Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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18-47: Optimal Fund Menus

Jaksa Cvitanic and Julien Hugonnier

18-46: A Corporate Financing-Based Asset Pricing Model

Roberto Steri

18-45: Greed and Fear: The Nature of Sentiment

Giovanni Barone-Adesi, Matteo Pisati and Carlo Sala

18-44: Valuing Supply-Chain Responsiveness Under Demand Jumps

Isik Bicer, Verena Hagspiel and Suzanne de Treville

18-43: Liquidity Regimes and Optimal Dynamic Asset Allocation

Pierre Collin-Dufresne, Kent D. Daniel and Mehmet Sağlam

18-42: Activism, Strategic Trading, and Liquidity

Kerry Back, Pierre Collin-Dufresne, Vyacheslav Fos, Tao Li and Alexander Ljungqvist

18-41: Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch

Vincent Bogousslavsky, Pierre Collin-Dufresne and Mehmet Sağlam

18-40: Market Structure and Transaction Costs of Index CDSs

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

18-39: Conditional Davis Pricing

Kasper Larsen, Halil Mete Soner and Gordan Zitkovic

18-38: Capital Scarcity and Industrial Decline: Evidence from 172 Real Estate Booms in China

Harald Hau and Difei Ouyang

18-37: The Term Structure of Variance Swaps and Risk Premia

Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini

18-36: Levered Returns and Capital Structure Imbalances

Filippo Ippolito, Roberto Steri and Claudio Tebaldi

18-35: Lender of Last Resort versus Buyer of Last Resort – Evidence from the European Sovereign Debt Crisis

Viral Acharya, Diane Pierret and Sascha Steffen

18-34: Polynomial Processes for Power Prices

Damir Filipović, Martin Larsson and Tony Ware

18-33: On Randomized Reinsurance Contracts

Hansjoerg Albrecher and Arian Cani

18-32: Dividends: From Refracting to Ratcheting

Hansjoerg Albrecher, Nicole Bäuerle and Martin Bladt

18-31: Crash Risk in Individual Stocks

Paola Pederzoli

18-30: Dissection of Bitcoin's Multiscale Bubble History

Gerlach J-C, Guilherme Demos and Didier Sornette

18-29: S&P 500 Index, an Option-Implied Risk Analysis

Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala

18-28: The Importance of Network Recommendations in the Director Labor Market

Ruediger Fahlenbrach, Hyemin Kim and Angie Low

18-27: Valuing Life as an Asset, as a Statistic and at Gunpoint

Julien Hugonnier, Florian Pelgrin and Pascal St-Amour

18-26: Patience is a Virtue - In Value Investing

Thorsten Hens and Klaus Schenk-Hoppé

18-25: Decentralized Exchange

Semyon Malamud and Marzena J. Rostek

18-24: Bitcoin Bubble Trouble

Jerome L Kreuser and Didier Sornette

18-23: Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR

Dániel Ágoston Bálint and Martin Schweizer

18-22: Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model

Spencer Wheatley, Didier Sornette, Tobias Huber, Max Reppen and Robert N. Gantner

18-21: Transitory versus Permanent Shocks: Explaining Corporate Savings and Investment

Sebastian Gryglewicz, Loriano Mancini, Erwan Morellec, Enrique J. Schroth and Philip Valta

18-20: Lagrange Regularisation Approach to Compare Nested Data Sets and Determine Objectively Financial Bubbles' Inceptions

Guilherme Demos and Didier Sornette

18-19: Electronic Trading in OTC Markets vs. Centralized Exchange

Ying Liu, Sebastian Vogel and Yuan Zhang

18-18: Model-Free International Stochastic Discount Factors

Mirela Sandulescu, Fabio Trojani and Andrea Vedolin

18-17: Why Do Large Investors Disclose Their Information?

Ying Liu

18-16: Agency Conflicts and Short- vs Long-Termism in Corporate Policies

Sebastian Gryglewicz, Simon Mayer and Erwan Morellec

18-15: The Conjunction Fallacy in Quantum Decision Theory

Tatyana Kovalenko and Didier Sornette

18-14: An Intermediation-Based Model of Exchange Rates

Semyon Malamud and Andreas Schrimpf

18-13: Inflation Risk Premia, Yield Volatility and Macro Factors

Andrea Berardi and Alberto Plazzi

18-12: A General Equilibrium Appraisal of Capital Shortfall

Eric Jondeau and Jean-Guillaume Sahuc

18-11: Measuring the Capital Shortfall of Large U.S. Banks

Eric Jondeau and Amir Khalilzadeh

18-10: Being Stranded on the Carbon Bubble? Climate Policy Risk and the Pricing of Bank Loans

Manthos Delis, Kathrin de Greiff and Steven Ongena

18-09: Asian Option Pricing with Orthogonal Polynomials

Sander Willems

18-08: Spanning Tests for Markowitz Stochastic Dominance

Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou

18-07: When Are Stocks Less Volatile in the Long Run?

Eric Jondeau, Qunzi Zhang and Xiaoneng Zhu

18-06: Ignorance Is Bliss? Anonymous Lending with Roll over Risk

Tobias Dieler and Loriano Mancini

18-05: Is Liquidity Risk Priced in Partially Segmented Markets?

Ines Chaieb, Vihang R. Errunza and Hugues Langlois

18-04: Time-Varying Risk Premia in Large International Equity Markets

Ines Chaieb, Hugues Langlois and Olivier Scaillet

18-03: Global Portfolio Rebalancing and Exchange Rates

Nelson Camanho, Harald Hau and Helene Rey

18-02: Does it Pay to Be an Optimist?

Paul Schneider

18-01: When They Work with Women, Do Men Get All the Credit?

Shusen Qi, Steven Ongena and Hua Cheng

17-78: Analytical Option Pricing Under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model

Matthias Thul and Ally Zhang

17-77: Earnings Management and Managerial Compensation

Kremena Bachmann and Thorsten Hens

17-76: The Dynamics of Heterogeneity and Asset Prices

Walter Farkas and Ciprian Necula