Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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14-67: Heterogeneity in Decentralized Asset Markets

Julien Hugonnier, Benjamin Lester and Pierre-Olivier Weill

14-66: Fed Funds Futures Variance Futures

Damir Filipovic and Anders B. Trolle

14-65: Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment

Matthias Effing

14-64: Shadow Insurance

Ralph S. J. Koijen and Motohiro Yogo

14-63: To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting

Hamed Amini, Damir Filipovic and Andreea Minca

14-62: Martingale Optimal Transport in the Skorokhod Space

Yan Dolinsky and Mete Soner

14-61: Facelifting in Utility Maximization

Kasper Larsen, Mete Soner and Gordan Zitkovic

14-60: Hedging Under an Expected Loss Constraint with Small Transaction Costs

Bruno Bouchard, Ludovic Moreau and Mete Soner

14-59: Asymmetric Beta Comovement and Systematic Downside Risk

Eric Jondeau and Qunzi Zhang

14-58: Optimal Long-Term Allocation with Pension Fund Liabilities

Eric Jondeau and Michael Rockinger

14-57: Symmetric Thermal Optimal Path and Time-Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies

Hao Meng, Wei-Xing Zhou and Didier Sornette

14-56: Merger Activity in Industry Equilibrium

Theodosios Dimopoulos and Stefano Sacchetto

14-55: Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks

Matthias Efing, Harald Hau, Patrick Kampkötter and Johannes Steinbrecher

14-54: Polynomial Preserving Diffusions and Applications in Finance

Damir Filipovic and Martin Larsson

14-53: Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm

Spencer Wheatley, Vladimir Filimonov and Didier Sornette

14-52: Super-Exponential Growth Expectations and the Global Financial Crisis

Matthias Leiss, Heinrich H. Nax and Didier Sornette

14-51: Luck and Entrepreneurial Success

Diego Liechti, Claudio Loderer and Urs Peyer

14-50: Dealer Networks

Dan Li and Norman Schuerhoff

14-49: Are Institutions Informed About News?

Terrence Hendershott, Dmitry Livdan and Norman Schuerhoff

14-48: Power Law Scaling and 'Dragon-Kings' in Distributions of Intraday Financial Drawdowns

Vladimir Filimonov and Didier Sornette

14-47: Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Ines Chaieb, Vihang Errunza and Rajna GIBSON Brandon

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