Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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24-05: Investments and Asset Pricing in a World of Satisficing Agents

Tony Berrada, Peter Bossaerts and Giuseppe Ugazio

24-04: The Impact of Climate Engagement: A Field Experiment

Florian Heeb and Julian F Kölbel

24-03: Robust difference-in-differences analysis when there is a term structure

Kjell Nyborg and Jiri Woschitz

24-02: Scaling Laws And Statistical Properties of The Transaction Flows And Holding Times of Bitcoin

Didier Sornette and Yu Zhang

24-01: An Intermediation-Based Model of Exchange Rates

Semyon Malamud, Andreas Schrimpf and Yuan Zhang

23-121: Large (and Deep) Factor Models

Bryan T. Kelly, Boris Kuznetsov, Semyon Malamud and Teng Andrea Xu

23-120: Serious Errors Impair an Assessment of Forest Carbon Projects: A Rebuttal Of West Et Al. (2023)

Edward Mitchard, Harry Carstairs, Riccardo Cosenza, Sassan S. Saatchi, Jason Funk, Paula Nieto Quintano, Thom Brade, Iain M. McNicol, Patrick Meir, Murray B. Collins and Eric Nowak

23-119: Universal Portfolio Shrinkage

Bryan Kelly, Semyon Malamud, Mohammad Pourmohammadi and Fabio Trojani

23-118: The Supply of Cyber Risk Insurance

Martin Eling, Anastasia Kartasheva and Dingchen Ning

23-117: Dollar Shortages, CIP Deviations, and the Safe Haven Role of the Dollar

Philippe Bacchetta, Jonathan Davis and Eric van Wincoop

23-116: Strategic Trading with Wealth Effects

Sergei Glebkin, Semyon Malamud and Alberto Teguia

23-115: The Impact of Foreign Sanctions on Firm Performance in Russia

Luu Duc Toan Huynh, Khanh Hoang and Steven Ongena

23-114: A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs

Luca Gaegauf, Simon Scheidegger and Fabio Trojani

23-113: Value-Driven Bankers and the Granting of Credit to Green Firms

Di Bu, Matti Keloharju, Yin Liao and Steven Ongena

23-112: When Does Aggregating Multiple Skills with Multi-Task Learning Work? A Case Study in Financial NLP

Jingwei Ni, Zhijing Jin, Qian Wang, Mrinmaya Sachan and Markus Leippold

23-111: chatReport: Democratizing Sustainability Disclosure Analysis through LLM-based Tools

Jingwei Ni, Julia Bingler, Chiara Colesanti Senni, Mathias Kraus, Glen Gostlow, Tobias Schimanski, Dominik Stammbach, Saeid Vaghefi, Qian Wang, Nicolas Webersinke, Tobias Wekhof, Tingyu Yu and Markus Leippold

23-110: ClimateBERT-NetZero: Detecting and Assessing Net Zero and Reduction Targets

Tobias Schimanski, Julia Bingler, Camilla Hyslop, Mathias Kraus and Markus Leippold

23-109: Public Transport Subsidization and Air Pollution: Evidence from the 9-Euro-Ticket in Germany

Eren Aydin and Kathleen Kürschner Rauck

23-108: Avoiding Idiosyncratic Volatility: Flow Sensitivity to Individual Stock Returns

Marco Di Maggio, Francesco A. Franzoni, Shimon Kogan and Ran Xing

23-107: R&D, Innovation, and the Stock Market

Amit Goyal and Sunil Wahal

23-106: A Joint Factor Model for Bonds, Stocks, and Options

Turan G. Bali, Heiner Beckmeyer and Amit Goyal

23-105: Supply Chain Shortages, Large Firms' Market Power, and Inflation

Francesco A. Franzoni, Mariassunta Giannetti and Roberto Tubaldi

23-104: Is the Bond Market Competitive? Evidence From the ECB's Asset Purchase Programme

Johannes Breckenfelder, Pierre Collin-Dufresne and Stefano Corradin

23-103: The Time-Varying Price of Financial Intermediation in the Mortgage Market

Andreas Fuster, Stephanie Lo and Paul Willen

23-102: CDS and Credit: The Effect of the Bangs on Credit Insurance, Lending and Hedging

Yalin Gündüz, Steven Ongena, Gunseli Tumer-Alkan and Yuejuan Yu

23-101: Debt and Deficits: Fiscal Analysis with Stationary Ratios

John Campbell, Can Gao and Ian Martin

23-100: Photovoltaic Systems and Housing Prices: The Relevance of View

Roland Füss, Kathleen Kürschner Rauck and Alois Weigand

23-99: Enhancing Large Language Models with Climate Resources

Mathias Kraus, Julia Bingler, Markus Leippold, Tobias Schimanski, Chiara Colesanti Senni, Dominik Stammbach, Saeid Vaghefi and Nicolas Webersinke

23-98: Empirically Grounding Analytics (EGA) Research in the Journal of Operations Management

Suzanne de Treville, Tyson R. Browning and Rogelio Oliva

23-97: Stripping the Swiss Discount Curve

Nicolas Camenzind and Damir Filipović

23-96: Deciphering DeFi: A Comprehensive Analysis and Visualization of Risks in Decentralized Finance

Tim Weingärtner, Fabian Fasser, Pedro Reis Sá da Costa and Walter Farkas

23-95: Volatility during the COVID-19 Pandemic

Tony Berrada, Jerome Detemple and Marcel Rindisbacher

23-94: Financial Intermediaries and Demand for Duration

Alberto Plazzi, Andrea Tamoni and Marco Zanotti

23-93: Textual Disclosure in Prospectuses and Investors’ Security Pricing

Jörn Debener, Arved Fenner, Philipp Klein and Steven Ongena

23-92: Value and Values Discovery in Earnings Calls

Zacharias Sautner, Laurence van Lent, Grigory Vilkov and Ruishen Zhang

23-91: Leverage Ratio, Risk-Based Capital Requirements, and Risk-taking in the UK

Mahmoud Fatouh, Simone Giansante and Steven Ongena

23-90: Greenwashing: Do Investors, Markets and Boards Really Care?

Erdinc Akyildirim, Shaen Corbet, Steven Ongena and Les Oxley

23-89: Investment Efficiency of Private and Public Firms

Pantelis Kazakis, Woon Sau Leung and Steven Ongena

23-88: ChatClimate: Grounding Conversational AI in Climate Science

Saeid Vaghefi, Qian Wang, Veruska Muccione, Jingwei Ni, Mathias Kraus, Julia Bingler, Tobias Schimanski, Chiara Colesanti Senni, Nicolas Webersinke, Christian Huggel and Markus Leippold

23-87: CEO Turnover and Director Reputation

Felix von Meyerinck, Jonas Romer and Markus Schmid

23-86: Growth and Innovation in the Modern Data Economy

Orlando Gomes, Roxana Mihet and Kumar Rishabh

23-85: Life after Default: Dealer Intermediation and Recovery in Defaulted Corporate Bonds

Friedrich Baumann, Ali Kakhbod, Dmitry Livdan, Abdolreza Nazemi and Norman Schürhoff

23-84: Borrower Technology Similarity and Bank Loan Contracting

Mingze Gao, Yunying Huang, Steven Ongena and Eliza Wu

23-83: Sustainable Investing in Imperfect Markets

Thorsten Hens and Ester Trutwin

23-82: Quantitative Easing and the Functioning of the Gilts Repo Market

Mahmoud Fatouh, Simone Giansante and Steven Ongena

23-81: Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models

Alberto Quaini, Fabio Trojani and Ming Yuan

23-80: Does being a responsible bank pay off? Evidence from the COVID-19 pandemic

Alper Kara, Steven Ongena and Yilmaz Yildiz

23-79: Do Banks Engage in Earnings Management? The Role of Dividends and Institutional Factors

Mamiza Haq, Steven Ongena, Juying Pu and Kian Tan

23-78: Marketplace Lending: A Resilient Alternative in the Face of Natural Disasters?

Pejman Abedifar, Hossein Doustali and Steven Ongena

23-77: ESG Shareholder Engagement and Downside Risk

Andreas G. F. Hoepner, Ioannis Oikonomou, Zacharias Sautner, Laura T. Starks and Xiaoyan Zhou