It is well known that the volatility of security returns is subject to large fluctuations over time and complicates risk management. A new study examines this issue for wheat futures price volatility representative for other commodity prices, using daily highs and lows since virtually the start of trading on the Chicago Board of Trade (CBOT, now CME) in 1877. The data were compiled from a variety of sources, mostly by hand. The estimation with daily volatilities is key, since it was and partly still is widespread in agricultural economics to perform analyses with monthly or even annual average prices. Interestingly, this practice does not result in too low volatility estimates, but in increased volatility estimates, up to 22% depending on the regime. One possible cause is the pronounced volatility regimes, which lead to erratic - and not balanced - volatility changes. This calls into question the validity of studies on intertemporal volatility comparisons when using traditional or multiple data sources.

The original study can be downloaded at:
https://authors.elsevier.com/a/1hS7A8Z1lfVMOh

Marco Haase, Heinz Zimmermann und Matthias Huss: Wheat price volatility regimes over 140 years: An analysis of daily price ranges, Journal of Commodity Markets 2023 (online)

Genügend Eigenkapital und Liquidität stellen die beiden zentralen Voraussetzungen und Instrumente
dar, um Banken gegenüber einer Krise zu schützen. Ein hohes Eigenkapital scha􀅏
nicht nur Vertrauen, sondern liefert auch einen Risikopuffer zur Abfederung gegenüber Verlusten.
Mit dem Liquiditätsmanagement soll die Bank demgegenüber die Voraussetzung
schaffen, die Zahlungen vereinbarungsgemäss zu leisten, wozu insbesondere auch die Bedienung
der Rückzüge der Depositäre gehören.

Abstract

Rising life expectancy and a decades-long reform backlog have put the Swiss pension system in huge financial difficulties. So far, it has only been possible to avert a financial collapse by redistributing billions from young to old. This contradicts the constitutional mandate of a sustainably financed old-age provision and increasingly endangers the intergenerational contract. It is one of the greatest political failures in our country that no sustainable solution to this problem has yet been implemented. This is all the more serious because - unlike with similarly fundamental challenges such as in European or climate policy - we can solve the problem on our own with goal-oriented domestic policy reforms. Against this background, the recently submitted pension initiative, which provides for a gradual adjustment of the retirement age to life expectancy, is a unique opportunity. In our view, it is the central reform to realise a pension system that is fair to all generations. However, due to foreseeable resistance that endangers a timely implementation, we propose adjustments here that retain the core idea but, in our view, increase the political chances of realisation. These considerations could be incorporated into a possible counter-proposal by the Parliament. In the 2nd pillar, we also recommend the introduction of certain automatisms and a minimal flexibilisation of pensions. Rapidly realisable tax relief for old-age work should facilitate the main reforms politically and therefore complete a reform package that is, in our view, purposeful.

"The Pricing of Volatility Risk in the US Equity Market" International Review of Financial Analysis, 2021

Abstract

We analyse whether the pricing of volatility risk depends on the asset pricing framework applied in the tests, the specified volatility proxies, and the portfolio sorts used for spanning the asset universe. For this purpose, we compare the results using a macroeconomic and fundamental based asset pricing model using three proxies of volatility and uncertainty, using size/value sorted and industry sector portfolios. Our results reveal that the marginal pricing effect of the VIX volatility factor is strong and statistically significant throughout the models and specifications, while the effect of an EGARCH-based volatility factor is mixed, mostly smaller but with the correct sign. In most cases, the EGARCH factor does not impair the pricing effect of the VIX. The portfolio sorts have a substantial impact on the volatility premiums in both model frameworks. The size of the volatility risk premium is more uniform across the models if the industry sector portfolio sort is used. Finally, the size/value portfolio sort generates larger volatility risk premiums for both models.

"Long-run implied market fundamentals: An exploration", Journal of Investment Management 19 (3), 2021, pp. 20-38 (Heinz Zimmermann)

Abstract

The paper studies the volatility and correlation pattern of the fundamental valuation parameters (growth rate and its determinants, discount rate) calculated from widely used valuation ratios using the Gordon formula, and compares the findings to well-known insights from the asset pricing literature. Our results reveal a substantially different picture of the volatility and cyclicality of the implied valuation parameters compared to estimates from econometric models using historical returns. We argue, in the spirit of Campbell (2008), that implied Gordon parameters can be interpreted as empirical proxies for conditional steady-state market fundamentals, which is supported by our findings. The insights of this paper are therefore particularly challenging for investors with a long-term investment horizon who base their decisions on fundamental valuation factors.

2017 hat der Bundesrat entschieden, eine Reform zur Stärkung der Einlagesicherung vorzunehmen. Dies geschieht im Rahmen der anstehenden Teilrevision des Bankengesetzes (BankG). Für die Einleger und Einlegerinnen führt die Gesetzesänderung zu einer Verbesserung. Trotzdem folgt das Autorenteam der Argumentation des Bundesrats in der Botschaft nicht uneingeschränkt.

Das Covid-19-Pandemie-Jahr 2020 hat dem Appetit der Anleger nach grünen Anleihen (Green Bonds) keinen Abbruch getan – im Gegenteil: Für die in dieser Studie analysierten 57 Green Bonds, die 2020 emittiert wurden, sind die Investoren bereit, im Emissionszeitpunkt gegenüber vergleichbaren konventionellen Bonds eine geschätzte Minderrendite von durchschnittlich rund 30 Basispunkten in Kauf zu nehmen. Diese Differenz ist grösser als die in anderen Studien für frühere Emissionsjahre dokumentierten Renditeunterschiede.

Abstract
We use the Gordon (Rev Econ Stat 41(2):99-105, 1959) constant growth model to gauge the efects from innovations in implied growth versus discount rates. During the COVID-19 downturn and the Global Financial Crisis (GFC), stock returns were largely afected by a change in the long-run implied growth rate and only to a lesser extent by a change in discount rate, the latter typically used to explain stock returns in the classical asset pricing literature. We reach this conclusion by using ordinary least-squares (OLS) regressions of stock returns on the unobservable Gordon factors, which we estimate from frm-level valuation ratios D/P, P/E, and P/B. The efects from a decrease in implied growth outweigh those from an increase in discount rate by a factor of approximately 1.6 to 1.7. Also, frms with a decrease in implied growth show a stock return that is approximately 6.6% more negative than that of frms with no decrease in implied growth. Investors can infer valuable information from the joint interpretation of underlying market fundamentals as derived from the Gordon model

Eine Analyse findet zum ersten Mal Indizien dafür, dass Pensionskassen von höheren zu tieferen Einkommen umverteilen. Negativ betroffen sind vor allem Männer, denn Frauen sind weniger häufig im Überobligatorium versichert.  Yvonne Seiler Zimmermann, Heinz Zimmermann.

Abstract   
Seit einigen Jahren wird darüber debattiert, ob und allenfalls in welchem Ausmass es in der beruflichen Vorsorge (2. Säule) zu einer Umverteilung von höheren zu tieferen Erwerbseinkommen kommt. Anhand der Daten des Schweizer Haushaltspanels (SHP) des Schweizer Kompetenzzentrums für Sozialwissenschaften Fors kann dieser Effekt erstmals empirisch nachgewiesen werden. Dazu wird das Verhältnis der Renten zum letzten Lohneinkommen vor der Pensionierung analysiert (Lohnersatzquote). Frauen weisen generell eine schlechtere Lohnersatzquote auf. Sie sind aufgrund ihrer tieferen Löhne allerdings von der Umverteilung weniger häufig betroffen. Zudem zeigt sich, dass die Umverteilungseffekte hauptsächlich nach der globalen Finanzkrise 2007 auftreten.

Das SECO veröffentlicht eine Studie von Heinz Zimmermann und Yvonne Seiler Zimmermann zu den Besitzverhältnissen am schweizerischen Aktienmarkt (Strutkurberichterstattung Nr. 59):

https://www.seco.admin.ch/seco/de/home/Publikationen_Dienstleistungen/Publikationen_und_Formulare/Strukturwandel_Wachstum/Branchenanalysen/Besitzverhaeltnisse_boersenkotierten_CH-Unternehmungen.html

Sie bildet eine Grundlage für die Beantwortung verschiedener parlamentarischer Vorstösse zum Thema Grenzüberschreitende Investitionen und Investitionskontrollen durch den Bundesrat.

Abstract
This paper takes an innovative look at the relationship between commod-ity futures prices and speculation. Contrary to other studies, we analyze the effect of speculation on temporary and permanent futures price shocks estimated from a cointegrated system of pairwise short- and long-dated contracts. Where cointegration is found, the long-term equilibrium is determined by the long-dated contract, while the adjustment toward equilibrium is restored by the short-dated contract (except for cotton). Granger causality tests cannot reject the null hypothesis that speculation as measured by Working’s T index has no effect on squared permanent price shocks for 7 out of 9 commodities. Where the null hypothesis is rejected, the relationship exhibits a negative sign, i.e., speculation has a stabilizing effect.

Abstract
This paper analyzes the structure and pricing of liquidity risk for international listed buyout funds. We use a time-series framework for our tests which allows us to discriminate between the exposure of buyout funds to two types of liquidity: Market and funding liquidity. We find that the innovation in funding liquidity is a priced factor for buyout funds, while changes in market liquidity are not. Investors require a risk premium of approximately 3% to 7% per annum in order to be compensated for bearing that risk. Controlling for funding liquidity risk decreases the alpha of the asset class to zero.

Abstract
An option’s market price reflects the risk-neutral probability that it will end up in the money. Research has been increasing in recent years that shows how, given a set of market prices for options covering a range of strikes, an estimate of the entire risk-neutral probability distribution can be obtained. The technique is based on the fact that the second partial derivative of the option pricing function with respect to the strike price is the risk-neutral density (discounted from option expiration). This idea is generally attributed to Breeden and Litzenberger’s 1978 paper. In this article, Zimmermann shows that the connection between the second partial derivative of the option price with respect to the exercise price and risk-neutral probabilities has a much longer history, including a little-known 1974 note by Fischer Black, and going all the way back to Bachelier in 1900.