Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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19-69: Liquidity, Volume, and Order Imbalance Volatility

Vincent Bogousslavsky and Pierre Collin-Dufresne

19-68: Insider Trading with Penalties

Sylvain Carre, Pierre Collin-Dufresne and Franck Gabriel

19-67: ESG Rating Disagreement and Stock Returns

Rajna Gibson, Philipp Krueger, Nadine Riand and Peter Steffen Schmidt

19-66: Institutional Investors’ Views and Preferences on Climate Risk Disclosure

Emirhan Ilhan, Philipp Krueger, Zacharias Sautner and Laura T. Starks

19-65: Extracting Statistical Factors When Betas are Time-Varying

Patrick Gagliardini and Hao Ma

19-64: Volatility Dependent Structured Products

Artem Dyachenko, Walter Farkas and Marc Oliver Rieger

19-63: Bank Restructuring without Government Intervention

Marcella Lucchetta, Bruno Maria Parigi and Jean Rochet

19-62: Financial Intermediation, Capital Accumulation and Crisis Recovery

Hans Gersbach, Jean Rochet and Martin Scheffel

19-61: Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply

Laurent Barras, Olivier Scaillet and Russell Wermers

19-60: Why Do U.S. CEOs Pledge Their Own Company's Stock?

Kornelia Fabisik

19-59: The Impact of Pensions and Insurance on Global Yield Curves

Robin M. Greenwood and Annette Vissing-Jorgensen

19-58: Distance Effects in CMBS Loan Pricing: Banks versus Non-Banks

Piet Eichholtz, Nagihan Mimiroglu, Steven Ongena and Erkan Yönder

19-57: Sentimental Recovery

Altan Pazarbasi, Paul Schneider and Grigory Vilkov

19-56: An Improved Method to Predict Assignment of Stocks into Russell Indexes

Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi

19-55: Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan

Andrea Barbon and Virginia Gianinazzi

19-54: Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing

Damir Filipović, Kathrin Glau, Yuji Nakatsukasa and Francesco Statti

19-53: Properly Discounted Asset Prices Are Semimartingales

Dániel Ágoston Bálint and Martin Schweizer

19-52: Mind the (Convergence) Gap: Bond Predictability Strikes Back!

Andrea Berardi, Michael Markovich, Alberto Plazzi and Andrea Tamoni

19-51: A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs

Marc S. Paolella, Pawel Polak and Patrick S. Walker

19-50: Low Risk Anomalies?

Paul Schneider, Christian Wagner and Josef Zechner

19-49: Risk Premia and Lévy Jumps: Theory and Evidence

Hasan Fallahgoul, Julien Hugonnier and Loriano Mancini

19-48: Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Denisa Banulescu, Christophe Hurlin, Jérémy Leymarie and Olivier Scaillet

19-47: Information Revelation Through Regulatory Process: Interactions Between the SEC and Companies Ahead of the IPO

Michelle Lowry, Roni Michaely and Ekaterina Volkova

19-46: Estimation of Large Dimensional Conditional Factor Models in Finance

Patrick Gagliardini, Elisa Ossola and Olivier Scaillet

19-45: Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation

Olivier De Jonghe, Hans Dewachter, Klaas Mulier, Steven Ongena and Glenn Schepens

19-44: Unintended Consequences of Unemployment Insurance Benefits: The Role of Banks

Yavuz Arslan, Ahmet Degerli and Gazi Kabaş

19-43: The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone

Roman Goncharenko, Steven Ongena and Asad Rauf

19-42: Fear, Anger and Credit. On Bank Robberies and Loan Conditions

Paola Morales-Acevedo and Steven Ongena

19-41: Are U.S. Industries Becoming More Concentrated?

Gustavo Grullon, Yelena Larkin and Roni Michaely

19-40: Consumption Taxes and Corporate Investment

Martin Jacob, Roni Michaely and Maximilian A. Müller

19-39: The Geography of Mortgage Lending in Times of FinTech

Christoph Basten and Steven Ongena

19-38: The Effect of Unconventional Monetary Policy on Cross‐Border Bank Loans: Evidence from an Emerging Market

Koray Alper, Fatih Altunok, Tanju Çapacıoğlu and Steven Ongena

19-37: ICO Investors

Ruediger Fahlenbrach and Marc Frattaroli

19-36: Innovation Activities and Integration through Vertical Acquisitions

Laurent Frésard, Gerard Hoberg and Gordon Phillips

19-35: Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment

Philippe Bacchetta and Eric van Wincoop

19-34: Machine Learning With Kernels for Portfolio Valuation and Risk Management

Lotfi Boudabsa and Damir Filipović

19-33: Real Estate Performance, the Macroeconomy and Leverage

Jean-Christophe Delfim and Martin Hoesli

19-32: Robust Desmoothed Real Estate Returns

Jean-Christophe Delfim and Martin Hoesli

19-31: On the Nature of Jump Risk Premia

Piotr Orłowski, Paul Schneider and Fabio Trojani

19-30: The Effect of Stock Liquidity on Cash Holdings: The Repurchase Motive

Kjell Nyborg and Zexi Wang

19-29: Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model

Rebecca Westphal and Didier Sornette

19-28: Bank Capital Requirements, Loan Guarantees and Firm Performance

Sergio Mayordomo, Antonio Moreno, Steven Ongena and Maria Rodriguez-Moreno

19-27: A Flexible Regime Switching Model for Asset Returns

Marc S. Paolella, Pawel Polak and Patrick S. Walker

19-26: Insurance: Models, Digitalization, and Data Science

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

Didier Sornette, Spencer Wheatley and Peter Cauwels

19-24: Crude Awakening: Oil Prices and Bond Returns

Eric Jondeau, Qunzi Zhang and Xiaoneng Zhu

19-23: Strategic Trading As a Response to Short Sellers

Marco Di Maggio, Francesco A. Franzoni, Massimo Massa and Roberto Tubaldi

19-22: Technological Disruptiveness and the Evolution of IPOs and Sell-Outs

Donald E. Bowen, Laurent Frésard and Gerard Hoberg

19-21: Short-Term Debt and Incentives for Risk-Taking

Marco Della Seta, Erwan Morellec and Francesca Zucchi

19-20: Arbitrage Free Dispersion

Piotr Orłowski, Andras Sali and Fabio Trojani