Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

10-38: Consumption Paths under Prospect Utility in an Optimal Growth Model

Reto Foellmi, Rina Rosenblatt-Wisch and Klaus Schenk-Hoppé

10-37: Banking System Stability with respect to Funding Liquidity Risk

Mario Haefeli

10-36: An evolutionary financial market model with a risk-free asset

Igor V. Evstigneevy, Thorsten Hens and Klaus Schenk-Hoppé

10-35: The performance of the Eurosystem's fixed rate tenders since 2004: Theory and evidence

Christian Ewerhart, Nuno Cassola and Natacha Valla

10-34: Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes

Jeffrey Satinover and Didier Sornette

10-33: The value of the liability insurance for Credit Suisse and UBS

Mario Haefeli and Matthias P. Juttner

10-32: Self-Fulfilling Risk Panics

Philippe Bacchetta, Cédric Tille and Eric van Wincoop

10-31: Alternative Models For Hedging Yield Curve Risk: An Empirical Comparison

Nicola Carcano and Hakim Dall'o

10-30: Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change

Zhihua Chen, Aziz A. Lookman, Norman Schurhoff and Duane J. Seppi

10-29: A structural analysis of the health expenditures and portfolio choices of retired agents

Julien Hugonnier, Florian Pelgrin and Pascal St-Amour

10-28: Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem

Élise PAYZAN LE Nestour

10-27: ALRIGHT: Asymmetric LaRge-Scale(I)GARCH with Hetero-Tails

Marc S. Paolella

10-26: Price Impact and Portfolio Impact

Jaksa Cvitanic and Semyon Malamud

10-25: Money and Liquidity in Financial Markets

Kjell Nyborg and Per Ostberg