Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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20-111: Leveraged Loans: Is High Leverage Risk Priced in?

David Newton, Steven Ongena, Ru Xie and Binru Zhao

20-110: The Cross-Sectional Pricing of Corporate Bonds Using Big Data and Machine Learning

Turan G. Bali, Amit Goyal, Dashan Huang, Fuwei Jiang and Quan Wen

20-109: Do Proprietary Traders Provide Liquidity?

Nittai Bergman, Ohad Kadan, Roni Michaely and Pamela C. Moulton

20-108: Cybersecurity Risk

Chris Florackis, Christodoulos Louca, Roni Michaely and Michael Weber

20-107: The Global Factor Structure of Exchange Rates

Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin

20-106: Does Big Data Improve Financial Forecasting? The Horizon Effect

Olivier Dessaint, Thierry Foucault and Laurent Frésard

20-105: Takeover Protections and Stock Returns

Assaf Eisdorfer, Erwan Morellec and Alexei Zhdanov

20-104: In Lands of Foreign Currency Credit, Bank Lending Channels Run Through?

Steven Ongena, Ibolya Schindele and Dzsamila Vonnák

20-103: Forecasting Financial Crashes: A Dynamic Risk Management Approach

Gerlach J-C, Cfa Dongshuai Zhao and Didier Sornette

20-102: Management as the sine qua non for M&A success

Manthos Delis, Maria Iosifidi, Pantelis Kazakis, Steven Ongena and Mike Tsionas

20-101: The Impact of Policy Interventions on Systemic Risk across Banks

Simona Nistor and Steven Ongena

20-100: Learning (Not) to Trade: Lindy's Law in Retail Traders

Teodor Godina, Serge Kassibrakis, Semyon Malamud, Alberto Teguia and Jiahua Xu

20-99: Fixed Rate versus Adjustable Rate Mortgages: Evidence from Euro Area Banks

Ugo Albertazzi, Fulvia Fringuellotti and Steven Ongena

20-98: Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of Central Bank Reserves

Christoph Basten and Mike Mariathasan

20-97: Climate Change Risk and the Costs of Mortgage Credit

Duc Duy Nguyen, Steven Ongena, Shusen Qi and Vathunyoo Sila

20-96: Asset Pricing with Realistic Crises Dynamics

Goutham Gopalakrishna

20-95: CDS Central Counterparty Clearing Default Measures: Road to Recovery or Invitation to Predation?

Magdalena Tywoniuk

20-94: Affine Pricing and Hedging of Collateralized Debt Obligations

Zehra Eksi and Damir Filipović

20-93: Bank Credit and Market-based Finance for Corporations: The Effects of Minibond Issuances

Steven Ongena, Sara Pinoli, Paola Rossi and Alessandro Scopelliti

20-92: Classification of flash crashes using the Hawkes(p,q) framework

Alexander Wehrli and Didier Sornette

20-90: Are ‘Flow of Ideas’ and ‘Research Productivity’ in secular decline?

Peter Cauwels and Didier Sornette

20-89: Fiscal transfers, local government, and entrepreneurship

Piotr Danisewicz and Steven Ongena

20-88: Credit Volatility Indexes

Antonio Mele and Yoshiki Obayashi

20-87: Inter-industry FDI spillovers from foreign banks: Evidence in transition economies

Shusen Qi, Kent Hui and Steven Ongena

20-86: A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk

Walter Farkas, Fulvia Fringuellotti and Radu Tunaru

20-85: Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices

Gerlach J-C, Jerome L Kreuser and Didier Sornette

20-84: Artificial Intelligence and High-Skilled Work: Evidence from Analysts

Jillian Grennan and Roni Michaely

20-83: It’s The End of Bank Branching As We Know It (And We Feel Fine)

Jan Keil and Steven Ongena

20-82: Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified

David Ardia, Laurent Barras, Patrick Gagliardini and Olivier Scaillet

20-81: Do Mutual Funds and ETFs Affect the Commonality in Liquidity of Corporate Bonds?

Efe Çötelioğlu

20-80: Asset Prices and Liquidity with Market Power and Non-Gaussian Payoffs

Sergei Glebkin, Semyon Malamud and Alberto Teguia

20-79: A Deep Learning Approach to Estimate Forward Default Intensities

Marc-Aurèle Divernois

20-78: Trapped in the “zero-risk” society and how to break free

Didier Sornette and Peter Cauwels

20-77: Get beyond policy uncertainty: Evidence from political connections

Hua Cheng, Kishore Gawande, Steven Ongena and Shusen Qi

20-76: Information Leakages, Distribution of Profits from Informed Trading, and Last Mover Advantage

Andrey Pankratov

20-75: CEO Incentives and Bank Risk over the Business Cycle

Steven Ongena, Tanseli Savaser and Elif Sisli Ciamarra

20-74: How market intervention can prevent bubbles and crashes

Rebecca Westphal and Didier Sornette

20-73: Ambiguity and the Home Currency Bias

Urban Ulrych and Nikola Vasiljevic

20-72: To Be or Not to Be? The Questionable Benefits of Mutual Clearing Agreements for Derivatives

Magdalena Tywoniuk

20-71: True Cost of Immediacy

Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff

20-70: Financial Returns to Household Inventory Management

Scott Baker, Stephanie Johnson and Lorenz Kueng

20-69: Securities lending and information transmission: a model of endogenous short-sale constraints

Andrey Pankratov

20-68: Nepotism in IPOs: consequences for issuers and investors

Francois Degeorge and Giuseppe Pratobevera

20-67: Principal Portfolios

Bryan T. Kelly, Semyon Malamud and Lasse Pedersen

20-66: Price Discovery for Options

Semyon Malamud, Michael Tseng and Yuan Zhang

20-65: How Integrated Are Credit and Equity Markets? Evidence From Index Options

Pierre Collin-Dufresne, Benjamin Junge and Anders B. Trolle

20-64: Cheap Options Are Expensive

Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov

20-63: Choosing Investment Managers

Amit Goyal, Sunil Wahal and M. Deniz Yavuz

20-62: Population Aging and Bank Risk-Taking

Sebastian Doerr, Gazi Kabaş and Steven Ongena

20-61: Out of Balance: Do Analysts Issue Sell Recommendations to Manage their Recommendation Distributions?

Charles Chao Kang, Kenneth J. Merkley, Roni Michaely and Joseph Pacelli