Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

19-19: Consumer Protection and the Design of the Default Option of a Pan-European Pension Product

Andrea Berardi, Claudio Tebaldi and Fabio Trojani

19-18: Saddlepoint Approximations for Spatial Panel Data Models

Chaonan Jiang, Davide La Vecchia, Elvezio Ronchetti and Olivier Scaillet

19-17: A Theory of Scenario Generation

Paul Schneider

19-16: ESG Investing: From Sin Stocks to Smart Beta

Fabio Alessandrini and Eric Jondeau

19-15: The Keys of Predictability: A Comprehensive Study

Giovanni Barone-Adesi, Antonietta Mira and Matteo Pisati

19-14: The Impact of Venture Capital Screening

Rustam Abuzov

19-13: When Investors Call for Climate Responsibility, How Do Mutual Funds Respond?

Marco Ceccarelli, Stefano Ramelli and Alexander Wagner

19-12: Owners' Portfolio Diversification and Firm Investment: Theory and Evidence from Private and Public Firms

Evgeny Lyandres, Maria‐Teresa Marchica, Roni Michaely and Roberto Mura

19-11: What Do Insiders Know? Evidence from Insider Trading Around Share Repurchases and SEOs

Peter Cziraki, Evgeny Lyandres and Roni Michaely

19-10: FinTechs and the Market for Financial Analysis

Jillian Grennan and Roni Michaely

19-09: Sticking around Too Long? Dynamics of the Benefits of Dual-Class Voting

Hyunseob Kim and Roni Michaely

19-08: Do Index Funds Monitor?

Davidson Heath, Daniele Macciocchi, Roni Michaely and Matthew Ringgenberg

19-07: Cultural Diversity on Wall Street: Evidence from Sell-Side Analysts’ Forecasts

Kenneth J. Merkley, Roni Michaely and Joseph Pacelli

19-06: Lured by the Consensus

Roni Michaely, Amir Rubin, Dan Segal and Alexander Vedrashko

19-05: Repo Rates and the Collateral Spread: Evidence

Kjell Nyborg and Cornelia Rösler

19-04: Repo Rates and the Collateral Spread Puzzle

Kjell Nyborg

19-03: The Intangibles Song in Takeover Announcements: Good Tempo, Hollow Tune

Zoran Filipovic and Alexander Wagner

19-01: On the Solution of High-Dimensional Macro Models with Distributional Channels

Luca MAzzone

18-79: What Are the Shareholder Value Implications of Non-Voted Shareholder Proposals?

Maxime Couvert

18-78: Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests

Amit Goyal, Zhongzhi Lawrence He and Sahn-Wook Huh

18-77: Participants' Reputation in the Syndicated Lending Market

Daria Kalyaeva

18-76: Estimation and Updating Methods for Hedonic Valuation

Michael Mayer, Steven Bourassa, Martin Hoesli and Donato Flavio Scognamiglio

18-75: Why Are Firms With More Managerial Ownership Worth Less?

Kornelia Fabisik, Ruediger Fahlenbrach, René Stulz and Jérôme Taillard

18-74: The Sources of Financing Constraints

Boris Nikolov, Lukas Schmid and Roberto Steri

18-73: Noisy Stock Prices and Corporate Investment

Olivier Dessaint, Thierry Foucault, Laurent Frésard and Adrien Matray

18-72: Bank Bonus Pay as a Risk Sharing Contract

Matthias Efing, Harald Hau, Patrick Kampkötter and Jean Rochet

18-71: Empirical Asset Pricing via Machine Learning

Shihao Gu, Bryan T. Kelly and Dacheng Xiu

18-70: Large Financial Markets, Discounting, and No Asymptotic Arbitrage

Dániel Ágoston Bálint and Martin Schweizer

18-69: Municipal Bond Markets

Dario Cestau, Burton Hollifield, Dan Li and Norman Schürhoff