Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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26-15: Transfer Learning of Discount Curves between Bonds and Swaps: An Empirical Study

Nicolas Camenzind and Damir Filipović

26-14: Tax Incentives, Portfolio Choice, and Macroprudential Risks

Janosch Brenzel-Weiss, Winfried Koeniger and Arnau Valladares-Esteban

26-13: Bank Macroprudential Policies and Borrower ESG Performance

Jie Cui, Mamiz Haq, Steven Ongena and Eric K. M. Tan

26-12: Spatial Distribution of Housing Liquidity

Francisco Amaral, Toth Mark and Jonas Zdrzalek

26-11: The Response of Debtors to Rate Changes

Andreas Fuster, Virginia Gianinazzi, Andreas Hackethal, Philip Schnorpfeil and Michael Weber

26-10: Scaling Sustainable Investing in Emerging and Developing Economies: Frictions and Opportunities

Caroline Flammer, Thomas Giroux and Geoffrey M. Heal

26-09: Ambiguity Vs. Risk in Investment Decisions: An Illustration from Green Finance

Caroline Flammer, Thomas Giroux, Geoffrey M. Heal and Marcella Lucchetta

26-08: Monetary Policy and SME Expectations

Dimitrios Anastasiou, Zacharias Bragoudakis, Christos Kallandranis, Ariston Karagiorgis and Steven Ongena

26-07: Beyond Carbon Pricing: Integrating Mitigation, Adaptation, and Carbon Removal

Markus Leippold and Felix Matthys

26-06: Underwater: Strategic Trading and Risk Management in Bank Securities Portfolios

Andreas Fuster, Teodora Paligorova and James I. Vickery

26-05: The Value of Pricing Power When Investors Benchmark to Headline Inflation

Amra Hrustanovic and Alexander F. Wagner

26-04: The Environmental Footprint and Risk Exposure of a National Financial System

Eric Jondeau and Lou-Salomé Vallée

26-03: The Economics of Not Knowing: A Symmetric Ignorance Theory of IPO Pricing

Michel Antoine Habib and Alexander Ljungqvist

26-02: Natural Hazards and Financial Activity: Evidence from Solar Storms Impact on BTC Mining

Panayotis Michaelides, Arsenios-Georgios Prelorentzos, Olivier Scaillet, Nikolas Topaloglou and Kien Tran

26-01: Beliefs About the Climate Impact of Green Investing

Florian Heeb, Julian F Kölbel and Camilla Weder

25-110: Deep Learning for Art Market Valuation

Jianping Mei, Michael Moses, Jan Wàlty and Yucheng Yang

25-109: Structural Reinforcement Learning for Heterogeneous Agent Macroeconomics

Yucheng Yang, Chiyuan Wang, Andreas Schaab and Benjamin Moll

25-108: Fixed-Income Pricing and the Replication of Liabilities

Damir Filipović

25-107: The Impact of Credit Default Swaps on Systemic Risk: Macroprudential Solvency and Liquidity Stress Testing

Walter Farkas and Fabian Sandmeier

25-106: Limits To (Machine) Learning

Zhimin Chen, Bryan T. Kelly and Semyon Malamud

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: Fiscal Imbalances and Asset Returns: Cross-Sector Fluctuations under the Aggregate Budget Constraint

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