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University of St.Gallen School of Finance Research Paper Series

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Viewing: 1 - 50 of 325 papers

1.

Sentiment Risk Premia in the Cross-Section of Global Equity

University of St.Gallen, School of Finance Research Paper No. 2019/13
Number of pages: 72 Posted: 28 May 2020
Working Paper Series
Roland Füss, Massimo Guidolin and Christian Koeppel
University of St. Gallen - School of Finance, Bocconi University - Department of Finance and University of St. Gallen

Multiple version iconThere are 3 versions of this paper

Downloads 9
2.

Experience and Brokerage in Asset Markets: Evidence from Art Auctions

University of St.Gallen, School of Finance Research Paper No. 2016/05
Number of pages: 42 Posted: 26 Feb 2020 Last Revised: 26 Feb 2020
Working Paper Series
Brunella Bruno, Emilia Garcia-Appendini and Giacomo Nocera
Bocconi University - Department of Finance, University of Zurich - Department of Banking and Finance and Audencia Business School
Downloads 80
3.

Network-Constrained Covariate Coefficient and Connection Sign Estimation

University of St.Gallen, School of Finance Research Paper No. . 2020/01
Number of pages: 25 Posted: 04 Feb 2020 Last Revised: 05 Feb 2020
Working Paper Series
Matthias Weber, Jonas Striaukas, Martin Schumacher and Harald Binder
University of St. Gallen - School of Finance, UC Louvain and F.R.S.-FNRS, University of Freiburg - Medical Center and Johannes Gutenberg University Mainz - University Medical Center

Multiple version iconThere are 2 versions of this paper

Downloads 22
4.

The Behavioral Economics of Currency Unions: Economic Integration and Monetary Policy

University of St.Gallen, School of Finance Research Paper No. 2019/16
Number of pages: 51 Posted: 14 Nov 2019
Working Paper Series
Akvile Bertasiute, Domenico Massaro and Matthias Weber
National Audit Office of Lithuania - Budget Policy Monitoring Department, Catholic University of Milan and University of St. Gallen - School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 29
5.

The Role of Daytime Stock Auctions in Intraday Return Seasonality

University of St.Gallen, School of Finance Research Paper No. 2019/14
Number of pages: 59 Posted: 04 Sep 2019 Last Revised: 07 Oct 2019
Working Paper Series
Ekaterina Serikova
University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 65
6.

A Closer Look at Credit Rating Processes: Uncovering the Impact of Analyst Rotation

University of St.Gallen, School of Finance Research Paper No. 2019/11
Number of pages: 41 Posted: 07 Aug 2019 Last Revised: 16 Aug 2019
Working Paper Series
Kilian Dinkelaker, Andreas Walter Mattig and Stefan Morkoetter
University of St. Gallen, University of St. Gallen and University of St. Gallen - School of Finance
Downloads 51
7.

Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review

University of St.Gallen, School of Finance Research Paper No. 2019/10
Number of pages: 48 Posted: 31 Jul 2019 Last Revised: 28 May 2020
Working Paper Series
Miriam Breitenstein, Duc Khuong Nguyen and Thomas Walther
Dresden University of Technology - Chair of Finance and Financial Services, IPAG Business School and Utrecht University - School of Economics
Downloads 187
8.

Safe Asset Carry Trade

University of St.Gallen, School of Finance Research Paper No. 2019/09
Number of pages: 92 Posted: 25 Jul 2019 Last Revised: 25 Jan 2020
Working Paper Series
Benedikt Ballensiefen and Angelo Ranaldo
University of St. Gallen - School of Finance and University of St. Gallen
Downloads 95
9.

Credit Variance Risk Premiums

University of St.Gallen, School of Finance Research Paper No. 2019/08
Number of pages: 48 Posted: 24 Jun 2019 Last Revised: 18 Sep 2019
Working Paper Series
Manuel Ammann and Mathis Moerke
University of St. Gallen - School of Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 129
10.

Loss Aversion and the Demand for Index Insurance

University of St.Gallen, School of Finance Research Paper No. 2019/07
Number of pages: 80 Posted: 19 Jun 2019
Working Paper Series
Immanuel Lampe and Daniel Würtenberger
University of St. Gallen and University of Ulm - Department of Mathematics and Economics
Downloads 83
11.

Local House Price Comovements

University of St.Gallen, School of Finance Research Paper No. 2019/06
Number of pages: 43 Posted: 13 Jun 2019
Working Paper Series
Marcel Fischer, Roland Füss and Simon Stehle
Copenhagen Business School, University of St. Gallen - School of Finance and University of Konstanz - Department of Economics
Downloads 52
12.

Liquidity Risk and Funding Cost

University of St.Gallen, School of Finance Research Paper No. 2019/03 , Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 66 Posted: 20 May 2019 Last Revised: 01 Oct 2019
Working Paper Series
Alexander Bechtel, Angelo Ranaldo and Jan Wrampelmeyer
University of St. Gallen - School of Finance, University of St. Gallen and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 198
13.

Robust Estimation of Risk-Neutral Moments

Forthcoming, The Journal of Futures Markets , University of St.Gallen, School of Finance Research Paper No. 2019/02
Number of pages: 54 Posted: 26 Mar 2019
Working Paper Series
Manuel Ammann and Alexander Feser
University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Downloads 78
14.

Unobserved Performance of Hedge Funds

University of St.Gallen, School of Finance Research Paper No. 2018/25
Number of pages: 77 Posted: 28 Dec 2018 Last Revised: 16 Apr 2020
Working Paper Series
Vikas Agarwal, Stefan Ruenzi and Florian Weigert
Georgia State University, University of Mannheim - Department of International Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 213
15.

In Military We Trust: The Effect of Managers' Military Background on Mutual Fund Flows

Number of pages: 61 Posted: 19 Dec 2018 Last Revised: 20 Feb 2020
Working Paper Series
Alexander Cochardt, Stephan Heller and Vitaly Orlov
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Downloads 157
16.

Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?

Georgetown McDonough School of Business Research Paper No. 3292347, University of St.Gallen, School of Finance Research Paper
Number of pages: 58 Posted: 12 Dec 2018 Last Revised: 14 May 2019
Working Paper Series
Turan G. Bali and Florian Weigert
Georgetown University - Robert Emmett McDonough School of Business and University of Neuchatel - Institute of Financial Analysis
Downloads 181
17.

Voting Power and the Public Good Index: Thoughts

Number of pages: 6 Posted: 08 Dec 2018
Working Paper Series
Matthias Weber
University of St. Gallen - School of Finance
Downloads 31
18.

Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables

University of St. Gallen, School of Finance Research Paper No. 2018/24, Journal of Forecasting, 39(2), pp. 126-142, DOI: 10.1002/for.2617
Number of pages: 41 Posted: 05 Dec 2018 Last Revised: 05 Feb 2020
Accepted Paper Series
Duc Khuong Nguyen and Thomas Walther
IPAG Business School and Utrecht University - School of Economics
Downloads 113
19.

Cycles of Declines and Reversals following Overnight Market Declines

University of St.Gallen, School of Finance Research Paper No. 2018/29, NYU Stern School of Business
Number of pages: 40 Posted: 02 Dec 2018 Last Revised: 08 Feb 2019
Working Paper Series
Farshid Abdi
University of Massachusetts Amherst
Downloads 156
20.

Trading Volume, Illiquidity and Commonalities in FX Markets

University of St.Gallen, School of Finance Research Paper No. 2018/23
Number of pages: 50 Posted: 22 Nov 2018 Last Revised: 14 Oct 2019
Working Paper Series
Angelo Ranaldo and Paolo Santucci de Magistris
University of St. Gallen and Aarhus University - CREATES
Downloads 177
21.

Informed Corporate Credit Market before Monetary Policy Surprises: Explaining Pre-FOMC Stock Market Movements

University of St.Gallen, School of Finance Research Paper No. 2018/28, NYU Stern School of Business
Number of pages: 55 Posted: 19 Nov 2018 Last Revised: 08 Feb 2019
Working Paper Series
Farshid Abdi and Botao Wu
University of Massachusetts Amherst and New York University (NYU) - Leonard N. Stern School of Business
Downloads 125
22.

Experience Does not Eliminate Bubbles: Experimental Evidence

University of St.Gallen, School of Finance Research Paper No. 2018/22
Number of pages: 72 Posted: 19 Nov 2018 Last Revised: 16 Apr 2020
Working Paper Series
Anita Kopányi-Peuker and Matthias Weber
University of Amsterdam - Faculty of Economics and Business (FEB) and University of St. Gallen - School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 52
23.

Communication and Hidden Action: Evidence from a Person-to-Person Lending Experiment

University of St.Gallen, School of Finance Research Paper No. 2018/19
Number of pages: 49 Posted: 06 Sep 2018 Last Revised: 09 Jan 2019
Working Paper Series
Martin Brown, Jan Schmitz and Christian Zehnder
University of St. Gallen, Radboud University Nijmegen - Department of Economics and University of Lausanne
Downloads 66
24.

Risk Factor Exposure Variation and Mutual Fund Performance

University of St.Gallen, School of Finance Research Paper No. 2018/17
Number of pages: 58 Posted: 30 Aug 2018 Last Revised: 12 Nov 2018
Working Paper Series
Manuel Ammann, Sebastian Fischer and Florian Weigert
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 228
25.

OTC Premia

University of St.Gallen, School of Finance Research Paper No. 2018/18, Journal of Financial Economics
Number of pages: 57 Posted: 28 Aug 2018 Last Revised: 14 Jun 2019
Working Paper Series
Gino Cenedese, Angelo Ranaldo and Michalis Vasios
Fulcrum Asset Management, University of St. Gallen and Norges Bank Investment Management (NBIM)

Multiple version iconThere are 2 versions of this paper

Downloads 104
26.

Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?

University of St.Gallen, School of Finance Research Paper No. 2018/18, QMS Research Paper 2018/03
Number of pages: 53 Posted: 06 Aug 2018 Last Revised: 13 Jun 2019
Working Paper Series
Lanouar Charfeddine, Tony Klein and Thomas Walther
Qatar University - College of Business and Economics, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 106
27.

Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting

University of St.Gallen, School of Finance Research Paper No. 2018/19, QMS Research Paper 2018/02, Journal of International Financial Markets, Institutions and Money, 2019
Number of pages: 26 Posted: 27 Jun 2018 Last Revised: 19 Sep 2019
Accepted Paper Series
Thomas Walther, Tony Klein and Elie Bouri
Utrecht University - School of Economics, Queen's University Belfast - Queen's Management School and Université Saint Esprit de Kaslik (USEK)
Downloads 208
28.

Sentiment Risk Premia in the Cross-Section of Global Equity

University of St.Gallen, School of Finance Research Paper No. 2018/17
Number of pages: 71 Posted: 04 Jun 2018 Last Revised: 27 May 2020
Working Paper Series
Roland Füss, Massimo Guidolin and Christian Koeppel
University of St. Gallen - School of Finance, Bocconi University - Department of Finance and University of St. Gallen

Multiple version iconThere are 3 versions of this paper

Downloads 237
29.

Office Market Interconnectedness and Systemic Risk Exposure

University of St.Gallen, School of Finance Research Paper No. 2018/16
Number of pages: 55 Posted: 31 May 2018
Working Paper Series
Roland Füss and Daniel Ruf
University of St. Gallen - School of Finance and Goethe University Frankfurt - House of Finance
Downloads 53
30.

Buy Low, Sell High? Do Private Equity Fund Managers Have Market Abilities?

University of St.Gallen, School of Finance Research Paper No. 2018/13
Number of pages: 43 Posted: 26 Apr 2018 Last Revised: 30 Apr 2018
Working Paper Series
Tim Jenkinson, Stefan Morkoetter and Thomas Wetzer
University of Oxford - Said Business School, University of St. Gallen - School of Finance and University of St. Gallen
Downloads 186
31.

Buy Low, Sell High? Do Private Equity Fund Managers Have Market Timing Abilities?

Number of pages: 42 Posted: 10 Apr 2018
Working Paper Series
Tim Jenkinson, Stefan Morkoetter and Thomas Wetzer
University of Oxford - Said Business School, University of St. Gallen - School of Finance and University of St. Gallen
Downloads 210
32.

Local Banks, Credit Supply, and House Prices

University of St.Gallen, School of Finance Research Paper No. 2018/11
Number of pages: 70 Posted: 23 Mar 2018 Last Revised: 29 May 2018
Working Paper Series
Kristian Blickle
Federal Reserve Banks - Federal Reserve Bank of New York

Multiple version iconThere are 2 versions of this paper

Downloads 47
33.

Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

International Review of Financial Analysis, Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2018/14, QMS Research Paper 2018/01
Number of pages: 29 Posted: 22 Mar 2018 Last Revised: 13 Jun 2019
Accepted Paper Series
Tony Klein, Pham Thu Hien and Thomas Walther
Queen's University Belfast - Queen's Management School, Humboldt University of Berlin and Utrecht University - School of Economics
Downloads 763
34.

Internationalization and Firm Valuation: New Evidence from First Offshore Bond Issuances of US Firms

University of St.Gallen, School of Finance Research Paper No. 2018/3
Number of pages: 50 Posted: 06 Feb 2018 Last Revised: 04 Jun 2019
Working Paper Series
Nebojsa Dimic and Vitaly Orlov
University of Vaasa and University of St. Gallen - School of Finance
Downloads 35
35.

Solvency Risk Premia and the Carry Trades

University of St.Gallen, School of Finance Research Paper No. 2018/02
Number of pages: 51 Posted: 02 Feb 2018
Working Paper Series
Vitaly Orlov
University of St. Gallen - School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 162
36.

Momentum and Crash Sensitivity

University of St.Gallen, School of Finance Research Paper No. 2018/1, Economics Letters, Forthcoming
Number of pages: 13 Posted: 28 Dec 2017 Last Revised: 08 Feb 2018
Accepted Paper Series
Stefan Ruenzi and Florian Weigert
University of Mannheim - Department of International Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 638
37.

Valuation Effects of Termination of Cross-Listings

Journal of Financial Perspectives, Vol. 2, No. 1, 2014
Number of pages: 22 Posted: 29 Nov 2017 Last Revised: 30 Nov 2017
Accepted Paper Series
Roland Füss, Ulrich Hommel and Jan Plagge
University of St. Gallen - School of Finance, EBS Business School and Independent
Downloads 25
38.

The Impact of the Morningstar Sustainability Rating on Mutual Fund Flows

University of St.Gallen, School of Finance Research Paper No. 2017/18
Number of pages: 53 Posted: 16 Nov 2017 Last Revised: 09 May 2018
Working Paper Series
Manuel Ammann, Christopher Bauer, Sebastian Fischer and Philipp Müller
University of St. Gallen - School of Finance, University of St. Gallen, Students, University of St. Gallen - School of Finance and University of St. Gallen, Students
Downloads 414
39.

Do Local Governments Tax Homeowner Communities Differently?

University of St.Gallen, School of Finance Research Paper No. 2017/14
Number of pages: 51 Posted: 26 Sep 2017
Working Paper Series
Roland Füss and Oliver Lerbs
University of St. Gallen - School of Finance and University of Muenster

Multiple version iconThere are 2 versions of this paper

Downloads 18
40.

Settling the Staggered Board Debate

University of Pennsylvania Law Review, Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2017/13, UC Berkeley Public Law Research Paper
Number of pages: 38 Posted: 11 Sep 2017 Last Revised: 24 Jan 2018
Accepted Paper Series
Yakov Amihud, Markus Schmid and Steven Davidoff Solomon
New York University - Stern School of Business, University of St. Gallen - Swiss Institute of Banking and Finance and University of California, Berkeley - School of Law
Downloads 436
41.

Fake News in Social Networks

University of St.Gallen, School of Finance Research Paper No. 2018/4
Number of pages: 24 Posted: 23 Aug 2017 Last Revised: 07 Feb 2018
Working Paper Series
Christoph Aymanns, Jakob Foerster and Co-Pierre Georg
London School of Economics & Political Science (LSE) - London School of Economics, University of Oxford and University of Cape Town
Downloads 497
42.

Models of Financial Stability and Their Application in Stress Tests

Forthcoming, Handbook of Computational Economics (Blake LeBaron and Cars Hommes) , University of St.Gallen, School of Finance Research Paper No. 2018/5
Number of pages: 66 Posted: 22 Aug 2017 Last Revised: 29 Apr 2018
Accepted Paper Series
Christoph Aymanns, J. Doyne Farmer, Alissa M. Kleinnijenhuis and Thom Wetzer
London School of Economics & Political Science (LSE) - London School of Economics, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Students and University of Oxford, Faculty of Law
Downloads 358
43.

Numeracy and the Quality of On-the-Job Decisions: Evidence from Loan Officers

ZEW - Centre for European Economic Research Discussion Paper No. 17-026, University of St.Gallen, School of Finance Research Paper No. 2017/11
Number of pages: 66 Posted: 28 Jul 2017 Last Revised: 25 Sep 2017
Working Paper Series
Martin Brown, Karolin Kirschenmann and Thomas Spycher
University of St. Gallen, ZEW – Leibniz Centre for European Economic Research and University of St. Gallen - School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 38
44.

Online Appendices to Financing Asset Sales and Business Cycles

Number of pages: 20 Posted: 24 Jul 2017 Last Revised: 16 Sep 2017
Working Paper Series
Marc Arnold, Dirk Hackbarth and Tatjana Xenia Puhan
University of St. Gallen - School of Finance, Boston University - Department of Finance & Economics and University of Mannheim - Department of International Finance
Downloads 15
45.

On the Risk Factor Timing Ability of Valuation Measures

Number of pages: 29 Posted: 20 Jul 2017
Working Paper Series
Jan-Philip Schade
University of St. Gallen - School of Finance
Downloads 96
46.

Numeracy and the Quality of On-the-Job Decisions: Evidence from Loan Officers

Forthcoming in Economic Inquiry, University of St. Gallen, School of Finance Research Paper No. 2017/11
Number of pages: 67 Posted: 13 Jul 2017 Last Revised: 13 Nov 2019
Working Paper Series
Martin Brown, Karolin Kirschenmann and Thomas Spycher
University of St. Gallen, ZEW – Leibniz Centre for European Economic Research and University of St. Gallen - School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 121
47.

Have Commodities Become a Financial Asset? Evidence from Ten Years of Financialization

University of St. Gallen, School of Finance Research Paper No. 2017/10
Number of pages: 39 Posted: 12 Jul 2017 Last Revised: 24 May 2018
Working Paper Series
Zeno Adams and Maria Kartsakli
University of St. Gallen and University of St. Gallen - School of Finance
Downloads 339
48.

Monetary Policy and Currency Returns: The Foresight Saga

University of St. Gallen, School of Finance Research Paper No. 2017/08
Number of pages: 47 Posted: 09 Jun 2017 Last Revised: 27 Oct 2017
Working Paper Series
Dmitry Borisenko and Igor Pozdeev
Independent and New York University Stern School of Business
Downloads 303
49.

Credit Scoring vs. Expert Judgment - A Randomized Controlled Trial

University of St.Gallen, School of Finance Research Paper No. 2017/09
Number of pages: 38 Posted: 09 Jun 2017 Last Revised: 14 Jul 2017
Working Paper Series
Thomas Gietzen
KfW Development Bank
Downloads 123
50.

Cultural Preferences and the Choice between Formal and Informal Financing

University of St. Gallen, School of Finance Research Paper No. 2017/07
Number of pages: 44 Posted: 09 Jun 2017
Working Paper Series
Mascia Bedendo, Emilia Garcia-Appendini and Linus Siming
University of Bologna - Department of Management, University of Zurich - Department of Banking and Finance and Free University of Bozen-Bolzano - Faculty of Economics and Management

Multiple version iconThere are 2 versions of this paper

Downloads 68