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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rp163: False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Laurent Barras, Olivier Scaillet and Russell Wermers

rp162: Repurchasing Shares on a Second Trading Line

Dusan Isakov, Dennis Y. Chung and Christophe Perignon

rp161: Distribution Risk and Equity Returns

Jean-Pierre Danthine, John B. Donaldson and Paolo Siconolfi

rp160: House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics

Steven Bourassa, Donald Haurin, Jessica L. Haurin, Martin Hoesli and Jian Sun

rp159: A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

Philippe Huber, Olivier Scaillet and Maria-Pia Victoria-Feser

rp158: R2 Around the World: New Theory and New Tests

Li Jin and Stewart C. Myers

rp157: Negotiating over Banking Secrecy: The Case of Switzerland and the European Union

Alexandre Ziegler, François-Xavier Delaloye and Michel Habib

rp156: Rational Inattention: A Solution to the Forward Discount Puzzle

Philippe Bacchetta and Eric van Wincoop

rp155: Can Information Heterogeneity Explain the Exchange Rate Determination?

Philippe Bacchetta and Eric van Wincoop

rp154: Testing for Stochastic Dominance Efficiency

Olivier Scaillet and Nikolas Topaloglou

rp153: International Conditional Asset Allocation under Real Time Uncertrainty

Laruent Barras

rp152: Debt Equity Choice in Europe

Philippe Gaud, Martin Hoesli and André Bender

rp151: Spatial Dependence, Housing Submarkets, and House Prices

Steven Bourassa, Eva Cantoni and Martin Hoesli

rp150: Estimation of Jump-Diffusion Process vis Empirical Characteristic Function

Michael Rockinger and Maria Semenova

rp149: Suggested vs. Actual Institutional Allocattion to Real Estate in Europe: A Matter of Size

Martin Hoesli and Jon Lekander

rp148: Monte Carlo Simulations for Real Estate Valuation

Martin Hoesli, Elion Jani and André Bender

rp147: Equity and Neutrality in Housing Taxation

Philippe Thalmann

rp146: Order Submission Strategies and Information: Empirical Evidence from the NYSE

Alessandro Beber and Cecilia Caglio

rp145: Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters

Olivier Scaillet

rp144: Multiariate Wavelet-based sahpe preserving estimation for dependant observation

Antonio Cosma, Olivier Scaillet and Rainer von Sachs

rp143: A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives

Michel Denuit, Anne-Cécile Goderniaux and Olivier Scaillet

rp142: Times-To-Default:Life Cycle, Global and Industry Cycle Impact

Fabien Couderc and Olivier Renault

rp141: Understanding Default Risk Through Nonparametric Intensity Estimation

Fabien Couderc

rp140: Robust Mean-Variance Portfolio Selection

Cédric Perret-Gentil and Maria-Pia Victoria-Feser

rp139: Trading Volumes in Dynamically Efficient Markets

Tony Berrada, Julien Hugonnier and Marcel Rindisbacher

rp138: Growth Options in General Equilibrium: Some Asset Pricing Implications

Julien Hugonnier, Erwan Morellec and Suresh Sundaresan

rp137: On the Demand for Budget Constrained Insurance

Richard Watt and Henri Loubergé

rp136: Direct Preference Wealth in Aggregate Household Portfolios

Pascal St-Amour

rp135: Indirect Robust Estimation of the Short-term interest Rate Process

Veronika Czellar, G. Karolyi and Elvezio Ronchetti

rp134: Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets

Didier Cossin and Gero Jung

rp133: Are European Corporate Bond and Default Swap Markets Segmented?

Didier Cossin and Hongze Lu

rp132: Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?

Eric Jondeau and Michael Rockinger

rp131: Capital Gains Taxes, Irreversible Investment, and Capital Structure

Norman Schürhoff

rp130: Financial Intermediation and the Costs of Trading in an Opaque Market

Richard Green, Burton Hollifield and Norman Schürhoff

rp129: House Prices, Fundamentals and Inflation

Angela Black, Patricia Fraser and Martin Hoesli

rp128: A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence

Olivier Scaillet

rp127: Optimal Changes of Gaussian Measures, with Application to Finance

Henry Schellhorn

rp126: The Dynamics of Mergers and Acquisitions

Erwan Morellec and Alexei Zdhanov

rp125: Capital Structure, Credit Risk, and Macroeconomic Conditions

Dirk Hackbarth, Jianjun Miao and Erwan Morellec

rp124: Developer's Expertise and Dynamicsof Financial Innovation: Theory and Evidence

Helios Herrera and Enrique Schroth

rp123: A Double-Sided Multiunit Combinatorial Auction for Substitutes: Theory and Algorithms

Henry Schellhorn

rp122: Investment under Uncertainty and Incomplete Markets

Julien Hugonnier and Erwan Morellec

rp121: On the debt Capacityof growth Options

Michael J. Barclay, Erwan Morellec and Clifford W. Smith

rp120: Omega Portfolio Construction with Johnson Distributions

Alexander Passow

rp119: A Simple Alternative House Price Index Method

Steven Bourassa, Martin Hoesli and Jian Sun

rp118: Real Asset Returns and Components of Inflation: A Structural VAR Analysis

Matthias Hagmann and Carlos Lenz

rp117: Equity Returns and Integration: Is Europe Changing?

Kpate Adjaoute and Jean-Pierre Danthine

rp116: Price Impact and Survival of Irrational Traders

Leonid Kogan, Stephan Ross, Jiang Wang and Mark Westerfield

rp115: Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data

Amine Jalal and Michael Rockinger

rp114: Further Evidence on Debt-Equity Choice

Philippe Gaud, Martin Hoesli and André Bender