Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
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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

21-69: Persuasion by Dimension Reduction

Semyon Malamud and Andreas Schrimpf

21-68: Expectations and Aggregate Risk

Lorenzo Bretscher, Aytek Malkhozov and Andrea Tamoni

21-67: Counteroffers and Price Descrimination in Mortgage Lending

Steven Ongena, Florentina Paraschiv and Endre J Reite

21-66: The countercyclical capital buffer and the composition of bank lending

Raphael Auer, Alexandra Matyunina and Steven Ongena

21-65: Various Course Proposals for: Mathematics with a View Towards (the Theoretical Underpinnings of) Machine Learning

Marc S. Paolella

21-64: The Impact of Monetary Conditions on Bank Lending to Households

Gyozo Gyongyosi, Steven Ongena and Ibolya Schindele