Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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08-23: Incomplete information, idiosyncratic volatility and stock returns

Tony Berrada and Julien Hugonnier

08-22: Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions

Francesco A. Franzoni

08-21: The Determinants of the Block Premium and of Private Benefits of Control

Rui Albuquerque and Enrique Schroth

08-20: Valuing modularity as a real option

Andrea Gamba and Nicola Fusari

08-19: Ambiguity Aversion and the Term Structure of Interest Rates

Laurent Barras, Patrick Gagliardini, Paolo Porchia and Fabio Trojani

08-18: False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Laurent Barras, Olivier Scaillet and Russell Wermers

08-17: Distributed Optimisation of a Portfolio's Omega

Manfred Gilli and Enrico Schumann

08-16: Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation

Georges Harras and Didier Sornette

08-15: Anomalous Returns in a Neural Network Equity-Ranking Predictor

J.B. Satinover and D. Sornette

08-14: Evolutionary Finance

Igor Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé

08-13: Executive Compensation and Stock Options: An Inconvenient Truth

Jean-Pierre Danthine and John B. Donaldson

08-12: A review of heuristic optimization methods in econometrics

Manfred Gilli and Peter Winker

08-11: The executive turnover risk premium

Florian S. Peters and Alexander Wagner

08-10: Constant-Quality House Price Indexes for Switzerland

Steven Bourassa, Martin Hoesli, Donato Scognamiglio and Philippe Sormani

08-09: Cash Sub-additive Risk Measures and Interest Rate Ambiguity

Nicole EL Karoui and Claudia Ravanelli

08-08: CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation

Simon Broda and Marc S. Paolella

08-07: Capital growth under transaction costs: An analysis based on the von Neumann-Gale model

Wael Bahsoun, Igor Evstigneev and Michael I. Taksar

08-06: Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Eric Jondeau

08-05: Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

Pierre Bajgrowicz and Olivier Scaillet

08-04: Implied Volatility at Expiration

Alexey Medvedev

08-03: Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

Victor Chernozhukov, Patrick Gagliardini and Olivier Scaillet

08-02: The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing

Marc Chesney and Luca Taschini

08-01: Predicting House Prices with Spatial Dependence: Impacts of Alternative Submarket Definitions

Steven Bourassa, Eva Cantoni and Martin Hoesli

07-37: Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Bernard Dumas, Alexander Kurshev and Raman Uppal

07-36: Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity

Eric Jondeau and Jean-Guillaume Sahuc

07-35: Forecasting EREIT Returns

Camilo Serrano and Martin Hoesli

07-34: Dynamic Option-Based Strategies under Downside Loss Averse Preferences

Amine Jalal

07-33: Executive Compensation: The View from General Equilibrium

Jean-Pierre Danthine and John B. Donaldson

07-32: Arbitrage in Stationary Markets

Igor Evstigneev and Dhruv Kapoor

07-31: Robust Value at Risk Prediction

Loriano Mancini and Fabio Trojani

07-30: Prospect Theory for Continuous Distributions Games and Prospects

Marc Oliver Rieger and Mei Wang

07-29: Co-monotonicity of optimal investments and the design of structured financial products

Marc Oliver Rieger

07-28: Co-monotonicity of optimal investments and the design of structured financial products

Marc Oliver Rieger

07-27: Hybrid Cat-bonds

Pauline Barrieu and Henri Loubergé

07-26: Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns

Gregory Connor, Matthias Hagmann and Oliver Linton

07-25: Pricing American Options under Stochastic Volatility and Stochastic Interest Rates

Alexey Medvedev and Olivier Scaillet

07-24: Testing For Equality Between Two Copulas

Bruno Remillard and Olivier Scaillet

07-23: Asset Pricing, Habit Memory, and the Labor Market

Ivan Jaccard

07-22: Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations

Christian Ewerhart, Nuno Cassola and Natacha Valla

07-21: Financial Market Equilibria With Cumulative Prospect Therory

Enrico De Giorgi, Thorsten Hens and Marc Oliver Rieger

07-20: Do Stylised Facts of Order Book Markets Need Strategic Behaviour?

Daniel Ladley and Klaus Schenk-Hoppé

07-19: Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle

Ivan Jaccard

07-18: Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets

Alena Audzeyeva and Klaus Schenk-Hoppé

07-17: Board Independence and Competence

Alexander Wagner

07-16: Why Firms Purchase Property Insurance?

Daniel Aunon-Nerin and Paul Ehling

07-15: Conspicuous Conservatism In Risk Choice

Boaz Moselle, Francois Degeorge and Richard Zeckhauser

07-14: Stochastic Reference Points And The Dependence Structure

Enrico De Giorgi and Thierry Post

07-13: A Specification Test For Nonparametric Instrumental Variable Regression

Patrick Gagliardini and Olivier Scaillet

07-12: Anomalies In Intertemporal Choice?

Anke Gerber and Kirsten Rohde

07-11: Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges

Christian-Oliver Ewald, Klaus Schenk-Hoppé and Zhaojun Yang