Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

13-70: Shareholder Activism, Informed Trading, and Stock Prices

Pierre Collin-Dufresne and Vyacheslav Fos

13-69: Do Prices Reveal the Presence of Informed Trading?

Pierre Collin-Dufresne and Vyacheslav Fos

13-68: Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams

Olivier Bachem, Gabriel G. Drimus and Walter Farkas

13-67: Beyond Cash-Additive Risk Measures: When Changing the Numeraire Fails

Walter Farkas, Pablo Koch-Medina and Cosimo Munari

13-66: Capital Requirements with Defaultable Securities

Walter Farkas, Pablo Koch-Medina and Cosimo Munari

13-65: Liquidity Risk in Credit Default Swap Markets

Benjamin Junge and Anders B. Trolle

13-64: Debt Enforcement, Investment, and Risk Taking Across Countries

Giovanni Favara, Erwan Morellec, Enrique J. Schroth and Philip Valta

13-63: Opacity in Financial Markets

Yuki Sato

13-62: A Generic Model of Dyadic Social Relationships

Maroussia Favre and Didier Sornette

13-61: Momentum Crashes

Kent D. Daniel and Tobias J. Moskowitz

13-60: Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data

Vladimir Filimonov and Didier Sornette

13-59: Margin Regulation and Volatility

Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders

13-58: Optimal Investment in a Black-Scholes Model with a Bubble

Martin Herdegen and Sebastian Herrmann

13-57: Asset Pricing with Arbitrage Activity

Julien Hugonnier and Rodolfo Prieto

13-56: Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data

Martin Hoesli and Elias Oikarinen

13-55: A Creepy World

Didier Sornette and Peter Cauwels

13-54: Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework

Zehra Eksi and Damir Filipović

13-53: Heterogeneity in Risk Preferences: Evidence from a Real-World Betting Market

Angie Andrikogiannopoulou and Filippos Papakonstantinou

13-52: Decentralized Exchange

Semyon Malamud and Marzena J. Rostek

13-51: Transaction Costs and Shadow Prices in Discrete Time

Christoph Czichowsky, Johannes Muhle-Karbe and Walter Schachermayer

13-50: Optimal Prevention for Correlated Risks

Christophe Courbage, Henri Loubergé and Richard Peter

13-49: Robust Hedonic Price Indexes

Steven Bourassa, Eva Cantoni and Martin Hoesli

13-48: On Secondary Buyouts

Francois Degeorge, Jens Martin and Ludovic Phalippou

13-47: Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps

Eric Jondeau, Jérôme Lahaye and Michael Rockinger

13-46: Limited Managerial Attention and Corporate Aging

Claudio F. Loderer, René Stulz and Urs Waelchli

13-45: Long-Term Portfolio Management with a Structural Macroeconomic Model

Ludovic Calès, Eric Jondeau and Michael Rockinger

13-44: Asset Pricing with Regime-Dependent Preferences and Learning

Tony Berrada, Jerome Detemple and Marcel Rindisbacher

13-43: Can the CRRA-Lognormal Framework Explain CAPM-Anomalies in the Cross-Section of Stock Returns?

Sabine Elmiger

13-42: A Macroeconomic Framework for Quantifying Systemic Risk

Zhiguo He and Arvind Krishnamurthy