Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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25-105: Passive Investors and Loan Spreads

Konrad Adler, Sebastian Doerr and Xingyu Sonya Zhu

25-104: Market-Based Green Firms

Konrad Adler, Oliver Rehbein, Matthias Reiner and Jing Zeng

25-103: Organizational Ethics in Action: The Use of Contemplation Questions as Decision Aids in Large Companies

Baiba Renerte, Malte Baader, Carmen Tanner, Alexander F. Wagner and Nicole Witt

25-102: We embed the budget constraints of the private, public, and external sectors within the aggregate budget constraint of the economy to examine whether valuation ratios in one sector forecast real returns and cash-flow growth in others. Exploiting the cross-sector restrictions implied by the aggregate constraint, we show that fluctuations in the government surplus-to-debt ratio robustly predict equity returns. The magnitude of this cross-sector predictability is on par with the ownsector predictability associated with the dividend-price ratio. We then develop a model in which distortionary taxes generate these patterns and use the cross-sector forecasts to calibrate the implied size of the tax distortions

Junxiong Gao, Alberto Plazzi, Rossen I. Valkanov and Yan Xu

25-101: Who Pays for Higher Energy Prices? Distributional Effects in the Housing Market

Francisco Amaral and Steffen Zetzmann

25-100: Passive Ownership and Corporate Bond Lending

Amit Goyal, Yoshio Nozawa and Yancheng Qiu

25-99: Dividend-Price Ratios and Payout Constraints

Ivo Welch and Amit Goyal

25-98: Biodiversity Impacts of Renewable Energy

Haozhou Gong, Chen Lin, Zacharias Sautner and Thomas Schmid

25-97: Benign Granularity in Asset Markets

Sergei Glebkin, Semyon Malamud and Alberto Mokak Teguia

25-96: Understanding The Virtue of Complexity

Bryan T. Kelly and Semyon Malamud

25-95: What 200 Years of Data Tell Us About the Predictive Variance of Long-Term Bonds

Pasquale Della Corte, Can Gao, Daniel P. A. Preve and Giorgio Valente

25-94: ChatGPT in Systematic Investing - Enhancing Risk-Adjusted Returns with LLMs

Nikolas Anic, Andrea Barbon, Ralf Seiz and Carlo Zarattini

25-93: Entry and Acquisitions in Software Markets

Luise Eisfeld

25-92: Pricing, Returns, and Sources of Value Creation in Buyouts

Roland Füss, Stefan Morkoetter, Dominic Rainsborough and Tereza Tykvova

25-91: The Volatility Edge, A Dual Approach For VIX ETNs Trading

Carlo Zarattini, Andrew Aziz and Antonio Mele

25-90: Demand-based Expected Returns

Alessandro Crescini, Fabio Trojani and Andrea Vedolin

25-89: What drives sustainable institutional engagement and voting behavior?

Martin Nerlinger, Martin Rohleder, Marco Wilkens and Jonas Zink

25-88: How does Competition Affect Firms' Carbon Performance? Firm-Level Evidence from Tariff Cuts

Manuel C. Kathan, Raphaela Roeder, Sebastian Utz and Martin Nerlinger

25-87: Learning the Stochastic Discount Factor via Nonparametric Option Portfolios

Emanuele Luzzi, Paul Schneider and Rohan Sen

25-86: Corporate Nature Risk Perceptions

Snorre Gjerde, Zacharias Sautner, Alexander F. Wagner and Alexis Wegerich

25-85: Do Investors care about the Rainforest? Evidence from Voluntary Carbon Offsets around the World

Franklin Allen, Patrick Behr, Riccardo Cosenza and Eric Nowak

25-84: The Size and Composition of Global Commercial Real Estate Markets

Martin Hoesli and Richard Malle

25-83: Energy Saving Innovation, Vintage Capital, and the Green Transition

Christian Keuschnigg and Giedrius Kazimieras Stalenis

25-82: Using Machine Learning to Compute Constrained Optimal Carbon Tax Rules

Felix Kubler, Simon Scheidegger and Oliver Surbek

25-81: Shareholder Activism, Takeovers, and Managerial Discipline

Francesco Celentano and Oliver Levine

25-80: Catching Crypto Trends; A Tactical Approach for Bitcoin and Altcoins

Carlo Zarattini, Alberto Pagani and Andrea Barbon

25-79: Auditor Stock Ownership, Investment Returns, and Audit Quality

Henrik Nilsson, Jenni Kallunki, Florian Eugster and Ann Vanstraelen

25-78: Mental Framing Effects in Dynamic Portfolio Choice

Enrico G. De Giorgi, Thierry Post and Askhat Omar

25-77: A Bound on Price Impact and Disagreement

Philippe van der Beck, Lorenzo Bretscher and Julie Zhiyu Fu

25-76: Institutional Investor Engagement: From Climate to Nature Risks

Zacharias Sautner

25-75: Climate Transition Risks and Bank Liquidity Creation: Adapting to Regulatory Shocks

Francisco González, Md Rajib Kamal, Steven Ongena and Shams Pathan

25-74: The Dual Strategy of Exclusion and Engagement: Impact on Asset Prices and Green Transition

Madhushree Ayalasomayajula and Eric Jondeau

25-73: Is AI Trained on Public Money? Evidence from US Data Centers

Adam Feher, Emilia Garcia-Appendini and Roxana Mihet

25-72: Beyond Words: Fed Chairs' Voice Sentiments and US Bank Stock Price Crash Risk

Dimitrios Anastasiou, Apostolos G. Katsafados, Steven Ongena and Christos Tzomakas

25-71: Tariffs, Corporate Cash Holdings, and Innovation

Konrad Adler, JaeBin Ahn and Mai Dao

25-70: Financial Covenants, Firm Financing, and Investment

Konrad Adler

25-69: Cybersecurity and Bank Distance-to-Default

Yuna Heo

25-68: Natural Disasters and the Real Effect of Skilled Labor Mobility

Yuna Heo and S. Ghon Rhee

25-67: Corporate Opportunity Waiver Laws Did Not Produce Disloyal Managers

Heng Geng, Harald Hau and Pengfei Liu

25-66: Green Silence: Double Machine Learning Carbon Emissions Under Sample Selection Bias

Cathy Yi‐Hsuan Chen, Abraham Lioui and Olivier Scaillet

25-65: Dollar Funding Fragility and non-US Global Banks

Philippe Bacchetta, J. Scott Davis and Eric van Wincoop

25-64: Geopolitical Risk and Domestic Bank Deposits

Theodore Kapopoulos, Dimitris Anastasiou, Steven Ongena and Athanasios Sakkas

25-63: Stickiness in Bank Credit Ratings

Dimitris Anastasiou, Antonis Ballis, Christos Ioannidis, Steven Ongena and Emmanouil Sifodaskalakis

25-62: The Pricing of Profit Shifting

Fotis Delis, Manthos D. Delis, Sotirios Kokas, Luc Laeven and Steven Ongena

25-61: When No News is Good News: Multidimensional Heterogeneous Beliefs in Financial Markets

Can Gao and Brandon Yueyang Han

25-60: Locally adaptive modeling of unconditional heteroskedasticity

Matthias Fengler, Bruno Jäger and Ostap Okhrin

25-59: Addressing Anticipation Effects in Finance

Tomislav Ladika, Elisa Pazaj and Zacharias Sautner

25-58: Insurers' Carbon Underwriting Policies

Olimpia Carradori, Felix von Meyerinck and Zacharias Sautner

25-57: The Leverage of Hedge Funds and the Risk of Their Prime Brokers

Ariston Karagiorgis, Dimitris Anastasiou, Konstantinos Drakos and Steven Ongena

25-56: AI Employment and Political Risk Disclosures in Earnings Calls

Erdinc Akyildirim, Gamze Ozturk Danisman and Steven Ongena