Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

22-22: Banks vs. Markets: Are Banks More Effective in Facilitating Sustainability?

David Newton, Steven Ongena, Ru Xie and Binru Zhao

22-21: Asset pricing with costly short sales

Theodoros Evgeniou, Julien Hugonnier and Rodolfo Prieto

22-20: Deep Regression Ensembles

Antoine Didisheim, Bryan T. Kelly and Semyon Malamud

22-19: Are Green Funds for Real?

Coralie Jaunin, Luciano Somoza and Tammaro Terracciano

22-18: Global Production Linkages and Stock Market Comovement

Raphael Auer, Bruce Muneaki Iwadate, Andreas Schrimpf and Alexander Wagner

22-17: Taxing Banks Leverage and Syndicated Lending: A Cross-Country Comparison

Aurore Burietz, Steven Ongena and Matthieu Picault

22-16: Personality Traits and Investment Styles

Thorsten Hens and Mei Ding-Hirschfeld

22-15: International Pecking Order

Egemen Eren, Semyon Malamud and Haonan Zhou

22-14: Climate Talk in Corporate Earnings Calls

Michał Dzieliński, Florian Eugster, Emma Sjöström and Alexander Wagner

22-13: Mortgage-Backed Securities

Andreas Fuster, David O. Lucca and James Vickery

22-12: The Valuation of Illiquid Assets: A Focus on Private Equity and Real Estate

Rajna Gibson, Martin Hoesli and Jiajun Shan

22-11: Measuring and Stress-Testing Market-Implied Bank Capital

Martin Indergand, Eric Jondeau and Andreas Fuster

22-10: Infrequent Random Portfolio Decisions in an Open Economy Model

Philippe Bacchetta, Eric van Wincoop and Eric Young

22-09: Non-Standard Errors

Francesco Franzoni, Roxana Mihet, Markus Leippold, Per Ostberg, Olivier Scaillet, Norman Schürhoff, Oksana Bashchenko, Nicola Mano and Michele Pelli

22-08: Tenant Industry Sector and European Listed Real Estate Performance

Jan Muckenhaupt, Martin Hoesli and Bing Zhu

22-07: Sparse and Stable International Portfolio Optimization and Currency Risk Management

Raphael Burkhardt and Urban Ulrych

22-06: Behavioral Heterogeneity in the CAPM with Evolutionary Dynamics

Thorsten Hens and Fatemeh Naebi

22-05: Evolutionary finance for multi-asset investors

Michael Schnetzer and Thorsten Hens

22-04: Strategic complementarity and substitutability of investment strategies

Nikolay Doskov, Thorsten Hens and Klaus Schenk-Hoppé

22-03: Accelerated American Option Pricing with Deep Neural Networks

David Anderson and Urban Ulrych

22-02: Sustainable Finance Literacy and the Determinants of Sustainable Investing

Massimo Filippini, Markus Leippold and Tobias Wekhof

22-01: Cheap Talk in Corporate Climate Commitments: The Role of Active Institutional Ownership, Signaling, Materiality, and Sentiment

Julia Anna Bingler, Mathias Kraus, Markus Leippold and Nicolas Webersinke

21-97: Why Do Firms Issue Green Bonds?

Julien Daubanes, Shema Mitali and Jean Rochet

21-96: A model of financial bubbles and drawdowns with non-local behavioral self-referencing

Yannick Malevergne, Didier Sornette and Ran Wei

21-95: Machine Learning for Predicting Stock Return Volatility

Damir Filipović and Amir Khalilzadeh

21-94: Bubbles for Fama from Sornette

Cfa Dongshuai Zhao and Didier Sornette

21-93: Mean-Covariance Robust Risk Measurement

Viet-Anh Nguyen, Soroosh Shafieezadeh Abadeh, Damir Filipović and Daniel Kuhn

21-92: Privacy Laws and Value of Personal Data

Mehmet Canayaz, Ilja Kantorovitch and Roxana Mihet

21-91: Building Benchmarks Portfolios with Decreasing Carbon Footprints

Eric Jondeau, Benoit Mojon and Luiz Awazu Pereira da Silva

21-90: The Virtue of Complexity in Machine Learning Portfolios

Bryan T. Kelly, Semyon Malamud and Kangying Zhou

21-89: Portfolio Diversification across U.S. Gateway and Non-Gateway Real Estate Markets

Martin Hoesli and Louis Johner

21-88: Deep Hedging under Rough Volatility

Blanka Horvath, Josef Teichmann and Zan Zuric

21-87: Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data

Amit Goyal, Avanidhar Subrahmanyam and Bhaskaran Swaminathan

21-86: Picking Partners: Manager Selection in Private Equity

Amit Goyal, Sunil Wahal and M. Deniz Yavuz

21-85: A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II

Amit Goyal, Ivo Welch and Athanasse Zafirov

21-84: How Do ESG Incidents Affect Firm Value?

Francois Derrien, Philipp Krueger, Augustin Landier and Tianhao Yao

21-83: Structured Additive Regression and Tree Boosting

Michael Mayer, Steven Bourassa, Martin Hoesli and Donato Scognamiglio

21-82: Screening and Monitoring Corporate Loans

Sebastian Gryglewicz, Simon Mayer and Erwan Morellec

21-81: CBDC as Imperfect Substitute for Bank Deposits: A Macroeconomic Perspective

Philippe Bacchetta and Elena Perazzi

21-80: Can Sticky Portfolios Explain International Capital Flows and Asset Prices?

Philippe Bacchetta, Margaret Davenport and Eric van Wincoop

21-79: Does Board Overlap Promote Coordination Between Firms?

Heng Geng, Harald Hau, Roni Michaely and Binh Nguyen

21-78: Optimal Investment and Equilibrium Pricing under Ambiguity

Michail Anthropelos and Paul Schneider

21-77: ESG Screening in the Fixed-Income Universe

Fabio Alessandrini, David Baptista Balula and Eric Jondeau

21-76: Multi-asset financial bubbles in an agent-based model with noise traders’ herding described by an n-vector Ising model

Davide Cividino, Rebecca Westphal and Didier Sornette

21-75: Adapting lending policies in a “negative-for-long” scenario

Oscar Arce, Miguel Garcia-Posada, Sergio Mayordomo and Steven Ongena

21-74: The Price of Money: How Collateral Policy Affects the Yield Curve

Kjell Nyborg and Jiri Woschitz

21-73: Heterogeneous Tail Generalized Common Factor Modeling

Simon Hediger, Jeffrey Näf, Marc S. Paolella and Pawel Polak

21-72: FinTech Lending

Tobias Berg, Andreas Fuster and Manju Puri

21-71: Flow-Driven ESG Returns

Philippe van der Beck

21-70: Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration

Gaetan Bakalli, Davide Cucci, Ahmed Radi, Naser El-Sheimy, Roberto Molinari, Olivier Scaillet and Stéphane Guerrier