Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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