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University of St.Gallen School of Finance Research Paper Series

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Viewing: 1 - 50 of 324 papers

1.

Credit Variance Risk Premiums

University of St.Gallen, School of Finance Research Paper No. 2019/08
Number of pages: 49 Posted: 24 Jun 2019 Last Revised: 26 Jun 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 27
2.

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 26
3.

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 10
4.

Liquidity Risk and Funding Cost

University of St.Gallen, School of Finance Research Paper No. 2019/03
Number of pages: 66 Posted: 20 May 2019 Last Revised: 22 May 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 68
5.

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 49
6.

Unobserved Performance of Hedge Funds

University of St.Gallen, School of Finance Research Paper No. 2018/25
Number of pages: 62 Posted: 28 Dec 2018 Last Revised: 19 Mar 2019
Working Paper Series
Vikas Agarwal, Stefan Ruenzi and Florian Weigert
Georgia State University, University of Mannheim - Department of International Finance and University of St. Gallen - School of Finance
Downloads 123
7.

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

Number of pages: 51 Posted: 19 Dec 2018 Last Revised: 23 May 2019
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 98
8.

Online Appendix to 'Heterogeneous Information Content of Global FX Trading'

Number of pages: 74 Posted: 18 Dec 2018 Last Revised: 19 Apr 2019
Working Paper Series
Angelo Ranaldo and Fabricius Somogyi
University of St. Gallen and University of St. Gallen
Downloads 29
9.

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 St. Gallen - School of Finance
Downloads 144
10.

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 25
11.

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, DOI: 10.1002/for.2617
Number of pages: 41 Posted: 05 Dec 2018 Last Revised: 20 Jun 2019
Accepted Paper Series
Duc Khuong Nguyen and Thomas Walther
IPAG Business School and University of St. Gallen - School of Finance
Downloads 76
12.

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 Saint Gallen, School of Finance
Downloads 114
13.

Trading Volume, Illiquidity and Commonalities in FX Markets

University of St.Gallen, School of Finance Research Paper No. 2018/23
Number of pages: 47 Posted: 22 Nov 2018 Last Revised: 26 Nov 2018
Working Paper Series
Angelo Ranaldo and Paolo Santucci de Magistris
University of St. Gallen and Aarhus University - CREATES
Downloads 107
14.

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 Saint Gallen, School of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 99
15.

Experience Does not Eliminate Bubbles: Experimental Evidence

University of St.Gallen, School of Finance Research Paper No. 2018/22
Number of pages: 50 Posted: 19 Nov 2018 Last Revised: 19 Nov 2018
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 36
16.

Heterogeneous Information Content of Global FX Trading

University of St.Gallen, School of Finance Research Paper No. 2018/20
Number of pages: 60 Posted: 16 Oct 2018 Last Revised: 19 Apr 2019
Working Paper Series
Angelo Ranaldo and Fabricius Somogyi
University of St. Gallen and University of St. Gallen
Downloads 219
17.

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, ETH Zurich and University of Lausanne
Downloads 45
18.

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 St. Gallen - School of Finance
Downloads 188
19.

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 76
20.

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 University of St. Gallen - School of Finance
Downloads 61
21.

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
Number of pages: 19 Posted: 27 Jun 2018 Last Revised: 20 Jun 2019
Working Paper Series
Thomas Walther, Tony Klein and Elie Bouri
University of St. Gallen - School of Finance, Queen's University Belfast - Queen's Management School and Université Saint Esprit de Kaslik (USEK)
Downloads 151
22.

Sentiment-Conditional Risk Premium in Financial Markets

University of St.Gallen, School of Finance Research Paper No. 2018/17
Number of pages: 46 Posted: 04 Jun 2018
Working Paper Series
Roland Füss and Christian Koeppel
University of St. Gallen - School of Finance and University of St. Gallen
Downloads 184
23.

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 40
24.

The Impact of Regulatory Stress Testing on Bank's Equity and CDS Performance

University of St.Gallen, School of Finance Research Paper No. 2018/15
Number of pages: 35 Posted: 29 May 2018
Working Paper Series
Lukas Ahnert, Pascal Vogt, Volker Vonhoff and Florian Weigert
University of St. Gallen, Boston Consulting Group - Germany, University of Mannheim - Department of Business Administration and Finance and University of St. Gallen - School of Finance
Downloads 99
25.

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 156
26.

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 138
27.

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 42
28.

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 University of St. Gallen - School of Finance
Downloads 563
29.

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, Department of Accounting and Finance and University of St. Gallen - School of Finance
Downloads 29
30.

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 158
31.

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 St. Gallen - School of Finance
Downloads 597
32.

Get the Balance Right: A Simultaneous Equation Model to Analyze Growth, Profitability, and Safety

University of St.Gallen, School of Finance Research Paper No. 2017/16
Number of pages: 52 Posted: 29 Nov 2017 Last Revised: 13 Apr 2018
Working Paper Series
Martin Eling, Ruo Jia and Philipp Schaper
University of St. Gallen - Institute of Insurance Economics, University of St. Gallen - Institute of Insurance Economics and University of St. Gallen - School of Finance
Downloads 51
33.

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 23
34.

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 369
35.

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 17
36.

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 391
37.

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 Deutsche Bundesbank
Downloads 434
38.

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, Students
Downloads 293
39.

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, Centre for European Economic Research (ZEW) and University of St. Gallen - School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 35
40.

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 13
41.

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 87
42.

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

University of St. Gallen, School of Finance Research Paper No. 2017/11
Number of pages: 67 Posted: 13 Jul 2017 Last Revised: 09 Nov 2017
Working Paper Series
Martin Brown, Karolin Kirschenmann and Thomas Spycher
University of St. Gallen, Centre for European Economic Research (ZEW) and University of St. Gallen - School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 112
43.

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 319
44.

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
affiliation not provided to SSRN and New York University Stern School of Business
Downloads 239
45.

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 98
46.

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
Audencia Nantes School of Management, University of Zurich - Department of Banking and Finance and Audencia Business School

Multiple version iconThere are 2 versions of this paper

Downloads 60
47.

Best Land Use with Negative Externalities: Determining Land Values from Residential Rents

University of St.Gallen, School of Finance Research Paper No. 2017/05
Number of pages: 46 Posted: 04 Apr 2017 Last Revised: 15 May 2019
Working Paper Series
Roland Füss, Jan Koller and Weigand Alois
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of St. Gallen - School of Finance
Downloads 41
48.

The Long-Term Performance of IPOs, Revisited

Number of pages: 52 Posted: 10 Mar 2017 Last Revised: 05 Jun 2018
Working Paper Series
Daniel Hoechle, Larissa Karthaus and Markus Schmid
FHNW School of Business - Institute for Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 448
49.

Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds

University of St. Gallen, School of Finance Research Paper No. 2016/23
Number of pages: 68 Posted: 21 Feb 2017 Last Revised: 03 Mar 2017
Working Paper Series
Manuel Ammann and Christian Ehmann
University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Downloads 185
50.

Culture and Financial Literacy

Journal of Economic Behavior and Organization, Forthcoming, University of St.Gallen, School of Finance Research Paper No. 2017/03
Number of pages: 56 Posted: 14 Feb 2017 Last Revised: 30 Mar 2018
Working Paper Series
Martin Brown, Caroline Henchoz and Thomas Spycher
University of St. Gallen, University of Fribourg and University of St. Gallen - School of Finance
Downloads 425