Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

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