Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

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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

15-52: Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging

Sebastian Herrmann and Johannes Muhle-Karbe

15-51: Liquidity Management in Banking: What is the Role of Leverage?

Quynh-Anh Vo

15-50: Conditioning the Information in Portfolio Optimization

Carlo Sala and Giovanni Barone-Adesi

15-49: Leverage and Risk Taking

Santiago Moreno-Bromberg and Guillaume Roger

15-48: Has the Pricing of Stocks Become More Global?

Ivan Petzev, Andreas Schrimpf and Alexander Wagner

15-47: Average Skewness Matters!

Eric Jondeau and Qunzi Zhang

15-46: The Impact of Treasury Supply on Financial Sector Lending and Stability

Arvind Krishnamurthy and Annette Vissing-Jorgensen

15-45: VaR and CVaR Implied in Option Prices

Giovanni Barone-Adesi

15-44: Optimal Rebalancing Frequencies for Multidimensional Portfolios

Johannes Muhle-Karbe, Ibrahim Ekren and Ren Liu

15-43: Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities

Qun Zhang, Qunzhi Zhang and Didier Sornette

15-42: What Affects Children's Outcomes: House Characteristics or Homeownership?

Steven Bourassa, Donald Haurin and Martin Hoesli

15-41: Liquidity, Innovation, And Endogenous Growth

Semyon Malamud and Francesca Zucchi

15-40: Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment

Philipp Krüger

15-39: Technological Progress and Ownership Structure

Heng Geng, Harald Hau and Sandy Lai

15-38: A Result on Integral Functionals with Infinitely Many Constraints

Tahir Choulli and Martin Schweizer

15-37: A Dynamic Equilibrium Model of ETFs

Semyon Malamud

15-36: The Price of the Smile and Variance Risk Premia

Peter H. Gruber, Claudio Tebaldi and Fabio Trojani

15-35: Information and Inventories in High-Frequency Trading

Johannes Muhle-Karbe and Kevin Webster

15-34: Stochastic Claims Reserving Manual: Advances in Dynamic Modeling

Mario V. Wuthrich and Michael Merz

15-33: Constrained Random Walk Models for Euro/Swiss Franc Exchange Rates: Theory and Empirics

Sandro Claudio Lera and Didier Sornette

15-32: Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash

Didier Sornette, Guilherme Demos, Zhang Qun, Peter Cauwels, Vladimir Filimonov and Qunzhi Zhang

15-31: Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash

Didier Sornette, Guilherme Demos, Qun Zhang, Peter Cauwels, Vladimir Filimonov and Qunzhi Zhang

15-30: The Acceleration Effect and Gamma Factor in Asset Pricing

Diego Ardila-Alvarez, Zalàn Forrò and Didier Sornette

15-29: Size and Momentum Profitability in International Stock Markets

Peter S. Schmidt, Urs von Arx, Andreas Schrimpf, Alexander Wagner and Andreas Ziegler

15-28: Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings

Spencer Wheatley and Didier Sornette

15-27: Sensitivity of Optimal Consumption Streams

Martin Herdegen and Johannes Muhle-Karbe

15-26: Consistent Re-Calibration in Yield Curve Modeling: An Example

Mario V. Wuthrich

15-25: Does Market Irrationality in the Media Affect Stock Returns?

Rajna GIBSON Brandon, Christopher Hemmens and Mathieu Trépanier

15-24: Collateralization, Leverage, and Stressed Expected Loss

Eric Jondeau and Amir Khalilzadeh

15-23: High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation

Jakub Rojcek and Alexandre Ziegler

15-22: Nonparametric Empirical Evidence for Krugman's Target Zone Model

Sandro Claudio Lera and Didier Sornette

15-21: Agency Conflicts Around the World

Erwan Morellec, Boris Nikolov and Norman Schürhoff

15-20: Uniqueness of Equilibrium in a Payment System with Liquidation Costs

Hamed Amini, Damir Filipovic and Andreea Minca

15-19: Hedging with Small Uncertainty Aversion

Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried

15-18: Human Capital and Employment Risks Diversification

Pascal St-Amour

15-17: Portfolio Selection with Active Risk Monitoring

Marc S. Paolella and Pawel Polak

15-16: Evolutionary Behavioural Finance

Igor Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé

15-15: Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales

Tahir Choulli and Martin Schweizer

15-14: A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World

Didier Sornette

15-12: Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund

Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper

15-11: History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect

Angie Andrikogiannopoulou and Filippos Papakonstantinou