Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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14-46: Forecasting Future Oil Production in Norway and the UK: A General Improved Methodology

Lucas Fievet, Zalàn Forro, Peter Cauwels and Didier Sornette

14-45: Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures

Juan V. Escobar and Didier Sornette

14-44: Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland

Diego Ardila, Dorsa Sanadgol, Peter Cauwels and Didier Sornette

14-43: Estimating Aggregate Autoregressive Processes When Only Macro Data are Available

Eric Jondeau and Florian Pelgrin

14-42: A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry

Angie Andrikogiannopoulou and Filippos Papakonstantinou

14-41: Asset Prices with Temporary Shocks to Consumption

Walt Pohl, Karl Schmedders and Ole Wilms

14-40: A Fast, Accurate Method for Value at Risk and Expected Shortfall

Jochen Krause and Marc S. Paolella

14-39: Threat of Entry and Debt Maturity: Evidence from Airlines

Gianpaolo Parise

14-38: Model Uncertainty and Scenario Aggregation

Mathieu Cambou and Damir Filipovic

14-37: Concavity of the Consumption Function with Recursive Preferences

Semyon Malamud

14-36: Price Discovery through Options

Semyon Malamud

14-35: Corporate Saving in Global Rebalancing

Philippe Bacchetta and Kenza Benhima

14-34: Optimal Exchange Rate Policy in a Growing Semi-Open Economy

Philippe Bacchetta, Kenza Benhima and Yannick Kalantzis

14-33: The Perennial Challenge to Counter Too-Big-To-Fail in Banking: Empirical Evidence from the New International Regulation Dealing with Global Systemically Important Banks

Sebastian C. Moenninghoff, Steven Ongena and Axel Wieandt

14-32: Multifamily Residential Asset and Space Markets and Linkages with the Economy

Martin Hoesli and Alain Chaney

14-31: Life Cycle Responses to Health Insurance Status

Florian Pelgrin and Pascal St-Amour

14-30: Commonality in Liquidity and Real Estate Securities

Martin Hoesli, Anjeza Kadilli and Kustrim Reka

14-29: Generalized Risk Premia

Paul Schneider

14-28: Financial Bubbles: Mechanisms and Diagnostics

Didier Sornette and Peter Cauwels

14-27: Household Inequality, Entrepreneurial Dynamism and Corporate Financing

Fabio Braggion, Mintra Dwarkasing and Steven Ongena

14-26: Bank Loan Announcements and Borrower Stock Returns Before and During the Recent Financial Crisis

Chunshuo Li and Steven Ongena

14-25: Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models

Didier Sornette

14-24: Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Implicit Credit Risk of Structured Products

Marc Arnold, Dustin Schuette and Alexander Wagner

14-23: Cumulative Prospect Theory and Mean Variance Analysis: A Rigorous Comparison

Thorsten Hens and János Mayer

14-22: Theory Matters for Financial Advice!

Thorsten Hens and János Mayer

14-21: Why Don’t All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust Preferred Securities

Nicole M. Boyson, Ruediger Fahlenbrach and René Stulz

14-20: Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices

Patrick Gagliardini, Christian Gourieroux and Mirco Rubin

14-19: Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices OR from SSRN: Individual Reaction to Past Performance Sequences: Evidence from a Real Marketplace

Angie Andrikogiannopoulou and Filippos Papakonstantinou

14-18: A Class of Strict Local Martingales

Martin Herdegen and Sebastian Herrmann

14-17: Trading with Small Price Impact

Ludovic Moreau, Johannes Muhle-Karbe and Halil Mete Soner

14-16: Rebalancing with Linear and Quadratic Costs

Ren Liu, Johannes Muhle-Karbe and Marko Weber

14-15: Linear-Rational Term Structure Models

Damir Filipovic, Martin Larsson and Anders Trolle

14-14: Information Processing and Non-Bayesian Learning in Financial Markets

Stefanie Schraeder

14-13: The Impact of Foreign Bank Presence on Foreign Direct Investment in China

Steven Ongena, Shusen Qi and Fengming Qin

14-12: Do Underpriced Firms Innovate Less?

Gianpaolo Parise

14-11: Financing Asset Sales and Business Cycles

Marc Arnold, Dirk Hackbarth and Tatjana XENIA Puhan

14-10: Exchange Risk and Market Integration

Ines Chaieb and Vihang Errunza

14-09: Portfolio Delegation and Market Efficiency

Semyon Malamud and Evgeny Petrov

14-08: Portfolio Selection with Options and Transaction Costs

Semyon Malamud

14-07: Toward a Unified Framework of Credit Creation

Susanne von der Becke and Didier Sornette

14-06: Financial Brownian Particle in the Layered Order Book Fluid and Fluctuation-Dissipation Relations

Yoshihiro Yura, Hideki Takayasu, Didier Sornette and Misako Takayasu

14-05: Long/Short Equity Hedge Funds and Systematic Ambiguity

Rajna Gibson Brandon and Nikolay Ryabkov

14-04: Financing Investment: The Choice between Bonds and Bank Loans

Erwan Morellec, Philip Valta and Alexei Zhdanov

14-03: Capital Adequacy Tests and Limited Liability of Financial Institutions

Pablo Koch-Medina, Santiago Moreno-Bromberg and Cosimo Munari

14-02: Liquidity and Investment Horizon

Volodymyr Vovchak

14-01: Corporate Cash and Employment

Philippe Bacchetta, Kenza Benhima and Céline Poilly

13-74: An Option to Cheat: An Application of Option Theory to Realize Flipping in Underpricing

Jovan Stojkovic

13-73: Asset Pricing When 'This Time is Different'

Pierre Collin-Dufresne, Michael Johannes and Lars A. Lochstoer

13-72: Competition, Cash Holdings, and Financing Decisions

Erwan Morellec, Boris Nikolov and Francesca Zucchi

13-71: Optimal Liquidity Provision

Christoph Kühn and Johannes Muhle-Karbe