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Swiss Finance Institute Research Paper Series
159,405 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

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Showing Papers 1 - 50 of 456
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Incl. Electronic Paper Liquidity and Investment Horizon
Volodymyr Vovchak
University of Lugano - Swiss Finance Institute at the University of Lugano
Date Posted: May 20, 2013
Working Paper Series
5 downloads

Incl. Electronic Paper The Great Recession: A Self-Fulfilling Global Panic
Swiss Finance Institute Research Paper No. 13-28
 Philippe Bacchetta and Eric van Wincoop
University of Lausanne and University of Virginia (UVA) - Department of Economics
Date Posted: May 15, 2013
Working Paper Series
10 downloads

Incl. Electronic Paper Quantifying Trading Behavior in Financial Markets Using Google Trends
Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
 Tobias Preis , Helen Susannah Moat and H. Eugene Stanley
Warwick Business School - Behavioural Science Group , University College London - Department of Civil, Environmental and Geomatic Engineering and Boston University - Center for Polymer Studies
Date Posted: May 04, 2013
Accepted Paper Series
126 downloads

Incl. Electronic Paper Liquidity Premium Persistence in the Indonesia Stock Exchange (IDX)
 Daniel Wojtyla Sr. and Zaafri Ananto Husodo
Lembaga Pembiayaan Ekspor Indonesia (Indonesia Eximbank) and Universitas Indonesia, Graduate School of Management
Date Posted: May 03, 2013
Working Paper Series
6 downloads

Incl. Electronic Paper The Price of Government Bond Volatility
Swiss Finance Institute Research Paper No. 13-27
 Antonio Mele and Yoshiki Obayashi
Swiss Finance Institute & University of Lugano and Applied Academics LLC
Date Posted: April 26, 2013
Working Paper Series
54 downloads

Incl. Electronic Paper Volatility Indexes and Contracts for Government Bonds and Time Deposits
Swiss Finance Institute Research Paper No. 13-26
 Antonio Mele and Yoshiki Obayashi
Swiss Finance Institute & University of Lugano and Applied Academics LLC
Date Posted: April 26, 2013
Working Paper Series
17 downloads

Incl. Electronic Paper Volatility Indexes and Contracts for Eurodollar and Related Deposits
Swiss Finance Institute Research Paper No. 13-25
 Antonio Mele and Yoshiki Obayashi
Swiss Finance Institute & University of Lugano and Applied Academics LLC
Date Posted: April 26, 2013
Working Paper Series
28 downloads

Incl. Electronic Paper Credit Variance Swaps and Volatility Indexes
Swiss Finance Institute Research Paper No. 13-24
 Antonio Mele and Yoshiki Obayashi
Swiss Finance Institute & University of Lugano and Applied Academics LLC
Date Posted: April 26, 2013
Working Paper Series
37 downloads

Incl. Electronic Paper Dynamics of Interest Rate Swap and Equity Volatilities
Swiss Finance Institute Research Paper No. 13-23
 Antonio Mele , Yoshiki Obayashi and Catherine Shalen
Swiss Finance Institute & University of Lugano , Applied Academics LLC and Chicago Board Options Exchange (CBOE)
Date Posted: April 26, 2013
Working Paper Series
84 downloads

Volatility of Exchange Rate Effecting Trade Growth: A Case of Pakistan with US, UK and UAE
 Marria Hassan
IIUI
Date Posted: April 22, 2013
Working Paper Series

Incl. Electronic Paper Structured Debt Ratings: Evidence on Conflicts of Interest
Swiss Finance Institute Research Paper No. 13-21
 Matthias Efing and Harald Hau
Swiss Finance Institute and University of Geneva - Geneva Finance Research Institute
Date Posted: April 19, 2013
Last Revised: April 22, 2013
Working Paper Series
27 downloads

Incl. Electronic Paper Do Analysts' Preferences Affect Corporate Policies?
Swiss Finance Institute Research Paper No. 13-22
 Francois Degeorge , François Derrien , Ambrus Kecskes and Sebastien Michenaud
University of Lugano - Faculty of Economics , HEC Paris (Groupe HEC) - Finance Department , Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law and Rice University - Jesse H. Jones Graduate School of Business
Date Posted: April 19, 2013
Last Revised: April 22, 2013
Working Paper Series
80 downloads

Incl. Electronic Paper With Whom and in What is it Better to Save? Personal Pensions in the UK
 Anastasia Petraki and Anna Zalewska
University of Bath - Centre for Governance and Regulation; School of Management and University of Bath - Centre for Governance and Regulation; School of Management
Date Posted: April 14, 2013
Working Paper Series
13 downloads

Incl. Electronic Paper On the Strategic Value of Risk Management
Swiss Finance Institute Research Paper No. 13-20
 Thomas-Olivier Léautier and Jean-Charles Rochet
University of Toulouse 1 - Toulouse School of Economics (TSE) and University of Toulouse I - Institut d'Economie Industrielle (IDEI)
Date Posted: April 13, 2013
Working Paper Series
51 downloads

Incl. Electronic Paper On Dynamic Hedging of Single-Tranche Collateralized Debt Obligations
Swiss Finance Institute Research Paper No. 13-18
 Zehra Eksi and Damir Filipovic
Vienna University of Economics and Business Administration-Institute for Statistics and Mathematics and Ecole Polytechnique Fédérale de Lausanne
Date Posted: April 12, 2013
Working Paper Series
20 downloads

Incl. Electronic Paper Utility Maximization in an Illiquid Market
Swiss Finance Institute Research Paper No. 13-17
 Halil Mete Soner and Mirjana Vukelja
ETH Zürich and Independent
Date Posted: April 10, 2013
Working Paper Series
66 downloads

Incl. Electronic Paper The General Structure of Optimal Investment and Consumption with Small Transaction Costs
Swiss Finance Institute Research Paper No. 13-15
 Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and ETH Zürich
Date Posted: April 09, 2013
Working Paper Series
15 downloads

Incl. Electronic Paper Optimal Dividend Policy with Random Interest Rates
Swiss Finance Institute Research Paper No. 13-14
 Erdinc Akyildirim , Ethem Güney , Jean-Charles Rochet and Halil Mete Soner
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute , Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute , University of Toulouse I - Institut d'Economie Industrielle (IDEI) and ETH Zürich
Date Posted: April 09, 2013
Working Paper Series
78 downloads

Incl. Electronic Paper A Critique of Shareholder Value Maximization
Swiss Finance Institute Research Paper No. 13-16
 Michael J. P. Magill , Martine Quinzii and Jean-Charles Rochet
University of Southern California - Department of Economics , University of California, Davis - Department of Economics and University of Toulouse I - Institut d'Economie Industrielle (IDEI)
Date Posted: April 08, 2013
Working Paper Series
48 downloads

Incl. Electronic Paper Martingale Optimal Transport and Robust Hedging in Continuous Time
Swiss Finance Institute Research Paper No. 13-13
 Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Date Posted: April 06, 2013
Working Paper Series
65 downloads

Incl. Electronic Paper Contagion Channels between Real Estate and Financial Markets
Swiss Finance Institute Research Paper No. 13-12
 Martin Hoesli and Reka Kustrim
University of Geneva - Graduate School of Business (HEC-Geneva) and University of Geneva
Date Posted: April 05, 2013
Last Revised: April 10, 2013
Working Paper Series
42 downloads

Incl. Electronic Paper A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations
Swiss Finance Institute Research Paper No. 13-09
 Zehra Eksi and Damir Filipovic
Vienna University of Economics and Business Administration-Institute for Statistics and Mathematics and Ecole Polytechnique Fédérale de Lausanne
Date Posted: March 30, 2013
Last Revised: April 10, 2013
Working Paper Series
37 downloads

Incl. Electronic Paper Robust Hedging with Proportional Transaction Costs
Swiss Finance Institute Research Paper No. 13-11
 Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Date Posted: March 30, 2013
Working Paper Series
70 downloads

Incl. Electronic Paper Constructing a Class of Stochastic Volatility Models: Empirical Investigation with Vix Data
 Asmerilda Hitaj , Lorenzo Mercuri and Edit Rroji
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi , Università degli Studi di Milano-Bicocca and Università degli Studi di Milano-Bicocca
Date Posted: March 29, 2013
Last Revised: May 15, 2013
Working Paper Series
30 downloads

Incl. Electronic Paper Do Hedge Funds Provide Liquidity? Evidence from Their Trades
Swiss Finance Institute Research Paper No. 13-10
 Francesco A. Franzoni and Alberto Plazzi
University of Lugano and University of Lugano - Institute of Finance
Date Posted: March 26, 2013
Last Revised: May 17, 2013
Working Paper Series
81 downloads

Incl. Electronic Paper Estimating Heterogeneous Risk Preferences from a Panel of Real-World Betting Choices
Swiss Finance Institute Research Paper No. 13-08
 Angie Andrikogiannopoulou and Filippos Papakonstantinou
University of Geneva and Imperial College London
Date Posted: March 26, 2013
Working Paper Series
13 downloads

Incl. Electronic Paper Predictability Hidden by Anomalous Observations
Swiss Finance Institute Research Paper No. 13-05
 Lorenzo Camponovo , O. Scaillet and Fabio Trojani
University of St. Gallen , University of Geneva - HEC and Swiss Finance Institute
Date Posted: March 23, 2013
Working Paper Series
41 downloads

Incl. Electronic Paper Quadratic Variance Swap Models
Swiss Finance Institute Research Paper No. 13-06
 Damir Filipovic , Elise Gourier and Loriano Mancini
Ecole Polytechnique Fédérale de Lausanne , Swiss Finance Institute and Ecole Polytechnique Fédérale de Lausanne
Date Posted: March 23, 2013
Last Revised: May 14, 2013
Working Paper Series
63 downloads

Incl. Electronic Paper Dynamics and Spatial Distribution of Global Nighttime Lights
Swiss Finance Institute Research Paper No. 13-02
 Nicola Pestalozzi , Peter Cauwels and Didier Sornette
ETH Zurich , ETH Zürich and Swiss Finance Institute
Date Posted: March 23, 2013
Working Paper Series
35 downloads

Incl. Electronic Paper Is There A Real Estate Bubble in Switzerland? (Diagnostic as of 2012-Q4)
Swiss Finance Institute Research Paper No. 13-07
 Diego Ardila , Peter Cauwels , Dorsa Sanadgol and Didier Sornette
ETH Zurich , ETH Zürich , ETH Zurich and Swiss Finance Institute
Date Posted: March 22, 2013
Working Paper Series
69 downloads

Incl. Electronic Paper The Impact of Macroeconomic on the Financial Performance of the Microfinance Institutions in Java Island, Indonesia
 Bambang Hermanto and Definta Ria Astuti
Universitas Indonesia - Graduate School of Management and Universitas Indonesia
Date Posted: March 14, 2013
Working Paper Series
60 downloads

Incl. Electronic Paper Precision of Ratings
 Anastasia V. Kartasheva and Bilge Yilmaz
Bank for International Settlements and University of Pennsylvania - Finance Department
Date Posted: March 13, 2013
Working Paper Series
69 downloads

Incl. Electronic Paper Military, Intelligence, Police Law and Order Inside Security and Security of Border - An Indian Scenario
 Pankaj Prakashrao Umbarkar Sr.
MATS University
Date Posted: March 11, 2013
Working Paper Series
16 downloads

Incl. Electronic Paper Nature of Bank Deposit in Finland
 Mahima Minocha
National Law University Jodhpur (NLUJ)
Date Posted: March 11, 2013
Working Paper Series
25 downloads

Incl. Electronic Paper Time-Varying Mixture GARCH Models and Asymmetric Volatility
Swiss Finance Institute Research Paper No. 13-04
 Markus Haas , Jochen Krause , Marc S. Paolella and Sven C. Steude
Ludwig Maximilians University of Munich - Department of Statistics , University of Zurich - Department of Banking and Finance , University of Zurich and University of Zurich - Department of Banking and Finance
Date Posted: March 10, 2013
Working Paper Series
45 downloads

Incl. Electronic Paper Q-Gaussian Distributions of Leverage Returns, First Stopping Times, and Default Risk Valuations
 Yuri A. Katz and Li Tian
S&P Capital IQ and S&P Capital IQ
Date Posted: March 04, 2013
Last Revised: March 08, 2013
Working Paper Series
46 downloads

Incl. Electronic Paper Internet Appendix for 'Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much'
 Fabio Trojani , Christian Wiehenkamp and Jan Wrampelmeyer
Swiss Finance Institute , RiskLab GmbH and University of St. Gallen
Date Posted: February 17, 2013
Working Paper Series
17 downloads

Incl. Electronic Paper Long-Run Market Performance of Initial Public Offerings in Saudi Arabia: Does Sharia-Compliant Status Matter?
 Faisal A. Alqahtani
The University of Auckland
Date Posted: February 12, 2013
Working Paper Series
16 downloads

Incl. Electronic Paper The Sentiment of the Fed
Swiss Finance Institute Research Paper No. 13-01
 Michel Fuksa and Didier Sornette
AGH University of Science and Technology and Swiss Finance Institute
Date Posted: February 02, 2013
Working Paper Series
46 downloads

Incl. Electronic Paper Market Efficiency at the Tel-Aviv Stock Exchange
 Bella Dubrov and Gal Zahavi
Tel Aviv University - The Leon Recanati Graduate School of Business Administration and Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management
Date Posted: January 15, 2013
Working Paper Series
77 downloads

Incl. Electronic Paper FVA, Modelling and Netting Arbitrage - Introduction
 Christian Kamtchueng
Barclays Capital
Date Posted: January 09, 2013
Last Revised: April 08, 2013
Working Paper Series
55 downloads

Incl. Electronic Paper The Examination of Recency and Knowledge Effect in Investment Decision Making: An Experimental Study
Indonesian Journal of Accounting Research, Vol. 13 No. 1, p. 45-58, 2010
 Liza Alvia and Dedhy Sulistiawan
University of Lampung and University of Surabaya
Date Posted: January 08, 2013
Last Revised: January 09, 2013
Accepted Paper Series
44 downloads

Incl. Electronic Paper Can Technical Analysis Signals Detect Price Reactions Around Earnings Announcements?: Evidence from Indonesia
 Dedhy Sulistiawan and Jogiyanto Hartono
University of Surabaya and Universitas Gadjah Mada (UGM)
Date Posted: January 05, 2013
Last Revised: January 16, 2013
Working Paper Series
102 downloads

Incl. Electronic Paper Systemic Risk in Europe
Swiss Finance Institute Research Paper No. 12-45
 Robert F. Engle , Eric Jondeau and Michael Rockinger
New York University - Leonard N. Stern School of Business - Department of Economics , University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: December 22, 2012
Working Paper Series
368 downloads

Incl. Electronic Paper The Illusion of the Perpetual Money Machine
Swiss Finance Institute Research Paper No. 12-40
 Peter Cauwels and Didier Sornette
ETH Zürich and Swiss Finance Institute
Date Posted: December 21, 2012
Working Paper Series
195 downloads

Incl. Electronic Paper Utility Rate Equations of Group Population Dynamics in Biological and Social Systems
Swiss Finance Institute Research Paper No. 12-39
 Vyacheslav I. Yukalov , E.P. Yukalova and Didier Sornette
Joint Institute for Nuclear Research , Joint Institute for Nuclear Research and Swiss Finance Institute
Date Posted: December 19, 2012
Working Paper Series
26 downloads

Tippers and Tippees: Brokers’ Pre-Release of Price-Sensitive Information to Their VIP Clients
 Tamara Nefedova
Swiss Finance Institute
Date Posted: December 17, 2012
Last Revised: April 27, 2013
Working Paper Series

Incl. Electronic Paper Asset-Liability Management in Banking as an Instrument for Minimization of Expenses in the Implementation of Basel III Requirements
 Marina Sakovich
University of Zurich
Date Posted: December 15, 2012
Working Paper Series
209 downloads

Incl. Electronic Paper On the Risk and Return of the Carry Trade
Swiss Finance Institute Research Paper No. 12-36
 Fabian Ackermann , Walt Pohl and Karl H. Schmedders
Zurcher Kantonalbank , University of Zurich and Swiss Finance Institute
Date Posted: December 11, 2012
Working Paper Series
308 downloads

Incl. Electronic Paper Market Belief Risk and the Cross-Section of Stock Returns
Swiss Finance Institute Research Paper No. 12-37
 Rajna Gibson and Songtao Wang
University of Geneva - Graduate School of Business (HEC-Geneva) and University of Zurich - Swiss Banking Institute (ISB)
Date Posted: December 08, 2012
Working Paper Series
129 downloads


 

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