Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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23-14: The Implementation of Central Bank Policy in China: The Roles of Commercial Bank Ownership and CEO Faction Membership

Michel Antoine Habib, Yushi Peng, Yanjie Wang and Zexi Wang

23-13: Listed Real Estate as an Inflation Hedge across Regimes

Jan Muckenhaupt, Martin Hoesli and Bing Zhu

23-12: Money Market Disconnect

Benedikt Ballensiefen, Angelo Ranaldo and Hannah Winterberg

23-11: Sentiment Spin: Attacking Financial Sentiment with GPT-3

Markus Leippold

23-10: Beyond Climate: The Impact of Biodiversity, Water, and Pollution on the CDS Term Structure

Andreas G. F. Hoepner, Johannes Klausmann, Markus Leippold and Jordy Rillaerts

23-09: A Leveraged Gender Gap: The Combined Effect of Longevity Risk (Mis)-Perception and Financial Risk-Taking

Giovanna Apicella and Enrico G. De Giorgi

23-08: The Role of Multi-Family Properties in Hedging Pension Liability Risk: Long-Run Evidence

Martin Hoesli, Louis Johner and Jon Lekander

23-07: Who Pays for Sustainability? An Analysis of Sustainability-Linked Bonds

Julian F Kölbel and Adrien-Paul Lambillon

23-06: Inflation, the Corporate Greed Narrative, and the Value of Corporate Social Responsibility

Ana Mão- de-Ferro and Stefano Ramelli

23-05: Retail Customer Reactions to Private Equity Acquisitions

Vesa Pursiainen and Tereza Tykvova

23-04: Money Market Funds and the Pricing of Near-Money Assets

Sebastian Doerr, Egemen Eren and Semyon Malamud

23-03: The Horizon of Investors' Information and Corporate Investment

Olivier Dessaint, Thierry Foucault and Laurent Frésard

23-02: Gender-inclusive financial and demographic literacy: lessons from the empirical evidence

Giovanna Apicella, Enrico G. De Giorgi, Emilia Di Lorenzo and Marilena Sibillo

23-01: “Out of Sight, Out of Mind?” Banks’ Private Information, Distance, and Relationship Length

Stijn Claessens, Steven Ongena and Teng Wang

22-98: Revealed Beliefs about Responsible Investing: Evidence from Mutual Fund Managers

Vitaly Orlov, Stefano Ramelli and Alexander Wagner

22-97: Bottleneck effects of monetary policy

Emilia Garcia-Appendini, Frédéric Boissay and Steven Ongena

22-96: Evolutionary finance: A model with endogenous asset payoffs

Igor Evstigneev, Thorsten Hens and Mohammad Javad Vanaei

22-95: Empirical Asset Pricing via Ensemble Gaussian Process Regression

Damir Filipović and Puneet Pasricha

22-94: Global Evidence on Profit Shifting Within Firms and Across Time

Fotis Delis, Manthos D. Delis, Luc Laeven and Steven Ongena

22-93: Stock Market Liquidity, Monetary Policy and the Business Cycle

Markus Leippold and Vincent Wolff

22-92: The Impact of Positive Information Sharing on Banks’ Lending to Households

Tamas Briglevics, Artashes Karapetyan, Steven Ongena and Ibolya Schindele

22-91: Collateral Cycles

Evangelos Benos, Gerardo Ferrara and Angelo Ranaldo

22-90: Realized Illiquidity

Demetrio Lacava, Angelo Ranaldo and Paolo Santucci de Magistris

22-89: Do Institutional Directors Matter?

Heng Geng, Harald Hau, Roni Michaely and Binh Nguyen

22-88: Density and Risk Prediction with Non-Gaussian COMFORT Models

Marc S. Paolella and Pawel Polak

22-87: Momentum Without Crashes

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

22-86: The Heterogeneous Response of Real Estate Asset Prices to a Global Shock

Sandro Heiniger, Winfried Koeniger and Michael Lechner

22-85: Asset Pricing with “Buy Now, Pay Later”

Semyon Malamud, Neng Wang and Yuan Zhang

22-84: Non-Fungible Tokens

Andrea Barbon and Angelo Ranaldo

22-83: Banks, Credit Reallocation, and Creative Destruction

Christian Keuschnigg, Michael Kogler and Johannes Matt

22-82: Constrained Liquidity Provision in Currency Markets

Wenqian Huang, Angelo Ranaldo, Andreas Schrimpf and Fabricius Somogyi

22-81: Eigenvalue tests for the number of latent factors in short panels

Alain-Philippe Fortin, Patrick Gagliardini and Olivier Scaillet

22-80: The Unicorn Puzzle

Daria Davydova, Ruediger Fahlenbrach, Leandro Sanz and René M. Stulz

22-79: Identifiability and Generalizability from Multiple Experts in Inverse Reinforcement Learning

Paul Rolland, Luca Viano, Norman Schürhoff, Boris Nikolov and Volkan Cevher

22-78: House Price Bubble Detection in Ukraine

Alona Shmygel and Martin Hoesli

22-77: Can Time-Varying Currency Risk Hedging Explain Exchange Rates?

Leonie Bräuer and Harald Hau

22-76: Do Lenders Price the Brown Factor in Car Loans? Evidence from Diesel Cars

Winta Beyene, Matteo Falagiarda, Steven Ongena and Alessandro Scopelliti

22-75: Movables as Collateral and Corporate Credit: Loan-Level Evidence from Legal Reforms across Europe

Steven Ongena, Walid Saffar, Yuan Sun and Lai Wei

22-74: External Wealth of Nations and Systemic Risk

Alin Marius Andries, Alexandra-Maria Chiper, Steven Ongena and Nicu Sprincean

22-72: Experimental Research on Retirement Decision-Making: Evidence from Reproductions

Kremena Bachmann, Andre Lot, Xiaogeng Xu and Thorsten Hens

22-71: Pricing Autocallables under Local-Stochastic Volatility

Walter Farkas, Francesco Ferrari and Urban Ulrych

22-70: Quote Competition in Corporate Bonds

Terrence Hendershott, Dan Li, Dmitry Livdan, Norman Schürhoff and Kumar Venkataraman

22-69: Comprehensive empirical assessment of nuclear power risks

Ali Ayoub and Didier Sornette

22-68: Consumer Privacy and the Value of Consumer Data

Mehmet Canayaz, Ilja Kantorovitch and Roxana Mihet

22-67: On the Estimation of Demand-Based Asset Pricing Models

Philippe van der Beck

22-66: Building portfolios of sovereign securities with decreasing carbon footprints

Gong Cheng, Eric Jondeau and Benoit Mojon

22-65: Cross-Selling in Bank Household Relationships. Implications for Deposit Pricing, Loan Pricing, and Monetary Policy

Christoph Basten and Ragnar Juelsrud

22-64: Different Shades of Green: Estimating the Green Bond Premium using Natural Language Processing

Emanuela Benincasa, Jonathan Fu, Mrinal Mishra and Adityavardhan Paranjape

22-63: Machine Learning and the Implementable Efficient Frontier

Theis Ingerslev Jensen, Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen

22-62: Valuing Life over the Life Cycle

Pascal St-Amour