Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

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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

11-28: Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences

Claudia Ravanelli and Gregor Svindland

11-27: Extreme-quantile tracking for financial time series

Valérie Chavez-Demoulin, Paul Embrechts and Sylvain Sardy

11-26: Role of diversification risk in financial bubbles

Wanfeng Yan, Ryan Woodard and Didier Sornette

11-25: When and How is Voluntary Disclosure Quality Reflected in Equity Prices?

Florian Eugster and Alexander Wagner

11-24: Risk Aversion in the Large and in the Small

Jorgen Haug, Thorsten Hens and Peter Wohrmann

11-23: Predictive Power of Information Market Prices

Maria Putintseva

11-22: R&D and the Market for Acquisitions

Gordon Phillips and Alexei Zhdanov

11-21: The war puzzle: contradictory effects of international conflicts on stock markets

Amelie Brune, Thorsten Hens, Marc Olivier Rieger and Mei Wang

11-20: Density Approximations For Multivariate Affine Jump-Diffusion Processes

Damir Filipovic, Eberhard Berhard and Paul Schneider

11-19: This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis

Ruediger Fahlenbrach, Robert Prilmeier and René Stulz

11-18: Utility Maximization, Risk Aversion, and Stochastic Dominance

Mathias Beiglböck, Johannes Muhle-Karbe and Johannes Temme

11-17: Tax-Adjusted Discount Rates: A General Formula under Constant Leverage Ratios

Peter Molnár and Kjell Nyborg

11-16: International Bond Risk Premia

Magnus Dahlquist and Henrik Hasseltoft

11-15: The unconditional and conditional exchange rate exposure of U.S. firms

Ines Chaieb and Stefano Mazzotta

11-14: CEO Contract Design: How Do Strong Principals Do It?

Henrik Cronqvist and Ruediger Fahlenbrach

11-13: On the Timing and Pricing of Dividends

Jules van Binsbergen, Michael W. Brandt and Ralph Koijen

11-12: Are Shareholders Stupid? On The Surprising Impact of Binding Say-On-Pay On Stock Prices

Alexander Wagner and Christoph Wenk

11-11: Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation

Damir Filipovic, Robert Kremslehner and Alexander Muermann

11-10: Collateral Requirements and Asset Prices

Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders

11-09: Weak Approximation of G-Expectations

Yan Dolinsky, Marcel Nutz and Halil Mete Soner

11-08: Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov

11-07: Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov

11-06: Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals

Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov

11-05: The US stock market leads the Federal funds rate and Treasury bond yields

Kun Guo, Wei-Xing Zhou, Si-Wei Cheng and Didier Sornette

11-04: Regulating Asset Price Risk

Philippe Bacchetta, Cédric Tille and Eric van Wincoop

11-03: Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM

Xiaohui Ni, Yannick Malevergne, Didier Sornette and Peter Woehrmann

11-02: Approaches to conditional risk

Damir Filipovic, Michael Kupper and Nicolas Vogelpoth

11-01: Entrepreneurial Spawning and Firm Characteristics

Michel A. Habib, Ulrich Hege and Pierre Mella-Barral

10-46: Do Public Real Estate Returns Really Lead Private Returns?

Alena Audzeyeva, Barbara Summers and Klaus Reiner Schenk-Hoppe

10-45: Finding All Pure-Strategy Equilibria in Static and Dynamic Games with Continuous Strategies

Kenneth Judd, Philipp Renner and Karl Schmedders

10-44: Conditional Density Models for Asset Pricing

Damir Filipovic, Lane P. Hughston and Andrea Macrina

10-43: Moment Component Analysis: An Illustration with International Stock Markets

Eric Jondeau, Emmanuel Jurczenko and Michael Rockinger

10-42: Nonmyopic Optimal Portfolios in Viable Markets

Jaksa Cvitanic and Semyon Malamud

10-41: Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty

Eric Jondeau and Michael Rockinger

10-40: Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns

Martin Hoesli and Kustrim Reka

10-39: A Simple Model of the Firm Life Cycle

Klaus Schenk-Hoppé and Urs Schweri