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Swiss Finance Institute Research Paper Series

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Viewing: 1 - 50 of 900 papers

1.

Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment

Swiss Finance Institute Research Paper No. 19-35, July 2019
Number of pages: 49 Posted: 08 Jul 2019
Working Paper Series
University of Lausanne and University of Virginia - Department of Economics
Downloads 8
2.

Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model

Swiss Finance Institute Research Paper No. 19-29
Number of pages: 38 Posted: 07 Jul 2019 Last Revised: 07 Jul 2019
Working Paper Series
ETH Zurich - Department of Humanities, Social and Political Sciences, Students and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 50
3.

Robust Desmoothed Real Estate Returns

Swiss Finance Institute Research Paper No. 19-32, June 2019
Number of pages: 65 Posted: 28 Jun 2019
Working Paper Series
University of Geneva - Geneva School of Economics and Management and University of Geneva - Geneva School of Economics and Management (GSEM)
Downloads 17
4.

Real Estate Performance, the Macroeconomy and Leverage

Swiss Finance Institute Research Paper No. 19-33, June 2019
Number of pages: 57 Posted: 20 Jun 2019
Working Paper Series
University of Geneva - Geneva School of Economics and Management and University of Geneva - Geneva School of Economics and Management (GSEM)
Downloads 22
5.

Machine Learning With Kernels for Portfolio Valuation and Risk Management

Swiss Finance Institute Research Paper No. 19-34
Number of pages: 38 Posted: 18 Jun 2019 Last Revised: 22 Jun 2019
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne - School of Basic Sciences and Ecole Polytechnique Fédérale de Lausanne
Downloads 97
6.

Bank Capital Requirements, Loan Guarantees and Firm Performance

Swiss Finance Institute Research Paper No. 19-28
Number of pages: 46 Posted: 06 Jun 2019 Last Revised: 09 Jun 2019
Working Paper Series
Banco de España, School of Economics and Business, University of Navarra, University of Zurich - Department of Banking and Finance and Banco de España

Multiple version iconThere are 2 versions of this paper

Downloads 159
7.

On the Nature of Jump Risk Premia

Swiss Finance Institute Research Paper No. 19-31
Number of pages: 71 Posted: 06 Jun 2019 Last Revised: 09 Jun 2019
Working Paper Series
HEC Montreal, University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 65
8.

Corporate Cash Holdings: Stock Liquidity and the Repurchase Motive

Swiss Finance Institute Research Paper No. 19-30
Number of pages: 59 Posted: 03 Jun 2019 Last Revised: 17 Jun 2019
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Bern
Downloads 56
9.

Look-Ahead Benchmark Bias in Portfolio Performance Evaluation

Swiss Finance Institute Research Paper No. 08-33, https://doi.org/10.3905/JPM.2009.36.1.121
Posted: 21 May 2019
Accepted Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Zurich - Swiss Banking Institute (ISB)
10.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07, https://doi.org/10.3905/jpm.2011.37.5.039
Posted: 21 May 2019 Last Revised: 21 May 2019
Accepted Paper Series
Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
11.

Robust Reverse Engineering of Cross Sectional Returns and Improved Portfolio Allocation Performance Using the CAPM

Swiss Finance Institute Research Paper No. 11-03, https://doi.org/10.3905/jpm.2011.37.4.076
Posted: 21 May 2019
Accepted Paper Series
East China University of Science and Technology (ECUST), Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Zurich
12.

A Flexible Regime Switching Model for Asset Returns

Swiss Finance Institute Research Paper No. 19-27
Number of pages: 52 Posted: 16 May 2019 Last Revised: 25 May 2019
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Zurich and University of Zurich, Department of Banking and Finance
Downloads 83
13.

Insurance: Models, Digitalization, and Data Science

Swiss Finance Institute Research Paper No. 19-26
Number of pages: 14 Posted: 03 May 2019 Last Revised: 09 May 2019
Working Paper Series
University of Lausanne, ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and Finance, University of Lyon 1 - Institute of Finance and Insurance Science (ISFA) and University of Muenster - Faculty of Economics
Downloads 138
14.

The Fair Reward Problem: The Illusion of Success and How to Solve It

Swiss Finance Institute Research Paper No. 19-25
Number of pages: 43 Posted: 25 Apr 2019 Last Revised: 29 Apr 2019
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and ETH Zurich
Downloads 86
15.

Strategic Trading As a Response to Short Sellers

Swiss Finance Institute Research Paper No. 19-23
Number of pages: 56 Posted: 05 Apr 2019 Last Revised: 08 May 2019
Working Paper Series
Harvard Business School, USI Lugano, INSEAD - Finance and USI Lugano
Downloads 115
16.

Saddlepoint Approximations for Spatial Panel Data Models

Swiss Finance Institute Research Paper No. 19-18
Number of pages: 57 Posted: 27 Mar 2019 Last Revised: 31 Mar 2019
Working Paper Series
University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management - Research Center for Statistics, University of Geneva - Research Center for Statistics and University of Geneva GSEM and GFRI
Downloads 26
17.

A Theory of Scenario Generation

Swiss Finance Institute Research Paper No. 19-17
Number of pages: 36 Posted: 22 Mar 2019 Last Revised: 31 Mar 2019
Working Paper Series
University of Lugano - Institute of Finance
Downloads 105
18.

ESG Investing: From Sin Stocks to Smart Beta

Swiss Finance Institute Research Paper No. 19-16
Number of pages: 35 Posted: 21 Mar 2019 Last Revised: 20 Jun 2019
Working Paper Series
University of Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 165
19.

The Keys of Predictability: A Comprehensive Study

Swiss Finance Institute Research Paper No. 19-15
Number of pages: 69 Posted: 21 Mar 2019 Last Revised: 04 Apr 2019
Working Paper Series
University of Lugano, Università della Svizzera italiana - InterDisciplinary Institute of Data Science and Universita' della Svizzera Italiana
Downloads 171
20.

The Impact of Venture Capital Screening

Swiss Finance Institute Research Paper No. 19-14
Number of pages: 46 Posted: 19 Mar 2019 Last Revised: 03 Apr 2019
Working Paper Series
University of Lausanne
Downloads 73
21.

When Investors Call for Climate Responsibility, How Do Mutual Funds Respond?

Swiss Finance Institute Research Paper No. 19-13
Number of pages: 57 Posted: 15 Mar 2019 Last Revised: 13 Apr 2019
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 138
22.

Owners' Portfolio Diversification and Firm Investment: Theory and Evidence from Private and Public Firms

Johnson School Research Paper Series No. 18-2013, Swiss Finance Institute Research Paper No. 19-12
Number of pages: 68 Posted: 12 Mar 2019 Last Revised: 13 Mar 2019
Working Paper Series
Boston University, University of Manchester - Alliance Manchester Business School, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Manchester - Manchester Business School
Downloads 497
23.

Repo Rates and the Collateral Spread: Evidence

Swiss Finance Institute Research Paper No. 19-05
Number of pages: 48 Posted: 19 Feb 2019 Last Revised: 22 Feb 2019
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich

Multiple version iconThere are 2 versions of this paper

Downloads 57
24.

Repo Rates and the Collateral Spread Puzzle

Swiss Finance Institute Research Paper No. 19-04
Number of pages: 58 Posted: 19 Feb 2019 Last Revised: 22 Feb 2019
Working Paper Series
University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 71
25.

Leverage Effect Puzzle: A Rational Explanation

Swiss Finance Institute Research Paper No. 18-52
Number of pages: 34 Posted: 08 Feb 2019 Last Revised: 17 Feb 2019
Working Paper Series
University of Lugano, Swiss Finance Institute
Downloads 33
26.

The Intangibles Song in Takeover Announcements: Good Tempo, Hollow Tune

Swiss Finance Institute Research Paper No. 19-03, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 599/2019
Number of pages: 72 Posted: 08 Feb 2019 Last Revised: 20 Mar 2019
Working Paper Series
Swiss Finance Institute and University of Zurich - Department of Banking and Finance
Downloads 83
27.

Direct Versus Iterated Multi-Period Volatility Forecasts: Why MIDAS Is King

Swiss Finance Institute Research Paper No. 19-02 (2019), Kenan Institute of Private Enterprise Research Paper No. 19-7
Number of pages: 34 Posted: 31 Jan 2019
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 109
28.

Arbitrage Free Dispersion

Swiss Finance Institute Research Paper No. 19-20
Number of pages: 78 Posted: 14 Jan 2019 Last Revised: 11 Apr 2019
Working Paper Series
HEC Montreal, Alphacruncher and Swiss Finance Institute
Downloads 40
29.

On the Solution of High-Dimensional Macro Models with Distributional Channels

Swiss Finance Institute Research Paper No. 19-01
Number of pages: 50 Posted: 10 Jan 2019 Last Revised: 16 Jan 2019
Working Paper Series
Swiss Finance Institute
Downloads 33
30.

What Are the Shareholder Value Implications of Non-Voted Shareholder Proposals?

Swiss Finance Institute Research Paper No. 18-79
Number of pages: 69 Posted: 30 Dec 2018 Last Revised: 16 Apr 2019
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne
Downloads 59
31.

Estimation and Updating Methods for Hedonic Valuation

Swiss Finance Institute Research Paper No. 18-76
Number of pages: 27 Posted: 13 Dec 2018 Last Revised: 04 Jan 2019
Working Paper Series
Consult AG Bern, Florida Atlantic University, University of Geneva - Geneva School of Economics and Management (GSEM) and University of Berne, Institut für Finanzmanagement
Downloads 51
32.

Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests

Swiss Finance Institute Research Paper No. 18-78
Number of pages: 56 Posted: 11 Dec 2018 Last Revised: 09 Jan 2019
Working Paper Series
University of Lausanne, Brock University, Goodman School of Business and State University of New York (SUNY) - Department of Finance
Downloads 87
33.

Why Are Firms With More Managerial Ownership Worth Less?

Fisher College of Business Working Paper No. 2018-03-024, Charles A. Dice Center Working Paper No. 2018-24, Swiss Finance Institute Research Paper No. 18-75, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 587/2018
Number of pages: 64 Posted: 04 Dec 2018 Last Revised: 02 Jul 2019
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne, Ohio State University (OSU) - Department of Finance and Babson College

Multiple version iconThere are 2 versions of this paper

Downloads 285
34.

The Sources of Financing Constraints

Swiss Finance Institute Research Paper No. 18-74
Number of pages: 60 Posted: 03 Dec 2018 Last Revised: 12 Dec 2018
Working Paper Series
University of Lausanne, Duke University - The Fuqua School of Business and University of Lausanne
Downloads 110
35.

Bank Bonus Pay as a Risk Sharing Contract

Swiss Finance Institute Research Paper No. 18-72
Number of pages: 41 Posted: 20 Nov 2018 Last Revised: 27 Nov 2018
Working Paper Series
HEC Paris - Finance Department, University of Geneva - Geneva Finance Research Institute (GFRI), University of Tuebingen - Department of Managerial Accounting and GFRI, University of Geneva
Downloads 46
36.

Participants' Reputation in the Syndicated Lending Market

Swiss Finance Institute Research Paper No. 18-77
Number of pages: 56 Posted: 13 Nov 2018 Last Revised: 09 Jan 2019
Working Paper Series
Swiss Finance Institute
Downloads 45
37.

Empirical Asset Pricing via Machine Learning

Swiss Finance Institute Research Paper No. 18-71
Number of pages: 69 Posted: 09 Nov 2018 Last Revised: 12 Nov 2018
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 505
38.

Large Financial Markets, Discounting, and No Asymptotic Arbitrage

Swiss Finance Institute Research Paper No. 18-70
Number of pages: 35 Posted: 09 Nov 2018 Last Revised: 12 Nov 2018
Working Paper Series
ETH Zurich - Department of Mathematics and ETH Zurich
Downloads 41
39.

Skill and Value Creation in the Mutual Fund Industry

Swiss Finance Institute Research Paper No. 18-66
Number of pages: 48 Posted: 31 Oct 2018 Last Revised: 25 May 2019
Working Paper Series
McGill University - Desautels Faculty of Management, University of Lugano - Institute of Finance and University of Geneva GSEM and GFRI
Downloads 121
40.

Municipal Bond Markets

Swiss Finance Institute Research Paper No. 18-69
Number of pages: 41 Posted: 31 Oct 2018 Last Revised: 12 Nov 2018
Working Paper Series
IE Business School, IE University, Carnegie Mellon University - David A. Tepper School of Business, Federal Reserve Board and University of Lausanne

Multiple version iconThere are 2 versions of this paper

Downloads 119
41.

Do Index Funds Monitor?

Swiss Finance Institute Research Paper No. 19-08
Number of pages: 56 Posted: 29 Oct 2018 Last Revised: 12 Jul 2019
Working Paper Series
University of Utah David Eccles School of Business, University of Utah - David Eccles School of Business, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Utah - Department of Finance
Downloads 345
42.

Are CoCo Bonds a Good Substitute for Equity? Evidence from European Banks

Swiss Finance Institute Research Paper No. 18-67
Number of pages: 43 Posted: 26 Oct 2018
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva
Downloads 100
43.

Valuation in the Public and Private Sectors: Tax, Risk, Debt Capacity, and the Cost of Capital

Swiss Finance Institute Research Paper No. 18-68
Number of pages: 45 Posted: 24 Oct 2018 Last Revised: 26 Oct 2018
Working Paper Series
London Business School, London Business School and University of Zurich

Multiple version iconThere are 2 versions of this paper

Downloads 81
44.

Crash-o-phobia in Currency Carry Trade Returns

Swiss Finance Institute Research Paper No. 18-64
Number of pages: 53 Posted: 10 Oct 2018 Last Revised: 13 Oct 2018
Working Paper Series
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 84
45.

Investor Rewards to Climate Responsibility: Evidence from the 2016 Climate Policy Shock

Swiss Finance Institute Research Paper No. 18-63
Number of pages: 60 Posted: 27 Sep 2018 Last Revised: 10 Jul 2019
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance, Harvard University - Harvard Kennedy School (HKS) and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 3 versions of this paper

Downloads 335
46.

Technological Disruptiveness and the Evolution of IPOs and Sell-Outs

Finance Down Under 2019 Building on the Best from the Cellars of Finance, Swiss Finance Institute Research Paper No. 19-22
Number of pages: 66 Posted: 25 Sep 2018 Last Revised: 11 Apr 2019
Working Paper Series
Virginia Tech - Department of Finance, Insurance, and Business Law, Universita della Svizzera italiana (USI Lugano) and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 267
47.

Walk the Line: Do Investors Reward Firms that Exploit Regulatory Grey Areas?

Swiss Finance Institute Research Paper No. 18-62
Number of pages: 69 Posted: 10 Sep 2018 Last Revised: 17 Feb 2019
Working Paper Series
University of Zurich - Department of Banking and Finance
Downloads 75
48.

The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality

Swiss Finance Institute Research Paper No. 18-57
Number of pages: 24 Posted: 27 Aug 2018 Last Revised: 29 Aug 2018
Working Paper Series
ETH Zurich, ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 93
49.

The Importance of Climate Risks for Institutional Investors

Swiss Finance Institute Research Paper No. 18-58, European Corporate Governance Institute - Finance Working Paper No. 610/2019
Number of pages: 83 Posted: 27 Aug 2018 Last Revised: 29 Jun 2019
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), Frankfurt School of Finance & Management gemeinnützige GmbH and University of Texas at Austin - Department of Finance
Downloads 756
50.

Frictional Intermediation in Over-the-Counter Markets

Swiss Finance Institute Research Paper No. 18-59
Number of pages: 81 Posted: 27 Aug 2018 Last Revised: 18 Jan 2019
Working Paper Series
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles

Multiple version iconThere are 4 versions of this paper

Downloads 54