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Complete List of Research Papers

For more detailed information on each paper, including an abstract and Adobe Acrobat (.pdf) file, please click on the corresponding paper number.  This series is distributed through the Social Science Research Network Financial Economics Network.  To access the Swiss Finance Institute Research Paper Series, please use the following link: http://www.ssrn.com/link/swiss-finance-institute.html


2016

N°30
Risk and Resilience Management in Social-Economic Systems

Tatyana KOVALENKO, ETH Zurich and CREATE Way
Didier SORNETTE, ETH Zurich, Singapore-ETH Centre, and Swiss Finance Institute

N°29
Dating the Financial Cycle: A Wavelet Proposition

Diego ARDILA, ETH Zurich
Didier SORNETTE, Swiss Finance Institute; ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

N°28
Which Swiss Gnomes Attract Money? Efficiency and Reputation as Performance Drivers of Wealth Management Banks

Urs BIRCHLER, University of Zurich - Faculty of Economics, Business Administration and Information Technology
René HEGGLIN, University of Zurich - Department of Banking and Finance
Michael R. REICHENECKER, UBS AG
Alexander F. WAGNER, University of Zurich - Department of Banking and Finance; Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

N°27
High Frequency House Price Indexes with Scarce Data

Steven C. BOURASSA, Florida Atlantic University
Martin HOESLI, University of Geneva, Geneva Finance Research Institute, Swiss Finance Institute, University of Aberdeen Business School, and Kedge Business School

N°26
Dynamic Principal-Agent Models

Philipp RENNER, Stanford University - The Hoover Institution on War, Revolution and Peace
Karl SCHMEDDERS, Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute; University of Zurich

N°25
Replicating Portfolio Approach to Capital Calculation

Mathieu CAMBOU, Ecole Polytechnique Fédérale de Lausanne
Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne; Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute

N°24
Why Does Fast Loan Growth Predict Poor Performance for Banks?

Rüdiger FAHLENBRACH, Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute
Robert PRILMEIER, Tulane University - A.B. Freeman School of Business
René M. STULZ, Ohio State University (OSU) - Department of Finance; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI)

N°23
On the Relation Between Linearity- Generating Processes and Linear- Rational Models

Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Martin LARSSON, ETH Zurich
Anders B. TROLLE, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute

N°22
Equity is Cheap for Large Financial Institutions: The International Evidence

Priyank GANDHI, Mendoza College of Business, University of Notre Dame
Hanno N. LUSTIG, Stanford Graduate School of Business; National Bureau of Economic Research (NBER)
Alberto PLAZZI, USI-Lugano; Swiss Finance Institute

N°21
Price Impact of Aggressive Liquidity Provision

Ramazan GENCAY, Simon Fraser University
Soheil MAHMOODZADEH, University of Cambridge - Faculty of Economics
Jakub ROJCEK, University of Zurich, Department of Banking and Finance; Swiss Finance Institute
Michael C TSENG, Simon Fraser University (SFU) - Department of Economics

N°20
Real Estate Company Reactions to Financial Market Regulation

Martin HOESLI, University of Geneva - Graduate School of Business (HEC-Geneva); University of Aberdeen - Business School; Swiss Finance Institute
Stanimira MILCHEVA, University of Reading - Henley Business School
Alex MOSS, University of Reading - Henley Business School; City University London - Sir John Cass Business School

N°19
Rollover Traps


Marco Della SETA, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Erwan MORELLEC, Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute
Francesca ZUCCHI, Federal Reserve Board

N°18
Corporate Policies with Permanent and Transitory Shocks

Jean-Paul DECAMPS, University of Toulouse 1 - Toulouse School of Economics (TSE)
Sebastian GRYGLEWICZ, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Erwan MORELLEC, Ecole Polytechnique Fédérale de Lausanne; Swiss Finance Institute
Stephane VILLENEUVE, University of Toulouse 1 - Toulouse School of Economics (TSE)

N°17
Empty Creditors and Strong Shareholders: The Real Effects of Credit Risk Trading

Stefano COLONNELLO, Otto-von-Guericke University Magdeburg and Halle Institute for Economic Research
Matthias EFING, University of Geneva and Swiss Finance Institute (PhD Program)
Francesca ZUCCHI, Federal Reserve Board of Governors

N°16
The Quality-Assuring Role of Mutual Fund Advisory Fees

Michel A. HABIB, University of Zurich, Swiss Finance Institute, and CEPR
D. Bruce JOHNSEN, George Mason University School of Law



N°15


Discrete-Time Option Pricing with Stochastic Liquidity

Markus LEIPPOLD, University of Zurich and Swiss Finance Institute
Steven SCHÄRER, University of Zurich


N°14
A Bayesian Estimate of the Pricing Kernel


Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Chiara LEGNAZZI, University of Lugano and Swiss Finance Institute (PhD Program)
Antonietta MIRA, University of Lugano


N°13


Forecasting Financial Returns with a Structural Macroeconomic Model


Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Michael ROCKINGER, University of Lausanne, Swiss Finance Institute, and Centre for Economic Policy Research (CEPR)

N°12


Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles


Vladimir FILIMONOV, ETH Zurich
Guilherme DEMOS, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°11
Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles

Vladimir FILIMONOV, ETH Zurich
Guilherme DEMOS, ETH Zurich
Didier SORNETTE; ETH Zurich and Swiss Finance Institute


N°10


Birds of a Feather – Do Hedge Fund Managers Flock Together?


Marc GERRITZEN, University of Konstanz
Jens Carsten JACKWERTH, University of Konstanz
Alberto PLAZZI, University of Lugano and Swiss Finance Institute


N°9


Quantum Decision Theory in Simple Risky Choices


Maroussia FAVRE, ETH Zürich
Amrei WITTWER,  University of Zurich
Hans Rudolf HEINIMANN, ETH Zurich
Vyacheslav I. YUKALOV, Joint Institute for Nuclear Research and ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°8


Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles

Didier SORNETTE; ETH Zurich and Swiss Finance Institute
Sandra ANDRASZEWICZ, ETH Zurich
Ryan O. MURPHY, University of Zurich
Philipp B. RINDLER, EBS Universität für Wirtschaft und Recht
Dorsa SANADGOL, ETH Zurich


N°7


Employment Protection and Investment Opportunities

Claudio F. LODERER, University of Berne, European Corporate Governance Institute (ECGI), and Swiss Finance Institute
Urs WAELCHLI, University of Rochester
Jonas ZELLER, University of Berne


N°6


On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints

Olivier SCAILLET, University of Geneva and Swiss Finance Institute

N°5
LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index

Qunzhi ZHANG, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Mehmet BALCILAR, Eastern Mediterranean University
Rangan GUPTA, University of Pretoria
Zeynel Abidin OZDEMIR, Gazi University
I. Hakan YETKINER, Izmir University of Economics


N°4
A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Maximilian ADELMANN, University of Zurich
Lucio FERNANDEZ ARJONA, Zurich Insurance Group Ltd.
Janos MAYER, University of Zurich
Karl SCHMEDDERS, University of Zurich and Swiss Finance Institute

N°3
Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles

Maximilian SEYRICH, Technische Universität Berlin (TU Berlin)
Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°2
Economically Consistent Valuations and Put-Call Parity

Martin HERDEGEN, ETH Zurich
Martin SCHWEIZER, ETH Zurich and Swiss Finance Institute


N°1
Measuring House Price Bubbles

Steven C. BOURASSA, Florida Atlantic University
Martin HOESLI, University of Geneva, GFRI, Swiss Finance Institute, University of Aberdeen Business School, and Kedge Business School
Elias OIKARINEN, University of Turku


2015

N°68
Are Financial-Conglomerate-Affiliated Hedge Funds Special?

Francesco FRANZONI, University of Lugano and Swiss Finance Institute
Mariassunta GIANNETTI, Stockholm School of Economics, Centre for Economic Policy Research (CEPR), European Corporate Governance Institute (ECGI), Swedish House of Finance

N°67
The Granular Nature of Large Institutional Investors

Itzhak BEN-DAVID, Ohio State University and National Bureau of Economic Research (NBER)
Francesco FRANZONI, University of Lugano and Swiss Finance Institute
Rabih MOUSSAWI, Villanova University and University of Pennsylvania
John SEDUNOV, Villanova University


N°66
Does the Pricing Kernel Anomaly Reflect Forward Looking Beliefs?

Carlo Sala, University of Lugano and Swiss Finance Institute (PhD Program)

N°65
How Do Investors and Firms React to an Unexpected Currency Appreciation Shock?

Matthias EFING, University of Geneva and Swiss Finance Institute (PhD Program)
Rüdiger FAHLENBRACH, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Christoph HERPFER, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute (PhD Program)
Philipp KRÜGER, University of Geneva and Swiss Finance Institute


N°64
The Pricing Kernel Density: The Case of the Information that Did Not Bark

Carlo SALA, University of Lugano and Swiss Finance Institute (PhD Program)
Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute


N°63
Countercyclical Foreign Currency Borrowing: Eurozone Firms in 2007-2009

Philippe BACCHETTA, University of Lausanne and Swiss Finance Institute
Ouarda MERROUCHE, University of Lausanne and CEPR


N°62
Secular Bipolar Growth Rate of the Real US GDP per Capita: Implications for Understanding past and Future Economic Growth

Sandro Claudio LERA, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°61
An Anatomy of the Equity Premium

Paul SCHNEIDER, University of Lugano and Swiss Finance Institute

N°60
Divergence and the Price of Uncertainty

Paul SCHNEIDER, University of Lugano, Swiss Finance Institute, and Boston University
Fabio TROJANI, University of Geneva and Swiss Finance Institute

N°59
Herding and Stochastic Volatility

Walter FARKAS, ETH Zurich and Swiss Finance Institute
Ciprian NECULA, University of Zurich and Bucharest University of Economic Studies
Boris WAELCHLI, University of Zurich

N°58
Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel Onto a Smaller Filtration Set

Carlo Sala, University of Lugano and Swiss Finance Institute (PhD Program)
Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute

N°57
Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?

Guilherme DEMOS, ETH Zurich
Qunzhi ZHANG, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°56
Statistical Testing of DeMark Technical Indicators on Commodity Futures

Marco LISSANDRIN, ETH Zurich
Donnacha DALY, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°55
Informed Trading and Option Prices: Evidence from Activist Trading

Pierre COLLIN-DUFRESNE, Ecole Polytechnique Fédérale de Lausanne, Swiss Finance Institute, and National Bureau of Economic Research
Vyacheslav FOS, Boston College
Dmitriy MURAVYEV, Boston College

N°54
A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing

Walter FARKAS, ETH Zurich and Swiss Finance Institute
Elise GOURIER, University of London
Robert HUITEMA, University of Zurich
Ciprian NECULA, Bucharest University of Economic Studies

N°53
A General Closed Form Option Pricing Formula

Ciprian Necula, Bucharest University of Economic Studies
Gabriel G. Drimus, University of Zürich
Walter Farkas, ETH Zurich amd Swiss Finance Institute


N°52
Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging

Sebastian HERRMANN, ETH Zurich
Johannes MUHLE-KARBE, ETH Zurich, Swiss Finance Institute, and University of Michigan


N°51
Liquidity Management in Banking: What is the Role of Leverage?

Quynh-Anh VO, University of Zurich

N°50
Conditioning the Information in Portfolio Optimization

Carlo SALA, Swiss Finance Institute at the University of Lugano
Giovanni BARONE-ADESI, Swiss Finance Institute at the University of Lugano

N°49
Leverage and Risk Taking

Santiago MORENO-BROMBERG, University of Zurich
Guillaume ROGER, University of Sydney


N°48
Has the Pricing of Stocks Become More Global?

Ivan PETZEV, University of Zurich
Andreas SCHRIMPF, Bank for International Settlements (BIS)
Alexander F. WAGNER, University of Zurich and Swiss Finance

N°47
Average Skewness Matters!

Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Qunzi ZHANG, Shandong University


N°46
The Impact of Treasury Supply on Financial Sector Lending and Stability

Arvind KRISHNAMURTHY, Stanford University and National Bureau of Economic Research
Annette VISSING-JORGENSEN, National Bureau of Economic Research, University of California, Berkeley, and Center for Economic Policy Research


N°45
VaR and CVaR Implied in Option Prices

Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute

N°44
Optimal Rebalancing Frequencies for Multidimensional Portfolios

Ibrahim EKREN, ETH Zurich
Ren LIU, ETH Zurich
Johannes MUHLE-KARBE, ETH Zurich and Swiss Finance Institute


N°43
Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities

Qun ZHANG, ETH Zurich, South China University of Technology
Qunzhi ZHANG, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°42
What Affects Children's Outcomes: House Characteristics or Homeownership?

Steven C. BOURASSA, Florida Atlantic University
Donald R. HAURIN, Ohio State University
Martin HOESLI, University of Geneva, University of Aberdeen, and Swiss Finance Institute

N°41
Liquidity, Innovation, and Endogenous Growth

Semyon MALAMUD, Ecole Polytechnique Fédérale de Lausanne, Swiss Finance Institute, and CEPR
Francesca ZUCCHI, Board of Governors of the Federal Reserve System

N°40
Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment

Philipp KRÜGER, University of Geneva and Swiss Finance Institute

N°39
Technological Progress and Ownership Structure

Heng GENG, University of Hong Kong
Harald HAU, University of Geneva and Swiss Finance Institute
Sandy LAI, University of Hong Kong


N°38
A Result on Integral Functionals with Infinitely Many Constraints

Tahir CHOULLI, University of Alberta
Martin SCHWEIZER, ETH Zurich


N°37
A Dynamic Equilibrium Model of ETFs

Semyon MALAMUD, Ecole Polytechnique Fédérale de Lausanne, Swiss Finance Institute, and CEPR

N°36
The Price of the Smile and Variance Risk Premia

Peter H. GRUBER, University of Lugano
Claudio TEBALDI, Bocconi University, IGIER and CAREFIN
Fabio TROJANI, University of Geneva and Swiss Finance Institute


N°35
Information and Inventories in High-Frequency Trading

Johannes MUHLE-KARBE, ETH Zurich and Swiss Finance Institute
Kevin WEBSTER, Princeton University


N°34
Stochastic Claims Reserving Manual: Advances in Dynamic Modeling

Mario V. WÜTHRICH, RiskLab, ETH Zurich and Swiss Finance Institute
Michael MERZ, University of Hamburg


N°33
Constrained Random Walk Models for Euro/Swiss Franc Exchange Rates: Theory and Empirics

Sandro LERA, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°32
Outperforming Naive Diversification Using Stock Level Information

Tony BERRADA, University of Geneva and Swiss Finance Institute
Sebastien COUPY, University of Geneva and Swiss Finance Institute


N°31
Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash

Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Guilherme DEMOS, ETH Zurich
Qun ZHANG, ETH Zurich, South China University of Technology
Peter CAUWELS, ETH Zurich
Vladimir FILIMONOV, ETH Zurich
Qunzhi ZHANG, ETH Zurich

N°30
The Acceleration Effect and Gamma Factor in Asset Pricing

Diego ARDILA-ALVAREZ, ETH Zurich
Zalán FORRO, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°29
Size and Momentum Profitability in International Stock Markets

Peter S. SCHMIDT, University of Zurich
Urs VON ARX, ETH Zurich
Andreas SCHRIMPF, Bank for International Settlements
Alexander F. WAGNER, University of Zurich and Swiss Finance Institute
Andreas ZIEGLER, University of Kassel


N°28
Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings

Spencer WHEATLEY, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°27
Sensitivity of Optimal Consumption Streams

Martin HERDEGEN, ETH Zurich
Johannes MUHLE-KARBE, ETH Zurich, Swiss Finance Institute


N°26
Consistent Re-Calibration in Yield Curve Modeling: An Example

Mario V. WÜTHRICH, RiskLab, ETH Zurich; and Swiss Finance Institute

N°25
Does Market Irrationality in the Media Affect Stock Returns?

Rajna GIBSON BRANDON, University of Geneva and Swiss Finance Institute
Christopher HEMMENS, University of Geneva
Mathieu TRÉPANIER, University of St Gallen


N°24
Collateralization, Leverage, and Stressed Expected Loss

Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Amir KHALILZADEH, University of Lausanne


N°23
High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation

Jakub ROJCEK, University of Zurich and Swiss Finance Institute
Alexandre ZIEGLER, University of Zurich and Swiss Finance Institute


N°22
Nonparametric Empirical Evidence for Krugman’s Target Zone Model

Sandro Claudio LERA, ETH Zurich
Didier SORNETTE, ETH Zurich


N°21
Agency Conflicts Around the World

Erwan MORELLEC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Boris NIKOLOV, University of Rochester
Norman SCHÜRHOFF, University of Lausanne, Swiss Finance Institute, and Centre for Economic Policy Research (CEPR)


N°20
Uniqueness of Equilibrium in a Payment System with Liquidation Costs

Hamed AMINI, Ecole Polytechnique Fédérale de Lausanne
Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Andreea MINCAZ, Cornell University

N°19
Hedging with Small Uncertainty Aversion

Sebastian HERRMANN, ETH Zurich
Johannes MUHLE-KARBE, ETH Zürich and Swiss Finance Institute
Frank Thomas SEIFRIED, University of Trier


N°18
Human Capital and Employment Risks Diversification

Pascal ST-AMOUR, University of Lausanne and Swiss Finance Institute

N°17
Portfolio Selection with Active Risk Monitoring

Marc S. PAOLELLA, University of Zurich and Swiss Finance Institute
Pawel POLAK, University of Zurich, Swiss Finance Institute and Columbia University


N°16
Evolutionary Behavioural Finance

Igor EVSTIGNEEV, University of Manchester
Thorsten HENS, University of Zurich, Norwegian School of Economics and Swiss Finance Institute
Klaus Reiner SCHENK-HOPPÉ, University of Manchester and Norwegian School of Economics


N°15
Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales

Tahir CHOULLI, University of Alberta
Martin SCHWEIZER, ETH Zurich and Swiss Finance Institute


N°14
A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World

Didier SORNETTE, ETHZ and Swiss Finance Institute

N°13
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

Amit GOYAL, University of Lausanne and Swiss Finance Institute
Narasimhan JAGADEESH, Emory University


N°12
Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund

Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Kostas GIANNOPOULOS, Neapolis University, Pafos
Les VOSPER, London Clearing House Limited

N°11
State-Dependent Risk Preferences: Evidence from Individual Choices and Applications in Investment Behavior

Angie ANDRIKOGIANNOPOULOU, University of Geneva and Swiss Finance Institute
Filippos PAPAKONSTANTINOU, Imperial College London


N°10
Central Bank Collateral Frameworks

Kjell G. NYBORG, University of Zurich, Swiss Finance Institute, and CEPR

N°9
Noisy Arrow-Debreu Equilibria

Semyon MALAMUD, EPFL and Swiss Finance Institute

N°8
Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model

Markus LEIPPOLD, University of Zurich and Swiss Finance Institute
Nikola VASILJEVIC, University of Zurich and Swiss Finance Institute (PhD Program)


N°7
Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders

Taisei KAIZOJI, International Christian University
Matthias LEISS, ETH Zurich

Alexander SAICHEV, ETH Zurich and Nizhni Novgorod State University
Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°6
Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices

Yuki SATO, University of Lausanne and Swiss Finance Institute

N°5
Economics-Based Financial Bubbles (and why they imply strict local martingales)

Martin HERDEGEN, ETH Zurich
Martin SCHWEIZER, ETH Zürich and Swiss Finance Institute


N°4
Short Term Debt and Bank Liability Structure

Nataliya KLIMENKO, University of Zurich
Santiago MORENO-BROMBERG, University of Zurich


N°3
Innovation, Delegation, and Asset Price Swings

Yuki SATO, University of Lausanne and Swiss Finance Institute

N°2
Tips and Tells from Managers: How Analysts and the Market Read Between the Lines of Conference Calls

Marina DRUZ, University of Lugano and Swiss Finance Institute
Alexander F. WAGNER, University of Zurich, Swiss Finance Institute, CEPR, and ECGI
Richard J. ZECKHAUSER, Harvard University and NBER

N°1
The Choice of Honesty: An Experiment Regarding Heterogeneous Responses to Situational Social Norms

Rajna GIBSON BRANDON, University of Geneva and Swiss Finance Institute
Carmen TANNER, University of Zurich
Alexander F. WAGNER, University of Zurich and Swiss Finance Institute


2014



N°74


Liquidation with Self-Exciting Price Impact


Thomas CAYE, ETH Zurich
Johannes MUHLE-KARBE, ETH Zürich; Swiss Finance Institute

N°73


Strategic Technology Adoption and Hedging under Incomplete Markets

Markus LEIPPOLD, University of Zurich and Swiss Finance Institute
Jacob STROMBERG, Swiss Finance Institute


N°72
High-Resilience Limits of Block-Shaped Order Books


Jan KALLSEN, Munich University of Technology
Johannes MUHLE-KARBE, ETH Zürich; Swiss Finance Institute


N°71


Risk Adjusted Time Series Momentum


Martin DUDLER, Quantica Capital
Bruno GMUER, Quantica Capital
Semyon MALAMUD, Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute


N°70


Bank Capital, Liquid Reserves, and Insolvency Risk


Julien HUGONNIER, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Erwan MORELLEC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute


N°69


Claims Run-Off Uncertainty: The Full Picture


Michael MERZ, University of Hamburg
Mario V. WUTHRICH, ETH Zurich and Swiss Finance Institute


N°68
Higher-Order Dynamics in Asset- Pricing Models with Recursive Preferences


Walter POHL, University of Zurich
Karl SCHMEDDERS, University of Zurich and Swiss Finance Institute
Ole WILMS, University of Zurich


N°67


Heterogeneity in Decentralized Asset Markets


Julien HUGONNIER, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Benjamin LESTER, Federal Reserve Bank of Philadelphia
Pierre-Olivier WEILL, University of California, Los Angeles and NBER


N°66


Fed Funds Futures Variance Futures


Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Anders B. TROLLE, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute


N°65


Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment


Matthias EFING, University of Geneva and Swiss Finance Institute (PhD Program)

N°64


Shadow Insurance

Ralph KOIJEN, London Business School and NBER
Motohiro YOGO, Federal Reserve Bank of Minneapolis


N°63


To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting


Hamed AMINI, Ecole Polytechnique Fédérale de Lausanne
Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Andreea MINCA, Cornell University


N°62


Martingale Optimal Transport in the Skorokhod Space


Yan DOLINSKY, Hebrew University of Jerusalem
Mete SONER, ETH Zurich and Swiss Finance Institute


N°61
Facelifting in Utility Maximization


Kasper LARSEN, Carnegie Mellon University
Mete SONER, ETH Zurich and Swiss Finance Institute
Gordan ZITKOVIC, University of Texas


N°60


Hedging Under an Expected Loss Constraint with Small Transaction CostsN°60


Bruno BOUCHARD, Université de Paris Dauphine and CREST-ENSAE
Ludovic MOREAU, ETH Zurich
Mete SONER, ETH Zurich and Swiss Finance Institute


N°59
Asymmetric Beta Comovement and Systematic Downside Risk


Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Qunzi ZHANG, Shandong University


N°58


Optimal Long-Term Allocation with Pension Fund Liabilities

Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Michael ROCKINGER, University of Lausanne and Swiss Finance Institute


N°57
Symmetric Thermal Optimal Path and Time- Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies


Hao MENG, East China University of Science and Technology
Wei-Xing ZHOU, East China University of Science and Technology
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°56


Merger Activity in Industry Equilibrium


Theodosios DIMOPOULOS, University of Lausanne and Swiss Finance Institute
Stefano SACCHETTO, Tepper School of Business, Carnegie Mellon University


N°55
Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks


Matthias EFING, University of Geneva and Swiss Finance Institute
Harald HAU, University of Geneva and Swiss Finance Institute
Patrick KAMPKOTTER, University of Cologne
Johannes STEINBRECHER, Ifo Institute Branch Dresden


N°54


Polynomial Preserving Diffusions and Applications in Finance


Damir FILIPOVIC, EPFL and Swiss Finance Institute
Martin LARSSON, EPFL and Swiss Finance Institute


N°53


Estimation of the Hawkes Process With Renewal Immigration Using the EM Algorithm


Spencer WHEATLEY, ETH Zurich
Vladimir FILIMONOV, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°52


Super-Exponential Growth Expectations and the Global Financial Crisis

Matthias LEISS, ETH Zurich
Heinrich H. NAX, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°51
Luck and Entrepreneurial Success


Diego LIECHTI, University of Bern
Claudio LODERER, University of Bern and Swiss Finance Institute
Urs PEYER, INSEAD


N°50
Dealer Networks

Dan LI, Federal Reserve Board
Norman SCHÜRHOFF, University of Lausanne, Swiss Finance Institute, CEPR


N°49


Are Institutions Informed About News?

Terrence HENDERSHOTT, University of California, Berkley
Dmitry LIVDAN, University of California, Berkeley
Norman SCHÜRHOFF, University of Lausanne, Swiss Finance Institute, and CEPR


N°48
Power Law Scaling and “Dragon-Kings" in Distributions of Intraday Financial Drawdowns


Vladimir FILIMONOV, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°47


Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Ines CHAIEB, University of Geneva and Swiss Finance Institute
Vihang ERRUNZA, McGill University
Rajna GIBSON BRANDON, University of Geneva and Swiss Finance Institute


N°46


Forecasting Future Oil Production in Norway and the UK: A General Improved Methodology


Lucas FIEVET, ETH Zurich
Zalàn FORRO, ETH Zurich
Peter CAUWELS, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°45


Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures


Juan V. ESCOBAR, Universidad Autónoma Metropolitana-Iztapalapa and Universidad Nacional Autónoma de México
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°44


Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland


Diego ARDILA, ETH Zurich
Dorsa SANADGOL, ETH Zurich
Peter CAUWELS, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°43


Estimating Aggregate Autoregressive Processes When Only Macro Data are Available


Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Florian PELGRIN, EDHEC Business School


N°42


A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry


Angie ANDRIKOGIANNOPOULOU, University of Geneva and Swiss Finance Institute
Filippos PAPAKONSTANTINOU, Imperial College London


N°41


Asset Prices with Temporary Shocks to Consumption


Walter POHL, University of Zurich
Karl SCHMEDDERS, University of Zurich and Swiss Finance Institute
Ole WILMS, University of Zurich


N°40


A Fast, Accurate Method for Value at Risk and Expected Shortfall


Jochen KRAUSE, University of Zurich,
Marc S. PAOLELLA, University of Zurich and Swiss Finance Institute


N°39


Competition and Financial Structure: Evidence from Airlines


Gianpaolo PARISE, University of Lugano and Swiss Finance Institute

N°38
Model Uncertainty and Scenario Aggregation


Mathieu CAMBOU, Ecole Polytechnique Fédérale de Lausanne
Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute

N°37
Concavity of the Consumption Function with Recursive Preferences

Semyon MALAMUD, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute

N°36
Price Discovery through Options


Semyon MALAMUD, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute

N°35
Corporate Saving in Global Rebalancing

Philippe BACCHETTA, University of Lausanne and Swiss Finance Institute
Kenza BENHIMA, University of Lausanne and CEPR

N°34


Optimal Exchange Rate Policy in a Growing Semi-Open Economy


Philippe BACCHETTA, University of Lausanne; Swiss Finance Institute; Centre for Economic Policy Research (CEPR)
Kenza BENHIMA, University of Lausanne
Yannick KALANTZIS, Banque de France


N°33
The Perennial Challenge to Abolish Too-Big-To-Fail in Banking: Empirical Evidence from the New International Regulation Dealing with Global Systemically Important Banks

Sebastian C. MOENNINGHOFF, WHU Otto Beisheim School of Management
Steven ONGENA, University of Zurich and Swiss Finance Institute
Axel WIEANDT, WHU Otto Beisheim School of Management


N°32


Multifamily Residential Asset and Space Markets and Linkages with the Economy

Alain CHANEY, IAZI AG
Martin HOESLI, GSEM, University of Geneva, Swiss Finance Institute, University of Aberdeen, and Kedge Business School

N°31


Life Cycle Responses to Health Insurance Status


Florian PELGRIN, EDHEC Business School
Pascal ST-AMOUR, University of Lausanne and Swiss Finance Institute


N°30
Commonality in Liquidity and Real Estate Securities


Martin HOESLI, University of Geneva, University of Aberdeen, and Kedge Business School
Anjeza KADILLI, University of Geneva
Kustrim REKA, University of Geneva


N°29


Generalized Risk Premia


Paul SCHNEIDER, University of Lugano and Swiss Finance Institute

N°28


Financial bubbles: mechanisms and diagnostics


Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Peter CAUWELS, ETH Zurich


N°27
Household Inequality, Corporate Capital Structure and Entrepreneurial Dynamism


Fabio BRAGGION, CentER - Tilburg University
Mintra DWARKASING, CentER - Tilburg University
Steven ONGENA, University of Zurich, Swiss Finance Institute and CEPR


N°26


Bank Loan Announcements and Borrower Stock Returns Before and During the Recent Financial Crisis


Chunshuo LI, Zhong Qin Wan Xin Certified Public Accountants
Steven ONGENA, University of Zurich, Swiss Finance Institute and CEPR


N°25


Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models


Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°24
Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Implicit Credit Risk of Structured Products


Marc ARNOLD, University of St. Gallen
Dustin SCHUETTE, University of St. Gallen
Alexander WAGNER, University of Zurich and Swiss Finance Institute


N°23


Cumulative prospect theory and mean variance analysis: A rigorous comparison


Thorsten HENS, University of Zurich and Swiss Finance Institute
János MAYER, University of Zurich


N°22


Theory Matters for Financial Advice!


Thorsten HENS, University of Zurich and Swiss Finance Institute
János MAYER, University of Zurich


N°21


News Dissemination and Investor Attention


Romain BOULLAND, Université Paris-Dauphine
François DEGEORGE, University of Lugano and Swiss Finance Institute
Edith GINGLINGER, Université Paris-Dauphine


N°20


Positional Portfolio Management


Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
Christian GOURIEROUX, CREST and University of Toronto
Mirco RUBIN, University of Lugano and Swiss Finance Institute (PhD Program)


N°19


Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices


Angie ANDRIKOGIANNOPOULOU, University of Geneva and Swiss Finance Institute
Filippos PAPAKONSTANTINOU, Imperial College London


N°18
A Class of Strict Local Martingales


Martin HERDEGEN, ETH Zurich
Sebastian HERRMANN, ETH Zurich


N°17


Trading with Small Price Impact


Ludovic MOREAU, ETH Zurich
Johannes MUHLE-KARBE, ETH Zurich and Swiss Finance Institute
Halil Mete SONER, ETH Zurich and Swiss Finance Institute


N°16
Rebalancing with Linear and Quadratic Costs


Ren LIU, ETH Zurich
Johannes MUHLE-KARBE, ETH Zurich and Swiss Finance Institute
Marko WEBER, Dublin City University and Scuola Normale Superiore


N°15


Linear-Rational Term Structure Models


Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Martin LARSSON, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Anders TROLLE, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute


N°14


Information Processing and Non-Bayesian Learning in Financial Markets


Stefanie SCHRAEDER, University of Lausanne and Swiss Finance Institute (PhD Program)

N°13


The Impact of Foreign Bank Presence on Foreign Direct Investment in China


Steven ONGENA, University of Zurich, Swiss Finance Institute, and CEPR
Shusen QI, CentER - Tilburg University
Fengming QIN, Shandong University


N°12


Do Underpriced Firms Innovate Less?


Gianpaolo PARISE, University of Lugano and Swiss Finance Institute (PhD Program)

N°11


Financing Asset Sales and Business Cycles


Marc ARNOLD, University of St. Gallen
Dirk HACKBARTH, Boston University and University of Illinois
Tatjana Xenia PUHAN, University of Zurich and Swiss Finance Institute (PhD Program)


N°10


Exchange Risk and Market Integration


Ines CHAIEB, University of Geneva and Swiss Finance Institute
Vihang ERRUNZA, McGill University


N°9
Portfolio Delegation and Market Efficiency


Semyon MALAMUD, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Evgeny PETROV, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute (PhD Program)

N°8


Portfolio Selection with Options and Transaction Costs


Semyon MALAMUD, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute

N°7


Toward a Unified Framework of Credit Creation


Susanne VON DER BECKE, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


6


Financial Brownian Particle in the Layered Order Book Fluid and Fluctuation-Dissipation Relations

Yoshihiro YURA, Tokyo Institute of Technology
Hideki TAKAYASU, Sony Computer Science Laboratories
Didier SORNETTE, ETH Zurich and Swiss Finance Institute;
Misako TAKAYASU, Tokyo Institute of Technology


N°5


Long/Short Equity Hedge Funds and Systematic Ambiguity


Rajna GIBSON BRANDON, University of Geneva, Geneva Finance Research Institute, and Swiss Finance Institute
Nikolay RYABKOV, University of Zurich and Swiss Finance Institute (PhD Program)


N°4


Financing Investment: The Choice between Bonds and Bank Loans


Erwan MORELLEC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Philip VALTA, HEC Paris
Alexei ZHDANOV, University of Lausanne and Swiss Finance Institute

N°3


Capital Adequacy Tests and Limited Liability of Financial Institutions


Pablo KOCH-MEDINA, University of Zurich
Santiago MORENO-BROMBERG, University of Zurich
Cosimo-Andrea MUNARI, ETH Zürich

N°2


Liquidity and Investment Horizon


Volodymyr VOVCHAK, University of Lugano and Swiss Finance Institute (PhD Program)

N°1


Corporate Cash and Employment


Philippe BACCHETTA, University of Lausanne and Swiss Finance Institute
Kenza BENHIMA, University of Lausanne and CEPR
Céline POILLY, University of Lausanne


2013




N°74


An Option to Cheat: An Application of Option Theory To Realize Flipping in Underpricing


Jovan STOJKOVIC, University of Lugano and Swiss Finance Institute (PhD Program)

N°73


Asset Pricing when 'This Time is Different'


Pierre COLLIN-DUFRESNE, Ecole Polytechnique Fédérale de Lausanne, Swiss Finance Institute, and National Bureau of Economic Research (NBER)
Michael JOHANNES, Columbia University
Lars A. LOCHSTOER, Columbia Business School


N°72


Competition, Cash Holdings, and Financing Decisions


Erwan MORELLEC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Boris NIKOLOV, University of Rochester
Francesca ZUCCHI, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute (PhD Program)


N°71
Optimal Liquidity Provision


Christoph KÜHN, Goethe University Frankfurt
Johannes MUHLE-KARBE, ETH Zurich and Swiss Finance Institute


N°70


Moral Hazard, Informed Trading, and Stock Prices


Pierre COLLIN-DUFRESNE, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Vyacheslav FOS, University of Illinois

N°69


Do Prices Reveal the Presence of Informed Trading?


Pierre COLLIN-DUFRESNE, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Vyacheslav FOS, University of Illinois


N°68
Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams


Olivier BACHEM, ETH Zürich
Gabriel G. DRIMUS, University of Zürich

Walter FARKAS, University of Zurich and Swiss Finance Institute

N°67


Beyond Cash-Additive Risk Measures: When Changing the Numeraire Fails


Walter FARKAS, University of Zurich and Swiss Finance Institute
Pablo KOCH-MEDINA , University of Zurich
Cosimo-Andrea MUNARI, ETH Zürich


N°66


Capital Requirements with Defaultable Securities


Walter FARKAS , University of Zurich and Swiss Finance Institute
Pablo KOCH-MEDINA, University of Zurich
Cosimo-Andrea MUNARI, ETH Zürich


N°65


Liquidity Risk in Credit Default Swap Markets


Benjamin JUNGE, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute (PhD Program)
Anders B. TROLLE, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute


N°64


Debt Renegotiation and Investment Decisions Across Countries


Giovanni FAVARA , Federal Reserve Board
Erwan MORELLEC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Enrique J. SCHROTH , City University London
Philip VALTA , HEC Paris


N°63


Opacity in Financial Markets


Yuki SATO, University of Lausanne and Swiss Finance Institute

N°62


Categorization of Exchange Fluxes Explains the Four Relational Models


Maroussia FAVRE, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°61


Momentum Crashes


Kent DANIEL, Columbia Business School
Tobias J. MOSKOWITZ, University of Chicago

N°60


Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data


Vladimir FILIMONOV, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°59


Margin Regulation and Volatility


Johannes BRUMM, University of Zurich
Michael GRILL, European Central Bank
Felix KÜBLER; University of Zurich and Swiss Finance Institute
Karl SCHMEDDERS, University of Zurich and Swiss Finance Institute


N°58


Optimal investment in a Black–Scholes Model with a Bubble


Martin HERDEGEN, ETH Zurich
Sebastian HERRMANN, ETH Zurich


N°57


Asset Pricing with Arbitrage Activity


Julien HUGONNIER, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Rodolfo PRIETO, Boston University


N°56


Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data


Martin HOESLI, University of Geneva, Swiss Finance Institute, University of Aberdeen, and Kedge Business School
Elias OIKARINEN, University of Turku and Academy of Finland

N°55


A Creepy World


Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Peter CAUWELS, ETH Zurich


N°54


Pricing and Hedging of Inflation-Indexed Bonds in an Affine Framework


Zehra EKSI, Vienna University
Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute


N°53


Estimating Heterogeneous Risk Preferences from a Panel of Real-World Betting Choices


Angie ANDRIKOGIANNOPOULOU, University of Geneva and Swiss Finance Institute
Filippos PAPAKONSTANTINOU, Imperial College London


N°52


Decentralized Exchange


Semyon MALAMUD, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Marzena ROSTEK, University of Wisconsin-Madison


N°51
Transaction Costs and Shadow Prices in Discrete Time

Christoph CZICHOWSKY, University of Vienna
Johannes MUHLE-KARBE, ETH Zurich
Walter SCHACHERMAYER, University of Vienna


N°50


Optimal Prevention for Correlated Risks


Christophe COURBAGE, Geneva Association - Health and Ageing Research Program
Henri LOUBERGE, University of Geneva and Swiss Finance Institute
Richard PETER, Ludwig-Maximilians-Universität Munich

N°49


Robust Hedonic Price Indexes


Steven C. BOURASSA, University of Louisville
Eva CANTONI, University of Geneva
Martin HOESLI, University of Geneva, Swiss Finance Institute, University of Aberdeen, and Bordeaux Management School


N°48


The Performance of Secondary Buyouts


Francois Degeorge, University of Lugano and Swiss Finance Institute
Jens Martin, University of Amsterdam
Ludovic Phalippou, University of Oxford

N°47


Asymmetry in the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps


Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Jérôme LAHAYE, Fordham University
Michael ROCKINGER, University of Lausanne and Swiss Finance Institute


N°46


Limited Managerial Attention and Corporate Aging


Claudio F. LODERER, University of Bern and Swiss Finance Institute
René STULZ, Ohio State University, ECGI and NBER
Urs WAELCHLI, University of Bern

N°45


Long-Term Portfolio Management with a Structural Macroeconomic Model


Ludovic CALES, University of Lausanne
Eric JONDEAU, University of Lausanne and Swiss Finance Instiute
Michael ROCKINGER, University of Lausanne and Swiss Finance Institute

N°44
Asset Pricing with Regimedependent Preferences and Learning


Tony BERRADA, University of Geneva and Swiss Finance Institute
Jérôme DETEMPLE, Boston University
Marcel RINDISBACHER, Boston University


N°43


Can CRRA Preferences Explain CAPM-Anomalies in the Cross-Section of Stock Returns?


Sabine ELMIGER, University of Zurich and Swiss Finance Institute (PhD Program)

N°42


A Macroeconomic Framework for Quantifying Systemic Risk


Zhiguo HE, University of Chicago, and NBER
Arvind KRISHNAMURTHY, Northwestern University


N°41


Fund Flows in Rational Markets


Francesco FRANZONI; University of Lugano and Swiss Finance Institute
Martin C. SCHMALZ, University of Michigan


N°40


Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets


Chris BARDGETT, University of Zurich and Swiss Finance Institute (PhD Program)
Elise GOURIER, University of Zurich and Swiss Finance Institute (PhD Program)
Markus LEIPPOLD, University of Zurich and Swiss Finance Institute

N°39


Asset Allocation and Monetary Policy: Evidence from the Eurozone


Harald HAU, University of Geneva and Swiss Finance Institute
Sandy LAI, University of Hong Kong


N°38


COMFORT: A Common Market Factor Non-Gaussian Returns Model


Marc S. PAOLELLA University of Zurich and Swiss Finance Institute
Pawel POLAK University of Zurich and Swiss Finance Institute (PhD Program)


N°37


Scientific Research Measures


Marco FRITTELLI, University of Milan
Loriano MANCINI, Swiss Finance Institute and EPFL
Ilaria PERI, ESC Rennes


N°36


Stock Liquidity and Corporate Cash Holdings


Kjell G. NYBORG, University of Zurich and Swiss Finance Institute
Zexi WANG, University of Zurich and Swiss Finance Institute (PhD Program)


N°35


Asymptotics for Fixed Transaction Costs


Albert ALTAROVICI, ETH Zurich
Johannes MUHLE-KARBE, ETH Zurich and Swiss Finance Institute
H. Mete SONER, ETH Zurich and Swiss Finance Institute


N°34


Systemic Risk with Central Counterparty Clearing


Hamed AMINI, École Polytechnique Fédérale de Lausanne
Damir FILIPOVIC, École Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Andreea MINCA, Cornell University


N°33


Capital Levels and Risk-Taking Propensity in Financial Institutions


Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Walter FARKAS, University of Zurich and ETH Zurich
Pablo KOCH-MEDINA, University of Zurich


N°32


Value Around the World


Nilufer CALISKAN, University of Zurich and Swiss Finance Institute (PhD Program)
Thorsten HENS, University of Zurich, Swiss Finance Institute, and NHH Bergen


N°31


Long-run UIP Holds even in the Short Run


Fabian ACKERMANN, Zurich Kantonalbank and University of Zurich
Walt POHL, University of Zurich
Karl SCHMEDDERS, University of Zurich and Swiss Finance Institute

N°30


The Perils of Performance Measurement in the German Mutual-Fund Industry


Philip BÖHME, Allianz Global Investors
Walt POHL, University of Zurich
Karl SCHMEDDERS, University of Zurich and Swiss Finance Institute


N°29


Conditions for Quantum Interference in Cognitive Sciences


Vyacheslav I. YUKALOV, ETH Zurich and Bogolubov Laboratory of Theoretical Physics
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°28


The Great Recession: A Self-Fulfilling Global Panic


Philippe BACCHETTA, University of Lausanne, Swiss Finance Institute, and CEPR
Eric VAN WINCOOP, University of Virginia and NBER


N°27


The Price of Government Bond Volatility


Antonio MELE, University of Lugano and Swiss Finance Institute
Yoshiki OBAYASHI, Applied Academics LLC


N°26


Volatility Indexes and Contracts for Government Bonds and Time Deposits


Antonio MELE, University of Lugano and Swiss Finance Institute
Yoshiki OBAYASHI, Applied Academics LLC


N°25


Volatility Indexes and Contracts for Eurodollar and Related Deposits


Antonio MELE, University of Lugano and Swiss Finance Institute
Yoshiki OBAYASHI, Applied Academics LLC


N°24


Credit Variance Swaps and Volatility Indexes


Antonio MELE, University of Lugano and Swiss Finance Institute
Yoshiki OBAYASHI, Applied Academics LLC


N°23


Dynamics of Interest Rate Swap and Equity Volatilities


Antonio MELE, University of Lugano and Swiss Finance Institute
Yoshiki OBAYASHI, Applied Academics LLC
Catherine SHALEN, Chicago Board Options Exchange


N°22


Do Analysts' Preferences Affect Corporate Policies?


Francois DEGEORGE, University of Lugano, Swiss Finance Institute, and European Corporate Governance Institute (ECGI)
François DERRIEN , HEC Paris
Ambrus KECSKES, Virginia Polytechnic Institute & State University
Sebastien MICHENAUD, Rice University Jesse H. Jones


N°21


Structured Debt Ratings: Evidence on Conflicts of Interest


Matthias EFING, University of Geneva and Swiss Finance Institute (PhD Program)I
Harald HAU, University of Geneva and Swiss Finance Institute

N°20


On the Strategic Value of Risk Management


Thomas-Olivier LEAUTIER, Toulouse School of Economics
Jean-Charles ROCHET, University of Zürich, Swiss Finance Institute, and Toulouse School of Economics


N°19


Predation versus Cooperation in Mutual Fund Families


Alexander EISELE, University of Lugano
Tamara NEFEDOVA, University of Lugano and Swiss Finance Institute (PhD Program)
Gianpaolo PARISE , University of Lugano and Swiss Finance Institute (PhD Program)


N°18
On Dynamic Hedging of Single- Tranche Collateralized Debt Obligations

Zehra EKSI, Vienna University Of Economics and Business
Damir FILIPOVIC, Ecole Polythechnique Fédérale de Lausanne and Swiss Finance Institute


N°17


Utility Maximization in an Illiquid Market


H. Mete SONER, ETH Zurich and Swiss Finance Institute
Mirjana VUKELJA, ETH Zurich


N°16


A Critique of Shareholder Value Maximization


Michael MAGILL, University of Southern California
Martine QUINZII, University of California
Jean-Charles ROCHET, University of Zurich, Swiss Finance Institute, and Toulouse School of Economics


N°15


The General Structure of Optimal Investment and Consumption with Small Transaction Costs


Jan KALLSEN, Christian-Albrechts-University
Johannes MUHLE-KARBE, ETH Zurich and Swiss Finance Institute


N°14


Optimal Dividend Policy with Random Interest Rates


Erdinç AKYILDIRIM, University of Zurich and Swiss Finance Institute (PhD Program)
I. Ethem GÜNEY, University of Zurich and Swiss Finance Institute (PhD Program)
Jean-Charles ROCHET, University of Zurich, Swiss Finance Institute and Toulouse School of Economics
H. Mete SONER, ETH Zurich and Swiss Finance Institute


N°13


Martingale Optimal Transport and Robust Hedging in Continuous Time


Yan DOLINSKY, Hebrew University of Jerusalem
H. METE SONER, ETH Zurich and Swiss Finance Institute


N°12


Contagion Channels Between Real Estate and Financial Markets


Martin HOESLI, University of Geneva, Swiss Finance Institute, University of Aberdeen, and Bordeaux Ecole de Management
Kustrim REKA, University of Geneva


N°11


Robust Hedging with Proportional Transaction Costs


Yan DOLINSKY, Hebrew University of Jerusalem
H. METE SONER, ETH Zurich and Swiss Finance Institute


N°10


Do Hedge Funds Provide Liquidity? Evidence From Their Trades


Francesco FRANZONI, University of Lugano and Swiss Finance Institute
Alberto PLAZZI, University of Lugano and Swiss Finance Institute


N°9


A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations


Zehra EKSI, Vienna University
Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute


N°8


Estimating Heterogeneous Risk Preferences from a Panel of Real-World Betting Choices


Angie ANDRIKOGIANNOPOULOU, University of Geneva and Swiss Finance Institute
Filippos PAPAKONSTANTINOU, Imperial College London

N°7


Is There A Real Estate Bubble In Switzerland? (diagnostic as of 2012-Q4)


Diego ARDILA, ETH Zurich
Peter CAUWELS, ETH Zurich
Dorsa SANADGOL, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°6


Quadratic Variance Swap Models


Damir FILIPOVIC, EPFL and Swiss Finance Institute
Elise GOURIER, University of Zurich and Swiss Finance Institute (PhD Program)
Loriano MANCINI, EPFL and Swiss Finance Institute


N°5


Predictability Hidden by Anomalous Observations


Lorenzo CAMPONOVO, University of Lugano and University of St.Gallen
Olivier SCAILLET, University of Geneva and Swiss Finance Institute
Fabio TROJANI, University of Lugano and Swiss Finance Institute

N°4


Time-varying Mixture GARCH Models and Asymmetric Volatility


Markus HAAS, University of Kiel
Jochen KRAUSE, University of Zurich
Marc S. PAOLELLA, University of Zurich and Swiss Finance Institute
Sven C. STEUDE, University of Zurich

N°3


The Balassa-Samuelson and the Penn effect: are they really the same


Cosimo PANCARO, University of Lausanne

N°2


Dynamics and Spatial Distribution of Global Nighttime Lights


Nicola PESTALOZZI, University of Kiel
Peter CAUWELS, University of Zurich
Didier SORNETTE, University of Zurich and Swiss Finance Institute

N°1


The Sentiment of the Fed


Michel FUKSA, AGH University of Science and Technology
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


2012


N°45


Systemic Risk in Europe

Robert ENGLE, New York University
Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Michael ROCKINGER, University of Lausanne, Swiss Finance Institute, and CEPR


N°44


Liquidity and Liquidity Risk in the Cross-Section of Stock Returns


Volodymyr VOVCHAK, University of Lugano and Swiss Finance Institute

N°43
The Information Content of Option Demand


Kerstin KEHRLE, University of Zurich
Tatjana-Xenia PUHAN, University of Zurich and Swiss Finance Institute (PhD Program)


N°42
Dividend Growth Predictability and the Price-Dividend Ratio

Ilaria PIATTI, University of Lugano and Swiss Finance Institute (PhD Program)
Fabio TROJANI, University of Lugano and Swiss Finance Institute


N°41


Mixture Normal Conditional Correlation Models

Maria PUTINTSEVA, University of Zurich and Swiss Finance Institute (PhD Program)

N°40
The Illusion of the Perpetual Money Machine


Peter CAUWELS, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°39
Utility Rate Equations of Group Population Dynamics in Biological and Social Systems


Vyacheslav I. YUKALOV, ETH Zurich and Joint Institute for Nuclear Research
Elisabeth YUKALOVA, ETH Zurich and Joint Institute for Nuclear Research
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°38
Understanding Asset Correlations


Dominic BURKHARDT, University of Zurich and Swiss Finance Institute (PhD Program)
Henrik HASSELTOFT, University of Zurich and Swiss Finance Institute


N°37


Market Belief Risk and the Cross-Section of Stock Returns


Rajna GIBSON BRANDON, University of Geneva and Swiss Finance Institute
Songtao WANG, University of Zurich and Swiss Finance Institute (PhD Program)


N°36


On the Risk and Return of the Carry Trade


Fabian ACKERMANN, Zurich Kantonalbank
Walt POHL University of Zurich
Karl SCHMEDDERS, University of Zurich and Swiss Finance Institute


N°35
A Polynomial Optimization Approach to Principal-Agent Problems

Philipp RENNER, University of Zurich
Karl SCHMEDDERS, University of Zurich and Swiss Finance Institute


N°34


Peer Effects at Work: The Common Stock Investments of Co-workers


Hans K. HVIDE, University of Bergen, CEPR, and the University of Aberdeen
Per ÖSTBERG, University of Zurich and Swiss Finance Institute


N°33
Evidence of Excess Comovement in US Mergers?


Per ÖSTBERG, University of Zurich and Swiss Finance Institute
Christoph WENK, University of Zurich


N°32
Tax-Subsidized Underpricing: Issuers and Underwriters in the Market for Build America Bonds


Dario CESTAU, Tepper School of Business Carnegie Mellon University
Richard C. GREEN, Tepper School of Business Carnegie Mellon University
Norman SCHÜRHOFF, University of Lausanne, Swiss Finance Institute, and CEPR


N°31


Bank ratings: What determines their quality?


Harald HAU, University of Geneva, Swiss Finance Institute and CEPR
Sam LANGFIELD, European Systemic Risk Board Secretariat and UK Financial Services Authority
David MARQUES-IBANEZ; European Central Bank, Financial Research Division


N°30


Option Pricing and Hedging with Small Transaction Costs


Jan KALLSEN, University of Kiel
Johannes MUHLE-KARBE, ETH Zurich and Swiss Finance Institute


N°29


Dealer Intermediation Between Markets


Peter DUNNE, Central Bank of Ireland
Harald HAU, University of Geneva and Swiss Finance Institute
Michael MOORE, Queens University, Belfast


N°28
Transaction-Based and Appraisal-Based Capitalization Rate Determinants


Alain CHANEY, IAZI AG
Martin HOESLI, University of Geneva, Swiss Finance Institute, University of Aberdeen, and Bordeaux Ecole de Management


N°27


Costs and Benefits of Speculation


Terje LENSBERG, NHH-Norwegian School of Economics
Klaus Reiner SCHENK-HOPPÉ, University of Leeds and NHH-Norwegian School of Economics
Dan LADLEY, University of Leicester


N°26


Valuing American Options Using Fast Recursive Projections


Antonio COSMA, Université du Luxembourg
Stefano GALLUCCIO, BNP Parisbas
Olivier SCAILLET, Université de Genève and Swiss Finance Institute


N°25


Cone-Constrained Continuous-Time Markowitz Problems


Christoph CZICHOWSKY, University of Vienna
Martin SCHWEIZER, ETHZ and Swiss Finance Institute


N°24
Convex Duality in Mean Variance Hedging under Convex Trading Constraints


Christoph CZICHOWSKY, University of Vienna
Martin SCHWEIZER, ETHZ and Swiss Finance Institute


N°23


Time-Changed Lévy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions


Markus LEIPPOLD, University of Zurich and Swiss Finance Institute
Jacob STROMBERG, University of Zurich and Swiss Finance Institute (PhD Program)


N°22


The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight


Martin HOESLI, University of Geneva, Swiss Finance Institute, and University of Aberdeen Business School
Eva LILJEBLOM, Hanken School of Economics
Anders LÖFLUND, Hanken School of Economics


N°21
Behavioral Finance and the Pricing Kernel Puzzle: Estimating Risk Aversion, Optimism, and Overconfidence


Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Loriano MANCINI, EPFL and Swiss Finance Institute
Hersh SHEFRIN, Santa Clara University


N°20
Super-Exponential Bubbles in Lab Experiments: Evidence for Anchoring Over-Optimistic Expectations on Price


Andreas HUESLER, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Cars HOMMES, University of Amsterdam


N°19


Bank Capital Regulation with an Opportunistic Rating Agency


Matthias EFING, University of Geneva and Swiss Finance Institute (PhD Program)

N°18


Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums


Valentina CORRADI, University of Warwick
Walter DISTASO, Imperial College Business School
Antonio MELE, University of Lugano and Swiss Finance Institute


N°17


Betting Against Beta


Andrea FRAZZINI, AQR Capital Management
Lasse H. PEDERSEN, New York University, AQR, NBER, and CEPR

N°16


Corporate Governance and CEO Turnover Decisions


Theodosios DIMOPOULOS, University of Lausanne and Swiss Finance Institute
Hannes F. WAGNER, Bocconi University


N°15


Are REITs Real Estate? Evidence from International Sector Level Data


Martin HOESLI, University of Geneva, Swiss Finance Institute, University of Aberdeen, and Bordeaux Ecole de Management
Elias OIKARINEN, Turku School of Economics


N°14


Affine Variance Swap Curve Models


Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute

N°13


Homogenization and Asymptotics for Small Transaction Costs


Halil Mete SONER, Swiss Federal Institute of Technology and Swiss Finance Institute
Nizar TOUZI, CMAP and Ecole Polytechnique Paris


N°12
Misvaluation and Return Anomalies in Distress Stocks


Assaf EISDORFER, University of Connecticut
Amit GOYAL, University of Lausanne and Swiss Finance Institute
Alexei ZHDANOV, University of Lausanne and Swiss Finance Institute


N°11
The Shareholder Base and Payout Policy


Andriy BODNARUK, University of Notre Dame, Mendoza College of Business
Per Östberg, University of Zurich and Swiss Finance Institute

N°10


Quantum Decision Making by Social Agents


Vyacheslav I. YUKALOV, ETH Zurich and Bogolubov Laboratory of Theoretical Physics
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°9
Are Ratings the Worst Form of Credit Assessment Apart from All the Others?


Andreas BLOCHLINGER, Zürcher Kantonalbank
Markus LEIPPOLD, University of Zurich and Swiss Finance Institute
Basile MAIRE, Zürcher Kantonalbank


N°8


A simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects


Alexander SAICHEV, ETH Zurich and Nizhni Novgorod State University
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°7


The Exchange Rate Effect of Multi-Currency Risk Arbitrage


Harald HAU, University of Geneva and Swiss Finance Institute

N°6


Mortgage Interest Deductions and Homeownership: An International Survey


Steven C. BOURASSA, University of Louisville
Donald R. HAURIN, Ohio State University
Patric H. HENDERSHOTT, Ohio State University and University of Aberdeen Business School
Martin HOESLI, University of Geneva, Swiss Finance Institute, University of Aberdeen Business School, and Bordeaux Business School


N°5


Optimal Risk Sharing With Limited


Semyon MALAMUD, EPF Lausanne and Swiss Finance Institute
Huaxia RUI, University of Texas
Andrew WHINSTON, University of Texas


N°4


Managing the Risks of Corporate Bond Portfolios: New Evidence in the Light of the Sub-prime Crisis


Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Nicola CARCANO, University of Lugano and MVC & Partners SA
Hakim DALL'O, UBS S.A.

N°3
Aggregate Investment Externalities and Macroprudential Regulation


Hans GERSBACH, CER and ETH Zurich
Jean-Charles ROCHET, University of Zurich, Swiss Finance Institute, and Toulouse School of Economics

N°2


Quantifying reflexivity in financial markets: towards a prediction of flash crashes


Vladimir FILIMONOV, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°1


Investors' Expectations, Management Fees and the Underperformance of Mutual Funds


Andreas D. HUESLER, ETH Zurich
Yannick MALEVERGNE, University of Saint Etienne and EM-Lyon Business School
Didier SORNETTE, ETH Zurich and Swiss Finance Institute



2011


N°68
Simplified mean-variance portfolio optimisation


Claudio FONTANA, Politecnico di Milano
Martin SCHWEIZER, ETH Zurich and Swiss Finance Institute


N°67


Stability of sigma-martingale densities in L log L under an equivalent change of measure


Tahir CHOULLI, University of Alberta
Martin SCHWEIZER, ETH Zurich and Swiss Finance Institute


N°66


ETFs, Arbitrage, and Contagion

Itzhak BEN-DAVID, Ohio State University
Francesco A. FRANZONI, University of Lugano and Swiss Finance Institute
Rabih MOUSSAWI, University of Pennsylvania


N°65


Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension

Winslow STRONG, ETH Zurich

N°64


Beta-Arbitrage strategies: when do they work, and why?


Tony BERRADA, University of Geneva and Swiss Finance Institute
Reda Jurg MESSIKH, Pictet Asset Management
Gianluca ODERDA, Pictet Asset Management
Olivier PICTET, Pictet Asset Management


N°63


Crashes and High Frequency Trading


Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Susanne VON DER BECKE, ETH Zurich


N°62


Mean-variance hedging via stochastic control and BSDEs for general semimartingales


Monique JEANBLANC, Université d’Evry Val d’Essonne and Institut Europlace de Finance
Michael MANIA, A. Razmadze Mathematical Institute and Georgian-American University
Marina SANTACROCE, Politecnico di Torino
Martin SCHWEIZER, ETH Zurich and Swiss Finance Institute


N°61


Crash Risk in Currency Markets, a Skewness Measure Approach


Sofia CAZZANIGA, University of Lugano and Swiss Finance Institute

N°60
Follow the money: The monetary roots of bubbles and crashes


Fulvio CORSI, University of St. Gallen and Swiss Finance Institute
Didier SORNETTE ,ETH Zurich and Swiss Finance Institute


N°59


Real Effects of Stock Underpricing


Harald HAU, University of Geneva and Swiss Finance Institute
Sandy LAI, Singapore Management University


N°58
Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics


Peter CAUWELS, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°57


Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints


Pauline BARRIEU, London School of Economics
Henri LOUBERGE, University of Geneva and Swiss Finance Institute


N°56


The determinants of banks' lobbying activities


Rajna GIBSON BRANDON, University of Geneva and Swiss Finance Institute
Miret PADOVANI, Vienna University


N°55


Structured finance, acquisitions and debt agency


Gabriel H. NEUKOMM, University of Zurich and Swiss Finance Institute (PhD Program)

N°54


A Remark on Lin and Chang's Paper 'Consistent Modeling of S&P 500 and VIX Derivatives'


Jun CHENG, Shanghai Stock Exchange and Nanjing University
Meriton IBRAIMI, University of Zurich
Markus LEIPPOLD, University of Zurich and Swiss Finance Institute
Jin E. ZHANG, University of Hong Kong and University of Otago


N°53


Do Hedge Funds Manipulate Stock Prices?


Itzhak BEN-DAVID, The Ohio State University
Francesco FRANZONI, University of Lugano and Swiss Finance Institute
Augustin LANDIER, Toulouse School of Economics
Rabih MOUSSAWI, The Wharton School and University of Pennsylvania


N°52


Multivariate Asset Return Prediction with Mixture Models


Marc S. PAOLELLA, University of Zurich and Swiss Finance Institute

N°51


Collateral Smile


Markus LEIPPOLD, University of Zurich and Swiss Finance Institute
Lujing SU, Universtiy of Zurich


N°50


Systemic Risk and Sentiment Chapter Contribution to Handbook on Systemic Risk


Giovanni BARONE-ADESI, Swiss Finance Institute and University of Lugano
Loriano MANCINI, Swiss Finance Institute and EPFL
Hersh SHEFRIN, Leavey School of Business Santa Clara University


N°49
Determinants of the Homeownership Rate: A Survey of Recent Contributions


Steven C. BOURASSA, University of Louisville
Donald R. HAURIN, Ohio State University
Patric H. HENDERSHOTT, University of Texas and University of Aberdeen Business School
Martin HOESLI, University of Geneva, Swiss Finance Institute, University of Aberdeen Business School, and Bordeaux Business School


N°48


Optimal Incentives and Securitization of Defaultable Assets


Semyon MALAMUD, École Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Huaxia RUI, University of Texas
Andrew WHINSTON, University of Texas


N°47


Preemptive Bidding, Target Resistance, and Takeover Premiums


Theodosios DIMOPOULOS, University of Lausanne and Swiss Finance Institute
Stefano SACCHETTO, Tepper School of Business, Carnegie Mellon University


N°46
Robust Repeat Sales Indexes


Steven C. BOURASSA, University of Louisville
Eva CANTONI, University of Geneva
Martin HOESLI, University of Geneva, Swiss Finance Institute, University of Aberdeen Business School, and Bordeaux Management School


N°45


Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?


Christoph HARTZ, University of Munich
Marc S. PAOLELLA, University of Zurich and Swiss Finance Institute


N°44


Capital Supply Uncertainty, Cash Holdings, and Investment

Julien HUGONNIER, EPFL and Swiss Finance Instiute
Semyon MALAMUD, EPFL and Swiss Finance Instiute
Erwan MORELLEC, EPFL, Swiss Finance Instiute, and CEPR


N°43


Buyers Versus Sellers: Who Initiates Trades And When?


Tarun CHORDIA, Emory University
Amit GOYAL, University of Lausanne and Swiss Finance Instiute
Narasimhan JEGADEESH, Emory University

N°42
Detecting Informed Trading Activities in the Options Markets

Marc CHESNEY, University of Zurich and Swiss Finance Institute
Remo CRAMERI, University of Zurich and Swiss Finance Institute (Ph.D Program)
Loriano MANCINI, EPFL and Swiss Finance Institute


N°41


The Negative CDS-bond Basis and Convergence Trading during the 2007/09 Financial Crisis


Alessandro FONTANA, Geneva Finance Research Institute and FINRISK

N°40


Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets


Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
Elisa OSSOLA, University of Lugano
Olivier SCAILLET, University of Geneva and Swiss Finance Institute


N°39


Stable Mixture GARCH Models

Simon A. BRODA, University of Amsterdam
Markus HAAS, University of Munich
Jochen KRAUSE, University of Zurich
Marc S. PAOLELLA, University of Zurich and Swiss Finance Insitute
Sven C. STEUDE, University of Zurich


N°38


Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis


Marc CHESNEY, University of Zurich and Swiss Finance Institute
Remo CRAMERI, University of Zurich and Swiss Finance Institute (Ph.D Program)
Loriano MANCINI, EPFL and Swiss Finance Institute


N°37
The Value of Tradeability


Marc CHESNEY, University of Zurich and Swiss Finance Institute
Alexander KEMPF, University of Cologne


N°36
Jumps in high-frequency data: spurious detections, dynamics, and news


Pierre BAJGROWICZ, University of Geneva
Olivier SCAILLET, University of Geneva and Swiss Finance Institute


N°35


The Role of Equity Funds in the Financial Crisis Propagation


Harald HAU, University of Geneva and Swiss Finance Institute
Sandy LAI, Singapore Management University


N°34


The Term Structure of Interbank Risk


Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Anders B. TROLLE, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute


N°33


Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much


Fabio TROJANI, University of Lugano and Swiss Finance Institute
Christian WIEHENKAMP, Goethe University Frankfurt
Jan WRAMPELMEYER, University of Zurich and Swiss Finance Institute (SFI PhD Program)


N°32
Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels


Marcelo FERNANDES, University of London
Eduardo F. MENDES, Northwestern University
Olivier SCAILLET, University of Geneva and Swiss Finance Institute


N°31


Institutional Investors and Mutual Fund Governance: Evidence from Retail – Institutional Fund Twins


Richard B. EVANS, Darden School of Business, University of Virginia
Rüdiger FAHLENBRACH, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute


N°30


Investment strategies used as spectroscopy of financial markets reveal new stylized facts


Wei-Xing ZHOU, East China University of Science and Technology
Guo-Hua MU, East China University of Science and Technology
Wei CHEN, Shenzhen Stock Exchange
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°29


Clarifications to Questions and Criticisms on the Johansen- Ledoit-Sornette Bubble Model


Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Ryan WOODARD, ETH Zurich
Wanfeng YAN, ETH Zurich
Wei-Xing ZHOU, East China University of Science and Technology


N°28


Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences


Claudia RAVANELLI, EPFL and Swiss Finance Institute
Gregor SVINDLAND, University of Munich


N°27


Extreme-quantile tracking for financial time series


Valérie CHAVEZ-DEMOULIN, University of Lausanne
Paul EMBRECHTS, RiskLab, ETH Zurich and Swiss Finance Institute
Sylvain SARDY, University of Geneva


N°26


Role of diversification risk in financial bubbles


Wanfeng YAN, ETH Zurich
Ryan WOODARD, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°25


Voluntary Disclosure Quality and Equity Prices


Florian EUGSTER, University of Zurich (PhD. Student)
Alexander F. WAGNER, University of Zurich and Swiss Finance Institute


N°24


Risk Aversion in the Large and in the Small


Jorgen HAUG, Norwegian School of Economics
Thorsten HENS, University of Zurich and Swiss Finance Institute
Peter WOHRMANN, University of Zurich and Stanford University


N°23


Predictive Power of Information Market Prices


Maria PUTINTSEVA, University of Zurich and Swiss Finance Institute

N°22


R&D and the Market for Acquisitions


Gordon PHILLIPS, University of Maryland and NBER
Alexei ZHDANOV, University of Lausanne and Swiss Finance Institute

N°21


The war puzzle: contradictory effects of international conflicts on stock markets


Amelie BRUNE, University of Zurich
Thorsten HENS, University of Zurich and Swiss Finance Institute
Marc Oliver RIEGER, University of Trier
Mei WANG, WHU Otto Beisheim School of Management


N°20


Density Approximations For Multivariate Affine Jump-Diffusion Processes


Damir FILIPOVIC, Ecole Polythechnique Fédérale de Lausanne and Swiss Finance Institute
Eberhard BERHARD, Vienna Institute of Finance
Paul SCHNEIDER, University of Warwick


N°19


This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis


Rüdiger Fahlenbrach, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Robert Prilmeier, The Ohio State University
René M. Stulz, The Ohio State University, NBER and ECGI


N°18


Utility Maximization, Risk Aversion, and Stochastic Dominance


Mathias BEIGLBÖCK, University of Vienna
Johannes MUHLE-KARBE, ETH Zurich
Johannes TEMME, University of Vienna


N°17


Tax-Adjusted Discount Rates: A General Formula under Constant Leverage Ratios


Peter MOLNAR, Norwegian School of Economics & Business Administration
Kjell G. NYBORG, University of Zurich, Swiss Finance Institute and CEPR


N°16


International Bond Risk Premia


Magnus DAHLQUIST, Stockholm School of Economics and SIFR
Henrik HASSELTOFT, University of Zurich and the Swiss Finance Institute


N°15


The unconditional and conditional exchange rate exposure of U.S. firms


Ines CHAIEB, University of Geneva and Swiss Finance Institute
Stefano MAZZOTTA, Kennesaw State University


N°14


CEO Contract Design: How Do Strong Principals Do It?


Henrik CRONQVIST, Claremont McKenna College
Rüdiger FAHLENBRACH, Ecole Polytechnique Fédérale de Lausanne and SwissFinance Institute


N°13


On the Timing and Pricing of Dividends


Jules H. van Binsbergen, Northwestern Kellogg, Stanford GSB and NBER
Michael W. Brandt, Duke University and NBER
Ralph S.J. Koijen, Chicago Booth and NBER


N°12


Design matters: Binding say-on-pay and its impact on shareholder value


Alexander WAGNER, University of Zurich, Swiss Finance Institute and CEPR
Christoph WENK, University of Zurich


N°11


Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation


Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Robert KREMSLEHNER, Vienna University of Economics and Business
Alexander MUERMANN, Vienna University of Economics and Business


N°10


Collateral Requirements and Asset Prices


Johannes BRUMM, University of Mannheim
Michael GRILL, University of Mannheim
Felix KUBLER, University of Zurich and Swiss Finance Institute
Karl SCHMEDDERS, University of Zurich and Swiss Finance Insitute


N°9


Weak Approximation of G-Expectations


Yan DOLINSKY, ETH Zurich
Marcel NUTZ, ETH Zurich
Halil Mete SONER, ETH Zurich and Swiss Finance Institute


N°8


Hedge Fund Stock Trading in the Financial Crisis of 2007-2008


Itzhak BEN-DAVID, The Ohio State University, Fisher College of Business
Francesco FRANZONI, University of Lugano and Swiss Finance Institute
Rabih MOUSSAWI, University of Pennsylvania, The Wharton School



N°7


Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation


Alberto PLAZZI, University of Lugano and Swiss Finance Institute
Walter N. TOROUS, University of California, Los Angeles
Rossen VALKANOV, University of California, San Diego


N°6


Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals


Eric GHYSELS, University of North Carolina
Alberto PLAZZI, University of Lugano and Swiss Finance Institute
Rossen VALKANOV, University of California, San Diego


N°5


The US stock market leads the Federal funds rate and Treasury bond yields


Kun GUO, Chinese Academy of Sciences
Wei-Xing ZHOU, Chinese Academy of Sciences, East China University of Science and Technology
Si-Wei CHENG, Chinese Academy of Sciences
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°4


Regulating Asset Price Risk


Philippe BACCHETTA, University of Lausanne, Swiss Finance Institute and CEPR
Cedric TILLE, Graduate Institute Geneva and CEPR
Eric VAN WINCOOP, University of Virginia and NBER


N°3


Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM


Xiaohui NI, East China University of Science and Technology (PhD candidate)
Yannick MALEVERGNE, Université de Lyon, Université de Saint-Etienne and Coactis
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Peter WOEHRMANN, Stanford University

N°2


Approaches to conditional risk


Damir FILIPOVIC, Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Michael KUPPER, Humboldt Universität zu Berlin
Nicolas VOGELPOTH, Morgan Stanley

N°1


Entrepreneurial Spawning and Firm Characteristics


Michel A. HABIB, University of Zurich, Swiss Finance Institute and CEPR
Ulrich HEGE, HEC School of Management Paris
Pierre MELLA-BARRAL, EDHEC Business School


2010




N°58


On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications


Peter S. SCHMIDT, University of Zurich
Urs VON ARX, University of Zurich, ETH Zurich
Andreas SCHRIMPF, Aarhus University
Alexander F. WAGNER, University of Zurich
Andreas ZIEGLER, University of Zurich, ETH Zurich


N°57


Semi-Parametric Estimation of American Option Prices


Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
Diego RONCHETTI, University of Lugano


N°56


Passive Shareholders as a Takeover Defense


Andriy BODNARUK, Mendoza College of Business, University of Notre Dame
Paul GAO, Mendoza College of Business, University of Notre Dame
Per ÖSTBERG, University of Zurich, Swiss Finance Institute
Hayong YUN, Mendoza College of Business, University of Notre Dame


N°55


Do Implicit Barriers Matter for Globalization?


Francesca CARRIERI, McGill University
Ines CHAIEB, University of Amsterdam
Vihang ERRUNZA, McGill University


N°54


Martingale Representation Theorem for the G-expectation


H. Mete SONER, ETH Zurich and Swiss Finance Institute
Nizar TOUZI, CMAP, Ecole Polytechnique Paris
Jianfeng ZHANG, University of Southern California


N°53


Liquidity Models in Continuous and Discrete Time


Selim GOKAY, ETH Zurich
Alexandre F. ROCH, ETH Zurich
H. Mete SONER, ETH Zurich and Swiss Finance Institute

N°52


Superhedging and Dynamic Risk Measures under Volatility Uncertainty


Marcel NUTZ, ETH Zurich
H. Mete SONER, ETH Zurich and Swiss Finance Institute


N°51


Consistent valuation of project finance and LBO'susing the flows-to-equity method


Ian COOPER, London Business School
Kjell G. NYBORG, Univeristy of Zurich and Swiss Finance Institute


N°50


Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration


Wanfeng YAN, ETH Zürich
Ryan WOODARD, ETH Zürich
Didier SORNETTE, ETH Zürich and Swiss Finance Institute


N°49
The Relationship between Credit Default Swap and Cost of Equity Capital


Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Moreno BRUGHELLI, University of Lugano and Swiss Finance Institute


N°48


Land leverage and house prices


Steven C. BOURASSA, University of Louisville and Bordeaux Management School
Martin HOESLI, University of Geneva, Swiss Finance Institute, University of Aberdeen and Bordeaux Ecole de Management
Donato SCOGNAMIGLIO, IAZI AG – CIFI SA
Sumei ZHANG, University of Louisville


N°47


Do Public Real Estate Returns Really Lead Private Returns?


Elias OIKARINEN, Turku School of Economics
Martin HOESLI, University of Geneva (HEC and SFI), University of Aberdeen (Business School), Bordeaux Ecole de Management
Camilo SERRANO, IAZI AG – CIFI SA


N°46


Forecasting customer behaviour in a multi-service financial organisation: A profitability perspective


Alena AUDZEYEVA, Keele University
Barbara SUMMERS, University of Leeds
Klaus Reiner SCHENK-HOPPE, University of Leeds


N°45


Finding All Pure-Strategy Equilibria in Games with Continuous Strategies


Kenneth L. JUDD, Stanford University
Philipp RENNER, University of Zurich
Karl SCHMEDDERS, Unviersity of Zurich and Swiss Finance Institute


N°44


Conditional Density Models for Asset Pricing


Damir FILIPOVIC, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Lane P. HUGHSTON, Imperial College London
Andrea MACRINA, King's College London and Kyoto University


N°43


Moment Component Analysis: An Illustration with International Stock Markets


Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Emmanuel JURCZENKO, ESCP EUROPES
Michael ROCKINGER, University of Lausanne, Swiss Finance Institute and CEPR


N°42


Nonmyopic Optimal Portfolios in Viable Markets


Jaksa CVITANIC, Caltec
Semyon MALAMUD, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute


N°41
Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty


Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Michael ROCKINGER, University of Lausanne, Swiss Finance Institute and CEPR


N°40


Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns


Martin HOESLI, University of Geneva (HEC and SFI), University of Aberdeen and Bordeaux Ecole de Management
Kustrim REKA, University of Geneva (HEC)


N°39


Firm Life Cycles Under Additive Shocks


Klaus REINER SCHENK-HOPPE, University of Leeds
Urs SCHWERI, University of Zurich


N°38


Consumption Paths under Prospect Utility in an Optimal Growth Model


Reto FOELLMI, University of Bern
Rina ROSENBLATT-WISCH, Swiss National Bank
Klaus REINER SCHENK-HOPPE, University of Leeds


N°37


Banking System Stability with respect to Funding Liquidity Risk


Mario HAEFELI, University of Zurich and Swiss Finance Institute

N°36


An evolutionary financial market model with a risk-free asset


Igor V. EVSTIGNEEVY, University of Manchester
Thorsten HENS, University of Zurich and Swiss Finance Institute
Klaus Reiner SCHENK-HOPPE, University of Leeds


N°35


The performance of the Eurosystem's fixed rate tenders since 2004: Theory and evidence


Christian EWERHART, University of Zurich
Nuno CASSOLA, European Central Bank
Natacha VALLA, Goldman Sachs


N°34


Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes


Jeffrey SATINOVER, ETH Zurich and the King’s College
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°33


The value of the liability insurance for Credit Suisse and UBS


Mario HAEFELI, University of Zurich and Swiss Finance Institute
Matthias P. JUTTNER, University of Zurich and Swiss Finance Institute


N°32


Self-Fulfilling Risk Panics


Philippe BACCHETTA, University of Lausanne and CEPR
Cédric TILLE, Graduate Institute and CEPR
Eric VAN WINCOOP, University of Virginia and NBER


N°31


Alternative Models For Hedging Yield Curve Risk: An Empirical Comparison


Nicola CARCANO, Università della Svizzera Italiana and Bank Vontobel
Hakim DALL'O, Università della Svizzera Italiana and Swiss Finance Institute


N°30


Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change


Zhihua CHEN, University of Neuchâtel, Shanghai University and SwissFinance Institute
Aziz A. LOOKMAN, Moody's Investors Service
Norman SCHURHOFF, University of Lausanne, Swiss Finance Institute and CEPR
Duane J. SEPPI, Carnegie Mellon University


N°29


A structural analysis of the health expenditures and portfolio choices of retired agents


Julien HUGONNIER, Ecole Polytechnique Fédérale de Lausanne and Swiss Finance Institute
Florian PELGRIN, University of Lausanne and CIRANO
Pascal ST-AMOUR, University of Lausanne, Swiss Finance Institute, CIRANO and CIRPEE


N°28


Bayesian Learning in Unstable Settings: Experimental Evidence Based on the Bandit Problem


Elise PAYZAN LE NESTOUR, Swiss Finance Institute at the Ecole Polytechnique Fédérale de Lausanne (EPFL)

N°27


ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails


Marc S. PAOLELLA, University of Zurich and Swiss Finance Institute

N°26


Price Impact and Portfolio Impact


Jaksa CVITANIC, Caltech
Semyon MALAMUD, EPF Lausanne and Swiss Finance Institute

N°25


Money and Liquidity in Financial Markets


Kjell G. NYBORG, University of Zurich, Swiss Finance Institute, NHH and CEPR
Per OSTBERG, University of Zurich, Swiss Finance Institute and NHH

N°24


Bank Bailout Menus


Sudipto BHATTACHARYA, London School of Economics and CEPR
Kjell G. NYBORG, University of Zurich, Swiss Finance Institute, NHH and CEPR

N°23
Microinformation, Nonlinear Filtering and Granularity


Patrick GAGLIARDINI University of Lugano and Swiss Finance Institute
Christian GOURIEROUX, CREST, CEPREMAP (Paris) and University of Toronto
Alain MONFORT, CREST, Banque de France and Maastricht University


N°22


Replicating Hedge Fund Indices with Optimization Heuristics


Manfred GILLI, University of Geneva and Swiss Finance Institute
Enrico SCHUMANN, University of Geneva
Gerda CABEJ, University of Geneva
Jonela LULA; University of Geneva


N°21


Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices


Felix KUBLER, University of Zurich (ISB) and Swiss Finance Insitute
Karl SCHMEDDERS, University of Zurich (IOR) and Swiss Finance Insitute


N°20


The Price of Liquidity: Bank Characteristics and Market Conditions


Falko FECHT, European Business School
Kjell G. NYBORG, University of Zurich, Swiss Finance Institute, NHH and CEPR
Jörg ROCHOLL; ESMT


N°19


Macroeconomic Conditions, Growth Opportunities and the Cross-Section of Credit Risk


Marc ARNOLD, University of Zurich (SFI PhD Program)
Alexander F. WAGNER, University of Zurich and Swiss Finance Institute
Ramona WESTERMANN, University of Geneva (SFI PhD Program)


N°18
Risk-taking incentives, governance, and losses in the financial crisis


Marc CHESNEY, University of Zurich
Jacob STROMBERG, University of Zurich (SFI Ph.D. program)
Alexander F. WAGNER, University of Zurich, Swiss Finance Institute and Harvard University


N°17


The Dark Side of Outside Directors: Do they Quit When They are Most Needed?


Rüdiger FAHLENBRACH,, Swiss Finance Institute, Ecole Polytechnique Fédérale de Lausanne
Angie LOW, Nanyang Business School, Nanyang Technological University
René M. STULZ, Department of Finance, The Ohio State University, NBER, and ECGI


N°16


Bubbles Everywhere in Human Affairs


Monika GISLER,. ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°15
Diagnosis and Prediction of Market Rebounds in Financial Markets


Wanfeng YAN, ETH Zurich
Ryan WOODARD, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°14


Three Solutions to the Pricing Kernel Puzzle


Thorsten HENS, University of Zurich, Swiss Finance Institute and Norwegian School of Economics and Business Administration
Christian REICHLIN, ETH Zurich and University of Zurich


N°13


The Interest Rate Sensitivity of Real Estate


Alain CHANEY, Informations - und Ausbildungszentrum für Immobilien IAZI AG
Martin HOESLI, University of Geneva (HEC and SFI), University of Aberdeen and Bordeaux Ecole de Management


N°12


Exuberant innovation: The Human Genome Project


Monika GISLER, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Ryan WOODARD, ETH Zurich


N°11


Former CEO Directors: Lingering CEOs or Valuable Resources?


Rüdiger FAHLENBRACH, EPFL and Swiss Finance Institute
Bernadette A. MINTON, The Ohio State University
Carrie H. PAN, Santa Clara University


N°10


Optimal Securitization with Heterogeneous Investors

Semyon MALAMUD, EPFL and Swiss Finance Institute
Huaxia RUIZ, University of Texas at Austin
Andrew WHINSTON, University of Texas at Austin


N°9


Information Percolation in Segmented Markets


Darrell DUFFIE, Graduate School of Business, Stanford University and NBER
Semyon MALAMUD, EPFL and Swiss Finance Institute
Gustavo MANSO, Sloan School of Business, MIT


N°8


Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms


Judith WIESINGER, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Jeffrey SATINOVER, ETH Zurich


N°7


Efficient Derivative Pricing By The Extended Method of Moments


Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
Christian GOURIEROUX, CREST, CEPREMAP (Paris) and University of Toronto
Eric RENAULT, CIRANO-CIREQ (Montreal) and University of North Carolina at Chapel Hill


N°6


The Lehman Brothers Effect and Bankruptcy Cascades


Pawel SIECZKA Warsaw, University of Technology
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Janusz A. HOLYST, Warsaw University of Technology


N°5


Realizing Smiles: Options Pricing with Realized Volatility


Fulvio CORSI, University of St. Gallen and Swiss Finance Institute
Nicola FUSARI, University of Lugano and Swiss Finance Institute
Davide LA VECCHIA, University of Lugano


N°4


Lemons and Money Market?


Christian EWERHART, University of Zurich
Patricia FEUBLI, University of Zurich


N°3


Is the Price Kernel Monotone?


Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Hakim DALL'O, University of Lugano and Swiss Finance Institute

N°02


Exploring the Nature of 'Trader Intuition'


Antoine J. BRUGUIER, California Institute of Technology
Steven R. QUARTZ, California Institute of Technology
Peter BOSSAERTS, California Institute of Technology, Swiss Federal Institute of Technology Lausanne and Swiss Finance Institute

N°01


Housing and its Role in the Household Portfolio in Colombia


Camilo SERRANO, University of Geneva (HEC and GFRI)
Martin HOESLI, University of Geneva (HEC, GFRI and SFI), University of Aberdeen, Bordeaux Ecole de Management


2009




N°50


An Experimental Study On Real Option Strategies


Mei WANG, University of Zurich and Swiss Finance Institute
Abraham BERNSTEIN, University of Zurich
Marc CHESNEY, University of Zurich and Swiss Finance Institute


N°49


Evolutionary Finance and Dynamic Games


Rabah AMIR, University of Arizona
Igor V. EVSTIGNEEV, University of Manchester
Thorsten HENS, University of Zurich and Swiss Finance Institute
Le XU, University of Manchester


N°48


Obfuscation, Learning, and the Evolution of Investor Sophistication


Bruce CARLIN, University of California, Los Angeles - Anderson School of Management
Gustavo MANSO, MIT Sloan School of Management


N°47
How Time Preferences Differ: Evidence from 45 Countries


Mei WANG, University of Zurich and Swiss Finance Institute
Marc Oliver RIEGER, University of Zurich
Thorsten HENS, University of Zurich and Swiss Finance Institute


N°46


Homogeneous Volatility Bridge Estimators


Alexander SAICHEV, ETH Zurich and Nizhni Novgorod State University
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Vladimir FILIMONOV, ETH Zurich and Nizhni Novgorod State University
Fulvio CORSI, University of Lugano and Swiss Finance Institute


N°45


Financial Markets Equilibrium with Heterogeneous Agents


Jaksa CVITANIC, CALTECH
Elyès JOUINI, Université Paris Dauphine
Semyon MALAMUD, EPF Lausanne and Swiss Finance Institute
Clotilde NAPP, Université Paris Dauphine


N°44


Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums


Loriano MANCINI, EPFL and Swiss Finance Institute
Angelo RANALDO, Swiss National Bank Research Unit
Jan WRAMPELMEYER, University of Zurich and Swiss Finance Institute


N°43


Private Equity Performance and Liquidity Risk


Francesco FRANZONI, University of Lugano and Swiss Finance Institute
Eric NOWAK, University of Lugano and Swiss Finance Institute
Ludovic PHALIPPOU, University of Amsterdam Business School


N°42


House Prices, Disposable Income, and Permanent and Temporary Shocks


Patricia FRASER, Curtin University of Technology and University of Aberdeen
Martin HOESLI, University of Geneva (HEC and SFI), University of Aberdeen and Bordeaux Management School
Lynn MCALEVEY, University of Otago


N°41


Endogenous completeness of diffusion driven equilibrium markets


Julien HUGONNIER, Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Semyon MALAMUD, Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Eugene TRUBOWITZ, ETH Zurich


N°40


Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal


Yannick MALEVERGNE, Université de Lyon – Université de Saint-Etienne, EMLYON Business School and ETH Zurich
Vladilen PISARENKO, International Institute of Earthquake Prediction Theory and Mathematical Geophysics Russian Academy of Science
Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°39


Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles


Zhi-Qiang JIANG, East China University of Science and Technology (School of Business, School of Science Research Center for Econophysics)
Wei-Xing ZHOU, East China University of Science and Technology (School of Business, School of Science Research Center for Econophysics) and Research Center on Fictitious Economics & Data Science, Chinese Academy of Sciences
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Ryan WOODARD, ETH Zurich
Ken BASTIAENSEN, BNP Paribas Fortis
Peter CAUWELS, BNP Paribas Fortis


N°38
Robust Resampling Methods for Time Series


Lorenzo CAMPONOVO, University of Lugano
Olivier SCAILLET, University of Geneva (HEC) and Swiss Finance Institute
Fabio TROJANI, University of Lugano and Swiss Finance Institute


N°37


Growing wealth with fixed-mix strategies


Michael A.H. DEMPSTER, University of Cambridge
Igor V. EVSTIGNEEV, University of Manchester
Klaus Reiner SCHENK-HOPPE, University of Leeds


N°36
Dragon-Kings, Black Swans and the Prediction of Crises


Didier SORNETTE, ETH Zurich and Swiss Finance Institute

N°35


Most Efficient Homogeneous Volatility Estimators


Alexander I. SAICHEV, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Vladimir FILIMONOV, ETZ Zurich


N°34
Equilibrium Driven by Discounted Dividend Volatility


Jaksa CVITANIC, Caltech, Division of Humanities and Social Sciences
Semyon MALAMUD, EPF Lausanne and Swiss Finance Institute


N°33


The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation


Darrell DUFFIE, Graduate School of Business, Stanford University and NBER
Semyon MALAMUD, EPF Lausanne and Swiss Finance Institute
Gustavo MANSO, Sloan School of Business, MIT


N°32


Survival and Evolutionary Stability of the Kelly Rule


Igor V. EVSTIGNEEV, University of Manchester
Thorsten HENS, University of Zurich and Swiss Finance Institute
Klaus Reiner SCHENK-HOPPE, University of Leeds


N°31


Other-regarding preferences and altruistic punishment: A Darwinian perspective


Moritz HETZER, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°30


Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity


Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Florian PELGRIN, University of Lausanne


N°29


Firm Migration and Stock Returns


Giovanni W. PUOPOLO, University of Lausanne and Swiss Finance Institute

N°28


Short Selling Regulation after the Financial Crisis – First Principles Revisited


Seraina GRUENEWALD, University of Zurich
Alexander F. WAGNER, Swiss Finance Institute and University of Zurich
Rolf H. WEBER, University of Zurich


N°27


Bank CEO Incentives and the Credit Crisis

Rüdiger FAHLENBRACH, Ecole Polytechnique Fédérale de Lausanne (EPFL) and Swiss Finance Institute
René M. STULZ, The Ohio State University, Fisher College of Business and NBER


N°26


Linkages Between Direct and Securitized Real Estate


Elias OIKARINEN, Turku School of Economics
Martin HOESLI, University of Geneva (HEC and SFI), University of Aberdeen (Business School) and Bordeaux Ecole de
Management
Camilo SERRANO, University of Geneva (HEC)


N°25
Portfolio Selection with Narrow Framing: Probability Weighting Matters


Enrico DE GIORGI, University of St. Gallen, Swiss Finance Institute and University of Lugano
Shane LEGG, University College London and University of Lugano


N°24
Optimal Liquidation Strategies in Illiquid Markets

Eric JONDEAU, Swiss Finance Institute and University of Lausanne
Augusto PERILLA, RMF Investment Management
Michael ROCKINGER, Swiss Finance Institute, University of Lausanne and CEPR


N°23


Fourth Order Pseudo Maximum Likelihood Methods


Alberto HOLLY, Institute of Health Economics and Management (IEMS) and University of Lausanne
Alain MONFORT, CNAM and CREST
Michael ROCKINGER, Swiss Finance Institute, University of Lausanne and CEPR


N°20


Cognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets


Elena ASPAROUHOVA, University of Utah
Peter BOSSAERTS, Caltech, EPFL, Swiss Finance Institute and CEPR
Jon EGUIA, New York University
William ZAME, University of California, Los Angeles


N°19


A Satisficing Alternative to Prospect Theory


David B. BROWN, Fuqua School of Business, Duke University
Enrico G. DE GIORGI, University of St. Gallen, Swiss Finance Institute and University of Lugano
Melvyn SIM, NUS Business School, NUS Risk Management Institute, National University of Singapore


N°18


Health and (other) Asset Holdings


Julien HUGONNIER, University of Lausanne and Swiss Finance Institute
Florian PELGRIN, University of Lausanne and CIRANO
Pascal ST-AMOUR, University of Lausanne, Swiss Finance Institute, CIRANO and CIRPEE


N°17


An Intergenerational Cross-Country Swap


Miret PADOVANI, Zurich Cantonal Bank
Paolo VANINI, University of Zurich (ISB), Zurich Cantonal Bank and Swiss Finance Institute


N°16


Housing Finance, Prices, and Tenure in Switzerland


Steven C. BOURASSA, University of Louisville and Bordeaux Management School
Martin HOESLI, University of Geneva (HEC and SFI), University of Aberdeen and Bordeaux Management School
Donato SCOGNAMIGLIO, IAZI / CIFI and University of Berne

N°15


Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis


Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Ryan WOODARD, ETH Zurich


N°14


A Consistent Model of ‘Explosive’ Financial Bubbles With Mean-Reversing Residuals


Li LIN, ETH Zurich and Beihang University
Ruo En REN, Beihang University
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°13


Variance Covariance Orders and Median Preserving

Semyon MALAMUD, ETH Zurich and Swiss Finance Institute
Fabio TROJANI, University of Lugano and Swiss Finance Institute


N°12


Efficiency in Large Dynamic Panel Models with Common Factor


Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
Christian GOURIEROUX, CREST, CEPREMAP (Paris) and University of Toronto


N°11


The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading


Ramazan GENCA, Simon Fraser University and Rimini Center for Economic Analysis
Rajna GIBSON, University of Geneva and Swiss Finance Institute
Yi XUE, Simon Fraser University


N°10
Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation


Erwan MORELLEC, Ecole Polytechnique Federale de Lausanne (EPFL), Swiss Finance Institute and CEPR
Boris NIKOLOV, University of Lausanne and Swiss Finance Institute
Norman SCHURHOFF, University of Lausanne and Swiss Finance Institute


N°9


Dynamic Investment and Financing under Asymmetric Information


Erwan MORELLEC, Ecole Polytechnique Federale de Lausanne (EPFL), Swiss Finance Institute and CEPR
Norman SCHURHOFF, University of Lausanne and Swiss Finance Institute


N°8


Fractional Cointegration Analysis of Securitized Real Estate


Camilo SERRANO, University of Geneva
Martin HOESLI, University of Geneva (HEC and SFI), University of Aberdeen, Bordeaux Ecole de Management


N°7


On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market


Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Helyette GEMAN, Birkbeck College, University of London
John THEAL, University of Lausanne and Swiss Finance Institute


N°6
An Empirical Analysis of Alternative Portfolio Selection Criteria


Manfred GILLI, University of Geneva and Swiss Finance Institute
Enrico SCHUMANN, University of Geneva


N°5


Non-Parametric Counterfactual Analysis in Dynamic General Equilibrium

Felix KUBLER, University of Zurich and Swiss Finance Institute
Karl SCHMEDDERS, University of Zurich and Swiss Finance Institute


N°4


Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry


Shengsui HU, ETH Zurich
Yannick MALEVERGNE, University of Saint-Etienne and EM-Lyon Business School
Didier SORNETTE, ETH Zurich and Swiss Finance Institute


N°3


Asset Prices, Funds’ Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds


Jaksa CVITANIC, Caltech
Semyon MALAMUD, ETH Zurich and Swiss Finance Institute

N°2


Information Percolation with Equilibrium Search Dynamics

Darrell DUFFIE, Stanford University
Semyon MALAMUD, ETH Zurich and Swiss Finance Institute
Gustavo MANSO, MIT

N°1


Vanishing Liquidity, Market Runs, and the Welfare Impact of TARP


Christian EWERHART, University of Zurich and NCCR Finrisk


2008


N°49


Incomplete-Market Equilibria Solved Recursively on an Event Tree


Bernard DUMAS, University of Lausanne, Swiss Finance Institute, NBER and CEPR
Andrew LYASOFF, Boston University


N°48


The Power of Truth: Experimental Evidence on the Economic Implications of Truth as a Sacred Value


Rajna GIBSON, University of Geneva and Swiss Finance Institute
Carmen TANNER, University of Zurich
Alexander F. WAGNER, University of Zurich and Swiss Finance Institute


N°47


What do frictions mean for Q-theory testing?


Maria Cecilia BUSTAMANTE, University of Lausanne and Swiss Finance Institute

N°46


The Dynamics of Going Public


Maria Cecilia BUSTAMANTE, University of Lausanne and Swiss Finance Institute

N°45


Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data

Philippe HUBER, University of Geneva
Olivier SCAILLET, University of Geneva, HEC and Swiss Finance Institute
Maria-Pia VICTORIA-FESER, University of Geneva

N°44
Frailty Correlated Default

Darrell DUFFIE, Stanford University
Andreas ECKNER, Stanford University
Guillaume HOREL, Stanford University
Leandro SAITA, Lehman Brothers

N°43


The Price of Protection: Derivatives, Default Risk, and Margining


Rajna GIBSON, University of Geneva and Swiss Finance Institute
Carsten MURAWSKI, The University of Melbourne


N°42


Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

Amine LAHIANI, ESC-Rennes School of Business and EconomiX, University of Paris 10 Nanterre
Olivier SCAILLET, University of Geneva (HEC) and Swiss Finance Institute


N°41


Strategies of Survival in Dynamic Asset Market Games


Rabah AMIR, University of Arizona
Igor V. EVSTIGNEEV, University of Manchester
Le XU, University of Manchester


N°40


Asymmetric Information and Adverse Selection in Mauritian Slave Auctions

Georges DIONNE, HEC Montreal, CIRPEE and CIRRELT
Pascal ST-AMOUR, University of Lausanne, Swiss Finance Institute, CIRANO and CIRPEE
Desire VENCATACHELLUM, African Development Bank


N°39
Global Securitized Real Estate Benchmarks and Performance

Camilo SERRANO, University of Geneva
Martin HOESLI, University of Geneva (HEC and SFI), University of Aberdeen and Bordeaux Ecole de Management


N°38


Auctioned IPOs: The U.S. Evidence


François DEGEORGE, University of Lugano and Swiss Finance Institute
François DERRIEN, HEC Paris
Kent L. WOMACK, Tuck School of Business, Dartmouth College


N°37


Hedge fund alphas: do they reflect managerial skills or mere compensation for liquidity risk bearing?


Rajna GIBSON, University of Geneva and Swiss Finance Institute
Songtao WANG, University of Zurich (PhD Candidate in Finance) and Swiss Finance Institute


N°36
Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM

Francesco FRANZONI, University of Lugano and Swiss Finance Institute
Tobias ADRIAN, Federal Reserve Bank of New York


N°35
The Changing Nature Of Market Risk

Francesco FRANZONI, University of Lugano and Swiss Finance Institute

N°34


Constructing Long/Short Portfolios with the Omega ratio


Manfred GILLI, University of Geneva and Swiss Finance Institute
Enrico SCHUMANN, University of Geneva
Giacomo DI TOLLO, University of Pescara
Gerda CABEJ, University of Geneva


N°33


Look-Ahead Benchmark Biasin Portfolio Performance Evaluation


Gilles DANIEL, ETH Zurich
Didier SORNETTE, ETH Zurich and Swiss Finance Institute
Peter WOHRMANN, University of Zurich


N°32


Bond Ladders and Optimal Portfolios


Kenneth L. JUDD, Stanford University
Felix KUBLER, University of Zurich and Swiss Finance Institute
Karl SCHMEDDERS, University of Zurich

N°31


Asset Market Games of Survival


Rabah AMIR, University of Arizona
Igor V. EVSTIGNEEV, University of Manchester
Klaus Reiner SCHENK-HOPPE, University of Leeds

N°30


From Discrete to Continuous Time Evolutionary Finance Models


Jan PALCZEWSKI, University of Leeds and University of Warsaw
Klaus Reiner SCHENK-HOPPE, University of Leeds


N°29
Market Selection of Constant Proportions Investment Strategies in Continuous Time

Jan PALCZEWSKI, University of Leeds and University of Warsaw
Klaus Reiner SCHENK-HOPPE, University of Leeds


N°28


Bubbles and multiplicity of equilibria under portfolio constraints

Julien HUGONNIER, University of Lausanne and Swiss Finance Institute

N°27
Are Securitized Real Estate Returns more Predictable than Stock Returns?


Martin HOESLI, University of Geneva (HEC and Swiss Finance Institute), University of Aberdeen (Business School), Bordeaux Ecole de Management
Camilo SERRANO, University of Geneva (HEC)


N°26


Mutual Fund Competition in the Presence of Dynamic Flows


Michèle BRETON, CREF, GERAD and HEC Montréal
Julien HUGONNIER, University of Lausanne and Swiss Finance Institute
Tarek MASMOUDI, Caisse de dépôt et placement du Québec (CDPQ)

N°25


Mathematical basis of quantum decision theory

Vyacheslav I. YUKALOV, ETH Zürich and Bogolubov Laboratory of Theoretical Physics, Joint Institute for Nuclear Research
Didier SORNETTE, ETH Zürich and Swiss Finance Institute


N°24


Repo Markets, Counterparty Risk, and the 2007/2008 Liquidity Crisis


Christian EWERHART, University of Zurich and NCCR Finrisk
Jens TAPKING, European Central Bank


N°23


Incomplete Information, Idiosyncratic Volatility and Stock Returns


Tony BERRADA, University of Geneva and Swiss Finance Institute
Julien HUGONNIER, University of Lausanne and Swiss Finance Institute

N°22


Underinvestment Vs. Overinvestment: Evidence From Price Reactions To Pension Contributions


Francesco FRANZONI, University of Lugano and Swiss Finance Institute

N°21


Determinants of the Block Premium and of Private Benefits of Control


Rui ALBUQUERQUE, Boston University, CEPR and ECGI
Enrique SCHROTH, University of Lausanne and Swiss Finance Institute

N°20


Valuing modularity as a real option


Andrea GAMBA, Departement of Economics, University of Verona
Nicola FUSARI, University of Lugano and Swiss Finance Institute

N°19


Ambiguity Aversion and the Term Structure of Interest Rates

Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
Paolo PORCHIA,Swiss Institute for Banking and Finance, University of St. Gallen
Fabio TROJANI, Swiss Institute for Banking and Finance, University of St. Gallen


N°18


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


Laurent BARRAS, Swiss Finance Institute and Imperial College, Tanaka Business School
Olivier SCAILLET, University of Geneva, HEC and Swiss Finance Institute
Russ WERMERS, University of Maryland, Robert H. Smith School of Business


N°17


Distributed Optimisation of a Portfolio's Omega


Manfred GILLI, Department of Econometrics, University of Geneva and Swiss Finance Institute
Enrico SCHUMANN, Department of Econometrics, University of Geneva


N°16


Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation


Georges HARRAS, Department of Management, Technology and Economics, ETH Zurich
Didier SORNETTE, Department of Management, Technology and Economics, ETH Zurich and Swiss Finance Institute


N°15


Anomalous Returns in a Neural Network Equity-Ranking Predictor

Jeffrey SATINOVER, Laboratoire de Physique de la Matière Condensée, CNRS UMR6622 and Université des Sciences
Didier SORNETTE, Department of Management, Technology and Economics, ETH Zurich and Swiss Finance Institute

N°14


Evolutionary Finance


Igor V. EVSTIGNEEV, Economic Studies, University of Manchester
Thorsten HENS, Swiss Banking Institute, University of Zurich
Klaus REINER SCHENK-HOPPE, Leeds University Business School and School of Mathematics, University of Leeds

N°13


Executive Compensation and Stock Options: An Inconvenient Truth


Jean-Pierre DANTHINE, Swiss Finance Institute, University of Lausanne and CEPR
John B. DONALDSON, Columbia University

N°12
A review of heuristic optimization methods in econometrics

Manfred GILLI, University of Geneva and Swiss Finance Institute
Peter WINKER, University of Giessen


N°11


The executive turnover risk premium


Florian S. PETERS, University of Zurich and University of California at Berkeley
Alexander F. WAGNER, University of Zurich, Swiss Finance Institute and Harvard University


N°10


Constant-Quality House Price Indexes for Switzerland


Steven C. BOURASSA, University of Louisville, CEREBEM, BEM Management School
Martin HOESLI, University of Geneva, University of Aberdeen, CEREBEM, BEM Management School and Swiss Finance Institute
Donato SCOGNAMIGLIO, AZI / CIFI
Philippe SORMANI, IAZI / CIFI


N°9


Cash Sub-additive Risk Measures and Interest Rate Ambiguity


Nicole EL KAROUI, Ecole Polytechnique
Claudia RAVANELLI, University of Zurich


N°8


CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation


Simon A. BRODA, University of Zurich, Swiss Banking Institute
Marc S. PAOLELLA, University of Zurich, Swiss Banking Institute


N°7


Capital growth under transaction costs: An analysis based on the von Neumann-Gale model

Wael BAHSOUN, University of Manchester
Igor V. EVSTIGNEEV, University of Manchester
Michael I. TAKSAR, University of Missouri


N°6


Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias


Eric JONDEAU, University of Lausanne and Swiss Finance Institute

N°5


Jumps in high-frequency data: spurious detections, dynamics, and news


Pierre BAJGROWICZ, University of Geneva
Olivier SCAILLET, University of Geneva and Swiss Finance Institute

N°4


Implied Volatility at Expiration


Alexey MEDVEDEV, PhD student, Swiss Finance Institute and University of Geneva

N°3


Nonparametric Instrumental Variable Estimators of Quantile Structural Effects


Victor CHERNOZHUKOV, Massachusetts Institute of Technology
Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
Olivier SCAILLET, University of Geneva and Swiss Finance Institute

N°2


The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing


Marc CHESNEY, University of Zurich and Swiss Finance Institute
Luca TASCHINI, University of Zurich

N°1


Predicting House Prices with Spatial Dependence: Impacts of Alternative Submarket Definitions


Steven C. BOURASSA, University of Louisville, School of Urban and Public Affairs
Eva CANTONI, University of Geneva, Departement of Econometrics
Martin HOESLI, University of Geneva, HEC and Swiss Finance Institute


2007




N°37


Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility


Bernard DUMAS, University of Lausanne, INSEAD (on leave), NBER, CEPR and Swiss Finance Institute
Alexander KURSHEV, London Business School
Raman UPPAL, London Business School and CEPR


N°36


Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity


Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Jean-Guillaume SAHUC, Banque de France and Audencia School of Management


N°35


Forecasting EREIT Returns

Camilo SERRANO, University of Geneva
Martin HOESLI, University of Geneva, University of Aberdeen, Bordeaux Business School and Swiss Finance Institute

N°34


Dynamic Option-Based Strategies under Downside Loss Averse Preferences


Amine JALAL, Goldman Sachs International

N°33


Executive Compensation: The View from General Equilibrium


Jean-Pierre DANTHINE, University of Lausanne, CEPR and Swiss Finance Institute
John B. DONALDSONl, Columbia University

N°32
Arbitrage in Stationary Markets


Igor EVSTIGNEEV, University of Manchester
Dhruv KAPOOR, University of Manchester

N°31


Robust Value at Risk Prediction


Loriano MANCINI, University of Zurich
Fabio TROJANI, University of St-Gallen

N°30


Prospect Theory for Continuous Distributions Games and Prospects

Marc Oliver RIEGER, ETH Zurich, Department of Mathematics
Mei WANG, University of Zurich, ISB

N°29


Games and Prospects


Marc Oliver RIEGER, University of Zurich

N°28


Co-monotonicity of optimal investments and the design of structured financial products

Marc Oliver RIEGER, University of Zurich

N°27


Hybrid Cat Bonds


Pauline BARRIEU, London School of Economics
Henri LOUBERGE, University of Geneva and Swiss Finance Institute


N°26


Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns


Gregory CONNOR, The London School of Economics
Matthias HAGMANN, Concordia Advisors and Swiss Finance Institute
Oliver LINTON, The London School of Economics


N°25


Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates


Alexey MEDVEDEV, University of Geneva, HEC and Swiss Finance Institute
Olivier SCAILLET, University of Geneva, HEC and Swiss Finance Institute


N°24


Testing For Equality Between Two Copulas


Bruno REMILLARD, HEC Montréal
Olivier SCAILLET, University of Geneva and Swiss Finance Institute


N°23
Asset Pricing, Habit Memory And The Labor

Ivan JACCARD, The Wharton School

N°22


Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations


Christian EWERHART, University of Zurich
Nuno CASSOLA, European Central Bank
Natacha VALLA, Banque de France


N°21


Financial Market Equilibria With Cumulative Prospect Theory


Enrico De GIORGI, University of Lugano and Swiss Finance Institute
Thorsten HENS, University of Zurich
Marc Oliver RIEGER, University of Zurich


N°20


Do Stylised Facts of Order Book Markets Need Strategic Behaviour?


Dan LADLEY, University of Leeds, Business School
Klaus Reiner SCHENK-HOPPE, University of Leeds, School of Mathematics


N°19
Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle

Ivan JACCARD, Wharton School of Finance



N°18


Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets

Alena AUDZEYEVA, University of Leeds, Business School
Klaus Reiner SCHENK-HOPPE, University of Leeds, School of Mathematics

N°17


Director Independence as Strategic Behavior

Alexander F. WAGNER, University of Zurich and Swiss Finance Institute

N°16


Why Firms Purchase Property Insurance?


Daniel AUNON-NERIN, Zurich Financial Services
Paul EHLING, Norwegian School of Management


N°15


Conspicuous Conservatism In Risk Choice


Boaz MOSELLE, The Brattle Group
François DEGEORGE, University of Lugano and Swiss Finance Institute
Richard ZECKHAUSER, Harvard University, Kennedy School of Government


N°14
Stochastic Reference Points And The Dependence Structure

Enrico DE GIORGI, University of Lugano and Swiss Finance Institute
Thierry POST, Erasmus University Rotterdam

N°13


A Specification Test For Nonparametric Instrumental Variable Regression

Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute
Olivier SCAILLET, University of Geneva, HEC and Swiss Finance Institute


N°12
Anomalies In Intertemporal Choice?

Anke GERBER, University of Zurich and Swiss Banking Institute
Kirsten I.M. ROHDE, Erasmus University, Department of Applied Economics


N°11
Closed-Form Solutions For European And Digital Calls InThe Hull And White Stochastic Volatility ModelAnd Their Relation To Locally R-Minimizing And Delta Hedges

Christian-Olivier EWALD, University of Leeds, School of Mathematics
Klaus Reiner SCHENK-HOPPE, University of Leeds, Business School and School of Mathematics
Zhaojun YANG, Human University, School of Economics and Trade


N°10
Stochastic Volatility: Risk Minimization and Model Risk

Christian-Olivier EWALD, School of Mathematics, University of Leeds
Rolf POULSEN, Department of Mathematical Sciences, University of Copenhagen
Klaus Reiner SCHENK-HOPPE, University of Leeds, School of Mathematics and Leeds University Business School


N°9
Benchmarks in Aggregate Household Portfolios

Pascal ST-AMOUR, HEC University of Lausanne, HEC University of Montreal and Swiss Finance Institute

N°8
Bankcruptcy Law and Firms’ Behavior

Anne EPAULARD, University of Paris Dauphine and Cepremap
Aude POMMERET, University of Lausanne and Ires


N°7
Background Filtrations and Canonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Philippe EHLERS, ETH Zurich, D-MATH
Philipp J. SCHOENBUCHER, ETH Zurich, D-MATH


N°6
Aggregating Phillips Curves

Jean IMBS, University of Lausanne, HEC and Swiss Finance Institute
Eric JONDEAU, University of Lausanne, HEC and Swiss Finance Institute
Florian PELGRIN, University of Lausanne, HEC and CIRANO

N°5
Prices and Portfolio Choices inFinancial Markets: Theory, Econometrics, Experiments

Peter BOSSAERTS, California Institute of Technology Centre for Economic Policy Research and Swiss Finance Institute
Charles PLOTT, California Institute of Technology
William R. ZAME, UCLA and California Institute of Technology


N°4
Why Do the Swiss Rent?

Steven C. BOURASSA, University of Louisville, School of Urban and Public Affairs
Martin HOESLI, University of Geneva, HEC and Swiss Finance Institute


N°3
A GARCH Option Pricing Model with Filtered Historical Simulation

Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Robert F. ENGLE, New York University, Leonard Stern School of Business
Loriano MANCINI, University of Zurich and Swiss Banking Institute


N°2
Barrier Option Pricing Using Adjusted Transition Probabilities

Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Nicola FUSARI, University of Lugano and Swiss Finance Institute
John THEAL, University of Lugano and Swiss Finance Institute


N°1
An Objective Function for Simulation Based Inference on Exchange Rate Data

Peter WINKER, Department of Economics, University of Giessen
Manfred GILLI, University of Geneva and Swiss Finance Institute
Vahidin JELESKOVIC, Department of Economics, University of Giessen


2006




N°39


Pricing Interest Rate-SensitiveCredit Portfolio Derivatives


Philippe EHLERS, ETH Zurich, D-Math
Philipp J. SCHONBUCHER, ETH Zurich, D-Math

N°38


On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach

Terje LENSBERG, Norwegian School of Economics and Business Administration
Klaus Reiner SCHENK-HOPPE, University of Leeds, Business School and School of Mathematics

N°37


House Prices, Real Estate Returns, and the Business Cycle


Ivan JACCARD, Wharton School of Finance

N°36


Finance and Efficiency: Do Bank Branching Regulations Matter?


Viral V. ACHARYA, London Business School & CEPR
Jean IMBS, University of Lausanne - HEC, CEPR and Swiss Finance Institute
Jason STURGESS, London Business School

N°35


The Economic Value of Distributional Timing


Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Michael ROCKINGER, University of Lausanne and Swiss Finance Institute

N°34


Loyalty and Competence: Empirical Evidence from Public Agencies

Alexander F. WAGNER, University of Zurich and Swiss Finance Institute

N°33


Robust Subsampling


Lorenzo CAMPONOVO, University of Lugano
Olivier SCAILLET, University of Geneva and Swiss Finance Institute
Fabio TROJANI, University of St. Gallen

N°32
Local Transformation Kernel Density Estimation of Loss Distributions

Jim GUSTAFSSON, Codan Insurance and University of Copenhagen
Matthias A. HAGMANN, University of Geneva, HEC and Concordia Advisors
Jens Perch NIELSEN, Festina Lente and University of Copenhagen
Olivier SCAILLET, University of Geneva, HEC and Swiss Finance Institute

N°31


The Determinants of Mutual Fund Performance: A Cross-Country Study

Miguel A. FERREIRA, ISCTE Business School
António F. MIGUEL, ISCTE Business School
Sofia RAMOS, ISCTE Business School

N°30


Tikhonov Regularization for Functional Minimum Distance Estimators

Patrick GAGLIARDINI, University of Lugano and Swiss Finance Institute.
Olivier SCAILLET, University of Geneva and Swiss Finance Institute

N°29
Manipulation in Money Markets

Christian EWERHART, IEW, University of Zurich and NCCR
Nuno CASSOLA, European Central Bank
Steen EJERSKOV, Danmarks Nationalbank
Natacha VALLA, Banque de France

N°28
The Impact of News on Higher Moments

Eric JONDEAU, University of Lausanne and Swiss Finance Institute
Michael ROCKINGER, University of Lausanne and Swiss Finance Institute

N°27


Portfolio Choice with Loss Aversion, Asymmetric Risk-Taking Behavior and Segregation of Riskless Opportunities

Martin VLCEK, Institute for Empirical Research in Economics, University of Zurich

N°26


An Econometric Analysis of Emission Trading Allowances


Marc S. PAOLELLA, University of Zurich and Swiss Finance Institute
Luca TASCHINI, University of Zurich

N°25


Insuring A Risky Investment Project

Henri LOUBERGE, University of Geneva and Swiss Finance Institute
Richard WATT, University of Canterbury


N°24
The Quality of Public Information and The Term Structure of Interest Rates


Frederik LUNDTOFTE, Swiss Institute of Banking and Finance, University of St-Gallen

N°23


Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy


Frederik LUNDTOFTE, Swiss Institute of Banking and Finance, University of St-Gallen

N°22


Financing and Takeovers


Erwan MORELLEC, University of Lausanne, Swiss Finance Institute and CEPR
Alexei ZHDANOV, School of Management, George Mason University

N°21


Using Economic and Financial Information for Stock Selection


Ilir ROKO, University of Geneva
Manfred GILLI, University of Geneva and Swiss Finance Institute

N°20


House Prices and Bubbles in New Zealand

Patricia FRASER, University of Aberdeen Business School
Martin HOESLI, University of Geneva and Swiss Finance Institute
Lynn Mc ALEVEY, University of Otago, Department of Finance and Quantitative Analysis

N°19


What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?


Bernard DUMAS, INSEAD, University of Pennsylvania (The Wharton School), CEPR, and NBER
Alexander KURSHEV, London Business School
Raman UPPAL, London Business School and CEPR

N°18


Intangible Capital, Corporate Valuation and Asset Pricing

Jean-Pierre DANTHINE, University of Lausanne, Swiss Finance Institute, and CEPR
Xiangrong JIN, Hong Kong Monetary Authority

N°17


Corporate Finance in Europe: A Survey


Francois DEGEORGE, University of Lugano and Swiss Finance Institute
Ernst MAUG, School of Business Administration, University of Mannheim

N°16


Exchange Rate Volatility and Productivity Growth: The Role of Financial Development

Philippe AGHION, Harvard University and NBER
Philippe BACCHETTA, Study Center Gerzensee, Swiss Finance Institute, and CEPR
Romain RANCIERE, IMF Research Department
Kenneth ROGOFF, Harvard University and NBER

N°15
Predictability in Financial Markets:What Do Survey Expectations Tell Us?


Philippe BACCHETTA, Study Center Gerzensee, University of Lausanne, Swiss Finance Institute and CEPR
Elmar MERTENS, Study Center Gerzensee and University of Lausanne
Eric VAN WINCOOP, University of Virginia and NBER

N°14


Hedge Fund Indices for Retail Investors: UCITS Eligible or not Eligible?


François-Serge LHABITANT, University of Lausanne, and EDHEC Business School

N° 13
Running in the Family' The Evolution of Ownership,Control, and Performance in German Familyowned Firms, 1903-2003

Eric NOWAK, University of Lugano
Olaf EHRHARDT, Humboldt-Universitat zu Berlin
Felix-Michael WEBER, Elephant Equity

N° 12
Unifications of Dual-Class Shares in Germany Empirical Evidence on the Effects of Related Changes in Ownership Structure, Market Value, and Bid-Ask Spreads

OLAF EHRHARDT, Humboldt-Universitat zu Berlin
ERIC NOWAK, University of Lugano
JAN KUKLINSKI , University of Witten/Herdecke

N° 11
The (Ir)relevance of Disclosure of Compliance with Corporate Governance Codes - Evidence from the German Stock Market

Eric NOWAK, University of Lugano, Institute of Finance
Roland ROTT, Goethe University, Depatment of Finance
Till G. MAHR, KPMG Deutsche Treuhand-Gesellschaft

N° 10
Why Do Stock Exchanges Demutualize and Go Public?

Sofia Brito RAMOS, ISCTE and CEMAF

N° 9
Growth and Volatility

Jean IMBS, University of Lausanne, Swiss Finance Institute and CEPR

N° 8
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility

Alexey MEDVEDEV, University of Geneva
Olivier SCAILLET, University of Geneva and Swiss Finance Institute

N° 7
Bounded Rationality and Asset Pricing

Tony BERRADA, University of Lausanne and Swiss Finance Institute

N° 6
What Jump Process to Use to Model S&P500 Returns?

Maria SEMENOVA, University of Lausanne and Swiss Finance Institute

N° 5
Model Combination and Stock Return Predictability

Matthias HAGMANN, University of Geneva and Concordia Advisors
Joachim LOEBB, University of Zurich and Swiss Banking Institute

N° 4
The Inflation Hedging Characteristics of U.S. and U.K. Investments: a Multi-Factor Error Correction Approach

Martin HOESLI, University of Geneva and University of Aberdeen Business School
Colin LIZIERI, University of Reading Business School
Bryan MACGREGOR, University of Aberdeen Business School

N° 3
The Overhang Hangover

Jean IMBS, University of Lausanne, Swiss Finance Institute, and CEPR
Romain RANCIERE, CREI and IMF

2
A Data-Driven Optimization Heuristic for Downside Risk Minimization

Manfred GILLI, University of Geneva
Evis KELLEZI, Mirabaud & Cie
Hilda HYSI, University of Geneva

N°1
Stock Returns in Mergers and Acquisitions

Dirk HACKBARTH, Washington University
Erwan MORELLEC, University of Lausanne, Swiss Finance Institute, and CEPR


Events

06.07.2016
Lunch and Learn @ SFI
Informationevent in Zurich


07.09.2016
SFI Abend Seminar mit Dr. Jörg Osterrieder, Zurich
Thema: Algorithmischer Handel - ein Überblick aus der Sicht der Praxis


15.09.2016
SFI Breakfast Seminar with Dr. Jörg Osterrieder, Zurich
Thema: Algorithmic Trading - the rise of the machines


04.10.2016
11th Annual Meeting, Zurich
Topic: Sustainable Finance Moving Center Stage


More events


Press releases

17.05.2016
From the industry for the industry: Certification for Bank Client Advisors

03.03.2016
Finanzexperten treffen sich im Kanton Schwyz
Der Swiss Asset Management Day findet am 7. April zum fünften Mal im Kanton Schwyz statt. Thema: Die neuen Herausforderungen in der Vermögensverwaltung.

19.01.2016
Asset Management Study Switzerland by zeb und SFI. Asset Management in Switzerland faces huge challenges.

12.11.2015
Swiss Finance Institute has attributed its Outstanding Paper Award to “The Impact of Treasury Supply on Financial Sector Lending and Stability”, a research paper by Arvind Krishnamurthy of Stanford University and Annette Vissing-Jorgensen of the University of California Berkeley that studies how government debt crowds out financial sector short-term debt.
Press Release


19.06.2015
Swiss Finance Institute publishes the first comprehensive Swiss study on structured products. The most recent SFI White Paper sheds light on the performance, costs, and investments of structured products.
English version, German version, French version, Italian version

More press releases...


SFI in the news

L'Agefi: «Le nombre idéal d'ETF sur un marché»
Article referring to research insights by Prof. Semyon Malamud (02.06.2016)

Corriere del Ticino: «Pechino Le sfide della transizione cinese»
Article referring to an SFI seminar with Prof. Fabrizio Zilibotti (31.05.2016)

NZZ: «Strukturierte Produkte ein etablierter Portfolio-Baustein»

Article referring to structured products (19.05.2016)

20minuti: «All'USI per parlare di crescita economica cinese»
Article referring to SFI seminar with Prof. Fabrizio Zilibotti on China's economic growth (19.05.2016)

awp: «Drei Schweizer Bildungsinstitute lancieren Zertifizierung von Bankkundenberater»
Article referring to SFI's new launched Certification of Bank Client Advisors (17.05.2016)

finews: «Wo sind die Innovationen im Schweizer Asset Management?»
Article referring to the upcoming Roundtable Discussion on innovation in Asset Management (13.05.2016)


More SFI in the news...

SFI in the press image
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