Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

17-75: The Blockchain Folk Theorem

Bruno Biais, Christophe Bisière, Matthieu Bouvard and Catherine Casamatta

17-74: Move a Little Closer? Information Sharing and the Spatial Clustering of Bank Branches

Shusen Qi, Ralph De Haas, Steven Ongena, Stefan Straetmans and Tamas Vadasz

17-73: Principle or Opportunism? Discretion, Capital, and Incentives

Josef Falkinger and Michel Habib

17-72: U.S. Metropolitan House Price Dynamics

Elias Oikarinen, Steven Bourassa, Martin Hoesli and Janne Engblom

17-71: Periodic or Generational Actuarial Tables: Which One to Choose?

Severine Arnold (-Gaille), Anca Jijiie, Eric Jondeau and Michael Rockinger

17-70: Discriminatory Pricing of Over-the-Counter Derivatives

Harald Hau, Peter Hoffmann, Sam Langfield and Yannick Timmer

17-69: Asset-Liability Management for Long-Term Insurance Business

Hansjoerg Albrecher, Daniel Bauer, Paul Embrechts, Damir Filipović, Pablo Koch-Medina, Ralf Korn, Stéphane Loisel, Antoon Pelsser, Frank Schiller, Hato Schmeiser and Joël Wagner

17-68: Corporate Bond Dealers' Inventory Risk and FOMC

Alessio Ruzza and Wojciech Zurowski

17-67: Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability

Alexey Ivashchenko

17-66: Does Protectionist Anti-Takeover Legislation Lead to Managerial Entrenchment?

Marc Frattaroli

17-65: Quantile-Based Risk Sharing with Heterogeneous Beliefs

Paul Embrechts, Haiyan Liu, Tiantian Mao and Ruodu Wang

17-64: Market Efficiency and Limits to Arbitrage: Evidence from the Volkswagen Short Squeeze

Franklin Allen, Marlene Haas, Eric Nowak and Angel Tengulov

17-63: Approximating Equilibria with Ex-Post Heterogeneity and Aggregate Risk

Elisabeth Pröhl

17-62: Arbitrage Crashes, Financial Accelerator, and Sudden Market Freezes

Ally Zhang

17-61: Brokers and Order Flow Leakage: Evidence from Fire Sales

Andrea Barbon, Marco Di Maggio, Francesco A. Franzoni and Augustin Landier

17-60: Polynomial Jump-Diffusion Models

Damir Filipović and Martin Larsson

17-59: Dynamic Leverage Targets

Filippo Ippolito, Stefano Sacchetto and Roberto Steri

17-58: Stressed Banks

Diane Pierret and Roberto Steri

17-57: Asset Pricing with Large Investors

Semyon Malamud and Alberto Teguia

17-56: Risky Arbitrage and Collateral Policies

Ally Zhang

17-55: Risk-Reward Ratio Optimisation (Revisited)

Manfred Gilli and Enrico Schumann

17-54: Quantile-Based Risk Sharing

Paul Embrechts, Haiyan Liu and Ruodu Wang

17-53: Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation

Priyank Gandhi, Benjamin Golez, Jens Carsten Jackwerth and Alberto Plazzi

17-52: A Term Structure Model for Dividends and Interest Rates

Damir Filipović and Sander Willems

17-51: Which Measures Predict Risk Taking in a Multi-Stage Controlled Decision Process?

Kremena Bachmann, Thorsten Hens and Remo Stössel

17-50: Fundamental Risk and Capital Structure

Jakub Hajda

17-49: Short Selling and the Subsequent Performance of Initial Public Offerings

Biljana Seistrajkova

17-48: Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets

Matteo Burzoni, Frank Riedel and H. Mete Soner

17-47: Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets

Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi

17-46: Optimal Dividend Policies with Random Profitability

Max Reppen, Jean Rochet and H. Mete Soner

17-45: CDS Central Counterparty Clearing Liquidation: Road to Recovery or Invitation to Predation?

Magdalena Tywoniuk

17-44: Hawkes Graphs

Paul Embrechts and Matthias Kirchner

17-43: How Persistent are the Effects of Experience Sampling on Investor Behavior?

Meike Bradbury, Thorsten Hens and Stefan Zeisberger

17-42: Monetary Policy and Bond Risk Premia in the US and the UK

Wojciech Zurowski

17-41: Option Pricing with Orthogonal Polynomial Expansions

Damien Ackerer and Damir Filipović

17-40: The Rise of NGO Activism

Julien Daubanes and Jean Rochet