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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rp113: Geographic Versus Industry Diversification: Contraints Matter

Paul Ehling and Sofia Ramos

rp112: Nonparametric Estimation of Conditional Expected Shortfall

Olivier Scaillet

rp111: The Integration of Securitized Real Estate and Financial Assets

Séverine Cauchie and Martin Hoesli

rp110: Higher Order Expectations in Asset Pricing

Philippe Bacchetta and Eric van Wincoop

rp109: Stock Exchange Competition in a Simple Model of Capital Market Equilibrium

Sofia Ramos and Ernst-Ludwig von Thadden

rp108: SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS

Jean-David Fermanian and Olivier Scaillet

rp107: Theory and Calibration of Swap Market Models

Stefano Galluccio, Z. Huang, J.-M. Ly and Olivier Scaillet

rp106: Credit Risk in a Network Economy

Henry Schellhorn and Didier Cossin

rp105: The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

Alessandro Beber and Michael W. Brandt

rp104: Sovereign Debt Contract and Optimal Consumption-Investment Strategies

Andriy Demchuk,

rp103: Portfolio Optimization with Concave Transaction Costs

Andriy Demchuk

rp102: Executive Compensation and Analyst Guidance: The Link between CEO Pay and Expectations Management

Guido Bolliger and Manuel Kast

rp101: Mortality Risk and Real Optimal Asset Allocation for Pension Funds

Francesco Menoncin and Olivier Scaillet

rp100: Mutual Fund Flows and Performance in Rational Markets

Jonathan B. Berk and Richard Green

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

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

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

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