Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

17-39: The Reluctant Defaulter: A Tale of High Government Debt

Michel Habib, Fabrice Collard and Jean Rochet

17-38: Financial Intermediation, Capital Accumulation and Crisis Recovery

Hans Gersbach, Jean Rochet and Martin Scheffel

17-37: p-Hacking: Evidence from Two Million Trading Strategies

Tarun Chordia, Amit Goyal and Alessio Saretto

17-36: Paths to Convergence: Stock Price Behavior After Donald Trump's Election

Alexander Wagner, Richard Zeckhauser and Alexandre Ziegler

17-35: The Price of Law: The Case of the Eurozone Collective Action Clauses

Elena Carletti, Paolo Colla, G. Mitu Gulati and Steven Ongena

17-34: A Generalized 2D-Dynamical Mean-Field Ising Model with a Rich Set of Bifurcations (Inspired and Applied to Financial Crises)

Damian Smug, Didier Sornette and Peter Ashwin

17-33: Super-Exponential RE Bubble Model with Efficient Crashes

Jerome L Kreuser and Didier Sornette

17-32: The Sovereign Debt Crisis: Rebalancing or Freezes?

Per Östberg and Thomas Richter

17-31: Earning Investor Trust: The Role of Past Earnings Management

Florian Eugster and Alexander Wagner

17-30: Relationship Trading in OTC Markets

Terrence Hendershott, Dan Li, Dmitry Livdan and Norman Schürhoff

17-29: Dynamic Mean-Variance Optimisation Problems with Deterministic Information

Martin Schweizer, Danijel Zivoi and Mario Sikic

17-28: An Evolutionary Finance Model with a Risk-Free Asset

Sergei Belkov, Igor V. Evstigneev and Thorsten Hens

17-27: Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Didier Sornette, Peter Cauwels and Georgi Smilyanov

17-26: Evolutionary Finance Models with Short Selling and Endogenous Asset Supply

Sergei Belkov, Igor V. Evstigneev and Thorsten Hens