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MScF 120 ECTS - Research Option

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What you need to know

Master thesis (Research thesis)

  • During the fourth semester, you have the option to write a Master thesis (30 ECTS) independently or during a training period at a financial institution or at the finance department of a corporation.
  • The Master thesis allows you to earn 30 ECTS and to bring the total amount of ECTS to the number of 120.
  • The research option prepares you for a research career in academia (PhD) or practice (e.g., at a government agency or a research division of a corporation).

 

Dates and deadlines

See the "Step by step" information and requirements sheet in the right-hand column.

Supervisors

  • Bolliger Guido

    Potential topics for the master thesis may include but are not limited to:

    • Measuring liquidity risk of corporate bonds
    • Pricing of Swiss corporate bonds with structural credit models (Merton)
    • Volatility forecasts with high-frequency data
    • Developing and testing trading strategies with volatility futures
    • Comparing the efficiency of various tail-hedging strategies (e.g. put protection, volatility futures, volatility targeting, stop-losses, etc.)
    • Systemic risk measurement: a qualitative and quantitative comparison of the existing measurement methodologies
    • Measuring liquidity risk: Extending the Pastor and Stambaugh (2002) approach to international equity markets
  • Fiechter Peter

    Potential topics for the master thesis may include but are not limited to:

    • Economic consequences of changes in or adoption of accounting standards, accounting regulation, or accounting rules (e.g., market reactions, cost of capital, or liquidity)
    • Determinants of accounting choices
    • Effects of heterogeneous accounting standards or accounting choices on information asymmetry or information precision
    • Earnings management, discretionary accounting, and disclosure quality (e.g., earnings smoothing, small positive gains, value relevance, large negative net income, timely loss recognition, or target accounting)
    • (Economic) consequences of fair value accounting
    • Effects of banking regulation and “Too-big-to-fail” issues
    • Economic consequences of (U.S.) cross-listings

    Guidance for writing the Master thesis in Financial Accounting

  • Kroencke Tim
    • Empirical macro-finance (asset pricing tests of consumption-based models effect of macroeconomic and monetary policy news measurement of macro-finance factors)
    • Stock return anomalies (cross-sectional asset pricing tests stock return anomalies, value, profitability, size, momentum; implications for asset management)
    • Return predictability (cash flow vs discount rate news; practical implementation of market-timing strategies)
    • Alternative assets (FX, real estate, human capital, …)
    • Strategic and tactical asset allocation; fund flow analysis; skill vs luck in asset management
    • Textual analysis and asset pricing tests
  • Salva Carolina
    • Corporate and international finance
    • Valuation
    • Financial markets
  • Sonney Frédéric

    Topics for the Master thesis will be related to Asset Management and/or Capital Markets. Below are a few themes or ideas that I would be happy to discuss further:

    • The Global Minimum Variance portfolio and Risk Budgeting techniques
    • The determinants of "intra-market" correlations
    • The value of financial analysts' forecasts for portfolio managers
    • Financial analyst forecasts: skill, luck, or...?
    • Stock market: do "crowded names" behave differently from the rest of the market?
    • Hedge fund indices: are they representative of the industry?
    • Hedge fund replication: could an "indexed" product do a good job?
    • Hedge funds before and after the financial crisis. What has changed?
  • Starica Catalin

    Statistical and econometric aspects of:

    • The use of financial statements for firm valuation (multiple valuation, earnings forecasts)
    • Enterprise valuation - accounting based modeling (cash accounting, accrual accounting, discounted cash flow valuation, residual earings model, abnormal earnings growth model)