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	Complete List of Research Papers Below is a complete listing of research papers published since the inception of the International Center FAME's series. This series has now become part of the Swiss Finance Institute Research Paper Series. For more detailed information on each paper, including an abstract and Adobe Acrobat (.pdf) file, please click on the corresponding paper number. N° 163 False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas Laurent BARRAS, University of Geneva HEC and FAME Olivier SCAILLET, University of Geneva HEC and FAME Russ WERMERS, University of Maryland, Robert H. Smith School of Business November 2005 N° 162 Repurchasing Shares on a Second Trading Line Dennis Y. CHUNG, Simon Fraser University Canada Dusan ISAKOV, University of Fribourg and FAME Christophe PERIGNON, Simon Fraser University Canada November 2005 N° 161 Distribution Risk and Equity Returns Jean-Pierre DANTHINE, University of Lausanne, FAME, CEPR John B. DONALDSON, Columbia University Paolo SICONOLFI, Columbia University November 2005 N° 160 House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics Steven C. BOURASSA, School of Urban and Public Affairs, University of Louisville Donald R. HAURIN, Department of Economics Ohio State University Jessica L. HAURIN, Center for Real Estate Massachusetts Institute of Technology Martin HOESLI, HEC, University of Geneva, FAME and University of Aberdeen Jian SUN, School of Urban and Public Affairs, University of Louisville November 2005 N° 159 A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements Philippe HUBER,University of Geneva, HEC and FAME Olivier SCAILLET,University of Geneva, HEC and FAME Maria-Pia VICTORIA-FESER,University of Geneva, HEC and FAME October 2005 N° 158 R² Around the World: New Theory and New Tests Li JIN, Harvard Business School Stewart C. MYERS, MIT, Sloan School of Management Winner of the FAME Research Prize 2005 N° 157 Negotiating over Banking Secrecy: The Case of Switzerland and the European Union Alexandre ZIEGLER, HEC, University of Lausanne, and FAME Xavier DELALOYE, HEC, University of Lausanne Michel HABIB, Swiss Banking Institute, University of Zurich October 2005 N° 156 Rational Inattention: A Solution to the Forward Discount Puzzle Philippe BACCHETTA, Study Center Gerzensee, University of Lausanne, FAME and CEPR Eric van WINCOOP, University of Virginia, NBER September 2005 N° 155 Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? Philippe BACCHETTA, Study Center Gerzensee, University of Lausanne, FAME and CEPR Eric van WINCOOP, University of Virginia, NBER August 2005 N° 154 Testing for Stochastic Dominance Efficiency Olivier SCAILLET, HEC, University of Geneva and FAME Nikolas TOPALOGLOU, HEC, University of Geneva July 2005 N° 153 International Conditional Asset Allocation Under Real Time Uncertainty Laurent BARRAS, HEC, University of Geneva and FAME July 2005 N° 152 Debt-Equity Choice in Europe Philippe GAUD, HEC, University of Geneva Martin HOESLI, HEC, University of Geneva, FAME and University of Aberdeen André BENDER, HEC, University of Geneva and FAME June 2005 N° 151 Spatial Dependence, Housing Submarkets, and House Prices Steven C. BOURASSA, University of Louisville Eva CANTONI, Department of Econometrics, University of Geneva Martin HOESLI, HEC, University of Geneva, FAME and University of Aberdeen June 2005 N° 150 Estimation of Jump-Diffusion Processes via Empirical Characteristic Functions Maria SEMENOVA, HEC, University of Lausanne and FAME Michael ROCKINGER, HEC, University of Lausanne and FAME June 2005 N° 149 Suggested vs. Actual Institutional Allocation to Real Estate in Europe: A Matter of Size Martin HOESLI, HEC, University of Geneva, FAME and University of Aberdeen Jon LEKANDER, Aberdeen Property Investors, Stockholm June 2005 N° 148 Monte Carlo Simulations for Real Estate Valuation Martin HOESLI, HEC, University of Geneva, FAME and University of Aberdeen Elion JANI, HEC, University of Geneva André BENDER, HEC, University of Geneva and FAME June 2005 N° 147 Equity and Neutrality in Housing Taxation Philippe THALMANN, Ecole Polytechnique Fédérale de Lausanne June 2005 N° 146 Order Submission Strategies and Information: Empirical Evidence from the NYSE Alessandro BEBER, HEC, University of Lausanne and FAME Cecilia CAGLIO, U.S. Security and Exchange Commission June 2005 N° 145 Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters Olivier SCAILLET, HEC, University of Geneva and FAME May 2005 N° 144 Multivariate Wavelet-Based Shape Preserving Estimation for Dependant Observations Antonio COSMA, Instituto di Finanza, University of Lugano Olivier SCAILLET, HEC, University of Geneva and FAME Rainer von SACHS, Institut de statsitique, Université catholique de Louvain May 2005 N° 143 A Kolmogorov-Smirnov Type Test for Shortfall Dominance against Parametric Alternatives Michel DENUIT, Institut des Sciences Actuarielles & de Statistique, Université de Louvain Anne-Cécile GODERNIAUX, Institut Supérieur Industriel Pierrard, Haute Ecole Blaise Pascal Virton Olivier SCAILLET, HEC, University of Geneva and FAME May 2005 N° 142 Times-to-Default: Life Cycle, Global and Industry Cycle Impacts Fabien COUDERC, University of Geneva and FAME Olivier RENAULT, FERC, Warwick Business School May 2005 N° 141 Understanding Default Risk Through Nonparametric Intensity Estimation Fabien COUDERC, University of Geneva and FAME May 2005 N° 140 Robust Mean-Variance Portfolio Selection Cédric PERRET-GENTIL, Union Bancaire Privée Maria-Pia VICTORIA-FESER, HEC, University of Geneva April 2005 N° 139 Trading Volume in Dynamically Efficient Markets Tony BERRADA, HEC Montreal, CIRANO and CREF Julien HUGONNIER, University of Lausanne, CIRANO and FAME Marcel RINDISBACHER, Rotman School of Management, University of Toronto and CIRANO March 2005 N° 138 Growth Options in General Equilibrium: Some Asset Pricing Implications Julien HUGONNIER, University of Lausanne and FAME Erwan MORELLEC, University of Lausanne, FAME and CEPR Suresh SUNDARESAN, Graduate School of Business, Columbia University March 2005 N° 137 On the Demand for Budget Constrained Insurance Richard WATT, Universidad Autónoma de Madrid Henri LOUBERGÉ, University of Geneva and FAME March 2005 N° 136 Direct Preference for Wealth in Aggregate Household Portfolios Pascal ST-AMOUR, HEC, University of Lausanne, FAME, CIRANO and CIRPEE March 2005 N° 135 Indirect Robust Estimation of the Short-term Interest Rate Process Veronika CZELLAR, Dept. Econometrics, University of Geneva G. Adrew KAROLYI, Fisher College of Business, Ohio State University Elvezio RONCHETTI, Dept. of Econometrics, University of Geneva March 2005 N° 134 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets Didier COSSIN, IMD International and FAME Gero JUNG, Graduate Institute of International Studies March 2005 N° 133 Are European Corporate Bond and Default Swap Markets Segmented? Didier COSSIN, IMD International Hongze LU, IMD International, HEC, University of Lausanne September 2004 N° 132 Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? Eric JONDEAU, HEC Lausanne and FAME Michael ROCKINGER, HEC Lausanne and FAME February 2005 N° 131 Capital Gains Taxes, Irreversible Investment, and Capital Structure Norman SCHÜRHOFF, HEC, University of Lausanne and FAME February 2005 N° 130 Financial Intermediation and the Costs of Trading in an Opaque Market Richard C. GREEN, Tepper School of Business, Carnegie Mellon University Burton HOLLIFIELD, Tepper School of Business, Carnegie Mellon University Norman SCHÜRHOFF, HEC, University of Lausanne and FAME February 2005 N° 129 House Prices, Fundamentals and Inflation Angela BLACK, University of Aberdeen Business School Patricia FRASER, University of Aberdeen Business School Martin HOESLI, HEC, University of Geneva and University of Aberdeen Business School January 2005 N° 128 A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence Olivier SCAILLET, HEC-University of Geneva and FAME January 2005 N° 127 Optimal Changes of Gaussian Measures with Applications to Finance Henry SCHELLHORN, HEC-University of Lausanne and FAME May 2002 N° 126 The Dynamics of Mergers and Acquisitions Erwan MORELLEC, HEC-University of Lausanne and FAME Alexei ZHDANOV, University of Rochester October 2004 N° 125 Capital Structure, Credit Risk, and Macroeconomic Conditions Dirk HACKBARTH, Finance Department, Kelley School of Business, Indiana University Jianjun MIAO, Department of Economics, University of Boston Erwan MORELLEC, HEC-University of Lausanne and FAME May 2004 N° 124 Developer's Expertise and the Dynamics of Financial Innovation: Theory and Evidence Helios HERRERA, ITAM Enrique SCHROTH, HEC-University of Lausanne and FAME October 2004 N° 123 A Double-Sided multiunit Combinatorial Auction for Substitutes: Theory and Algorithms Henry SCHELLHORN, HEC-University of Lausanne and FAME December 2004 N° 122 Investment Under Uncertainty and Incomplete Markets Julien HUGONNIER, HEC-University of Lausanne and FAME Erwan MORELLEC, HEC-University of Lausanne and FAME May 2004 N° 121 On the Debt Capacity of Growth Options Michael BARCLAY, Simon School of Business Administration, University of Rochester Erwan MORELLEC, HEC-University of Lausanne and FAME Clifford W. SMITH, Simon School of Business Administration, University of Rochester January 2003 N° 120 Omega Portfolio Construction with Johnson Distributions Alexander PASSOW, Gottex Fund Management and FAME November 2004 N° 119 A Simple Alternative House Price Index Method Steven C. BOURASSA, School of Urban and Public Affairs, University of Louisville Martin HOESLI, HEC, University of Geneva and University of Aberdeen, Business School Jian SUN, School of Urban and Public Affairs, University of Louisville November 2004 N° 118 Real Asset Returns and Components of Inflation: A Structural VAR Analysis Matthias HAGMANN, HEC-University of Lausanne and FAME Carlos LENZ, University of Basel, Department of Economics October 2004 N° 117 Equity Returns and Integration: Is Europe Changing? Kpate ADJAOUTE, HSBC Private Bank (Suisse) SA and FAME Jean-Pierre DANTHINE, HEC-University of Lausanne, CEPR and FAME October 2004 N° 116 The Price Impact and Survival of Irrational Traders Leonid KOGAN, Sloan School of Management, MIT and NBER Stephen ROSS, Sloan School of Management, MIT and NBER Jiang WANG, Sloan School of Management, MIT, CCFR and NBER Mark WESTERFIELD, Economics Department, MIT Winner of the 2004 FAME Research Prize N° 115 Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data Amine JALAL, HEC-University of Lausanne and FAME Michael ROCKINGER, HEC-University of Lausanne, FAME and CEPR June 2004 N° 114 Further Evidence on Debt-Equity Choice Philippe GAUD, HEC-University of Geneva Martin HOESLI, HEC-University of Geneva, FAME and University of Aberdeen (School of Business) André BENDER, HEC-University of Geneva and FAME May 2004 N° 113 Geographic Versus Industry Diversification: Constraints Matter Paul EHLING, Penn State University, Smeal College Sofia B. RAMOS, ISCTE Business Center August 2004 N° 112 Nonparametric Estimation of Conditional Expected Shortfall Olivier SCAILLET, HEC-University of Geneva and FAME May 2004 N° 111 The Integration of Securitized Real Estate and Financial Assets Séverine CAUCHIE, HEC-University of Geneva Martin HOESLI, HEC-University of Geneva, FAME and University of Aberdeen (School of Business) June 2004 N° 110 Higher Order Expectations in Asset Pricing Philippe BACCHETTA, Study Center of Gerzensee, University of Lausanne and CEPR Eric VAN WINCOOP, University of Virginia and NBER May 2004 N° 109 Stock Exchange Competition in a Simple Model of Capital Market Equilibrium Sofia B. RAMOS, ISCTE-Business School and CEMAF Ernst-Ludwig VON THADDEN, HEC-University of Lausanne, FAME, and CEPR November 2003 N° 108 Some Statistical Pitfalls in Copula Modeling for Financial Applications Jean-David FERMANIAN, CDC Ixis Capital Markets Olivier SCAILLET, HEC-University of Geneva and FAME March 2004 N° 107 Theory and Calibration of Swap Market Models Stefano GALLUCCIO, BNPParibas, London Zhijiang HUANG, HEC-University of Lausanne and FAME Jean-Michel LY, BNPParibas, London Olivier SCAILLET, HEC-University of Geneva and FAME Revised - September 2005 N° 106 Credit Risk in a Network Economy Henri SCHELLHORN, HEC-University of Lausanne and FAME Didier COSSIN, IMD and FAME March 2004 N° 105 The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market Alessandro BEBER, HEC-University of Lausanne and FAME Michael W. BRANDT, Fuqua School of Business, Duke University & NBER January 2004 N° 104 Sovereign Debt Contract and Optimal Consumption-Investment Strategies Andriy DEMCHUK, HEC-University of Lausanne and FAME February 2003 N° 103 Portfolio Optimization with Concave Transaction Costs Andriy DEMCHUK, HEC-University of Lausanne and FAME December 2002 N° 102 Executive Compensation and Analyst Guidance: The Link between CEO Pay and Expectations Management Guido BOLLIGER, University of Neuchâtel and FAME Manuel KAST, HEC-University of Lausanne and FAME November 2003 N° 101 Mortality Risk and Real Optimal Asset Allocation for Pension Funds Francesco MENONCIN, Dipartimento di Scienze Economiche, Università di Brescia and IRES, Université Catholique de Louvain Olivier SCAILLET, HEC-University of Geneva and FAME September 2003 N° 100 Mutual Fund Flows and Performance in Rational Markets Jonathan B. BERK, Haas School of Business, University of California, Berkeley Richard C. GREEN, Graduate School of Industrial Administration, Carnegie Mellon University Winner of the 2003 FAME Research Prize N° 99 Irreversible Investment with Regime Shifts Xin GUO, IBM T. J. Watson Research Center Jianjun MIAO, University of Rochester, Department of Economics Erwan MORELLEC, HEC-University of Lausanne and FAME November 2002 N° 98 The Price of Aesthetic Externalities Steven C. BOURASSA, School of Urban and Public Affairs, University of Louisville Martin HOESLI, HEC-University of Geneva, FAME, University of Aberdeen (School of Business) Jian SUN, School of Urban and Public Affairs, University of Louisville November 2003 N° 97 Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts Tom A. FEARNLEY, Graduate Institute of International Studies and FAME July 2002 N° 96 Financial Structure and Market Equilibrium in a Vertically Differentiated Industry Jean LEFOLL, HEC-University of Geneva and FAME Stylianos PERRAKIS, John Molson School of Business, Concordia University December 2002 N° 95 Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds Tom A. FEARNLEY, Graduate Institute of International Studies and FAME July 2002 N° 94 Quantitative Selection of Long-Short Hedge Funds Kaifeng CHEN, HEC-University of Lausanne and FAME Alexander PASSOW, GOTTEX and FAME July 2003 N° 93 A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics Alexey MEDVEDEV, HEC-University of Geneva and FAME Olivier SCAILLET, HEC-University of Geneva and FAME Revised - October 2004 N° 92 Testing for Contagion in International Financial Markets: Which Way to Go? Sébastien WÄLTI, Graduate Institute of International Studies August 2003 N° 91 Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators Matthias HAGMANN, HEC-University of Lausanne and FAME Olivier SCAILLET, HEC-University of Geneva and FAME Revised October 2005 N° 90 Determinants of Cross-Sectional Variation in Discount Rates, Growth Rates, and Exit Cap Rates Åke GUNNELIN, Stockholm Institute for Financial Research Patric H. HENDERSHOTT, University of Aberdeen Martin HOESLI, HEC-University of Geneva, FAME, University of Aberdeen (School of Business) Bo SÖDERBERG, Royal Institute of Technology, Stockholm September 2003 N° 89 Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements Jean-David FERMANIAN, CDC Ixis Capital Markets and CREST Olivier SCAILLET, HEC Genève and FAME, Université de Genève July 2003 N° 88 The Macroeconomics of Delegated Management Jean-Pierre DANTHINE, HEC-University of Lausanne, CEPR & FAME John B. DONALDSON, Columbia University June 2003 N° 87 Maximum Drawdown and the Allocation to Real Estate Foort HAMELINK, Lombard Odier Darier Hentsch, Vrije Universiteit and FAME Martin HOESLI, HEC-University of Geneva, FAME, University of Aberdeen (School of Business) Revised - November 2003 N° 86 Portfolio Diversification in Europe Kpate ADJAOUTÉ, HSBC Republic Bank (Suisse) SA & FAME Jean-Pierre DANTHINE, HEC-University of Lausanne, CEPR & FAME Dušan ISAKOV, HEC-University of Geneva & FAME April 2003 N° 85 Start-ups Defined as Portfolios of Embedded Options Pascal BOTTERON, Institute of Banking and Finance, HEC-University of Lausanne and Ernst & Young Ltd. Jean-François CASANOVA, Strategic Risk Management May 2003 N° 84 European Financial Integration and Equity Returns: A Theory-Based Assessment Kpate ADJAOUTÉ, HSBC Republic Bank (Suisse) SA & FAME Jean-Pierre DANTHINE, HEC-University of Lausanne, CEPR & FAME January 2003 N° 83 On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities Olivier RENAULT, Standard and Poor’s Risk Solutions Olivier SCAILLET, HEC-University of Geneva and FAME May 2003 N° 82 The Welfare Implications of Non-Patentable Financial Innovations Helios HERRERA, ITAM- Centro de Investigacion Economica Enrique SCHROTH, HEC-University of Lausanne and FAME March 2001 N° 81 Does Poor Legal Enforcement Make Households Credit-Constrained? Daniela FABBRI, HEC-University of Lausanne Mario PADULA, CSEF-University of Salerno January 2003 N° 80 Geographical versus Industrial Diversification: A Mean Variance Spanning Approach Paul EHLING, HEC-University of Lausanne and FAME Sofia B. RAMOS, HEC-University of Lausanne, FAME and CEMAF/ISCTE April 2003 N° 79 What’s in a View? Steven C. BOURASSA, School of Urban and Public Affairs, University of Louisville Martin HOESLI, HEC-University of Geneva; FAME; University of Aberdeen (Business School) Jian SUN, School of Urban and Public Affairs, University of Louisville Revised - November 2003 N° 78 Why Government Bonds Are Sold by Auction and Corporate Bonds by Posted-Price Selling Michel A. HABIB, Swiss Banking Institute, University of Zurich Alexandre ZIEGLER, HEC-University of Lausanne and FAME March 2003 N° 77 Competition Between Stock Exchanges: A Survey Sofia B. RAMOS, HEC-Lausanne, FAME and CEMAF/ISCTE February 2003 N° 76 Profitable Innovation Without Patent Protection: The Case of Derivatives Helios HERRERA, ITAM Enrique SCHROTH, HEC-University of Lausanne and FAME January 2003 N° 75 Who Are The Best? Local Versus Foreign Analysts on the Latin American Stock Markets Jean-François BACMANN, RMF Investment Products Guido BOLLIGER, University of Neuchâtel and FAME April 2003 N° 74 Innovation and First-Mover Advantages in Corporate Underwriting: Evidence from Equity Linked Securities Enrique SCHROTH, HEC-University of Lausanne and FAME November 2002 N° 73 On the Consequences of State Dependent Preferences for the Pricing of Financial Assets Jean-Pierre DANTHINE, Université de Lausanne, FAME and CEPR John B. DONALDSON, Columbia University Christos GIANNIKOS, Baruch College, City University of New York Hany GUIRGUIS, Manhattan College Revised - June 2004 N° 72 Are Practitioners Right? On the Relative Importance of Industrial Factors in International Stock Returns Dušan ISAKOV, HEC-University of Geneva and FAME Frédéric SONNEY, HEC-University of Geneva, University of Neuchâtel and FAME February 2003 N° 71 The Allocation of Assets Under Higher Moments Eric JONDEAU, Banque de France, DEER and ERUDITE, Université Paris 12 Val-de-Marne Michael ROCKINGER, HEC Lausanne, CEPR and FAME December 2002 N° 70 International Evidence on Real Estate as a Portfolio Diversifier Martin HOESLI, HEC-University of Geneva; FAME; University of Aberdeen (Business School) Jon LEKANDER, Aberdeen Property Investors Nordic Region Witold WITKIEWICZ, Europa Capital Partners Revised July 2003 N° 69 Conditional Dependency of Financial Series: The Copula-GARCH Model Eric JONDEAU, Banque de France, DEER and ERUDITE, Université Paris 12 Val-de-Marne Michael ROCKINGER, HEC Lausanne, CEPR and FAME December 2002 N° 68 The Capital Structure of Swiss Companies: An Empirical Analysis Using Dynamic Panel Data Philippe GAUD, HEC-University of Geneva Elion JANI, HEC-University of Geneva Martin HOESLI, HEC-University of Geneva; FAME; University of Aberdeen (Business School) André BENDER, HEC-University of Geneva and FAME January 2003 N° 67 Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility Peng CHENG, HEC Lausanne and FAME, Université de Lausanne Olivier SCAILLET, HEC Genève and FAME, Université de Genève November 2002 N° 66 Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases Paolo BATTOCCHIO, IRES, Université Catholique de Louvain Francesco MENONCIN, IRES, Université Catholique de Louvain Olivier SCAILLET, HEC Genève and FAME, Université de Genève January 2003 N° 65 Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Sufficient to Evaluate Credit Daniel AUNON-NERIN, HEC-University of Lausanne and FAME Didier COSSIN, HEC-University of Lausanne, FAME and IMD Tomas HRICKO, HEC-University of Lausanne and FAME Zhijiang HUANG, HEC-University of Lausanne and FAME December 2002 N° 64 Dynamic Allocation of Treasury and Corporate Bond Portfolios Roger WALDER, University of Lausanne, FAME and Banque Cantonale Vaudoise December 2002 N° 63 Understanding the Economic Value of Legal Covenants in Investment Contracts: A Real-Options Approach to Venture Equity Contracts Didier COSSIN, HEC-University of Lausanne, FAME and IMD Benoît LELEUX, IMD Entela SALIASI, HEC-University of Lausanne and FAME October 2002 N° 62 Integrated Market and Credit Risk Management of Fixed Income Portfolios Roger WALDER, University of Lausanne, FAME and Banque Cantonale Vaudoise November 2002 N° 61 A Framework for Collateral Risk Control Determination Daniel AUNON-NERIN, HEC-University of Lausanne and FAME Didier COSSIN, HEC-University of Lausanne, FAME and IMD Fernando GONZÁLEZ, European Central Bank Zhijiang HUANG, HEC-University of Lausanne and FAME December 2002 N° 60 Optimal Dynamic Trading Strategies with Risk Limits Domenico CUOCO, The Wharton School, University of Pennsylvania Hua HE, School of Management, Yale University Sergei ISSAENKO, The Wharton School, University of Pennsylvania Winner of the 2002 FAME Research Prize N° 59 Implicit Forward Rents as Predictors of Future Rents Peter ENGLUND, Stockholm Institute for Financial Research; Stockholm School of Economics Åke GUNNELIN, Stockholm Institute for Financial Research Martin HOESLI HEC-University of Geneva; FAME; University of Aberdeen (Business School) Bo SÖDERBERG, Royal Institute of Technology October 2002 N° 58 Do Housing Submarkets Really Matter? Steven C. BOURASSA, School of Urban and Public Affairs, University of Louisville Martin HOESLI, HEC-University of Geneva; FAME; University of Aberdeen (Business School) Vincent S. PENG, AMP Henderson Global Investors November 2002 N° 57 Nonparametric Estimation of Copulas for Time Series Jean-David FERMANIAN, CDC Ixis Capital Markets and CREST Olivier SCAILLET, HEC Genève and FAME, Université de Genève Revised February 2003 N° 56 Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures Roger WALDER, University of Lausanne, FAME and Banque Cantonale Vaudoise November 2002 N° 55 Option Pricing with Discrete Rebalancing Jean-Luc PRIGENT, THEMA, Université de Cergy-Pontoise Olivier RENAULT, Financial Markets Group, London School of Economics Olivier SCAILLET, HEC Genève and FAME, University of Geneva July 2002 N° 54 The Determinants of Stock Returns in a Small Open Economy Séverine CAUCHIE, HEC-University of Geneva Martin HOESLI, HEC-University of Geneva; FAME; University of Aberdeen (Business School)Dušan ISAKOV, HEC-University of Geneva and FAME Revised - May 2003 N° 53 Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates Christophe PÉRIGNON, Anderson School, UCLA Christophe VILLA, ENSAI, CREST-LSM and CREREG-Axe Finance June 2002 N° 52 Hedge Fund Diversification: How Much is Enough? François-Serge LHABITANT, Thunderbird University, HEC-University of Lausanne and FAME Michelle LEARNED, Thunderbird University July 2002 N° 51 Cannibalization & Incentives in Venture Financing Stefan ARPING, University of Lausanne May 2002 N° 50 What Factors Determine International Real Estate Security Returns? Foort HAMELINK, Lombard Odier & Cie, Vrije Universiteit and FAME Martin HOESLI, HEC-University of Geneva, FAME and University of Aberdeen Revised July 2003 N° 49 Playing Hardball: Relationship Banking in the Age of Credit Derivatives Stefan ARPING, University of Lausanne May 2002 N° 48 A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities Markus LEIPPOLD, Swiss Banking Institute, University of Zurich Fabio TROJANI, Institute of Finance, University of Southern Switzerland Paolo VANINI, Institute of Finance, University of Southern Switzerland April 2002 N° 47 Why Does Implied Risk Aversion Smile? Alexandre ZIEGLER, University of Lausanne and FAME May 2002 N° 46 Optimal Investment with Default Risk Yuanfeng HOU, Yale University Xiangrong JIN, FAME and University of Lausanne March 2002 N° 45 Market Dynamics Around Public Information Arrivals Angelo RANALDO, UBS Asset Management February 2002 N° 44 Nonparametric Tests for Positive Quadrant Dependence Michel DENUIT, Université Catholique de Louvain Olivier SCAILLET, HEC Genève and FAME, University of Geneva March 2002 N° 43 Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling Michael WESTPHALEN, École des HEC, University of Lausanne and FAME February 2002 N° 42 Liquidity and Credit Risk Jan ERICSSON, McGill University Olivier RENAULT, London School of Economics August 2001 N° 41 Testing for Concordance Ordering Ana C. CEBRIÁN, Universidad de Zaragoza Michel DENUIT, Université Catholique de Louvain Olivier SCAILLET, HEC Genève and FAME, University of Geneva March 2002 N° 40 Immunization of Bond Portfolios: Some New Results Olivier de LA GRANDVILLE, University of Geneva February 2002 N° 39 Weak Convergence of Hedging Strategies of Contingent Claims Jean-Luc PRIGENT, Thema, Université de Cergy-Pontoise Olivier SCAILLET, HEC Genève and FAME, University of Geneva January 2002 N° 38 Indirect Estimation of the Parameters of Agent Based Models of Financial Markets Manfred GILLI, University of Geneva Peter WINKER, International University in Germany November 2001 N° 37 How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods. Laurent BARRAS, HEC-University of Geneva and FAME Dušan ISAKOV, HEC-University of Geneva, International Center FAME November 2001 N° 36 Coping with Credit Risk Henri LOUBERGÉ, University of Geneva Harris SCHLESINGER, University of Alabama October 2001 N° 35 Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001. Foort HAMELINK, Lombard Odier & Cie and Vrije Universiteit Hélène HARASTY, Lombard Odier & Cie Pierre HILLION, Insead (Singapore), Academic Advisor to Lombard Odier & Cie October 2001 N° 34 Variable Selection for Portfolio Choice Yacine AÏT-SAHALIA, Princeton University & NBER Michael W. BRANDT, Wharton School, University of Pennsylvania & NBER February 2001 (Please note: The complete paper is available from the Journal of Finance 56, 1297-1351.) Winner of the 2001 FAME Research Prize N° 33 The Characteristics of Individual Analysts’ Forecast in Europe Guido BOLLIGER, University of Neuchâtel and FAME July 2001 N° 32 Portfolio Diversification: Alive and Well in Euroland Kpaté ADJAOUTE, HSBC Republic Bank (Suisse), SA Jean-Pierre DANTHINE, University of Lausanne, CEPR and FAME July 2001 N° 31 EMU and Portfolio Diversification Opportunities Kpate ADJAOUTÉ, Morgan Stanley Capital International, Geneva Jean-Pierre DANTHINE, University of Lausanne, CEPR and FAME April 2000 N° 30 Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing Manfred GILLI, University of Geneva Evis KËLLEZI, University of Geneva and FAME Giorgio PAULETTO, University of Geneva March 2001 N° 29 Liquidation Risk Alexandre ZIEGLER, HEC-University of Lausanne Darrell DUFFIE, The Graduate School of Business, Stanford University April 2001 N° 28 Defaultable Security Valuation and Model Risk Aydin AKGUN, University of Lausanne and FAME March 2001 N° 27 On Swiss Timing and Selectivity: In the Quest of Alpha François-Serge LHABITANT, HEC-University of Lausanne and Thunderbird, The American Graduate School of International Management March 2001 N° 26 Hedging Housing Risk Peter ENGLUND, Stockholm School of Economics Min HWANG, University of California, Berkeley John M. QUIGLEY, University of California, Berkeley December 2000 N° 25 An Incentive Problem in the Dynamic Theory of Banking Ernst-Ludwig VON THADDEN, DEEP, University of Lausanne and CEPR December 2000 N° 24 Assessing Market Risk for Hedge Funds and Hedge Funds Portfolios François-Serge LHABITANT, Union Bancaire Privée and Thunderbird, the AmericanGraduate School of International Management March 2001 N° 23 On the Informational Content of Changing Risk for Dynamic Asset Allocation Giovanni BARONE-ADESI, Università della Svizzera Italiana Patrick GAGLIARDINI, Università della Svizzera Italiana Fabio TROJANI, Università della Svizzera Italiana March 2000 N° 22 The Long-Run Performance of Seasoned Equity Offerings with Rights: Evidence From the Swiss Market Michel DUBOIS, University of Neuchatel Pierre JEANNERET, University of Neuchatel January 2000 N° 21 Optimal International Diversification: Theory and Practice from a Swiss Investor's Perspective Foort HAMELINK, Tilburg University and Lombard Odier & Cie December 2000 N° 20 A Heuristic Approach to Portfolio Optimization Evis KËLLEZI, University of Geneva and FAME Manfred GILLI, University of Geneva October 2000 N° 19 Banking, Commerce, and Antitrust Stefan ARPING, University of Lausanne August 2000 N° 18 Extreme Value Theory for Tail-Related Risk Measures Evis KËLLEZI, University of Geneva and FAME Manfred GILLI, University of Geneva October 2000 N° 17 International CAPM with Regime Switching GARCH Parameters Lorenzo CAPPIELLO, The Graduate Institute of International Studies Tom A. FEARNLEY, The Graduate Institute of International Studies and FAME July 2000 N° 16 Prospect Theory and Asset Prices Nicholas BARBERIS, University of Chicago Ming HUANG, Stanford University Tano SANTOS, University of Chicago September 2000 Winner of the 2000 FAME Research Prize N° 15 Evolution of Market Uncertainty around Earnings Announcements Dušan ISAKOV, University of Geneva and FAME Christophe PÉRIGNON, HEC-University of Geneva and FAME June 2000 N° 14 Credit Spread Specification and the Pricing of Spread Options Nicolas MOUGEOT, IBFM-University of Lausanne and FAME May 2000 N° 13 European Financial Markets After EMU: A First Assessment Jean-Pierre DANTHINE, DEEP, Université de Lausanne and CEPR Ernst-Ludwig VON THADDEN, DEEP, Université de Lausanne and CEPR Francesco GIAVAZZI, Università Bocconi, Milan, and CEPR March 2000 N° 12 Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments? Lorenzo CAPPIELLO, The Graduate Institute of International Studies January 2000 N° 11 Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets George CHACKO, Harvard University Luis VICEIRA, Harvard University September 1999 N° 10 Assessing Asset Pricing Anomalies Michael J. BRENNAN, University of California, Los Angeles Yihong XIA, University of Pennsylvania July 1999 N° 9 Recovery Risk in Stock Returns Aydin AKGUN, University of Lausanne & FAME Rajna GIBSON, University of Lausanne July 1999 N° 8 Option Pricing and Replication with Transaction Costs and Dividends Stylianos PERRAKIS, University of Ottawa Jean LEFOLL, University of Geneva July1999 N° 7 Optimal Catastrophe Insurance with Multiple Catastrophes Henri LOUBERGÉ, University of Geneva Harris SCHLESINGER, University of Alabama September 1999 N° 6 Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse Foort HAMELINK, Tilburg University May 1999 N° 5 Who Should Buy Long-Term Bonds? John CAMPBELL, Harvard University Luis VICEIRA, Harvard Business School October 1998 Winner of the 1999 FAME Research Prize N° 4 Capital Asset Pricing Model and Changes in Volatility André Oliveira SANTOS, Graduate Institute of International Studies September 1998 N° 3 Real Options as a Tool in the Decision to Relocate: An Application to the Banking Industry Pascal BOTTERON, HEC-University of Lausanne January 2000 N° 2 Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable? Dušan ISAKOV, HEC-Université de Genève Marc HOLLISTEIN, Banque Cantonale de Genève January 1999 N° 1 Enhancing Portfolio Performance Using Option Strategies: Why Beating the Market is Easy. François-Serge LHABITANT, HEC-University of Lausanne December 1998

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Events 13.06.2013 - Zurich Panel: Agrarrohstoffe: Was ist zu tun, was ist zu lassen? 25.06.2013 - Zurich SFI Breakfast Seminar with Dr. Andreas Wespi Advanced Persistent Threats - etwas, das auch die Banken betrifft? More events... Press releases More press releases... SFI in the news Tribune de Genève: Nomination Article referring to the Nomination of Marco Bizzozero, CEO Deutsche Bank (Suisse) SA to SFI Foundation Board Giornale del Popolo: Bizzozero succede a Alfredo Gysi Article reffering to the Nomination of Marco Bizzozero, CEO Deutsche Bank (Suisse) SA to SFI Foundation Board Handelszeitung Online: Geheimwissenschaft Chefsalär Article mentioning the Swiss Finance Institute More press coverage...