and the Carry Trade
Rasia Naidoo

 

Exiting Quantitative Easing: Are there Spillover Effects?
Ermir Binakaj

 

Optimal Delta Hedging Frequency for Equity Options
Michael Schnetzer

 

The introduction of GDP-linked bonds and the potential effects on some selected European countries
Xavier Schuwey

 

Rental Home Backed Securities (RBS) An Alternative Investment Opportunity in Switzerland?
Nicola Della Morte

 

Investment Mistakes Drivers of Private Banking Clients
Janis M. Heibel

 

Can the Carry Trade Strategy be improved by adding Value and Momentum?

Jonas Fässler

 

Alternative Portfolio Optimization - Monetizing Volatility Risk with Variance Swaps
Florian Vetters

 

Sell in May and Go Away - But Remember to Come Back in November

Dino Giuliani

 

2016

Commodity prices as a signal for currency carry trades

Michel Alain Guillet

 

Value Equities in Carry Currencies

Thormas Karg

 

Strategic Allocation to Return Factors

Silvan Scheerer

 

Forecasting Long-Term Expected Returns Based on Earnings - An Analysis of a Financial Industry Approach

Samuel Annen

 

Capital Investment and Stock Returns: The European Evidence

Quoc Fu Ha

 

Determinants of the Issuance and Pricing of Insurance-Linked Securities

Philipp Handler

 

Cross Section of Stock Returns: On the Empirical Comparison of Investor Sentiment Indexes

Hasan Karahan

 

Preisblasen auf dem Schweizerischen Wohnimmobilienmarkt

Sara Steinmann

 

Empirische Performance unterschiedlicher Optionspreismodelle

Stefan Betschart

 

Saisonalität auf europäischen Aktienmärkten: eine branchenspezifische Analyse

Jan Hunziker

 

The Pricing of VIX Derivatives: Theory and Empirical Performance

Florian Sutter

 

2015

Are Convertible Bonds Redundant?

Cyril Charrabé

 

The Impact of Restricted Trading Hours on Trading Performance: An Experimental Study

Silvan Camenzind

 

Gibt es die Konsensusfalle bei Analystenempfehlungen?

Gabriel Meyer

 

Economic Cycles and Value Investing

Remo Kyburz

 

Analysis of Smart Beta ETFs

Christoph Buxtorf

 

Determinants of Swiss Money Market Debt Register Claim Yields

Sandro L. Galli

 

How Green Buildings Mitigate Risk

Constantin Kempf

 

The Performance of the Λ*-Strategy under New Stock Listings and Delistings Backtested on Swiss Stock Market Data

Qian Cao

 

Growth vs. Value Investing: What is the difference?

Alexander Thoma

 

Oil Price Indicators & Scoring Model Comparison

Sebastian Kollár

 

Momentum or Contrarian? Identifying the Determinants of Investor Beliefs

Sandra Petrovic

 

Timing Models for Factor Investing

Ueli Hofstetter

 

2014

How Consistent are Ratings and Default Rates?

Alexander Gartmann

 

Die Auswirkungen der UCITS-Regulierungen auf Fonds-Performance und -Risiko

Adrian Kunz

 

Value Investing in European Stock Markets - An Application of Fundamental Analysis on Liquid Stores

Marc Geissbühler

 

An Analysis of Price Development in the Real Estate Market in Switzerland

Patrick Stump            

 

Rohstoffpreise als Ursache für Krisen und Konflikte

Marco Guldener

 

Implications of SP/A Theory on Optimal Portfollio Choice,

Dominique Schwestermann    

 

Investigating the relationship between the housing risks, the social security coverture and their impact on the home ownership rates in Switzerland and England

Adrien Walther

 

Retail investor trading behavior and profitability with regard to trading volume, past returns and news

Marko Milivojevic        

 

Einfluss von Subventionen auf die Bautätigkeit energieeffizienter Gebäude in der Schweiz

Juerg Syz, Caroline Rutz

 

Can the attractiveness of Contingent Convertible bonds be explained by investors exhibiting systematic behavioral biases?

Tamara Nielsen           

 

The Consequences of Environmental Policies on the Optimization of the German Energy Portfolio - A Quadratically Constrained Programming Model

Andrea Staudacher    

 

The Chinese Renminbi on its Way to a Convertible and International Currency

Raffael Willi

 

Global vs. regional value investing         

Tim Glaus     

 

Predicting Stock Price Correlations - An ROC Curve Based Classifier Performance Analysis

Sven C. Steude, Martin Castrischer

 

What is risk? How do private investors understand risk? 

Laura Anzoni             

 

Explaining co-movement with co-mentions in financial media

Mateusz Wroblewski  

 

Dynamische Interaktion zwischen Value und Momentum

Michael Iten 

 

Presentation Forms and Risk-Taking Behavior of Investors

Svea Ludwig 

 

Robot Advisory: Ein Fluch oder doch ein Segen?

Dominic Hinny

 

Learning and Stability in an Evolutionary Finance Model

Cao Qian      

 

2013

Die Auswirkung von Credit Default Swaps auf die Finanzstabilität

Benjamin Mösch

 

Volatility Trading

David Weber

 

The US dollar during the financial crisis: an intraday analysis

Angelo Ranaldo, Rocco Fedele 

 

Verzerrungen bei der Wahl von Autoversicherungen

Christian Hardegger

 

Correlation 2.0: News and Social Media Predicting Stock Correlations

Michael Bonifazi         

 

Tracking Error Berechnung bei ETFs

Hans-Jörg Morath      

 

Technical Analysis and Investment Strategies: An Empirical Study

Brian Buchmann

 

Market and Liquidity Risk in the Corporate Bond Market

Eliane Eberle

 

Modelling Deleveraging

Stefan Nef

 

Determinants of Swiss Porperty Rents - Evidence from Swiss Residential Markets

Philipp Dillinger

 

The Effect of Credit Rating Changes on Asset Prices

Ugur Aksoy   

 

Welfare Effects of a Proportional Tax on Financial Transactions

Biljana Meiske-Radovanovic

 

Decision Heuristic or Utility Driver? On the robustness of the impact of gain and loss probabilities in risky choice (How important are the overall probabilities of gaining and losing in decisions under risk?)

Julian T. Gabrisch     

 

Price Predictability in an Evolutionary Financial Model

Ferdinand Langnickel

 

Rohstoffdrehscheibe Schweiz – Entwicklung und Perspektiven

Selim Ardüser             

 

Impact of regulatory transparency notifications on stock prices

Viktor Dinevski

 

The Application of urban economics to Hong Kong’s property market

Severin Tobler             

 

2012

The response of Swiss real estate funds to macroeconomic factors

Rebecca Merkli            

 

Die jüngere Entwicklung des Private Banking in der Schweiz (ab 1985)

Stefanie Meyer            

 

Ist Newstrading erfolgreich?

Remo Spühler

 

Marktexperimente in der Finanzwirtschaft: Überblick und Übertragbarkeit auf reale Märkte

Reto Gurtner

 

Value Investing in Commodities

Philipp Struwe

 

Neurofinance and Risk Tolerance,

André Schiesser

 

The influence of news sentiment on correlations between commodity returns

Michal Dzielinski, Marcel Fischli

 

The impact of stock market crashes on the pricing kernel

Christian Reichlin, Tino Schmid            

 

Value Investing

Patrick Rüegger

 

Information Dynamics in Financial Markets

Fabienne Locher

     

The trading behavior and profitability of retail investors with regard to news

Maik Panter

 

Green Premium - Analyse am Beispiel des Immobilienmarkts des Kantons Zürich

Marco Rutz

 

2011

The Risk Profile and Performance of Environmental Hedge Funds

Dijana Skoric

 

The Impact of Market Conditions on the Performance of Different Option Pricing Models

Jean-Marc Meier

 

The Risk Profile and Predictability of Hedge Fund Returns: Implications for Asset Management

Andreas Schranz

 

Hedge Funds placement - current situation and possible developments

Joel Rossier

 

Information Spillover Effects between the Commodity and the Stock Markets

Sven C. Steude, Timo Wassmer

 

Back-testing of news-based strategies on stock markets

Michal Dzielinski, Christoph Bischofberger

 

Real estate in an asset allocation: an optimized portfolio through resampling

Mihnea Constantinescu, Philipp Langenegger

     

Expectations Implied in Option Prices: An Equilibrium Approach

Christian Reichlin, Sandro Caluori       

 

Kulturelle Unterschiede im Fehlverhalten bei finanziellen Entscheidungen

Sébastien Brühwiler

 

Analysis and Timing of Managed Futures Strategies

Michal Dzielinski, Peter Gilles

 

How important are loss probabilities in repeated investment decisions?

Lukas Meier  

 

Speculative Bubbles in a Production Economy with Innovation

Alexander Tobler

 

Alpha Opportunity Barometer

Reto Schläpfer