Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

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07-10: Stochastic Volatility: Risk Minimization and Model Risk

Christian-Oliver Ewald, Rolf Poulsen and Klaus Schenk-Hoppé

07-09: Benchmarks in Aggregate Household Portfolios

Pascal St-Amour

07-08: Bankcruptcy Law and Firms’ Behavior

Anne Epaulard and Aude Pommeret

07-07: Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Philippe Ehlers and Philipp J. Schoenbucher

07-06: Aggregating Phillips Curves

Jean Imbs, Eric Jondeau and Florian Pelgrin

07-05: Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments

Peter Bossaerts, Charles Plott and William Zame

07-04: Why Do the Swiss Rent?

Steven Bourassa and Martin Hoesli

07-03: A GARCH Option Pricing Model in Incomplete Markets

Giovanni Barone-Adesi, Robert Engle and Loriano Mancini

07-02: Barrier Option Pricing Using Adjusted Transition Probabilities

Giovanni Barone-Adesi, Nicola Fusari and John Theal

07-01: An Objective Function for Simulation Based Inference on Exchange Rate Data

Peter Winker, Manfred Gilli and Vahidin Jeleskovic

06-39: Pricing Interest Rate-SensitiveCredit Portfolio Derivatives

Philippe Ehlers and Philipp Schönbucher

06-38: On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach

Terje Lensberg and Klaus Schenk-Hoppé

06-37: House Prices, Real Estate Returns and the Business Cycle

Ivan Jaccard

06-36: Finance and Efficiency: Do Bank Branching Regulations Matter?

Viral Acharya, Jean Imbs and Jason Sturgess

06-35: The Economic Value of Distributional Timing

Eric Jondeau and Michael Rockinger

06-34: Loyalty and competence: Empirical evidence from public agencies

Alexander Wagner

06-33: Robust Subsampling

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani

06-32: Local Transformation Kernel Density Estimation of Loss Distributions

J. Gustafsson, M. Hagmann, J.P. Nielsen and Olivier Scaillet

06-31: The Determinants of Mutual Fund Performance: A Cross-Country Study

Miguel Ferreira, António F. Miguel and Sofia Ramos

06-30: Tikhonov Regularization for Functional Minimum Distance Estimators

Patrick Gagliardini and Olivier Scaillet

06-29: Manipulation in Money Markets

Christian Ewerhart, Nuno Cassola, Steen EJjerksov and Natacha Valla

06-28: The Impact of News on Higher Moments

Eric Jondeau and Michael Rockinger

06-27: Portfolio Choice with Loss Aversion, Asymmetric Risk-Taking Behavior and Segregation of Riskless Opportunities

Martin Vlcek

06-26: An Econometric Analysis of Emission Trading Allowances

Marc S. Paoletta and Luca Taschini

06-25: Insuring a risky investment project

Henri Loubergé and Richard Watt

06-24: The Quality of Public Information and The Term Structure of Interest Rates

Frederik Lundtofte

06-23: Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy

Frederik Lundtofte

06-22: Financing and Takeovers

Erwan Morellec and Alexei Zhdanov

06-21: Using Economic and Financial Information for Stock Selection

Ilir Roko and Manfred Gilli

06-20: House Prices and Bubbles in New Zealand

Patricia Fraser, Martin Hoesli and Lynn Mc Alevey

06-19: What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Bernard Dumas, Alexander Kurshev and Raman Uppal

06-18: Intangible Capital, Corporate Valuation and Asset Pricing

Jean-Pierre Danthine and Xiangrong Jin

06-17: Corporate Finance in Europe: A Survey

Francois Degeorge and Ernst Maug

06-16: Exchange Rate Volatility and Productivity Growth: The Role of Financial Development

Philippe Aghion, Philippe Baccheta, Romain Ranciere and Kenneth Rogoff

06-15: Predictability in Financial Markets: What Do Survey Expectations Tell Us?

Philippe Bacchetta, Elmar Mertens and Eric VanvWincoop

06-14: Hedge Fund Indices for Retail Investors: UCITS Eligible or not Eligible?

François-Serge Lhabitant

06-13: ‘Running in the Family’ The Evolution of Ownership,Control and Performance in German Familyowned Firms, 1903-2003

Olaf Ehrhardt, Eric Nowak and Felix-Michael Weber

06-12: Unifications of Dual-Class Shares in Germany Empirical Evidence on the Effects ofRelated Changes in Ownership Structure, Market Value, and Bid-Ask Spreadsnce from the German Stock Market

Olaf Ehrhardt, Jan Kuklinski and Eric Nowak

06-11: The (Ir)relevance of Disclosure of Compliance with Corporate Governance Codes - Evidence from the German Stock Market

Eric Nowak, Roland Rott and Till G. Mahr

06-10: Why Do Stock Exchanges Demutualize and Go Public?

Sofia Brito Ramos

06-09: Growth and Volatility

Jean Imbs

06-08: Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility

Alexey Medvedev and Olivier Scaillet

06-07: Bounded Rationality and Asset Pricing

Tony Berrada

06-06: What Jump Process to use to Model S&P500 Returns?

Maria Semenova

06-05: Model Combination and Stock Return Predictability

Matthias Hagmann and Joachim Loebb

06-04: The Inflation Hedging Characteristics of US and UK Investments: A Multifactor Error Correction Approach

Martin Hoesli, Colin Lizieri and Bryan MacGregor

06-03: The Overhang Hangover

Jean Imbs and Romain Ranciere

06-02: A Data-Driven Optimization Heuristic for Downside Risk Minimization

Manfred Gilli, Evis Këllezi and Hilda Hysi

06-01: Stock Returns in Mergers and Acquisitions

Dirk Hackbarth and Erwan Morellec