Swiss Finance Institute Research Paper Series

from Swiss Finance Institute

This working paper series is a continuation of FAME Research Paper Series.
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9602: A Specification Test For Nonparametric Instrumental Variable Regression

Patrick Gagliardini and Olivier Scaillet

09-41: Endogenous completeness of diffusion driven equilibrium markets

Julien HUGONNIER, Semyon MALAMUD and Eugene TRUBOWITZ

09-40: Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal

Y. Malevergne, V. Pisarenko and D. Sornette

09-39: Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles

Zhi-Qiang JIANG, Wei-Xing ZHOU, Didier SORNETTE, Ryan WOODARD, Ken BASTIAENSEN and Peter CAUWELS

09-38: Robust Resampling Methods for Time Series

Lorenzo CAMPONOVO, Olivier Scaillet and Fabio Trojani

09-37: Growing wealth with fixed-mix strategies

Igor V. EVSTIGNEEV and Klaus Reiner Schenk-Hoppé

09-36: Dragon-Kings, Black Swans and the Prediction of Crises

Didier SORNETTE

09-35: Most Efficient Homogeneous Volatility Estimators

Alexander I. SAICHEV, Didier SORNETTE and Vladimir FILIMONOV

09-34: Equilibrium Driven by Discounted Dividend Volatility

Jaksa CVITANIC and Semyon MALAMUD

09-33: The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation

Darrell DUFFIE, Semyon MALAMUD and Gustavo MANSO

09-32: Survival and Evolutionary Stability of the Kelly Rule

Igor V. EVSTIGNEEV, Thorsten HENS and Klaus Reiner Schenk-Hoppé

09-30: Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity

Eric JONDEAU and Florian PELGRIN

09-29: Firm Migration and Stock Returns

Giovanni W. PUOPOLO

09-28: Short Selling Regulation after the Financial Crisis – First Principles Revisited

Seraina GRUENEWALD, Alexander F. WAGNER and Rolf H. WEBER

09-27: Bank CEO Incentives and the Credit Crisis

Rüdiger FAHLENBRACH and René M. STULZ

09-26: Linkages Between Direct and Securitized Real Estate

Elias OIKARINEN, Martin HOESLI and Camilo SERRANO

09-23: Fourth Order Pseudo Maximum Likelihood Methods

Alberto HOLLY, Alain Monfort and Michael ROCKINGER

09-22: The time-varying prediction of successful mergers

Giovanni BARONE-ADESI and Giuseppe CORVASCE

09-21: Financial Crisis: Estimating the Risk of Assets in Balance

Giovanni BARONE-ADESI and Giuseppe CORVASCE

09-20: Cognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets

Elena Asparouhova, Peter Bossaerts, Jon X Eguia and William Zame

09-19: A Satiscing Alternative to Prospect Theory

David B. BROWN, Enrico G. DE GIORGI and Melvyn SIM

09-18: Health and (other) Asset Holdings

Julien Hugonnier, Florian Pelgrin and Pascal St-Amour

09-17: An Intergenerational Cross-Country Swap

Miret PADOVANI and Paolo Vanini

09-16: The Swiss Housing Market

Steven C. BOURASSA, Martin HOESLI and Donato SCOGNAMIGLIO

09-15: Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Didier SORNETTE and Ryan WOODARD

09-14: A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals

Li LIN, Ruo En REN and Didier SORNETTE

09-13: Variance Covariance Orders and Median Preserving

Semyon MALAMUD and Fabio Trojani

09-12: Efficiency in Large Dynamic Panel Models with Common Factor

Patrick GAGLIARDINI and Christian GOURIEROUX

09-11: The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading

Ramazan GENCA, Rajna GIBSON and Yi XUE

09-10: Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation

Erwan MORELLEC, Boris NIKOLOV and Norman SCHURHOFF

09-09: Dynamic Investment and Financing under Asymmetric Information

Erwan MORELLEC and Norman SCHURHOFF

09-08: Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables

Camilo SERRANO and Martin HOESLI

09-07: On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market

Giovanni BARONE-ADESI, Helyette GEMAN and John THEAL

09-06: An Empirical Analysis of Alternative Portfolio Selection Criteria

Manfred GILLI and Enrico Schumann

09-05: Non-parametric counterfactual analysis in dynamic general equilibrium

Felix KUBLER and Karl Schmedders

09-04: Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry

Shengsui Hu, Yannick MALEVERGNE and Didier SORNETTE

09-03: Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds

Jaksa Cvitanic and Semyon MALAMUD

09-02: Information Percolation with Equilibrium Search Dynamics

Darrell DUFFIE, Semyon MALAMUD and Gustavo MANSO

09-01: Vanishing Liquidity, Market Runs,and the Welfare Impact of TARP

Christian EWERHART

08-49: Incomplete-Market Equilibria Solved Recursively on an Event Tree

Bernard DUMAS and Andrew LYASOFF

08-48: Sacred values in financial economic decision-making: Experimental evidence

Rajna GIBSON, Carmen TANNER and Alexander F. Wagner

08-47: What do frictions mean for Q-theory testing?

Maria Cecilia BUSTAMANTE

08-46: The Dynamics of Going Public

Maria Cecilia BUSTAMANTE

08-45: Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data

Philippe HUBER, Olivier Scaillet and Maria-Pia VICTORIA-FESER

08-44: Frailty Correlated Default

Darrell DUFFIE, Andreas ECKNER, Guillaume HOREL and Leandro SAITA

08-43: The Price of Protection: Derivatives, Default Risk, and Margining

Rajna GIBSON and Carsten MURAWSKI

08-42: Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

Amine LAHIANI and Olivier Scaillet

08-41: Strategies of Survival in Dynamic Asset Market Games

Rabah AMIR, Igor V. EVSTIGNEEV and Le XU

08-40: Asymmetric Information and Adverse Selection in Mauritian Slave Auctions

Georges Dionne, Pascal ST-AMOUR and Desire VENCATACHELLUM

08-39: Global Securitized Real Estate Benchmarks and Performance

Camilo SERRANO and Martin HOESLI