Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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24-94: Towards Faithful and Robust LLM Specialists for Evidence-Based Question-Answering

Tobias Schimanski, Jingwei Ni, Mathias Kraus, Elliott Ash and Markus Leippold

24-93: Automated Fact-Checking of Climate Change Claims with Large Language Models

Markus Leippold, Saeid Vaghefi, Veruska Muccione, Julia Bingler, Dominik Stammbach, Chiara Colesanti Senni, Jingwei Ni, Tobias Wekhof, Tingyu Yu, Tobias Schimanski, Glen Gostlow, Jürg Luterbacher and Christian Huggel

24-92: Combining AI and Domain Expertise to Assess Corporate Climate Transition Disclosures

Chiara Colesanti Senni, Tobias Schimanski, Julia Bingler, Jingwei Ni and Markus Leippold

24-91: Determinants of Discount Rates, Capitalization Rates, and Growth Rates

Martin Hoesli and Alona Shmygel

24-90: Using AI to Assess the Decision-Usefulness of Corporates' Nature-related Disclosures

Chiara Colesanti Senni, Saeid Vaghefi, Tobias Schimanski, Tushar Manekar and Markus Leippold

24-89: ClimRetrieve: A Benchmarking Dataset for Information Retrieval from Corporate Climate Disclosures

Tobias Schimanski, Jingwei Ni, Roberto Spacey, Nicola Ranger and Markus Leippold

24-88: Technical Patterns and News Sentiment in Stock Markets

Markus Leippold, Qian Wang and Min Yang

24-87: Multilateral Development Bank Bonds

Thea Kolasa, Steven Ongena and Chris Humphrey

24-86: Bank payout policy, regulation, and politics

Rüdiger Fahlenbrach, Minsu Ko and René M. Stulz

24-85: Relationship Banking: The Borrower's Incentives Channel

Pejman Abedifar, Soroush Kamyab, Steven Ongena and Amine Tarazi

24-84: More Data, More Credit? Information Sharing and Bank Credit to Households

Tamas Briglevics, Artashes Karapetyan, Steven Ongena and Ibolya Schindele

24-83: CDS and Credit: The Effect of the Bangs on Credit Insurance, Lending and Hedging

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

24-82: Greenwashing: Do Investors, Markets and Boards Really Care?

Erdin Akyildirim, Shaen Corbet, Steven Ongena and Les Oxley

24-81: Corporate Taxes and Entrepreneurs’ Income: A Credit Channel

Manthos D. Delis, Emilios C. Galariotis, Maria Iosifidi and Steven Ongena

24-80: Joining Forces: Why Banks Syndicate Credit

Steven Ongena, Alex Osberghaus and Glenn Schepens

24-79: Randomized Signature Methods in Optimal Portfolio Selection

Erdinc Akyildirim, Matteo Gambara, Josef Teichmann and Syang Zhou

24-78: Quantification of the Self-Excited Emotion Dynamics in Online Interactions

Yishan Luo, Didier Sornette and Sandro Claudio Lera

24-77: Dynamic Influence Networks Self-Organize Towards Sub-Critical Financial Instabilities

Yicheng Wang, Didier Sornette, Ke Wu and Sandro Claudio Lera

24-76: Intrinsic Value: A Solution to the Declining Performance of Value Strategies

Derek Bergen, Francesco A. Franzoni, Daniel Obrycki and Rafael Resendes

24-75: Stealthy Shorts: Informed Liquidity Supply

Amit Goyal, Adam V. Reed, Esad Smajlbegovic and Amar Soebhag

24-74: Opioid Crisis and Firm Downside Tail Risks: Evidence from the Option Market

Jie Cao, Amit Goyal, Yajing (Stella) Wang, Xintong Zhan and Weiming Elaine Zhang

24-73: Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks

Hansjoerg Albrecher and Michel Dacorogna

24-72: Who Invests in What? Public Firms Ownership Around the World

Ines Chaieb, Vihang R. Errunza and Lucie Y. Lu

24-71: Sustainable Investing Home and Abroad

Ines Chaieb, Vihang R. Errunza and Lucie Y. Lu

24-70: Hard to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning

Francesco Audrino and Jonathan Chassot

24-69: Does sentiment help in asset pricing? A novel approach using large language models and market-based labels

Jule Schuettler, Francesco Audrino and Fabio Sigrist

24-68: Quantifying Uncertainty: A New Era of Measurement through Large Language Models

Francesco Audrino, Jessica Gentner and Simon Stalder

24-67: A New Test for an Old Puzzle

Lorenzo Bretscher, Peter Feldhütter, Andrew Kane and Lukas Schmid

24-66: Distorted Beliefs and Asset Prices

Lorenzo Bretscher, Aytek Malkhozov, Andrea Tamoni and Haoxi Yang

24-65: Monetary Policy Transmission with Adjustable and Fixed-Rate Mortgages: The Role of Credit Supply

Fatih Altunok, Yavuz Arslan and Steven Ongena

24-64: Banking on Deposit Relationships: Implications for Hold-Up Problems in the Loan Market

Jin Cao, Emilia Garcia-Appendini and Cédric Huylebroek

24-63: Structural Volatility Impulse Response Analysis

Matthias Fengler and Jeannine Polivka

24-62: Real Estate in Liability-Driven Investment: The Case of U.S. Pension Funds

Louis Johner and Martin Hoesli

24-61: The Performance of FDIC-Identified Community Banks

Athina Petropoulou, Vasileios Pappas, Steven Ongena, Dimitrios Gounopoulos and Richard J. Fairchild

24-60: Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels

Damir Filipović and Paul Schneider

24-59: Battle of Transformers: Adversarial Attacks on Financial Sentiment Models

Aysun Can Turetken and Markus Leippold

24-58: The Effect of Unconventional Fiscal Policy on Consumption -New Evidence based on Transactional Data

Winfried Koeniger and Peter Kress

24-57: The Impact of Sustainable Finance Literacy on Investment Decisions

Massimo Filippini, Markus Leippold and Tobias Wekhof

24-56: Rewiring Supply Chains Through Uncoordinated Climate Policy

Emanuela Benincasa, Olimpia Carradori, Miguel A. Ferreira and Emilia Garcia-Appendini

24-55: Proxy-identification of a structural MGARCH model for asset returns

Matthias Fengler and Jeannine Polivka

24-54: Discretionary Administrative Power and Conflicts of Interest in China's IPO Approvals

Heng Geng, Harald Hau and Hanzhang Zheng

24-53: Pricing of risk in credit and equity index options-A role for option order flow?

Pierre Collin-Dufresne and Anders B. Trolle

24-52: Hunting for Dollars

Peteris Kloks, Edouard Mattille and Angelo Ranaldo

24-50: Adaptive joint distribution learning

Damir Filipović, Michael D. Multerer and Paul Schneider

24-49: The Volatility of Listed Real Estate in Europe and Portfolio Implications

Martin Hoesli, Louis Johner and Zhaklin Krayushkina

24-48: Multiple Outlier Detection in Samples with Exponential & Pareto Tails

Didier Sornette and Ran Wei

24-47: Smoothing Out Momentum and Reversal

Soros Chitsiripanich, Marc S. Paolella, Pawel Polak and Patrick S. Walker

24-46: Climate Change and Bank Deposits

Özlem Dursun- de Neef and Steven Ongena

24-45: Beyond Peers: Cross-Industry Competition and Strategic Financing

Boris Nikolov, Norman Schuerhoff and Zepeng Wang

24-44: Performance and Challenges of Net-Zero Strategies in the Context of the EU Regulation

Fabio Alessandrini, Eric Jondeau and Lou-Salomé Vallée