FAME Research Paper Series

Continued by Swiss Finance Institute Research Paper Series.

From International Center for Financial Asset Management and Engineering
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rp99: Irreversible Investment with Regime Shifts

Xin Guo, Jianjun Miao and Erwan Morellec

rp98: The Price of Aesthetic Externalities

Steven Bourassa, Martin Hoesli and Jian Sun

rp97: Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts

Tom A. Fearnley

rp96: Financial Structure and Market Equilibrium in a Vertically Differentiated Industry

Jean Lefoll and Stylianos Perrakis

rp95: Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds

Tom A. Fearnley

rp94: Quantitative Selection of Long-Short Hedge Funds

Kaifeng Chen and Alexander Passow

rp93: A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

Alexey Medvedev and Olivier Scaillet

rp92: Testing for Contagion in International Financial Markets: Which Way to Go?

Sébastien Wälti

rp91: Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators

Matthias Hagmann and Olivier Scaillet

rp90: Determinants of Cross-Sectional Variation in Discount Rates, Growth Rates, and Exit Cap Rates

Åke Gunnelin, Patric Hendershott, Martin Hoesli and Bo Söderberg

rp9: Recovery Risk in Stock Returns

Aydin Akgun and Rajna Gibson

rp89: Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements

Jean-David Fermanian and Olivier Scaillet

rp88: The Macroeconomics of Delegated Management

Jean-Pierre Danthine and John B. Donaldson

rp87: Maximum Drawdown and the Allocation to Real Estate

Foort Hamelink and Martin Hoesli

rp86: Portfolio Diversification in Europe

Kpate Adjaouté, Jean-Pierre Danthine and Dusan Isakov

rp85: Start-ups Defined as Portfolios of Embedded Options

Pascal Botteron and Jean-François Casanova

rp84: European Financial Integration and Equity Returns: A Theory-Based Assessment

Kpate Adjaouté and Jean-Pierre Danthine

rp83: On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities

Olivier Renault and Olivier Scaillet

rp82: The Welfare Implications of Non-Patentable Financial Innovations

Helios Herrera and Enrique Schroth

rp81: Does Poor Legal Enforcement Make Households Credit-Constrained?

Daniela Fabbri and Mario Padula

rp80: Geographical versus Industrial Diversification: A Mean Variance Spanning Approach

Paul Ehling and Sofia Ramos

rp8: Option Pricing and Replication with Transaction Costs and Dividends

Stylianos Perrakis and Jean Lefoll

rp79: What’s in a View?

Steven Bourassa, Martin Hoesli and Jian Sun

rp78: Why Government Bonds Are Sold by Auction and Corporate Bonds by Posted-Price Selling

Michel A. Habib and Alexandre Ziegler

rp77: Competition Between Stock Exchanges: A Survey

Sofia Ramos

rp76: Profitable Innovation Without Patent Protection: The Case of Derivatives

Helios Herrera and Enrique Schroth

rp75: Who are the Best? Local Versus Foreign Analysts on the Latin American Stock Markets

Jean-François Bachmann and Guido Bolliger

rp74: Innovation and First-Mover Advantages in Corporate Underwriting: Evidence from Equity Linked Securities

Enrique Schroth

rp73: On the Consequences of State Dependent Preferences for the Pricing of Financial Assets

Jean-Pierre Danthine, John B. Donaldson, Christos Giannikos and Hany Guirguis

rp72: Are practitioners right? On the relative importance of industrial factors in international stock returns

Dusan Isakov and Frédéric Sonney

rp71: The Allocation of Assets Under Higher Moments

Eric Jondeau and Michael Rockinger

rp70: International Evidence on Real Estate as a Portfolio Diversifier

Martin Hoesli, Jon Lekander and Witold Witkiewicz

rp7: Optimal Catastrophe Insurance with Multiple Catastrophes

Henri Loubergé and Harris Schlesinger

rp69: Conditional Dependency of Financial Series: The Copula-GARCH Model

Eric Jondeau and Michael Rockinger

rp68: The capital structure of Swiss companies: an empirical analysis using dynamic panel data

Philippe Gaud, Elion Jani, Martin Hoesli and André Bender

rp67: Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility

Peng Cheng and Olivier Scaillet

rp66: Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases

Paolo Battocchio, Francesco Menoncin and Olivier Scaillet

rp65: Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?

Didier Cossin, Tomas Hricko, Daniel Aunon-Nerin and Zhijiang Huang

rp64: Dynamic Allocation of Treasury and Corporate Bond Portfolios

Roger Walder

rp62: Integrated Market and Credit Risk Management of Fixed Income Portfolios

Roger Walder

rp61: A Framework for Collateral Risk Control Determination

Didier Cossin, Zhijiang Huang, Daniel Aunon-Nerin and Fer nando González

rp60: Optimal Dynamic rading Strategies with Risk Limits

Domenico Cuoco, Hua He and Sergei Issaenko

rp6: Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse

Foort Hamelink

rp59: Implicit Forward Rents as Predictors of Future Rents

Peter Englund, Åke Gunnelin, Martin Hoesli and Bo Söderberg

rp58: Do Housing Submarkets Really Matter?

Steven Bourassa, Martin Hoesli and Vincent S. Peng

rp57: Nonparametric Estimation of Copulas for Time Series

Jean-David Fermanian and Olivier Scaillet

rp56: Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures

Roger Walder

rp55: Option Pricing with Discrete Rebalancing

Jean-Luc Prigent, Olivier Renault and Olivier Scaillet

rp54: The Determinants of Stock Returns in a Small Open Economy

Séverine Cauchie, Martin Hoesli and Dusan Isakov

rp53: Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates

Christophe Pérignon and Christophe Villa