Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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24-70: Hard to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning

Francesco Audrino and Jonathan Chassot

24-69: Does sentiment help in asset pricing? A novel approach using large language models and market-based labels

Jule Schuettler, Francesco Audrino and Fabio Sigrist

24-68: Quantifying Uncertainty: A New Era of Measurement through Large Language Models

Francesco Audrino, Jessica Gentner and Simon Stalder

24-67: A New Test for an Old Puzzle

Lorenzo Bretscher, Peter Feldhütter, Andrew Kane and Lukas Schmid

24-66: Distorted Beliefs and Asset Prices

Lorenzo Bretscher, Aytek Malkhozov, Andrea Tamoni and Haoxi Yang

24-65: Monetary Policy Transmission with Adjustable and Fixed-Rate Mortgages: The Role of Credit Supply

Fatih Altunok, Yavuz Arslan and Steven Ongena

24-64: Banking on Deposit Relationships: Implications for Hold-Up Problems in the Loan Market

Jin Cao, Emilia Garcia-Appendini and Cédric Huylebroek

24-63: Structural Volatility Impulse Response Analysis

Matthias Fengler and Jeannine Polivka

24-62: Real Estate in Liability-Driven Investment: The Case of U.S. Pension Funds

Louis Johner and Martin Hoesli

24-61: The Performance of FDIC-Identified Community Banks

Athina Petropoulou, Vasileios Pappas, Steven Ongena, Dimitrios Gounopoulos and Richard J. Fairchild

24-60: Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels

Damir Filipović and Paul Schneider

24-59: Battle of Transformers: Adversarial Attacks on Financial Sentiment Models

Aysun Can Turetken and Markus Leippold

24-58: The Effect of Unconventional Fiscal Policy on Consumption -New Evidence based on Transactional Data

Winfried Koeniger and Peter Kress

24-57: The Impact of Sustainable Finance Literacy on Investment Decisions

Massimo Filippini, Markus Leippold and Tobias Wekhof

24-56: Rewiring Supply Chains Through Uncoordinated Climate Policy

Emanuela Benincasa, Olimpia Carradori, Miguel A. Ferreira and Emilia Garcia-Appendini

24-55: Proxy-identification of a structural MGARCH model for asset returns

Matthias Fengler and Jeannine Polivka

24-54: Discretionary Administrative Power and Conflicts of Interest in China's IPO Approvals

Heng Geng, Harald Hau and Hanzhang Zheng

24-53: Pricing of risk in credit and equity index options-A role for option order flow?

Pierre Collin-Dufresne and Anders B. Trolle

24-52: Hunting for Dollars

Peteris Kloks, Edouard Mattille and Angelo Ranaldo

24-50: Adaptive joint distribution learning

Damir Filipović, Michael D. Multerer and Paul Schneider

24-49: The Volatility of Listed Real Estate in Europe and Portfolio Implications

Martin Hoesli, Louis Johner and Zhaklin Krayushkina

24-48: Multiple Outlier Detection in Samples with Exponential & Pareto Tails

Didier Sornette and Ran Wei

24-47: Smoothing Out Momentum and Reversal

Soros Chitsiripanich, Marc S. Paolella, Pawel Polak and Patrick S. Walker

24-46: Climate Change and Bank Deposits

Özlem Dursun- de Neef and Steven Ongena

24-45: Beyond Peers: Cross-Industry Competition and Strategic Financing

Boris Nikolov, Norman Schuerhoff and Zepeng Wang

24-44: Performance and Challenges of Net-Zero Strategies in the Context of the EU Regulation

Fabio Alessandrini, Eric Jondeau and Lou-Salomé Vallée

24-43: Too-big-to-strand? Bond versus bank financing in the transition to a low-carbon economy

Winta Beyene, Manthos D. Delis, Kathrin de Greiff and Steven Ongena

24-42: Fundamental properties of linear factor models

Damir Filipović and Paul Schneider

24-41: Pay transparency, bank and non-bank employment, and loan performance

Piotr Danisewicz and Steven Ongena

24-40: Do Banks Price Environmental Risk? Only When Local Beliefs are Binding!

Irem Erten and Steven Ongena

24-39: Understanding Reputational Risks: The Impact of ESG Events on European Banks

Erdinc Akyildirim, Shaen Corbet, Steven Ongena and David Staunton

24-38: Who monitors climate risk of financial institutions? Evidence from catastrophe risks in insurance

Christoph Basten and Anastasia V. Kartasheva

24-37: The Collateral Spread Puzzle: Why Do Repo Rates Often Exceed Unsecured Rates?

Kjell Nyborg

24-36: Monetary Policy Transmission Through Cross-Selling Banks

Christoph Basten and Ragnar Juelsrud

24-35: The Value of NGOs in ESG

Janja Brendel, Cai Chen, Thomas Keusch and Zacharias Sautner

24-34: U.S. and European Listed Real Estate as an Inflation Hedge

Jan Muckenhaupt, Martin Hoesli and Bing Zhu

24-33: Deep LPPLS: Forecasting of temporal critical points in natural, engineering and financial systems

Joshua Nielsen, Didier Sornette and Maziar Raissi

24-32: Modelling risk sharing and impact on systemic risk

Walter Farkas and Patrick Lucescu

24-31: Overconfident Bank CEOs: Risk Amplification Amid Economic Uncertainty

Kwabena Aboah Addo, Shams Pathan and Steven Ongena

24-30: How good are LLMs in risk profiling?

Thorsten Hens and Trine Nordlie

24-29: Blockchain Currency Markets

Angelo Ranaldo, Ganesh Viswanath-Natraj and Junxuan Wang

24-28: Monetary Conditions and Community Redistribution through Mortgage Markets

Manish Gupta and Steven Ongena

24-27: Incomplete financial markets, the social cost of carbon and constrained efficient carbon pricing

Felix Kubler

24-26: Institutional Investors and the Fight Against Climate Change

Thea Kolasa and Zacharias Sautner

24-25: Technology Entrepreneurs' Environmental Commitments and Crowdfunding Outcomes

Vesa Pursiainen, Meichen Qian and Dragon Yongjun Tang

24-24: Examining the Relationship between Bank Reputational Disaster and Sponsored Money Market Fund Flows

Erdinc Akyildirim, Shaen Corbet, Steven Ongena and David Staunton

24-23: Good and Bad Credit Growth: Sectoral Credit Allocation and Systemic Risk

Alin Marius Andries, Steven Ongena and Nicu Sprincean

24-22: Climate Transition Beliefs

Marco Ceccarelli and Stefano Ramelli

24-21: Paying Too Much? Borrower Sophistication and Overpayment in the US Mortgage Market

Neil Bhutta, Andreas Fuster and Aurel Hizmo

24-20: Household Belief Formation in Uncertain Times

Luca Gemmi and Roxana Mihet