Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

13-20: On the Strategic Value of Risk Management

Thomas‐Olivier Léautier and Jean Rochet

13-19: Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families

Alexander Eisele, Tamara Nefedova, Gianpaolo Parise and Kim Peijnenburg

13-18: On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations

Zehra Eksi and Damir Filipović

13-17: Utility Maximization in an Illiquid Market

Halil Mete Soner and Mirjana Vukelja

13-16: A Critique of Shareholder Value Maximization

Michael J. P. Magill, Martine Quinzii and Jean Rochet

13-15: The General Structure of Optimal Investment and Consumption with Small Transaction Costs

Jan Kallsen and Johannes Muhle-Karbe

13-14: Optimal Dividend Policy with Random Interest Rates

Erdinc Akyildirim, Ibrahim Güney, Jean Rochet and Halil Mete Soner

13-13: Martingale Optimal Transport and Robust Hedging in Continuous Time

Yan Dolinsky and Halil Mete Soner

13-12: Contagion Channels between Real Estate and Financial Markets

Martin Hoesli and Reka Kustrim

13-11: Robust Hedging with Proportional Transaction Costs

Yan Dolinsky and Halil Mete Soner

13-10: What Constrains Liquidity Provision? Evidence From Hedge Fund Trades

Efe Cotelioglu, Francesco A. Franzoni and Alberto Plazzi

13-09: A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations

Zehra Eksi and Damir Filipović

13-07: Is There A Real Estate Bubble in Switzerland? (Diagnostic as of 2012-Q4)

Diego Ardila, Peter Cauwels, Dorsa Sanadgol and Didier Sornette

13-06: Quadratic Variance Swap Models

Damir Filipović, Elise Gourier and Loriano Mancini

13-05: Predictability Hidden by Anomalous Observations

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani

13-04: Time-Varying Mixture GARCH Models and Asymmetric Volatility

Markus Haas, Jochen Krause, Marc S. Paolella and Sven C. Steude

13-03: The Balassa-Samuelson and the Penn Effect: Are They Really the Same?

Cosimo Pancaro

13-02: The Sentiment of the Fed

Michel Fuksa and Didier Sornette

13-01: The Sentiment of the Fed

Michel Fuksa and Didier Sornette

12-45: Systemic Risk in Europe

Robert Engle, Eric Jondeau and Michael Rockinger

12-44: Liquidity and Liquidity Risk in the Cross-Section of Stock Returns

Volodymyr Vovchak

12-43: The Information Content of Option Demand

Kerstin Kehrle and Tatjana Xenia Puhan

12-42: Dividend Growth Predictability and the Price-Dividend Ratio

Ilaria Piatti and Fabio Trojani

12-41: Mixture Normal Conditional Correlation Models

Maria Putintseva

12-40: The Illusion of the Perpetual Money Machine

Peter Cauwels and Didier Sornette

12-39: Utility Rate Equations of Group Population Dynamics in Biological and Social Systems

Vyacheslav I. Yukalov, E.P. Yukalova and Didier Sornette

12-38: Understanding Asset Correlations

Henrik Hasseltoft and Dominic Burkhardt

12-37: Market Belief Risk and the Cross-Section of Stock Returns

Rajna Gibson and Songtao Wang

12-36: Optimal and Naive Diversification in Currency Markets

Fabian Ackermann, Walt Pohl and Karl Schmedders

12-35: A Polynomial Optimization Approach to Principal-Agent Problems

Philipp Renner and Karl Schmedders

12-34: Peer Effects at Work: The Common Stock Investments of Co-workers

Hans Hvide and Per Östberg

12-33: Evidence of Excess Comovement in US Mergers

Per Östberg and Christoph Wenk

12-32: Tax-Subsidized Underpricing: Issuers and Underwriters in the Market for Build America Bonds

Dario Cestau, Richard Green and Norman Schürhoff

12-31: Bank Ratings: What Determines Their Quality?

Harald Hau, Sam Langfield and David Marques-Ibanez

12-30: Option Pricing and Hedging with Small Transaction Costs

Jan Kallsen and Johannes Muhle-Karbe

12-29: Dealer Intermediation between Markets

Peter Dunne, Harald Hau and Michael Moore

12-28: Transaction-Based and Appraisal-Based Capitalization Rate Determinants

Alain Chaney and Martin Hoesli

12-27: Costs and Benefits of Financial Regulation: Short-Selling Bans and Transaction Taxes

Terje Lensberg, Klaus Schenk-Hoppé and Daniel Ladley

12-26: Valuing American Options Using Fast Recursive Projections

Antonio Cosma, Stefano Galluccio, Paola Pederzoli and Olivier Scaillet

12-25: Cone-Constrained Continuous-Time Markowitz Problems

Christoph Czichowsky and Martin Schweizer

12-24: Convex Duality in Mean Variance Hedging Under Convex Trading Constraints

Christoph Czichowsky and Martin Schweizer

12-23: Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube

Markus Leippold and Jacob Stromberg

12-22: The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight

Martin Hoesli, Eva Liljeblom and Anders Löflund

12-21: Sentiment, Risk Aversion, and Time Preference

Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin

12-20: Super-Exponential Bubbles in Lab Experiments: Evidence for Anchoring Over-Optimistic Expectations on Price

Andreas D. Huesler, Didier Sornette and Cars Hommes