Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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12-14: Affine Variance Swap Curve Models

Damir Filipović

12-13: Homogenization and Asymptotics for Small Transaction Costs

Halil Mete Soner and Nizar Touzi

12-12: Misvaluation and Return Anomalies in Distress Stocks

Assaf Eisdorfer, Amit Goyal and Alexei Zhdanov

12-11: The Shareholder Base and Payout Policy

Andriy Bodnaruk and Per Östberg

12-10: Role of Information in Decision Making of Social Agents

Vyacheslav I. Yukalov and Didier Sornette

12-09: Are Ratings the Worst Form of Credit Assessment Apart from All the Others?

Andreas Bloechlinger and Markus Leippold

12-08: A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects

Didier Sornette and Alexander I. Saichev

12-07: The Exchange Rate Effect of Multi-Currency Risk Arbitrage

Harald Hau

12-06: Mortgage Interest Deductions and Homeownership: An International Survey

Steven Bourassa, Donald Haurin, Patric Hendershott and Martin Hoesli

12-05: Optimal Risk Sharing with Limited Liability

Semyon Malamud, Huaxia Rui and Andrew B. Whinston

12-04: Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub-Prime Crisis

Giovanni Barone-Adesi, Nicola Carcano and Hakim Dall'O

12-03: Aggregate Investment Externalities and Macroprudential Regulation

Hans Gersbach and Jean Rochet

12-02: Quantifying Reflexivity in Financial Markets: Towards a Prediction of Flash Crashes

Vladimir Filimonov and Didier Sornette

12-01: Investors’ Expectations, Management Fees and the Underperformance of Mutual Funds

Andreas D. Huesler, Yannick Malevergne and Didier Sornette

11-64: Crashes and High Frequency Trading

Didier Sornette and Susanne von der Becke

11-63: Crashes and High Frequency Trading

Didier Sornette and Susanne von der Becke

11-62: Follow the money: The monetary roots of bubbles and crashes

Monique Jeanblanc and Didier Sornette

11-61: Follow the money: The monetary roots of bubbles and crashes

Fulvio Corsi and Didier Sornette

11-60: Follow the money: The monetary roots of bubbles and crashes

Fulvio Corsi and Didier Sornette

11-59: Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics

Peter Cauwels and Didier Sornette

11-58: Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics

Peter Cauwels and Didier Sornette

11-57: Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints

Pauline Barrieu and Henri Loubergé

11-56: The determinants of banks lobbying activities

Rajna GIBSON Brandon and Miret Padovani

11-55: Structured finance, acquisitions and debt agency

Gabriel H. Neukomm

11-54: A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives

Jun Cheng, Meriton Ibraimi, Markus Leippold and Jin E. Zhang

11-53: Do Hedge Funds Manipulate Stock Prices?

Itzhak Ben-David, Francesco A. Franzoni, Augustin Landier and Rabih Moussawi

11-52: Multivariate Asset Return Prediction with Mixture Models

Marc S. Paolella

11-51: Collateral Smile

Markus Leippold and Lujing Su

11-50: Systemic Risk and Sentiment Chapter Contribution to Handbook on Systemic Risk

Giovanni Barone-Adesi, Loriano Mancini and Hersh Shefrin

11-49: Comprehensive model of household tenure choice

Steven Bourassa, Donald Haurin, Patric Hendershott and Martin Hoesli

11-48: Preemptive Bidding, Target Resistance, and Takeover Premiums

Theodosios Dimopoulos and Stefano Sacchetto

11-47: Preemptive Bidding, Target Resistance, and Takeover Premiums

Theodosios Dimopoulos and Stefano Sacchetto

11-46: Robust Repeat Sales Indexes

Steven Bourassa, Eva Cantoni and Martin Hoesli

11-45: Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?

Christoph Hartz and Marc S. Paolella

11-44: Capital Supply Uncertainty, Cash Holdings, and Investment

Julien Hugonnier, Semyon Malamud and Erwan Morellec

11-43: Buyers Versus Sellers: Who Initiates Trades And When?

Tarun Chordia, Amit Goyal and Narasimhan Jegadeesh

11-42: Detecting Informed Trading Activities in the Options Markets

Marc Chesney, Remo Crameri and Loriano Mancini

11-41: Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets

Patrick Gagliardini, Elisa Ossola and Olivier Scaillet

11-40: Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets

Patrick Gagliardini, Elisa Ossola and Olivier Scaillet

11-39: Stable Mixture GARCH Models

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

11-38: Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis

Marc Chesney, Remo Crameri and Loriano Mancini

11-37: The Value of Tradeability

Marc Chesney and Alexander Kempf

11-36: We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics

Pierre Bajgrowicz and Olivier Scaillet

11-35: The Role of Equity Funds in the Financial Crisis Propagation

Harald Hau and Sandy Lai

11-34: The Term Structure of Interbank Risk

Damir Filipovic and Anders B. Trolle

11-33: Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much

Fabio Trojani, Christian Wiehenkamp and Jan Wrampelmeyer

11-32: Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels

Marcelo Fernandes, Eduardo F. Mendes and Olivier Scaillet

11-31: Institutional Investors and Mutual Fund Governance: Evidence from Retail – Institutional Fund Twins

Richard B. Evans and Ruediger Fahlenbrach

11-30: Investment strategies used as spectroscopy of financial markets reveal new stylized facts

Wei-Xing Zhou, Guo-Hua Mu, Wei Chen and Didier Sornette

11-29: Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model

Didier Sornette, Ryan Woodard, Wanfeng Yan and Wei-Xing Zhou