Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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20-39: Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Alexander Wehrli, Spencer Wheatley and Didier Sornette

20-38: The Global Impact of COVID-19 on Fintech Adoption

Jonathan Fu and Mrinal Mishra

20-37: How Valuable is Financial Flexibility When Revenue Stops? Evidence from the COVID-19 Crisis

Ruediger Fahlenbrach, Kevin Rageth and René M. Stulz

20-36: Innocent Bystanders? Monetary Policy and Inequality in the U.S

Olivier Coibion, Yuriy Gorodnichenko, Lorenz Kueng and John Silvia

20-35: The Impact of Emerging Market Competition on Innovation and Business Strategy

Lorenz Kueng, Nicholas Li and Mu-Jeung Yang

20-34: Sources of Firm Life-Cycle Dynamics: Size vs. Age Effects

Lorenz Kueng, Mu-Jeung Yang and Bryan Hong

20-33: Excess Sensitivity of High-Income Consumers

Lorenz Kueng

20-32: Do Household Finances Constrain Unconventional Fiscal Policy?

Scott Baker, Lorenz Kueng, Leslie McGranahan and Brian Melzer

20-31: Complementarity of Performance Pay and Task Allocation

Bryan Hong, Lorenz Kueng and Mu-Jeung Yang

20-30: Tax News Shocks and Consumption

Lorenz Kueng

20-29: Income Fluctuations and Firm Choice

Scott Baker, Brian Baugh and Lorenz Kueng

20-28: A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Lucio Fernandez Arjona and Damir Filipović

20-27: Interpreting, analysing and modelling COVID-19 mortality data

Didier Sornette, Euan Mearns, Michael Schatz, Ke Wu and Didier Darcet

20-26: Propagation of Political Information

Daniel Bradley, Sinan Gokkaya, Xi Liu and Roni Michaely

20-25: Stochastic representation decision theory: How probabilities and values are entangled dual characteristics in cognitive processes

Giuseppe Ferro and Didier Sornette

20-24: On the Use of Equities in Target Date Funds

Giovanni Barone-Adesi, Eckhard Platen and Carlo Sala

20-23: Human-Environment-Health and reinforcement of individual resilience

Didier Sornette, Peter Cauwels, Euan Mearns and Ke Wu

20-22: Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets

Chenxu Li, Olivier Scaillet and Yiwen Shen

20-21: Optimal Strategies for ESG Portfolios

Fabio Alessandrini and Eric Jondeau

20-20: A New Indicator of Bank Funding Cost

Eric Jondeau, Benoit Mojon and Jean-Guillaume Sahuc

20-19: Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets

Igor V. Evstigneev, Thorsten Hens, Valeriya Potapova and Klaus Schenk-Hoppé

20-18: Spanning analysis of stock market anomalies under Prospect Stochastic Dominance

Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou

20-17: Policy Announcement Design

Anna Cieslak, Semyon Malamud and Andreas Schrimpf

20-16: On-Site Inspecting Zombie Lending

Diana Bonfim, Geraldo Cerqueiro, Hans Degryse and Steven Ongena

20-15: Identifying Empty Creditors with a Shock and Micro-Data

Hans Degryse, Yalin Gündüz, Kuchulain O'Flynn and Steven Ongena

20-14: On the Fast Track: Information Acquisition Costs and Information Production

Deqiu Chen, Yujing Ma, Xiumin Martin and Roni Michaely

20-13: Responsible Institutional Investing Around the World

Rajna Gibson, Simon Glossner, Philipp Krueger, Pedro Matos and Tom Steffen

20-12: Feverish Stock Price Reactions to COVID-19

Stefano Ramelli and Alexander Wagner

20-11: Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing

Walter Farkas and Ludovic Mathys

20-10: Deep Learning, Jumps, and Volatility Bursts

Oksana Bashchenko and Alexis Marchal

20-09: How Integrated Are Corporate Bond and Stock Markets?

Mirela Sandulescu

20-08: Deep Learning for Asset Bubbles Detection

Oksana Bashchenko and Alexis Marchal

20-07: Flooded through the back door: The role of bank capital in local shock spillovers

Oliver Rehbein and Steven Ongena

20-06: An Investigation of the Synchronization in Global House Prices

Martin Hoesli

20-05: Rational Belief Bubbles

H. Sohn and Didier Sornette

20-04: Systemic Risk in Networks with a Central Node

Hamed Amini, Damir Filipović and Andreea Minca

20-03: The Valuation of Insurance Liabilities: A Framework Based on First Principles

Andrea Bergesio, Paul Huber, Pablo Koch-Medina and Lutz Wilhelmy

20-02: Unintended Consequences of the Global Derivatives Market Reform

Pauline Gandré, Mike Mariathasan, Ouarda Merrouche and Steven Ongena

20-01: A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data

Davide La Vecchia, Alban Moor and Olivier Scaillet

19-80: Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

Hans Buehler, Lukas Gonon, Josef Teichmann, Ben Wood, Baranidharan Mohan and Jonathan Kochems

19-79: Debt, Innovation, and Growth

Thomas Geelen, Jakub Hajda and Erwan Morellec

19-78: Optimal Financing with Tokens

Sebastian Gryglewicz, Simon Mayer and Erwan Morellec

19-77: Testing Market Efficiency With the Pricing Kernel

Giovanni Barone-Adesi and Carlo Sala

19-76: Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps

Walter Farkas, Ludovic Mathys and Nikola Vasiljevic

19-75: Implied Volatility Changes and Corporate Bond Returns

Jie Cao, Amit Goyal, Xiao Xiao and Xintong Zhan

19-74: Option Trading and Stock Price Informativeness

Jie Cao, Amit Goyal, Sai Ke and Xintong Zhan

19-73: Dissecting the Yield Curve: The International Evidence

Andrea Berardi and Alberto Plazzi

19-72: Does Quantitative Easing Boost Bank Lending to the Real Economy or Cause Other Bank Asset Reallocation? The Case of the UK

Simone Giansante, Mahmoud Fatouh and Steven Ongena

19-71: Steady State and Efficiency Convergence Dynamics in Alternative Banking Systems: The Cases of Islamic and Community Banks

Marwan Izzeldin, Jill Johnes, Steven Ongena, Vasileios Pappas and Mike Tsionas

19-70: Gender, Credit, and Firm Outcomes

Manthos Delis, Iftekhar Hasan, Maria Iosifidi and Steven Ongena