Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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17-04: Re-Use of Collateral: Leverage, Volatility, and Welfare

Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders

17-03: Earnings Management and the Role of Moral Values in Investing

Rajna Gibson, Matthias Sohn, Carmen Tanner and Alexander Wagner

17-02: Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints

Ally Quan Zhang

17-01: The Consumption Response to Minimum Wages: Evidence from Chinese Households

Ernest Dautović, Harald Hau and Yi Huang

16-80: Comparing Ask and Transaction Prices in the Swiss Housing Market

Ahmed Ahmed, Diego Ardila, Dorsa Sanadgol and Didier Sornette

16-79: Markov Cubature Rules for Polynomial Processes

Damir Filipović, Martin Larsson and Sergio Pulido

16-78: News About Zero-Leverage Firms

Thomas Geelen

16-77: On the Shape of Non-Monetary Measures for Risks

Christophe Courbage, Henri Loubergé and Beatrice Rey

16-76: Statistical Approximation of High-Dimensional Climate Models

Alena Miftakhova, Kenneth Judd, Thomas S. Lontzek and Karl Schmedders

16-75: Intermediation Markups and Monetary Policy Passthrough

Semyon Malamud and Andreas Schrimpf

16-74: A Primer on Portfolio Choice with Small Transaction Costs

Johannes Muhle-Karbe, Max Reppen and Halil Mete Soner

16-73: Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps

Antonio Cosma, Stefano Galluccio, Paola Pederzoli and Olivier Scaillet

16-72: Hedging with Temporary Price Impact

Peter Bank, Halil Mete Soner and Moritz Voss

16-71: Convex Duality with Transaction Costs

Yan Dolinsky and Halil Mete Soner

16-70: Bank Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment

Reint Gropp, Thomas C. Mosk, Steven Ongena and Carlo Wix

16-69: Wealth and Income Inequalities ← → r > g

Yannick Malevergne and Didier Sornette

16-68: Data Analytics for Non-Life Insurance Pricing

Mario V. Wuthrich and Christoph Buser

16-67: Machine Learning in Individual Claims Reserving

Mario V. Wuthrich

16-66: Collateral, Central Bank Repos, and Systemic Arbitrage

Falko Fecht, Kjell Nyborg, Jörg Rocholl and Jiri Woschitz

16-65: Intrinsic Risk Measures

Walter Farkas and Alexander Smirnow

16-64: Exchange Traded Funds (ETFs)

Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi

16-63: The Relevance of Broker Networks for Information Diffusion in the Stock Market

Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla

16-62: S&P 500 Index, an Option Implied Risk Analysis

Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala

16-61: A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon

Li Lin and Didier Sornette

16-60: Sticky Expectations and the Profitability Anomaly

Jean-Philippe Bouchaud, Philipp Krueger, Augustin Landier and David Thesmar

16-59: Dependent Defaults and Losses with Factor Copula Models

Damien Ackerer and Thibault Vatter

16-58: A Heterogeneous-Agent Foundation of the Representative-Agent Approach

Sabine Elmiger

16-57: Joint Lifetime Financial, Work and Health Decisions: Thrifty and Healthy Enough for the Long Run?

Yannis Mesquida and Pascal St-Amour

16-56: A Model of Price Impact and Market Maker Latency

Jakub Rojcek

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