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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


2014

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, Unviersity of Zurich and Swiss Finance Institute
János MAYER, University of Zurich


N°22
Theory Matters for Financial Advice!
Thorsten HENS, Unviersity of Zurich and Swiss Finance Institute
János MAYER, Unviersity 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


N°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 in Limit Order Markets

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, École 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, École 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 and 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°22
The time-varying prediction of successful mergers
Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Giuseppe CORVASCE, University of Lugano and Swiss Finance Institute


N°21
Financial Crisis: Estimating the Risk of Assets in Balance
Giovanni BARONE-ADESI, University of Lugano and Swiss Finance Institute
Giuseppe CORVASCE, University of Lugano and Swiss Finance Institute


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, HEC 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, HEC 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

N° 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


Event

08.05.2014
SFI Banking Conference 2014
Thema: Bankdienstleistungen für Schweizer Firmen:
Bedürfnisse, Angebot und Trends

2.-3.06.2014
SFI Research Days 2014
Call for Papers available now!

15.05.2014
SFI Frühstückseminar mit Dr. Juerg Syz
Thema: Die grösste Völkerwanderung der Geschichte - was die Urbanisierung in Asien für den Immobilienmarkt bedeutet.

19.05.2014
Lunch & Learn @ SFI
Informationsveranstaltung, Zurich

03.06.2014
SFI Frühstückseminar mit Martin Scholl
Thema: SFI Semianrreihe: Swiss Banking Transformation
Testimonials

17.06.2014
SFI Evening Seminar with Andrew W. Lo
Topic: Can financial engineering cure cancer? A new approach to funding biomedical innovation.

More events...


Press releases

09.04.2014
Swiss Finance Institute publishes its first White Paper, "The Extra Cost of Swiss Banking Regulation," by Professor Jean-Charles Rochet
English version / German version


17.03.2014
IAZI AG und Swiss Finance Institute lancieren CAS in Real Estate Finance

More press releases...


SFI in the news

Brazil Business Reports Ltd. Swiss Finance Institute: Delivering World-Class Research and Executive Education
Article about Swiss FInacne Institute (April 2014)

Le Temps: Le risque systémique baisse régulièrement dans la plupart des pays
Article by SFI Professors Eric Jondeau and Michael Rockinger (17.03.2014)

Schweizer Bank: Durchblick im Bildungswald
Article quoting SFI Head of Education Gabriela Maria Payer (01.03.2014)

Bilan: La neurofinance s'invite à l'Université
Article referring to SFI Senior Chair Olivier Scaillet and SFI Professor Michael Rockinger (19.02.2014)

Il Sole 24 Ore: Gli indici della paura diventao opportunita
Article referring to SFI Senior Chair Antonio Mele (15.02.2014)


More press coverage...

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