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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 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 (Ph.D 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 Polythechnique 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 (Ph.D. 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 (Ph.D 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 Response Speeds of Direct and Securitized Real Estate to Shocks in the Fundamentals 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 Polythechnique 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

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News Outstanding Diploma Theses Executive Program 2010-2011 Events 15.02.2012 - Zurich SFI Alumni Luncheon mit Rolf Bögli, Credit Suisse AG, Chief Operating Officer Private Banking Topic: The future of Private Banking Members only 01.03.2012 - Zurich Inaugural Conference of the SFI-Capco Institute Paper Series on Banking Topic: Banking in the "Glocal" World. About Capco... 15.03.2012 - Zurich Women's Luncheon with Brigitte Baumann, CEO, Go Beyond Topic: Angel Investing: Women With Wings 21.03.2012 - Geneva SFI Evening Seminar with Prof. Pierre-Marie Glauser Topic: Value through Wealth Planning - Key Trends in Taxation of Private Investors 19.04.2012 - Zurich SFI Breakfast Seminar mit Patrik Schellenbauer Topic: Der Wohnungsmarkt in der Regulierungsspirale? Mythen und Fakten zum Wohnen More events... Podcasts 15.12.2011 Panel "Operationelle Risiken" with B. Zanella Fux, ZKB & Prof. P. Embrechts, ETH Zurich More Podcasts... Press release Inaugural SFI-Capco Conference, March 1st, 2012 - Zurich More press releases... SFI in the news NZZOnline: Europäische Kontroverse um Finanztransaktionssteuer Handelszeitung: Hedge Funds - Study by SFI Ass. Prof. Franzoni Ticino Libero Online: La volatilità Wirtschaftsblatt: OnlineA: Kundengespräche Le Temps: L'EPFZ More press coverage...