Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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22-61: Shrinking the Term Structure

Damir Filipović, Markus Pelger and Ye Ye

22-59: The Disciplining Effect of Supervisory Scrutiny in the EU-Wide Stress Test

Cosimo Pancaro, Christoffer Kok, Carola Müller and Steven Ongena

22-58: Fake News in Social Networks

Christoph Aymanns, Jakob Foerster, Co-Pierre Georg and Matthias Weber

22-57: The Virtue of Complexity Everywhere

Bryan T. Kelly, Semyon Malamud and Kangying Zhou

22-56: Swiss Electricity Supply and Demand in 2017 and 2050. Is the Swiss 2050 energy plan viable?

Euan Mearns and Didier Sornette

22-55: Hedonic, Residual, and Matching Methods for Residential Land Valuation

Steven Bourassa and Martin Hoesli

22-54: Cheap Talk in Corporate Climate Commitments: The effectiveness of climate initiatives

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

22-53: The End of the Crypto-Diversification Myth

Luciano Somoza and Antoine Didisheim

22-52: Flood, Farms and Credit: How Bank Ties Keep Farmers, Young and Female, above Water

Pejman Abedifar, Seyed Javad Kashizadeh and Steven Ongena

22-51: Foreign Exchange Swaps and Cross-Currency Swaps

Angelo Ranaldo

22-50: Graduating from Group to Individual Loans, with the Help of Personal Guarantees

Vasso Ioannidou, Sheng Li, Mrinal Mishra and Steven Ongena

22-49: The impact of the Russia-Ukraine conflict on the green energy transition – A capital market perspective

Martin Nerlinger and Sebastian Utz

22-48: Bitcoin Price Factors: Natural Language Processing Approach

Oksana Bashchenko

22-47: When do proxy advisors improve corporate decisions?

Berno Buechel, Lydia Mechtenberg and Alexander Wagner

22-46: How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios

Fabio Alessandrini, Eric Jondeau, Ghislaine Lang and Evert Reins

22-45: Environmental Subsidies to Mitigate Transition Risk

Eric Jondeau, Grégory Levieuge, Jean-Guillaume Sahuc and Gauthier Vermandel

22-44: Misfortunes Never Come Alone: From the Financial Crisis to the COVID-19 Pandemic

Antonio Moreno, Steven Ongena, Alexia Ventula Veghazy and Alexander Wagner

22-43: Non-Normal Interactions Create Socio-Economic Bubbles

Didier Sornette, Sandro Claudio Lera, Jianhong Lin and Ke Wu

22-42: Green versus sustainable loans: The impact on firms’ ESG performance

Özlem Dursun- de Neef, Steven Ongena and Gergana Tsonkova

22-41: Polytope Fraud Theory

Dongshuai Zhao, Zhongli Wang, Florian Schweizer-Gamborino and Didier Sornette

22-40: Liquidity Provision to Leveraged ETFs and Equity Options Rebalancing Flows: Evidence from End-of-Day Stock Prices

Andrea Barbon, Heiner Beckmeyer, Andrea Buraschi and Mathis Moerke

22-39: Can the Government Be an Effective Venture Capital Investor?

Martina Fraschini, Andrea Maino and Luciano Somoza

22-38: On The Quality Of Cryptocurrency Markets: Centralized Versus Decentralized Exchanges

Andrea Barbon and Angelo Ranaldo

22-37: Agent-based model generating stylized facts of fixed income markets

Antoine Kopp, Rebecca Westphal and Didier Sornette

22-36: Economic Policy Uncertainty and the Yield Curve

Markus Leippold and Felix Matthys

22-35: Can unconventional monetary policy contribute to climate action?

Alice Eliet-Doillet and Andrea Maino

22-34: On the Directional Destabilizing Feedback Effects of Option Hedging

Didier Sornette, Florian Ulmann and Alexander Wehrli

22-33: Back to the Roots of Internal Credit Risk Models: Why Do Banks’ Risk-Weighted Asset Levels Converge over Time?

Victoria Böhnke, Steven Ongena, Florentina Paraschiv and Endre J Reite

22-32: The Role of the End Time in Experimental Asset Markets

Anita Kopányi-Peuker and Matthias Weber

22-31: The Impact of the SBA Funding Programs on the Distance and Pricing of Loans to Small Businesses

Manish Gupta and Steven Ongena

22-30: Ensemble learning for portfolio valuation and risk management

Lotfi Boudabsa and Damir Filipović

22-29: War and Policy: Investor Expectations on the Net-Zero Transition

Ming Deng, Markus Leippold, Alexander Wagner and Qian Wang

22-28: “There is No Planet B", but for Banks “There are Countries B to Z": Domestic Climate Policy and Cross-Border Bank Lending

Emanuela Benincasa, Gazi Kabaş and Steven Ongena

22-27: The Wealth Creation Effect in Stock Returns

Francesco A. Franzoni, Daniel Obrycki and Rafael Resendes

22-26: The Economics of Sustainability Linked Bonds

Tony Berrada, Leonie Engelhardt, Rajna Gibson and Philipp Krueger

22-25: ESG and Systemic Risk

George-Marian Aevoae, Alin Marius Andries, Steven Ongena and Nicu Sprincean

22-24: Stripping the Discount Curve - a Robust Machine Learning Approach

Damir Filipović, Markus Pelger and Ye Ye

22-23: Deconstructing ESG Scores: How to Invest with Your own Criteria

Torsten Ehlers, Ulrike Elsenhuber, Kumar Jegarasasingam and Eric Jondeau

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