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Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
Contact information at EDIRC.

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19-53: Properly Discounted Asset Prices Are Semimartingales Downloads
Dániel Ágoston Bálint and Martin Schweizer
19-52: Mind the (Convergence) Gap: Bond Predictability Strikes Back! Downloads
Andrea Berardi, Michael Markovich, Alberto Plazzi and Andrea Tamoni
19-51: A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs Downloads
Marc S. Paolella, Pawel Polak and Patrick S. Walker
19-50: Low Risk Anomalies? Downloads
Paul Schneider, Christian Wagner and Josef Zechner
19-49: Risk Premia and Lévy Jumps: Theory and Evidence Downloads
Hasan Fallahgoul, Julien Hugonnier and Loriano Mancini
19-48: Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures Downloads
Denisa Banulescu, Christophe Hurlin, Jeremy Leymarie and Olivier Scaillet
19-47: Information Revelation Through Regulatory Process: Interactions Between the SEC and Companies Ahead of the IPO Downloads
Michelle Lowry, Roni Michaely and Ekaterina Volkova
19-46: Estimation of Large Dimensional Conditional Factor Models in Finance Downloads
Patrick Gagliardini, Elisa Ossola and Olivier Scaillet
19-45: Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation Downloads
Olivier De Jonghe, Hans Dewachter, Klaas Mulier, Steven Ongena and Glenn Schepens
19-44: Unintended Consequences of Unemployment Insurance Benefits: The Role of Banks Downloads
Yavuz Arslan, Ahmet Degerli and Gazi Kabas
19-43: The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone Downloads
Roman Goncharenko, Steven Ongena and Asad Rauf
19-42: Fear, Anger and Credit. On Bank Robberies and Loan Conditions Downloads
Paola Morales-Acevedo and Steven Ongena
19-41: Are U.S. Industries Becoming More Concentrated? Downloads
Gustavo Grullon, Yelena Larkin and Roni Michaely
19-40: Consumption Taxes and Corporate Investment Downloads
Martin Jacob, Roni Michaely and Maximilian A. Müller
19-39: The Geography of Mortgage Lending in Times of FinTech Downloads
Christoph Basten and Steven Ongena
19-38: The Effect of Unconventional Monetary Policy on Cross‐Border Bank Loans: Evidence from an Emerging Market Downloads
Koray Alper, Fatih Altunok, Tanju Çapacıoğlu and Steven Ongena
19-37: ICO Investors Downloads
Rüdiger Fahlenbrach and Marc Frattaroli
19-36: Innovation Activities and Integration through Vertical Acquisitions Downloads
Laurent Frésard, Gerard Hoberg and Gordon M. Phillips
19-35: Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment Downloads
Philippe Bacchetta and Eric van Wincoop
19-34: Machine Learning With Kernels for Portfolio Valuation and Risk Management Downloads
Lotfi Boudabsa and Damir Filipović
19-33: Real Estate Performance, the Macroeconomy and Leverage Downloads
Jean-Christophe Delfim and Martin Hoesli
19-32: Robust Desmoothed Real Estate Returns Downloads
Jean-Christophe Delfim and Martin Hoesli
19-31: On the Nature of Jump Risk Premia Downloads
Piotr Orłowski, Paul Schneider and Fabio Trojani
19-30: Corporate Cash Holdings: Stock Liquidity and the Repurchase Motive Downloads
Kjell G. Nyborg and Zexi Wang
19-29: Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model Downloads
Rebecca Westphal and Didier Sornette
19-28: Bank Capital Requirements, Loan Guarantees and Firm Performance Downloads
Sergio Mayordomo, Antonio Moreno, Steven Ongena and Maria Rodriguez-Moreno
19-27: A Flexible Regime Switching Model for Asset Returns Downloads
Marc S. Paolella, Pawel Polak and Patrick S. Walker
19-26: Insurance: Models, Digitalization, and Data Science Downloads
Hansjoerg Albrecher, Antoine Bommier, Damir Filipović, Pablo Koch-Medina, Stéphane Loisel and Hato Schmeiser
19-25: The Fair Reward Problem: The Illusion of Success and How to Solve It Downloads
Didier Sornette, Spencer Wheatley and Peter Cauwels
19-24: Crude Awakening: Oil Prices and Bond Returns Downloads
Eric Jondeau, Qunzi Zhang and Xiaoneng Zhu
19-23: Strategic Trading As a Response to Short Sellers Downloads
Marco Di Maggio, Francesco A. Franzoni, Massimo Massa and Roberto Tubaldi
19-22: Technological Disruptiveness and the Evolution of IPOs and Sell-Outs Downloads
Donald E. Bowen, Laurent Frésard and Gerard Hoberg
19-21: Short-Term Debt and Incentives for Risk-Taking Downloads
Marco Della Seta, Erwan Morellec and Francesca Zucchi
19-20: Arbitrage Free Dispersion Downloads
Piotr Orłowski, Andras Sali and Fabio Trojani
19-19: Consumer Protection and the Design of the Default Option of a Pan-European Pension Product Downloads
Andrea Berardi, Claudio Tebaldi and Fabio Trojani
19-18: Saddlepoint Approximations for Spatial Panel Data Models Downloads
Chaonan Jiang, Davide La Vecchia, Elvezio Ronchetti and Olivier Scaillet
19-17: A Theory of Scenario Generation Downloads
Paul Schneider
19-16: ESG Investing: From Sin Stocks to Smart Beta Downloads
Fabio Alessandrini and Eric Jondeau
19-15: The Keys of Predictability: A Comprehensive Study Downloads
Giovanni Barone-Adesi, Antonietta Mira and Matteo Pisati
19-14: The Impact of Venture Capital Screening Downloads
Rustam Abuzov
19-13: When Investors Call for Climate Responsibility, How Do Mutual Funds Respond? Downloads
Marco Ceccarelli, Stefano Ramelli and Alexander F. Wagner
19-12: Owners' Portfolio Diversification and Firm Investment: Theory and Evidence from Private and Public Firms Downloads
Evgeny Lyandres, Maria‐Teresa Marchica, Roni Michaely and Roberto Mura
19-11: What Do Insiders Know? Evidence from Insider Trading Around Share Repurchases and SEOs Downloads
Peter Cziraki, Evgeny Lyandres and Roni Michaely
19-10: FinTechs and the Market for Financial Analysis Downloads
Jillian Grennan and Roni Michaely
19-09: Sticking around Too Long? Dynamics of the Benefits of Dual-Class Voting Downloads
Hyunseob Kim and Roni Michaely
19-08: Do Index Funds Monitor? Downloads
Davidson Heath, Daniele Macciocchi, Roni Michaely and Matthew Ringgenberg
19-07: Cultural Diversity on Wall Street: Evidence from Sell-Side Analysts’ Forecasts Downloads
Kenneth J. Merkley, Roni Michaely and Joseph Pacelli
19-06: Lured by the Consensus Downloads
Roni Michaely, Amir Rubin, Dan Segal and Alexander Vedrashko
19-05: Repo Rates and the Collateral Spread: Evidence Downloads
Kjell G. Nyborg and Cornelia Rösler
19-04: Repo Rates and the Collateral Spread Puzzle Downloads
Kjell G. Nyborg
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