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Swiss Finance Institute Research Paper Series
187,144 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

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Showing Papers 1 - 50 of 522
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Incl. Electronic Paper The Opacity Risk Premium in Private CDS-Bond Bases
Jovan Stojkovic
University of Lugano - Swiss Finance Institute at the University of Lugano
Date Posted: April 15, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper An Integrated Risk Capital Aggregation Framework Using Nonlinear Classification by Random Forests and Its Proximity Measures
Boris Waelchli
University of Zurich - Department of Banking and Finance
Date Posted: April 14, 2014
Working Paper Series
4 downloads

Role of Derivatives in Corporate Risk Management
Shahid Mahmood
Edinburgh Napier University
Date Posted: April 14, 2014
Working Paper Series

Incl. Electronic Paper Financial Bubbles: Mechanisms and Diagnostics
Swiss Finance Institute Research Paper No. 14-28
Didier Sornette and Peter Cauwels
Swiss Finance Institute and ETH Zürich
Date Posted: April 12, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Bank Loan Announcements and Borrower Stock Returns Before and During the Recent Financial Crisis
Swiss Finance Institute Research Paper No. 14-26
Chunshuo Li and Steven Ongena
Tilburg University - Department of Economics and Management and University of Zurich - Department of Banking and Finance
Date Posted: April 10, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models
Swiss Finance Institute Research Paper No. 14-25
Didier Sornette
Swiss Finance Institute
Date Posted: April 07, 2014
Working Paper Series
87 downloads

Incl. Electronic Paper Volume, Volatility and Momentum in Financial Markets
International Research Journal of Applied Finance, Vol 5, Issue 3, pp. 211-223, March 2014
Marcus Davidsson
Independent
Date Posted: April 04, 2014
Accepted Paper Series
52 downloads

Incl. Electronic Paper Pay Attention or Pay Extra: Evidence on the Compensation of Investors for the Implicit Credit Risk of Structured Products
Swiss Finance Institute Research Paper No. 14-24
Marc Arnold , Dustin Robert Schuette and Alexander F. Wagner
University of Saint Gallen - SoF: School of Finance , University of Saint Gallen - SoF: School of Finance and University of Zurich - Department of Banking and Finance
Date Posted: April 02, 2014
Working Paper Series
10 downloads

Behavioral Finance: Investor Psychology Perspective
Ahmed Ibrahim Mokhtar
ESLSCA (Ecole Supérieure Libre des Sciences Commerciales Appliquées)
Date Posted: March 31, 2014
Working Paper Series

Incl. Electronic Paper News Dissemination and Investor Attention
European Corporate Governance Institute (ECGI) - Finance Working Paper No. 416/2014, Swiss Finance Institute Research Paper No. 14-21
Romain Boulland , Francois Degeorge and Edith Ginglinger
Université Paris-Dauphine , University of Lugano - Faculty of Economics and Université Paris-Dauphine
Date Posted: March 28, 2014
Last Revised: April 04, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Cumulative Prospect Theory and Mean Variance Analysis: A Rigorous Comparison
Swiss Finance Institute Research Paper No. 14-23
Thorsten Hens and Janos Mayer
University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Date Posted: March 28, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Theory Matters for Financial Advice!
Swiss Finance Institute Research Paper No. 14-22
Thorsten Hens and Janos Mayer
University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Date Posted: March 28, 2014
Working Paper Series
42 downloads

Incl. Electronic Paper Around the Life-Cycle: Deterministic Consumption-Investment Strategies
Marcus Christian Christiansen and Mogens Steffensen
University of Ulm - Department of Mathematics and Economics and University of Copenhagen
Date Posted: March 21, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Why Do Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust Preferred Securities
Fisher College of Business Working Paper No. 2014-03-01, Charles A. Dice Center Working Paper No. 2014-01, Swiss Finance Institute Research Paper No. 14-21
Nicole M. Boyson , Rüdiger Fahlenbrach and Rene M. Stulz
Northeastern University - D’Amore-McKim School of Business , Ecole Polytechnique Fédérale de Lausanne and Ohio State University (OSU) - Department of Finance
Date Posted: March 13, 2014
Last Revised: April 04, 2014
Working Paper Series
48 downloads

Incl. Electronic Paper Diversification Risk Premium
Vasilios I. Sogiakas , Konstantinos Konstantaras and Evangelos Vagenas-Nanos
University of Glasgow , Heriot-Watt University - School of Management and Languages and University of Glasgow
Date Posted: March 10, 2014
Working Paper Series
50 downloads

Incl. Electronic Paper Positional Portfolio Management
Swiss Finance Institute Research Paper No. 14-20
Patrick Gagliardini , Christian Gourieroux and Mirco Rubin
University of Lugano and Swiss Finance Institute , University of Toronto - Department of Economics and Università della Svizzera Italiana
Date Posted: March 07, 2014
Working Paper Series
132 downloads

Incl. Electronic Paper Revisiting the Supply-Side Equity Risk Premium
Gaurav Jetley , Ching Watson and Neri Breno
Analysis Group, Inc. , Analysis Group, Inc. and Analysis Group, Inc.
Date Posted: March 07, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices
Swiss Finance Institute Research Paper No. 14-19
Angie Andrikogiannopoulou and Filippos Papakonstantinou
University of Geneva and Imperial College London
Date Posted: March 07, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper A Class of Strict Local Martingales
Swiss Finance Institute Research Paper No. 14-18
Martin Herdegen and Sebastian Herrmann
ETH Zurich and ETH Zurich
Date Posted: March 07, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper A Study of the Impact of Asset-Liability Management on the Profitability of Banks in India
Journal of Applied Management and Investments Volume 2, Issue 4, 2013
Mihir Dash
Alliance University - School of Business
Date Posted: March 06, 2014
Accepted Paper Series
73 downloads

Incl. Electronic Paper CDS and Sovereign Bond Market Liquidity
Batchimeg Sambalaibat
Carnegie Mellon University
Date Posted: March 06, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Robust Spread Option Pricing
Ilya Kolpakov
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Date Posted: March 05, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Stochastic Correlation in Commodity Spread Options
Ilya Kolpakov
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Date Posted: March 05, 2014
Last Revised: April 14, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Trading with Small Price Impact
Swiss Finance Institute Research Paper No. 14-17
Ludovic Moreau , Johannes Muhle-Karbe and Halil Mete Soner
ETH Zurich - Department of Mathematics , ETH Zürich and ETH Zürich
Date Posted: March 01, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Rebalancing with Linear and Quadratic Costs
Swiss Finance Institute Research Paper No. 14-16
Ren Liu , Johannes Muhle-Karbe and Marko Weber
ETH Zürich , ETH Zürich and Dublin City University - School of Mathematical Sciences
Date Posted: February 28, 2014
Last Revised: March 11, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Linear-Rational Term Structure Models
Swiss Finance Institute Research Paper No. 14-15
Damir Filipovic , Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne , Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute and Ecole Polytechnique Fédérale de Lausanne
Date Posted: February 28, 2014
Working Paper Series
89 downloads

Incl. Electronic Paper The Impact of Foreign Bank Presence on Foreign Direct Investment in China
Swiss Finance Institute Research Paper No. 14-13
Steven Ongena , Shusen Qi and Fengming Qin
University of Zurich - Department of Banking and Finance , Tilburg University - Center for Economic Research (CentER) and Shandong University - Center for Economic Research
Date Posted: February 22, 2014
Working Paper Series
45 downloads

Incl. Electronic Paper Portfolio Delegation and Market Efficiency
Swiss Finance Institute Research Paper No. 14-09
Semyon Malamud and Evgeny Petrov
Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
Date Posted: February 20, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Portfolio Selection with Options and Transaction Costs
Swiss Finance Institute Research Paper No. 14-08
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Date Posted: February 20, 2014
Working Paper Series
48 downloads

Incl. Electronic Paper Exchange Risk and Market Integration
Swiss Finance Institute Research Paper No. 14-10
Ines Chaieb and Vihang Errunza
University of Geneva and McGill University
Date Posted: February 19, 2014
Working Paper Series
29 downloads

Incl. Electronic Paper Corporate Cash and Employment
Swiss Finance Institute Research Paper No. 14-01
Philippe Bacchetta , Kenza Benhima and Céline Poilly
University of Lausanne , University of Lausanne and DEEP-HEC, University of Lausanne; Centre for Economic Policy Research (CEPR)
Date Posted: February 14, 2014
Working Paper Series
36 downloads

Incl. Electronic Paper Toward a Unified Framework of Credit Creation
Swiss Finance Institute Research Paper No. 14-07
Susanne von der Becke and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: February 14, 2014
Working Paper Series
43 downloads

Incl. Electronic Paper Financial Brownian Particle in the Layered Order Book Fluid and Fluctuation-Dissipation Relations
Swiss Finance Institute Research Paper No. 14-06
Yoshihiro Yura , Hideki Takayasu , Didier Sornette and Misako Takayasu
Tokyo Institute of Technology , Sony Computer Science Laboratories , Swiss Finance Institute and Tokyo Institute of Technology
Date Posted: February 08, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Long/Short Equity Hedge Funds and Systematic Ambiguity
Swiss Finance Institute Research Paper No. 14-05
Rajna Gibson and Nikolay Ryabkov
University of Geneva - Graduate School of Business (HEC-Geneva) and University of Zurich - Faculty of Economics, Business Administration and Information Technology
Date Posted: February 08, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Optimal Liquidity Provision in Limit Order Markets
Swiss Finance Institute Research Paper No. 13-71
Christoph Kühn and Johannes Muhle-Karbe
Goethe University Frankfurt and ETH Zürich
Date Posted: February 07, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper A Creepy World
Swiss Finance Institute Research Paper No. 13-55
Didier Sornette and Peter Cauwels
Swiss Finance Institute and ETH Zürich
Date Posted: February 02, 2014
Working Paper Series
34 downloads

Incl. Electronic Paper Debt Renegotiation and Investment Decisions Across Countries
Swiss Finance Institute Research Paper No. 13-64
Giovanni Favara , Erwan Morellec , Enrique J. Schroth and Philip Valta
Federal Reserve Board , Ecole Polytechnique Fédérale de Lausanne , City University London - Cass Business School and HEC Paris (Groupe HEC) - Finance Department
Date Posted: January 10, 2014
Last Revised: January 28, 2014
Working Paper Series
67 downloads

Incl. Electronic Paper Asset Pricing when 'This Time is Different'
Swiss Finance Institute Research Paper No. 13-73, Columbia Business School Research Paper No. 14-8
Pierre Collin-Dufresne , Michael Johannes and Lars A. Lochstoer
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute , Columbia University and Columbia Business School - Finance and Economics
Date Posted: January 02, 2014
Last Revised: February 19, 2014
Working Paper Series
46 downloads

Incl. Electronic Paper An Option to Cheat: An Application of Option Theory To Realize Flipping in Underpricing
Swiss Finance Institute Research Paper No. 13-74
Jovan Stojkovic
University of Lugano - Swiss Finance Institute at the University of Lugano
Date Posted: December 26, 2013
Last Revised: March 27, 2014
Working Paper Series
39 downloads

Incl. Electronic Paper Apparent Criticality and Calibration Issues in the Hawkes Self-Excited Point Process Model: Application to High-Frequency Financial Data
Swiss Finance Institute Research Paper No. 13-60
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and Swiss Finance Institute
Date Posted: December 24, 2013
Working Paper Series
48 downloads

Incl. Electronic Paper Categorization of Exchange Fluxes Explains the Four Relational Models
Swiss Finance Institute Research Paper No. 13-62
Maroussia Favre and Didier Sornette
Swiss Federal Institute of Technology Zurich - Department of Management, Technology, and Economics (D-MTEC) and Swiss Finance Institute
Date Posted: December 24, 2013
Last Revised: April 07, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Momentum Crashes
Swiss Finance Institute Research Paper No. 13-61, Columbia Business School Research Paper No. 14-6, Fama-Miller Working Paper
Kent D. Daniel and Tobias J. Moskowitz
Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business
Date Posted: December 24, 2013
Working Paper Series
644 downloads

Incl. Electronic Paper Liquidity Risk in Credit Default Swap Markets
Swiss Finance Institute Research Paper No. 13-65
Benjamin Junge and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: December 24, 2013
Working Paper Series
91 downloads

Incl. Electronic Paper Opacity in Financial Markets
Swiss Finance Institute Research Paper No. 13-63
Yuki Sato
HEC-University of Lausanne
Date Posted: December 24, 2013
Working Paper Series
56 downloads

Incl. Electronic Paper Margin Regulation and Volatility
Swiss Finance Institute Research Paper No. 13-59
Johannes Brumm , Michael Grill , Felix Kubler and Karl H. Schmedders
University of Zurich , European Central Bank (ECB) , University of Zurich and Swiss Finance Institute
Date Posted: December 13, 2013
Working Paper Series
76 downloads

Incl. Electronic Paper Do Underpriced Firms Innovate Less?
Swiss Finance Institute Research Paper No. 14-12
Gianpaolo Parise
Swiss Finance Institute
Date Posted: November 21, 2013
Working Paper Series
21 downloads

Incl. Electronic Paper Financing Asset Sales and Business Cycles
Boston U. School of Management Research Paper No. 2013-14, Swiss Finance Institute Research Paper No. 14-11
Marc Arnold , Dirk Hackbarth and Tatjana Xenia Puhan
University of Saint Gallen - SoF: School of Finance , Boston University School of Management and University of Zurich
Date Posted: November 19, 2013
Last Revised: February 20, 2014
Working Paper Series
64 downloads

Incl. Electronic Paper Optimal Investment in a Black-Scholes Model with a Bubble
Swiss Finance Institute Research Paper No. 13-58
Martin Herdegen and Sebastian Herrmann
ETH Zurich and ETH Zurich
Date Posted: November 17, 2013
Working Paper Series
94 downloads

Incl. Electronic Paper Asset Pricing with Arbitrage Activity
Swiss Finance Institute Research Paper No. 13-57
Julien N. Hugonnier and Rodolfo Prieto
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Boston University - School of Management
Date Posted: November 08, 2013
Working Paper Series
79 downloads

Incl. Electronic Paper Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data
Swiss Finance Institute Research Paper No. 13-56
Martin Hoesli and Elias Oikarinen
University of Geneva - Graduate School of Business (HEC-Geneva) and Turku School of Economics - Department of Economics
Date Posted: November 02, 2013
Last Revised: December 10, 2013
Working Paper Series
63 downloads


 

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