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Swiss Finance Institute Research Paper Series

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Viewing: 1 - 50 of 838 papers

1.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 295 Posted: 03 Sep 2013 Last Revised: 22 Dec 2017
Working Paper Series
RiskLab, ETH Zurich
Downloads 6,948
2.

Momentum Crashes

Swiss Finance Institute Research Paper No. 13-61, Columbia Business School Research Paper No. 14-6, Fama-Miller Working Paper
Number of pages: 57 Posted: 24 Dec 2013
Working Paper Series
Columbia Business School - Finance and Economics and Yale University, Yale SOM

Multiple version iconThere are 5 versions of this paper

Downloads 5,865
3.

Bank CEO Incentives and the Credit Crisis

Journal of Financial Economics (JFE), Forthcoming, Charles A Dice Center Working Paper No. 2009-13, Fisher College of Business Working Paper No. 2009-03-13, Swiss Finance Institute Research Paper No. 09-27, ECGI - Finance Working Paper No. 256/2009
Number of pages: 43 Posted: 28 Jul 2009 Last Revised: 27 Sep 2010
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,764
4.

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of pages: 53 Posted: 05 Mar 2008 Last Revised: 03 Feb 2011
Accepted Paper Series
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 5,534
5.

Hedge Fund Diversification: How Much is Enough?

FAME Research Working Paper No. 52
Number of pages: 53 Posted: 31 Aug 2002
Working Paper Series
Kedge Capital Fund Management and Thunderbird, American Graduate School of International Management
Downloads 4,409
6.

Assessing Market Risk for Hedge Funds and Hedge Funds Portfolios

EFA 2001 Barcelona Meetings; EFMA 2001 Lugano Meetings; FAME Research Paper No 24
Number of pages: 38 Posted: 30 Apr 2001
Working Paper Series
Kedge Capital Fund Management
Downloads 3,857
7.

Do ETFs Increase Volatility?

Journal of Finance, Forthcoming, Fisher College of Business Working Paper No. 2011-03-20, Swiss Finance Institute Research Paper No. 11-66, AFA 2013 San Diego Meetings Paper, Charles A. Dice Center Working Paper No. 2011-20
Number of pages: 145 Posted: 02 Dec 2011 Last Revised: 03 Dec 2017
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,754
8.

An Econometric Analysis of Emission Trading Allowances

Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Number of pages: 45 Posted: 26 Nov 2006 Last Revised: 21 Dec 2009
Accepted Paper Series
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment and University of Zurich - Department of Banking and Finance
Downloads 3,341
9.

On the Timing and Pricing of Dividends

CRSP Working Paper, Chicago Booth Research Paper No. 10-30, Swiss Finance Institute Research Paper No. 11-13
Number of pages: 38 Posted: 12 Feb 2010 Last Revised: 15 Sep 2013
Working Paper Series
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and New York University (NYU) - Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 3,097
10.

The Determinants of Mutual Fund Performance: A Cross-Country Study

Swiss Finance Institute Research Paper No. 31
Number of pages: 56 Posted: 26 Nov 2006 Last Revised: 29 Jul 2011
Working Paper Series
Nova School of Business and Economics, Faculty of Finance, Cass Business School, City University, London, Instituto Universitário de Lisboa (ISCTE - IUL) and ESSEC
Downloads 2,993
11.

Shadow Insurance

Econometrica, Vol. 84, No. 3, 2016, Swiss Finance Institute Research Paper No. 14-64
Number of pages: 50 Posted: 06 Sep 2013 Last Revised: 19 May 2016
Accepted Paper Series
New York University (NYU) - Department of Finance and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 2,933
12.

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Working Paper Series
Swiss Finance Institute at the University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and University of Lugano - Institute of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,924
13.

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Swiss Finance Institute Research Paper No. 17-27
Number of pages: 127 Posted: 24 Jul 2017
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich
Downloads 2,883
14.

The Acceleration Effect and Gamma Factor in Asset Pricing

Swiss Finance Institute Research Paper No. 15-30
Number of pages: 25 Posted: 21 Aug 2015
Working Paper Series
ETH Zurich, Independent and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 2,730
15.

Corporate Finance in Europe: A Survey

ECGI - Finance Working Paper No. 121/2006, Swiss Finance Institute Research Paper No. 06-17
Number of pages: 34 Posted: 19 Apr 2006
Working Paper Series
University of Lugano - Faculty of Economics and University of Mannheim Business School
Downloads 2,662
16.

Betting Against Beta

Swiss Finance Institute Research Paper No. 12-17
Number of pages: 85 Posted: 03 May 2012
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 2,568
17.

Stock Returns in Mergers and Acquisitions

Swiss Finance Institute Research Paper No. 06-1, EFA 2006 Zurich Meetings Paper
Number of pages: 44 Posted: 03 Mar 2006
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Boston University - Department of Finance & Economics
Downloads 2,427
18.

Private Equity Performance and Liquidity Risk

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 09-43
Number of pages: 80 Posted: 04 Dec 2009 Last Revised: 13 Sep 2012
Accepted Paper Series
USI Lugano, University of Lugano and University of Oxford - Said Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,418
19.

Data Analytics for Non-Life Insurance Pricing

Swiss Finance Institute Research Paper No. 16-68
Number of pages: 221 Posted: 17 Nov 2016 Last Revised: 18 Jun 2018
Working Paper Series
RiskLab, ETH Zurich and AXA-Winterthur
Downloads 2,415
20.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Working Paper Series
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 2,357
21.

Exchange Traded Funds (ETFs)

Annual Review of Financial Economics, Volume 9, 2017, Forthcoming, Charles A. Dice Center Working Paper No. 2016-22, Fisher College of Business Working Paper No. 2016-03-022, Swiss Finance Institute Research Paper No. 16-64
Number of pages: 35 Posted: 08 Nov 2016 Last Revised: 16 Sep 2017
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,312
22.

Hedge Fund Stock Trading in the Financial Crisis of 2007-2009

AFA 2011 Denver Meetings Paper, Charles A. Dice Center Working Paper No. 2010-2, Fisher College of Business Working Paper No. 2010-03-002, Swiss Finance Institute Research Paper No. 11-08
Number of pages: 83 Posted: 09 Feb 2010 Last Revised: 14 Sep 2011
Working Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance
Downloads 2,175
23.

Do Hedge Funds Manipulate Stock Prices?

Journal of Finance, Forthcoming, Charles A. Dice Center Working Paper No. 2011-005, Fisher College of Business Working Paper No. 2011-03-005, Swiss Finance Institute Research Paper No. 11-53, AFA 2013 San Diego Meetings Paper
Number of pages: 80 Posted: 17 Feb 2011 Last Revised: 16 Sep 2012
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano, Toulouse School of Economics and Villanova University - Department of Finance
Downloads 2,112
24.

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?

FAME Research Paper No. 65
Number of pages: 87 Posted: 05 Apr 2003
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and JP Morgan
Downloads 2,089
25.

The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing

Applied Mathematical Finance, Vol. 19, No. 5, 2012, Swiss Finance Institute Research Paper No. 08-02, EFA 2008 Athens Meetings Paper
Number of pages: 34 Posted: 04 Feb 2008 Last Revised: 12 Oct 2013
Accepted Paper Series
University of Zurich - Swiss Banking Institute (ISB) and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads 2,086
26.

Beta-Arbitrage Strategies: When Do They Work, and Why?

Swiss Finance Institute Research Paper No. 11-64
Number of pages: 59 Posted: 09 Jan 2012 Last Revised: 07 Apr 2014
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), Pictet Asset Management SA, Ersel Asset Management SGR s.p.a. and Pictet Asset Management
Downloads 2,046
27.

Crashes and High Frequency Trading

Swiss Finance Institute Research Paper No. 11-63
Number of pages: 29 Posted: 24 Dec 2011
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich
Downloads 1,909
28.

The Term Structure of Variance Swaps and Risk Premia

Swiss Finance Institute Research Paper No. 18-37
Number of pages: 64 Posted: 27 Aug 2012 Last Revised: 14 May 2018
Working Paper Series
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and University of Lugano - Institute of Finance
Downloads 1,900
29.

Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Swiss Finance Institute Research Paper No. 09-15
Number of pages: 54 Posted: 12 Jun 2009
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich

Multiple version iconThere are 2 versions of this paper

Downloads 1,889
30.

Detecting Abnormal Trading Activities in Option Markets

Swiss Finance Institute Research Paper No. 11-42
Number of pages: 36 Posted: 13 Jan 2010 Last Revised: 23 Jan 2015
Working Paper Series
University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Swiss Banking Institute (ISB) and University of Lugano - Institute of Finance
Downloads 1,885
31.

On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications

Swiss Finance Institute Research Paper No. 10-58
Number of pages: 83 Posted: 12 Jan 2011 Last Revised: 11 Feb 2017
Working Paper Series
University of Zurich - Department of Banking and Finance, ETH Zürich, Bank for International Settlements (BIS) - Monetary and Economic Department, University of Zurich - Department of Banking and Finance and University of Kassel
Downloads 1,824
32.

Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?

Swiss Finance Institute Research Paper No. 11-45
Number of pages: 26 Posted: 10 Oct 2011 Last Revised: 18 Oct 2011
Working Paper Series
University of Munich and University of Zurich - Department of Banking and Finance
Downloads 1,753
33.

House Prices, Real Estate Returns, and the Business Cycle

Swiss Finance Institute Research Paper No. 06-37
Number of pages: 39 Posted: 20 Jan 2007
Working Paper Series
European Central Bank (ECB) - Directorate General Research
Downloads 1,734
34.

Short Selling Regulation after the Financial Crisis - First Principles Revisited

International Journal of Disclosure and Regulation, Vol. 7, No. 2, pp. 108-135 , Swiss Finance Institute Research Paper No. 09-28
Number of pages: 54 Posted: 27 Jul 2009 Last Revised: 02 Jun 2010
Accepted Paper Series
University of Zurich - Rechtswissenschaftliches Institut (School of Law), University of Zurich - Department of Banking and Finance and University of Zurich - Faculty of Law
Downloads 1,696
35.

Do Independent Director Departures Predict Future Bad Events?

Fisher College of Business Working Paper No. 2010-03-007, Charles A. Dice Center Working Paper No. 2010-7, Swiss Finance Institute Research Paper No. 10-17, ECGI - Finance Working Paper No. 281/2010
Number of pages: 52 Posted: 12 Apr 2010 Last Revised: 18 Dec 2015
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Nanyang Technological University - Division of Banking & Finance and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,657
36.

Competition, Cash Holdings, and Financing Decisions

Swiss Finance Institute Research Paper No. 13-72
Number of pages: 59 Posted: 20 Mar 2009 Last Revised: 06 Feb 2014
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, University of Lausanne and Federal Reserve Board
Downloads 1,647
37.

The Illusion of the Perpetual Money Machine

Swiss Finance Institute Research Paper No. 12-40
Number of pages: 30 Posted: 21 Dec 2012
Working Paper Series
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,637
38.

Systemic Risk and Central Clearing Counterparty Design

Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46 Posted: 09 Jun 2013 Last Revised: 01 Mar 2017
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 1,612
39.

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-05
Number of pages: 61 Posted: 19 Mar 2008 Last Revised: 23 Feb 2018
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva GSEM and GFRI
Downloads 1,591
40.

p-Hacking: Evidence from Two Million Trading Strategies

Swiss Finance Institute Research Paper No. 17-37
Number of pages: 53 Posted: 14 Aug 2017 Last Revised: 20 Apr 2018
Working Paper Series
Emory University - Department of Finance, University of Lausanne and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 1,575
41.

Sticky Expectations and the Profitability Anomaly

Journal of Finance, Forthcoming, HEC Paris Research Paper No. FIN-2016-1136, Swiss Finance Institute Research Paper No. 16-60
Number of pages: 45 Posted: 07 Mar 2016 Last Revised: 03 May 2018
Working Paper Series
Capital Fund Management, University of Geneva - Geneva Finance Research Institute (GFRI), Toulouse School of Economics and Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)

Multiple version iconThere are 2 versions of this paper

Downloads 1,517
42.

The Capital Structure of Swiss Companies: An Empirical Analysis Using Dynamic Panel Data

FAME Research Paper No. 68
Number of pages: 40 Posted: 27 May 2003
Working Paper Series
Rentes Genevoises, University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva School of Economics and Management (GSEM) and University of Geneva - Hautes Études Commerciales (HEC-Genève)

Multiple version iconThere are 2 versions of this paper

Downloads 1,507
43.

Machine Learning in Individual Claims Reserving

Swiss Finance Institute Research Paper No. 16-67
Number of pages: 19 Posted: 11 Nov 2016 Last Revised: 29 Mar 2017
Working Paper Series
RiskLab, ETH Zurich
Downloads 1,435
44.

The Term Structure of Interbank Risk

Journal of Financial Economics, vol. 109, no. 4, p. 707-733, 2013, Swiss Finance Institute Research Paper No. 11-34
Number of pages: 98 Posted: 08 Sep 2011 Last Revised: 11 Feb 2016
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne and HEC Paris - Finance Department
Downloads 1,425
45.

Constructing Long/Short Portfolios with the Omega Ratio

Swiss Finance Institute Research Paper No. 08-34
Number of pages: 21 Posted: 27 Oct 2008
Working Paper Series
University of Geneva - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,388
46.

Dragon-Kings, Black Swans and the Prediction of Crises

Swiss Finance Institute Research Paper No. 09-36
Number of pages: 21 Posted: 08 Sep 2009
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

Multiple version iconThere are 2 versions of this paper

Downloads 1,363
47.

A Review of Heuristic Optimization Methods in Econometrics

Swiss Finance Institute Research Paper No. 08-12
Number of pages: 47 Posted: 05 Jun 2008
Accepted Paper Series
University of Geneva - Research Center for Statistics and University of Giessen - Department of Economics
Downloads 1,341
48.

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

Swiss Finance Institute Research Paper No. 15-13
Number of pages: 72 Posted: 25 May 2015 Last Revised: 18 Oct 2017
Working Paper Series
University of Lausanne and Emory University - Department of Finance
Downloads 1,336
49.

The Relevance of Broker Networks for Information Diffusion in the Stock Market

Swiss Finance Institute Research Paper No. 16-63, Harvard Business School Finance Working Paper
Number of pages: 74 Posted: 28 Oct 2016 Last Revised: 10 Jun 2017
Working Paper Series
Harvard Business School, USI Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute

Multiple version iconThere are 3 versions of this paper

Downloads 1,323
50.

Quantitative Selection of Long-Short Hedge Funds

FAME Research Paper No. 94
Number of pages: 57 Posted: 05 Jan 2005
Working Paper Series
Universite de Lausanne and International Center FAME
Downloads 1,246