Precious metals under the microscope: a high-frequency Analysis. M. Caporin, A. Ranaldo and G. G. Velo. Quantitative Finance. 1-18.
Firm Structure in Banking and Finance: Is Broader Better? M. Schmid and I. Walter. Journal of Financial Perspectives 2(2), 2014. 65-75.
Managerial Cash Use, Default, and Corporate Financial Policies. M. Arnold. Journal of Corporate Finance, 27. 305-325.
A Jackknife-Type Estimator for Portfolio Revision. R. Füss, F. Miebs, and F. Trübenbach. Journal of Banking and Finance, Vol. 43, 2014, No. 6. 14-28.
Valuation Effects of Termination of Cross-Listings. R. Füss, U. Hommel and J. C. Plagge. Journal of Financial Perspectives, Vol. 2, 2014, No. 1. 177-193.
The Euroization of Bank Deposits in Eastern Europe. M. Brown and H. Stix. Economic Policy, in press.
Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach. Z. Adams, R. Füss and R. Gropp. Journal of Financial and Quantitative Analysis, forthcoming.
The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity. Z.Adams, R. Füss and F. Schindler. Real Estate Economics, forthcoming.
Selected Working papers:
Non-Interest Income and Bank Performance: Is Banks’ Reliance on Non-Interest Income Bad? A. Saunders, M. Schmid und I. Walter. Working Paper on Finance 2014/17, University of St.Gallen, October 2014.
The issue of optimum bank scope is central to many proposals for banking system reform. For example, a core component of the Dodd-Frank Act (2010) and regulatory proposals in the UK and the EU has been the concept of «ring-fencing» – i.e., restricting banks’ activities to their core retail and wholesale financial intermediation functions. One set of arguments holds that limiting the scope of bank activities reduces the likelihood of failure related to business lines that are highly risky. A second set of arguments holds that diversification of banks across traditional interest generating business and non-traditional businesses enhances bank profitability and reduces idiosyncratic risk. Based on a sample of 368'006 quarterly observations on 10'341 US banks during the period 2002-2013, we find that a higher ratio of non-interest income (derived from fees and non-core activities such as investment banking, venture capital and trading) to interest income (associated with deposit-taking and lending to retail and commercial clients) is associated with a higher profitability across the banking sector and under different market regimes. This finding is stronger during the crisis period than in either the pre- and post-crisis periods. Banks with a higher fraction of non-traditional income are also shown to have a lower insolvency risk as measured by the Z-score, and recovered faster after the 2007-09 crisis. Our results hold across bank size groups and are robust to the inclusion of bank fixed effects, bank size, and various measures of leverage and asset quality in the regressions.
The Real Costs of Industry Contagion. E. Garcia-Appendini. Working Paper on Finance No. 2014/10. University of St.Gallen, June 2014.
Abstract: I analyze whether the higher financing costs following the distress of one firm affect the real investment decisions of non-distressed competitors. To identify causality, I use a difference-in-differences approach that compares within-firm changes in investment for competitors with large proportions of their debt maturing after the industry distress («treated firms»), relative to other competitors with lower portions of debt maturing after the distress. Results suggest that the former, which are more affected by higher financing costs, reduce investment by around 10% more than the latter firms. Results are not caused by higher refinancing risk or forward-looking managers of treated firms, and are most relevant for firms that rely heavily on external financing. Contagion is stronger in competitive industries, high-leveraged firms, and during bankruptcy waves.
- Financial Advice and Bank Profits. D. Hoechle, S. Ruenzi, N. Schaub and M. Schmid. Research in Behavioural Finance Conference, Rotterdam, September 18-19, 2014.
- The Euro Interbank Repo Market. A. Ranaldo, J. Wrampelmeyer and L. Mancini. 41st European Finance Association (EFA) Annual Meeting, University of Lugano, August 27-30, 2014.
- Trade credit and financial distress. E. Garcia-Appendini and J. Montoriol-Garriga. European Economic Association Meetings 2014. Toulouse, August 26, 2014.
- Deposit Withdrawals from Distressed Commercial Banks. M. Brown, B. Guin and S. Morkoetter. European Economic Association Meetings 2014, Toulouse, August 25, 2014.
- Financing Asset Sales and Business Cycles. M. Arnold, D. Hackbarth and T. Puhan. EFA, European Finance Association, Lugano, August 2014.
- Banks’ Loan Screening Incentives with Credit Risk Transfer: An Alternative to Risk Retention. M. Arnold. Conference on Credit Analysis and Risk Management, Rochester, August 2014.
- Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Credit Risk of Structured Products. M. Arnold, D. Schütte and A. Wagner. SFI Research Days, Gerzensee, June 2014.
- Board Industry Experience, Firm Value, and Investment Behavior. W. Drobetz, F. von Meyerinck, D. Oesch and M. Schmid, Financial Management Association European Conference, Maastricht, June 10-12, 2014.
- Don’t Answer the Phone – Financial Advice and Individual Investors’ Performance. D. Hoechle, S. Ruenzi, N. Schaub and M. Schmid, Financial Intermediation Research Society Conference, Quebec City, June 1-4, 2014 and Boulder Summer Conference on Consumer Financial Decision Making, Boulder, May 18-20, 2014.
- Smokescreen: How Managers Behave When They Have Something to Hide. T. Artiga González, M. Schmid and D. Yermack, Edinburgh Corporate Finance Conference, Edinburgh, May 28-29, 2014.
Invitations to Research Seminars and Workshops:
- The Euro Interbank Repo Market. A. Ranaldo, J. Wrampelmeyer, L. Mancini. Bank for International Settlements (BIS), Research Seminar, Basel, November 11, 2014; International Monetary Fund, Research Seminar, Washington, September 9, 2014; U.S. Department of the Treasury, the Office of Financial Research (OFR), Research Seminar, Washington, September 9, 2014. and The Board of Governors of the Federal Reserve System, Research Seminar, Washington, September 8, 2014.
- Corporate Transparency and Bond Liquidity. R. Füss. Finance Seminar at the Frankfurt School of Finance and Management, October 29, 2014; Research Seminar at Nanyang Business School, Department of Banking and Finance, Nanyang Technological University, Singapore, August 12, 2014 and Research Seminar at Lee Kong Chian School of Business, Singapore Management University (SMU), August 11, 2014.
- Don’t Answer the Phone – Financial Advice and Individual Investors’ Performance. M. Schmid, Research Seminar at the University of Zurich, October 27, 2014.
- Understanding FX Liquidity. N. Karnaukh, A. Ranaldo, P. Söderlind, 10th Annual Central Bank Workshop on Microstructure of Financial Markets, Rom, October 2-3, 2014.
- The Euro Interbank Repo Market. J. Wrampelmeyer. Workshop on Collateral, Liquidity and Central Bank Operations, Bank of Canada, Ottawa, September 11, 2014.
- A. Ranaldo, Discussant in the Workshop on Collateral, Liquidity and Central Bank Operations, paper Bleck, Liu «The limits of market based monetary policy», Bank of Canada, Ottawa, September 11, 2014.
- The Impact of Central Clearing on Banks’ Loan Screening Incentives. M. Arnold. Research Seminar, Universität Zürich. March 2014.