Working Papers on Finance

From University of St. Gallen, School of Finance
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1318: Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals

Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo

1317: Electricity Derivatives Pricing with Forward-Looking Information

Roland Füss, Steffen Mahringer and Marcel Prokopczuk

1316: The Euro Interbank Repo Market

Loreano Mancini, Angelo Ranaldo and Jan Wrampelmeyer

1315: Understanding FX Liquidity

Nina Karnaukh, Angelo Ranaldo and Paul Söderlind

1314: Price Dynamics in Electricity Markets

Florentina Paraschiv

1313: Investors’ Behavior under Changing Market Volatility

Agustin Daviou and Florentina Paraschiv

1312: Extreme Spillover Between Shadow Banking and Regular Banking

Florentina Paraschiv and Minzi Qin

1311: Spot-forward Model for Electricity Prices

Stein-Erik Fleten, Florentina Paraschiv and Michel Schürle

1310: Relationship Banking in the Residential Mortgage Market? Evidence from Switzerland

Martin Brown and Matthias Hoffmann

1309: Does Price Fixing Benefit Corporate Managers?

Tanja Artiga Gonzalez, Markus Schmid and David Yermack

1308: The Determinants of Microinsurance Demand

Martin Eling, Shailee Pradhan and Joan T. Schmit

1307: Common Risk Factors of Infrastructure Firms

Semir Ben Ammar and Martin Eling

1306: Basis Risk, Procylicality, and Systemic Risk in the Solvency II Equity Risk Module

Martin Eling and David Pankoke

1305: Regulation in Microinsurance Markets: Principles, Practice, and Directions for Future Development

Christian Biener, Martin Eling and Joan T. Schmit

1304: Variance Risk Premiums in Foreign Exchange Markets

Manuel Ammann and Ralf Buesser

1303: Announcements of Interest Rate Forecasts: Do Policymakers Stick to Them?

Nikola Mirkov and Gisle Natvik

1302: Microfinance Banks and Household Access to Finance

Martin Brown, Benjamin Guin and Karolin Kirschenmann

1301: Financial Literacy, Household Investment and Household Debt: Evidence from Switzerland

Martin Brown and Roman Graf

1224: Research on Lapse in Life Insurance – What Has Been Done and What Needs to Be Done?

Martin Eling and Michael Kochanski

1223: Who is Changing Health Insurance Coverage? Empirical Evidence on Policyholder Dynamics

Marcus Christiansen, Martin Eling, Jan-Philipp Schmidt and Lorenz Zirkelbach

1222: Systemic Risk in the Insurance Sector – What Do We Know?

Martin Eling and David Pankoke

1221: The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design

Martin Eling and Stefan Holder

1220: Medium-term Planning for Thermal Electricity Production

Raimund Kovacevic and Florentina Paraschiv

1219: Adjustment Policy of Deposit Rates in the Case of Swiss non-Maturing Savings Accounts

Florentina Paraschiv

1218: Modeling Non-maturing Savings Volumes

Florentina Paraschiv

1217: Is Director Industry Experience Valuable?

Felix von Meyerinck, David Oesch and Markus Schmid

1216: Decomposing Performance

Daniel Hoechle, Markus Schmid and Heinz Zimmermann

1215: Time Stamp Errors and the Stock Price Reaction to Analyst Recommendation and Forecast Revisions

Daniel Hoechle, Nic Schaub and Markus Schmid

1214: Risk Spillovers in International Equity Portfolios

Mateo Bonato, Massimiliano Caporin and Angelo Ranaldo

1213: On the Predictability of Stock Prices: a Case for High and Low Prices

Massimiliano Caporin, Angelo Ranaldo and Paolo Santucci de Magistris

1212: Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity

Tommaso Mancini Griffoli and Angelo Ranaldo

1211: Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model

Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo

1210: Fragmentation in European Equity Markets and Market Quality – Evidence from the Analysis of Trade-Throughs

Alexander Kohler and Rico von Wyss

1209: Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID

Alexander Kohler and Rico von Wyss

1208: Central Bank Reserves and the Yield Curve at the ZLB

Nikola Mirkov and Barbara Sutter

1207: Contagious Bank Runs: Experimental Evidence

Martin Brown, Stefan Trautmann and Razvan Vlahu

1206: Foreign Bank Ownership and Household Credit

Thorsten Beck

1205: Long-term Unemployment over the Business Cycle, Skill Loss, and Monetary Policy

Daniel Kienzler

1204: Do Newspaper Articles Predict Aggregate Stock Returns?

Manuel Ammann, Roman Frey and Michael Verhofen

1203: Information or Insurance? On the Role of Loan Officer Discretion in Credit Assessment

Martin Brown, Matthias Schaller, Simone Westerfeld and Markus Heusler

1202: An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union

Manuel Ammann, Sandro Odoni and David Oesch

1201: International Financial Transmission of the US Monetary Policy: An Empirical Assessment

Nikola Mirkov