Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

13-41: Fund Flows and Market States

Francesco A. Franzoni and Martin C. Schmalz

13-40: Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Chris Bardgett, Elise Gourier and Markus Leippold

13-39: Asset Allocation and Monetary Policy: Evidence from the Eurozone

Harald Hau and Sandy Lai

13-38: COMFORT: A Common Market Factor Non-Gaussian Returns Model

Marc S. Paolella and Pawel Polak

13-37: Scientific Research Measures

Marco Frittelli, Loriano Mancini and Ilaria Peri

13-36: Sudden Spikes in Global Risk

Philippe Bacchetta and Eric van Wincoop

13-35: Asymptotics for Fixed Transaction Costs

Albert Altarovici, Johannes Muhle-Karbe and Halil Mete Soner

13-34: Systemic Risk and Central Clearing Counterparty Design

Hamed Amini, Damir Filipović and Andreea Minca

13-33: Capital Levels and Risk-Taking Propensity in Financial Institutions

Giovanni Barone-Adesi, Walter Farkas and Pablo Koch-Medina

13-32: Value and Patience: The Value Premium in a Dividend-Growth Model with Hyperbolic Discounting

Nilufer Caliskan and Thorsten Hens

13-31: Long-Run UIP Holds Even in the Short Run

Fabian Ackermann, Walt Pohl and Karl Schmedders

13-30: The Perils of Performance Measurement in the German Mutual-Fund Industry

Philip Böhme, Walt Pohl and Karl Schmedders

13-29: Conditions for Quantum Interference in Cognitive Sciences

Vyacheslav I. Yukalov and Didier Sornette

13-28: The Great Recession: A Self-Fulfilling Global Panic

Philippe Bacchetta and Eric van Wincoop

13-27: The Price of Government Bond Volatility

Antonio Mele and Yoshiki Obayashi

13-26: Volatility Indexes and Contracts for Government Bonds and Time Deposits

Antonio Mele and Yoshiki Obayashi

13-25: Volatility Indexes and Contracts for Eurodollar and Related Deposits

Antonio Mele and Yoshiki Obayashi

13-24: Credit Variance Swaps and Volatility Indexes

Antonio Mele and Yoshiki Obayashi

13-23: Dynamics of Interest Rate Swap and Equity Volatilities

Antonio Mele, Yoshiki Obayashi and Catherine Shalen

13-22: Do Analysts' Preferences Affect Corporate Policies?

Francois Degeorge, Francois Derrien, Ambrus Kecskes and Sebastien Michenaud

13-21: Structured Debt Ratings: Evidence on Conflicts of Interest

Matthias Efing and Harald Hau