Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

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