Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

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