Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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16-55: Old-Age Provision: Past, Present, Future

Hansjoerg Albrecher, Paul Embrechts, Damir Filipović, Glenn Harrison, Pablo Koch-Medina, Stéphane Loisel, Paolo Vanini and Joël Wagner

16-54: Does Corporate Governance Matter? Evidence from the AGR Governance Rating

Alberto Plazzi and Walter N. Torous

16-53: WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application

Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala

16-52: How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?

Ines Chaieb, Vihang R. Errunza and Rajna Gibson

16-51: A Diagnostic Criterion for Approximate Factor Structure

Patrick Gagliardini, Elisa Ossola and Olivier Scaillet

16-50: Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market

Umit Yilmaz

16-49: Market Integration and Global Crashes

Semyon Malamud and Aytek Malkhozov

16-48: Managing Inventory with Proportional Transaction Costs

Florent Gallien, Serge Kassibrakis, Semyon Malamud and Filippo Passerini

16-47: Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy

Harald Hau, Yi Huang and Gewei Wang

16-46: Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models

Patrick Gagliardini, Eric Ghysels and Mirco Rubin

16-45: High Frequency House Price Indexes with Scarce Data

Steven Bourassa and Martin Hoesli

16-44: On the American Swaption in the Linear-Rational Framework

Damir Filipovic and Yerkin Kitapbayev

16-43: A False Sense of Security: Why U.S. Banks Diversify and Does it Help?

Priyank Gandhi, Patrick Christian Kiefer and Alberto Plazzi

16-42: Aggregate Bank Capital and Credit Dynamics

Nataliya Klimenko, Sebastian Pfeil, Jean Rochet and Gianni De Nicolo

16-41: Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani

16-40: Real Estate Research in Europe

Martin Hoesli

16-39: Quantification of the Evolution of Firm Size Distributions Due to Mergers and Acquisitions

Sandro Claudio Lera and Didier Sornette

16-38: Exact Smooth Term Structure Estimation

Damir Filipović and Sander Willems

16-37: Risk Factors of European Non-Listed Real Estate Fund Returns

Jean-Christophe Delfim and Martin Hoesli

16-36: The Choice of Valuation Techniques in Practice: Education versus Profession

Lilia Mukhlynina and Kjell Nyborg

16-35: The Jacobi Stochastic Volatility Model

Damien Ackerer, Damir Filipović and Sergio Pulido

16-34: Linear Credit Risk Models

Damien Ackerer and Damir Filipović

16-33: The Impact of Merger Legislation on Bank Mergers

Elena Carletti, Steven Ongena, Jan-Peter Siedlarek and Giancarlo Spagnolo

16-32: New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration'

Vanessa Kummer, Maik Meusel, Philipp Renner and Karl Schmedders

16-31: Calibration of Quantum Decision Theory, Aversion to Large Losses and Predictability of Probabilistic Choices

Sabine Vincent, Tatyana Kovalenko, Vyacheslav I. Yukalov and Didier Sornette

16-30: Risk and Resilience Management in Social-Economic Systems

Tatyana Kovalenko and Didier Sornette

16-29: Dating the Financial Cycle: A Wavelet Proposition

Diego Ardila and Didier Sornette

16-28: Which Swiss Gnomes Attract Money? Efficiency and Reputation as Performance Drivers of Wealth Management Banks

Urs Birchler, René Hegglin, Michael R. Reichenecker and Alexander Wagner

16-27: High Frequency House Price Indexes with Scarce Data

Steven Bourassa and Martin Hoesli

16-26: Dynamic Principal-Agent Models

Philipp Renner and Karl Schmedders

16-25: Replicating Portfolio Approach to Capital Calculation

Mathieu Cambou and Damir Filipović

16-24: Why Does Fast Loan Growth Predict Poor Performance for Banks?

Ruediger Fahlenbrach, Robert Prilmeier and René Stulz

16-23: On the Relation between Linearity-Generating Processes and Linear-Rational Models

Damir Filipović, Martin Larsson and Anders B. Trolle

16-22: Equity is Cheap for Large Financial Institutions: The International Evidence

Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi

16-21: Price Impact of Aggressive Liquidity Provision

Ramazan Gencay, Soheil Mahmoodzadeh, Jakub Rojcek and Michael C Tseng

16-20: Real Estate Company Reactions to Financial Market Regulation

Martin Hoesli, Stanimira Milcheva and Alex Moss

16-19: Rollover Traps

Marco Della Seta, Erwan Morellec and Francesca Zucchi

16-18: Corporate Policies with Permanent and Transitory Shocks

Jean-Paul Decamps, Sebastian Gryglewicz, Erwan Morellec and Stephane Villeneuve

16-17: Empty Creditors and Strong Shareholders: The Real Effects of Credit Risk Trading

Stefano Colonnello, Matthias Efing and Francesca Zucchi

16-16: The Quality-Assuring Role of Mutual Fund Advisory Fees

Michel A. Habib and D. Bruce Johnsen

16-15: Discrete-Time Option Pricing with Stochastic Liquidity

Markus Leippold and Steven Schaerer

16-14: A Bayesian Estimate of the Pricing Kernel

Giovanni Barone-Adesi, Chiara Legnazzi and Antonietta Mira

16-13: Forecasting Financial Returns with a Structural Macroeconomic Model

Eric Jondeau and Michael Rockinger

16-12: Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles

Vladimir Filimonov, Guilherme Demos and Didier Sornette

16-11: Is Industrial Production Still the Dominant Factor for the US Economy?

Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin

16-10: Birds of a Feather – Do Hedge Fund Managers Flock Together?

Marc Gerritzen, Jens Carsten Jackwerth and Alberto Plazzi

16-09: Quantum Decision Theory in Simple Risky Choices

Maroussia Favre, Amrei Wittwer, Hans Rudolf Heinimann, Vyacheslav I. Yukalov and Didier Sornette

16-08: Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles

Didier Sornette, Sandra Andraszewicz, Ryan O. Murphy, Philipp B. Rindler and Dorsa Sanadgol

16-07: Employment Protection and Investment Opportunities

Claudio F. Loderer, Urs Waelchli and Jonas Zeller

16-06: On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints

Olivier Scaillet