Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

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