Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

12-19: Bank Capital Regulation with an Opportunistic Rating Agency

Matthias Efing

12-18: Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums

Valentina Corradi, Walter Distaso and Antonio Mele

12-17: Betting Against Beta

Andrea Frazzini and Lasse Pedersen

12-16: Corporate Governance and CEO Turnover Decisions

Theodosios Dimopoulos and Hannes Wagner

12-15: Are REITs Real Estate? Evidence from International Sector Level Data

Martin Hoesli and Elias Oikarinen

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