Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

16-05: A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Qunzhi Zhang, Didier Sornette, Mehmet Balcilar, Rangan Gupta, Zeynel Ozdemir and I. Hakan Yetkiner

16-04: A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Maximilian Adelmann, Lucio FERNANDEZ Arjona, Janos Mayer and Karl Schmedders

16-03: Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles

Maximilian Seyrich and Didier Sornette

16-02: Economically Consistent Valuations and Put-Call Parity

Martin Herdegen and Martin Schweizer

16-01: Measuring House Price Bubbles

Steven Bourassa, Martin Hoesli and Elias Oikarinen

15-68: Financial Conglomerate Affiliation and Hedge Funds’ Countercyclical Risk Taking

Francesco A. Franzoni and Mariassunta Giannetti

15-67: The Granular Nature of Large Institutional Investors

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

15-66: Does the Pricing Kernel Anomaly Reflect Forward Looking Beliefs?

Carlo Sala

15-65: How Do Investors and Firms React to an Unexpected Currency Appreciation Shock?

Matthias Efing, Ruediger Fahlenbrach, Christoph Herpfer and Philipp Krüger

15-64: Leverage and Risk Taking

Santiago Moreno-BROMBERG and Guillaume Roger

15-63: Countercyclical Foreign Currency Borrowing: Eurozone Firms in 2007-2009

Philippe Bacchetta and Ouarda Merrouche

15-62: Secular Bipolar Growth Rate of the Real US GDP Per Capita: Implications for Understanding Past and Future Economic Growth

Sandro Claudio Lera and Didier Sornette

15-61: An Anatomy of the Equity Premium

Paul Schneider

15-60: Divergence and the Price of Uncertainty

Paul Schneider and Fabio Trojani

15-59: Herding and Stochastic Volatility

Walter Farkas, Ciprian Necula and Boris Waelchli

15-58: Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel Onto a Smaller Filtration Set

Carlo Sala and Giovanni Barone-Adesi

15-57: Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?

Guilherme Demos, Qunzhi Zhang and Didier Sornette

15-56: Statistical Testing of DeMark Technical Indicators on Commodity Futures

Marco Lissandrin, Donnacha Daly and Didier Sornette

15-55: Informed Trading and Option Prices: Evidence from Activist Trading

Pierre Collin-Dufresne, Vyacheslav Fos and Dmitriy Muravyev

15-54: A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing

Ciprian Necula, Elise Gourier, Robert Huitema and Walter Farkas

15-53: A General Closed Form Option Pricing Formula

Ciprian Necula, Gabriel G. Drimus and Walter Farkas