Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

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10-24: Bank Bailout Menus

Sudipto Bhattacharya and Kjell Nyborg

10-23: Microinformation, Nonlinear Filtering and Granularity

Patrick Gagliardini, Christian Gourieroux and Alain Monfort

10-22: Replicating Hedge Fund Indices with Optimization Heuristics

Manfred Gilli, Enrico Schumann, Gerda Cabej and Jonela Lula

10-21: Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices

Felix Kubler and Karl Schmedders

10-20: The Price of Liquidity: Bank Characteristics and Market Conditions

Falko Fecht, Kjell Nyborg and Jörg Rocholl

10-19: Macroeconomic Conditions, Growth Opportunities and the Cross-Section of Credit Risk

Marc Arnold, Alexander Wagner and Ramona Westermann

10-18: Risk-taking Incentives, Governance,and Losses in the Financial Crisis

Marc Chesney, Jacob Stromberg and Alexander Wagner

10-17: The Dark Side of Outside Directors: Do they Quit When They are Most Needed?

Ruediger Fahlenbrach, Angie Low and René Stulz

10-16: Bubbles Everywhere in Human Affairs

Monika Gisler and Didier Sornette

10-15: Diagnosis and Prediction of Market Rebounds in Financial Markets

Wanfeng Yan, Ryan Woodard and Didier Sornette

10-14: Three Solutions to the Pricing Kernel Puzzle

Thorsten Hens and Christian Reichlin

10-13: The Interest Rate Sensitivity of Real Estate

Alain Chaney and Martin Hoesli

10-12: Exuberant innovation: The Human Genome Project

Monika Gisler, Didier Sornette and Ryan Woodard

10-11: Former CEO Directors: Lingering CEOs or Valuable Resources?

Ruediger Fahlenbrach, Bernadette A. Minton and Carrie H. Pan

10-10: Optimal Securitization with Heterogeneous Investors

Semyon Malamud, Huaxia Rui and Andrew B. Whinston

10-09: Information Percolation in Segmented Markets

Darrell Duffie, Semyon Malamud and Gustavo Manso

10-08: Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms

Judith Wiesinger, Didier Sornette and Jeffrey Satinover

10-07: Efficient Derivative Pricing By The Extended Method of Moments

Patrick Gagliardini, Christian Gourieroux and Eric Renault

10-06: The Lehman Brothers Effect and Bankruptcy Cascades

Pawel Sieczka, Didier Sornette and Janusz A. Holyst

10-05: Realizing Smiles: Pricing Options with Realized Volatility

Fulvio Corsi, Nicola Fusari and Davide LA Vecchia

10-04: Lemons and Money Market?

Christian Ewerhart and Patricia Feubli

10-03: Is the Price Kernel Monotone?

Giovanni Barone-Adesi and Hakim Dall'o

10-02: Exploring the Nature of 'Trader Intuition'

Antoine J. Bruguier, Steven R. Quartz and Peter Bossaerts

10-01: Housing and its Role in the Household Portfolio in Colombia

Camilo Serrano and Martin Hoesli

09-50: An Experimental Study On Real Option Strategies

Mei Wang, Abraham Bernstein and Marc Chesney

09-49: Evolutionary Finance and Dynamic Games

Rabah Amir, Igor V. Evstigneev, Thorsten Hens and Le Xu

09-48: An Experimental Study On Real Option Strategies

Mei Wang, Abraham Bernstein and Marc Chesney

09-47: How Time Preferences Differ: Evidence from 45 Countries

Mei Wang, Marc Oliver Rieger and Thorsten Hens

09-46: Homogeneous Volatility Bridge Estimators

Alexander Saichev, Didier Sornette, Vladimir Filimonov and Fulvio Corsi

09-45: Financial Markets Equilibrium with Heterogeneous Agents

Jaksa Cvitanic, Elyès Jouini, Semyon Malamud and Clotilde Napp

09-44: Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums

Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer

09-43: Private Equity Performance and Liquidity Risk

Francesco Franzoni, Eric Nowak and Ludovic Phalippou

09-42: House Prices,Disposable Income,and Permanent and Temporary Shocks

Patricia Fraser, Martin Hoesli and Lynn McAlevey

09-41: Endogenous completeness of diffusion driven equilibrium markets

Julien Hugonnier, Semyon Malamud and Eugene Trubowitz

09-40: Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal

Yannick Malevergne, V. Pisarenko and D. Sornette

09-39: Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles

Zhi-Qiang Jiang, Wei-Xing Zhou, Didier Sornette, Ryan Woodard, Ken Bastiaensen and Peter Cauwels

09-38: Robust Resampling Methods for Time Series

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani

09-37: Growing wealth with fixed-mix strategies

Michael A.H. Dempster, Igor Evstigneev and Klaus Schenk-Hoppé

09-36: Dragon-Kings, Black Swans and the Prediction of Crises

Didier Sornette

09-35: Most Efficient Homogeneous Volatility Estimators

Alexander I. Saichev, Didier Sornette and Vladimir Filimonov

09-34: Equilibrium Driven by Discounted Dividend Volatility

Jaksa Cvitanic and Semyon Malamud

09-33: The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation

Darrell Duffie, Semyon Malamud and Gustavo Manso

09-32: Survival and Evolutionary Stability of the Kelly Rule

Igor Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé

09-31: Other-regarding preferences and altruistic punishment: A Darwinian perspective

Moritz Hetzer and Didier Sornette

09-30: Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity

Eric Jondeau and Florian Pelgrin

09-29: Firm Migration and Stock Returns

Giovanni Puopolo

09-28: Short Selling Regulation after the Financial Crisis – First Principles Revisited

Seraina Gruenewald, Alexander Wagner and Rolf H. Weber

09-27: Bank CEO Incentives and the Credit Crisis

Ruediger Fahlenbrach and René Stulz

09-26: Linkages Between Direct and Securitized Real Estate

Elias Oikarinen, Martin Hoesli and Camilo Serrano

09-25: Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting

Enrico G. de Giorgi and Shane Legg