Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

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09-24: Optimal Liquidation Strategies in Illiquid Markets

Eric Jondeau, Augusto Perilla and Michael Rockinger

09-23: Fourth Order Pseudo Maximum Likelihood Methods

Alberto Holly, Alain Monfort and Michael Rockinger

09-22: The time-varying prediction of successful mergers

Giovanni Barone-Adesi and Giuseppe Corvasce

09-21: Financial Crisis: Estimating the Risk of Assets in Balance

Giovanni Barone-Adesi and Giuseppe Corvasce

09-20: Cognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets

Elena Asparouhova, Peter Bossaerts, Jon Eguia and William Zame

09-19: A Satiscing Alternative to Prospect Theory

David B. Brown, Enrico De Giorgi and Melvyn Sim

09-18: Health and (other) Asset Holdings

Julien Hugonnier, Florian Pelgrin and Pascal St-Amour

09-17: An Intergenerational Cross-Country Swap

Miret Padovani and Paolo Vanini

09-16: The Swiss Housing Market

Steven Bourassa, Martin Hoesli and Donato Scognamiglio

09-15: Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Didier Sornette and Ryan Woodard

09-14: A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals

Li Lin, Ruo En Ren and Didier Sornette

09-13: Variance Covariance Orders and Median Preserving

Semyon Malamud and Fabio Trojani

09-12: Efficiency in Large Dynamic Panel Models with Common Factor

Patrick Gagliardini and Christian Gourieroux

09-11: The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading

Ramazan Genca, Rajna Gibson and Yi Xue

09-10: Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation

Erwan Morellec, Boris Nikolov and Norman Schurhoff

09-09: Dynamic Investment and Financing under Asymmetric Information

Erwan Morellec and Norman Schurhoff

09-08: Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables

Camilo Serrano and Martin Hoesli

09-07: On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market

Giovanni Barone-Adesi, Helyette Geman and John Theal

09-06: An Empirical Analysis of Alternative Portfolio Selection Criteria

Manfred Gilli and Enrico Schumann

09-05: Non-parametric counterfactual analysis in dynamic general equilibrium

Felix Kubler and Karl Schmedders

09-04: Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry

Shengsui Hu, Yannick Malevergne and Didier Sornette

09-03: Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds

Jaksa Cvitanic and Semyon Malamud

09-02: Information Percolation with Equilibrium Search Dynamics

Darrell Duffie, Semyon Malamud and Gustavo Manso

09-01: Vanishing Liquidity, Market Runs,and the Welfare Impact of TARP

Christian Ewerhart

08-49: Incomplete-Market Equilibria Solved Recursively on an Event Tree

Bernard Dumas and Andrew Lyasoff

08-48: Sacred values in financial economic decision-making: Experimental evidence

Rajna Gibson, Carmen Tanner and Alexander Wagner

08-47: What do frictions mean for Q-theory testing?

Maria Cecilia Bustamante

08-46: The Dynamics of Going Public

Maria Cecilia Bustamante

08-45: Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data

Philippe Huber, Olivier Scaillet and Maria-Pia Victoria-Feser

08-44: Frailty Correlated Default

Darrell Duffie, Andreas Eckner, Guillaume Horel and Leandro Saita

08-43: The Price of Protection: Derivatives, Default Risk, and Margining

Rajna Gibson and Carsten Murawski

08-42: Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

Amine Lahiani and Olivier Scaillet

08-41: Strategies of Survival in Dynamic Asset Market Games

Rabah Amir, Igor Evstigneev and Le Xu

08-40: Asymmetric Information and Adverse Selection in Mauritian Slave Auctions

Georges Dionne, Pascal St-Amour and Désiré Vencatachellum

08-39: Global Securitized Real Estate Benchmarks and Performance

Camilo Serrano and Martin Hoesli

08-38: Auctioned IPOs: The U.S. Evidence

Francois Degeorge, Francois Derrien and Kent Womack

08-37: Hedge fund alphas: do they reflect managerial skills or mere compensation for liquidity risk bearing?

Rajna Gibson and Songtao Wang

08-36: Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM

Francesco Franzoni and Tobias Adrian

08-35: The Changing Nature Of Market Risk

Francesco Franzoni

08-34: Constructing Long/Short Portfolios with the Omega ratio

Manfred Gilli, Enrico Schumann, Giacomo DI Tollo and Gerda Cabej

08-33: Look-Ahead Benchmark Biasin Portfolio Performance Evaluation

Gilles Daniel, Didier Sornette and Peter Wohrmann

08-32: Bond Ladders and Optimal Portfolios

Kenneth Judd, Felix Kubler and Karl Schmedders

08-31: Asset Market Games of Survival

Rabah Amir, Igor Evstigneev and Klaus Schenk-Hoppé

08-30: From Discrete to Continuous Time Evolutionary Finance Models

Jan Palczewski and Klaus Schenk-Hoppé

08-29: Market Selection of Constant Proportions Investment Strategies in Continuous Time

Jan Palczewski and Klaus Schenk-Hoppé

08-28: Bubbles and multiplicity of equilibria under portfolio constraints

Julien Hugonnier

08-27: Are Securitized Real Estate Returns more Predictable than Stock Returns?

Camilo Serrano and Martin Hoesli

08-26: Mutual Fund Competition in the Presence of Dynamic Flows

Michèle Breton, Julien Hugonnier and Tarek Masmoudi

08-25: Mathematical Basis of Quantum Decision Theory

Vyacheslav I. Yukalov and Didier Sornette

08-24: Counterparty risk

Christian Ewerhart and Jens Tapking