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Swiss Finance Institute Research Paper Series

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Viewing: 1 - 50 of 872 papers

1.

Repo Rates and the Collateral Spread: Evidence

Swiss Finance Institute Research Paper No. 19-05
Number of pages: 48 Posted: 19 Feb 2019
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 4
2.

Repo Rates and the Collateral Spread Puzzle

Swiss Finance Institute Research Paper No. 19-04
Number of pages: 58 Posted: 19 Feb 2019
Working Paper Series
University of Zurich - Department of Banking and Finance
Downloads 4
3.

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 13
4.

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

Swiss Finance Institute Research Paper No. 19-03
Number of pages: 66 Posted: 08 Feb 2019 Last Revised: 17 Feb 2019
Working Paper Series
University of Lugano and University of Zurich - Department of Banking and Finance
Downloads 16
5.

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

Swiss Finance Institute Research Paper No. 19-02 (2019)
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 58
6.

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 16
7.

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

Swiss Finance Institute Research Paper No. 18-79
Number of pages: 60 Posted: 30 Dec 2018 Last Revised: 16 Jan 2019
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne
Downloads 39
8.

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 27
9.

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 61
10.

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 Feb 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 204
11.

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 66
12.

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 37
13.

Fuel the Engine: Bank Credit and Firm Innovation

Swiss Finance Institute Research Paper No. 18-61
Number of pages: 62 Posted: 15 Nov 2018 Last Revised: 15 Nov 2018
Working Paper Series
Xiamen University - School of Management and University of Zurich - Department of Banking and Finance
Downloads 46
14.

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 34
15.

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 328
16.

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 30
17.

The Cross-Sectional Distribution of Fund Skill Measures

Swiss Finance Institute Research Paper No. 18-66
Number of pages: 58 Posted: 31 Oct 2018 Last Revised: 01 Nov 2018
Working Paper Series
McGill University - Desautels Faculty of Management, University of Lugano - Institute of Finance and University of Geneva GSEM and GFRI
Downloads 86
18.

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 60
19.

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 69
20.

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 56
21.

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 70
22.

Stock Price Rewards to Climate Saints and Sinners: Evidence from the Trump Election

Swiss Finance Institute Research Paper No. 18-63
Number of pages: 59 Posted: 27 Sep 2018 Last Revised: 12 Nov 2018
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 248
23.

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 60
24.

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 58
25.

The Importance of Climate Risks for Institutional Investors

Swiss Finance Institute Research Paper No. 18-58
Number of pages: 78 Posted: 27 Aug 2018 Last Revised: 22 Oct 2018
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 462
26.

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 44
27.

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Swiss Finance Institute Research Paper No. 18-60
Number of pages: 21 Posted: 23 Aug 2018 Last Revised: 07 Sep 2018
Working Paper Series
Swissquote Bank, Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 50
28.

Dominant Currency Debt

Swiss Finance Institute Research Paper No. 18-55
Number of pages: 97 Posted: 22 Aug 2018 Last Revised: 29 Nov 2018
Working Paper Series
Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne

Multiple version iconThere are 2 versions of this paper

Downloads 92
29.

Strategic Interaction between Hedge Funds and Prime Brokers

Swiss Finance Institute Research Paper No. 18-54
Number of pages: 52 Posted: 21 Aug 2018 Last Revised: 29 Aug 2018
Working Paper Series
Norwegian School of Economics (NHH) - Department of Finance and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 52
30.

Corporate Strategy, Conformism, and the Stock Market

Swiss Finance Institute Research Paper No. 18-51, Swiss Finance Institute Research Paper No. 18-51
Number of pages: 108 Posted: 07 Aug 2018 Last Revised: 13 Dec 2018
Working Paper Series
HEC Paris - Finance Department and University of Lugano
Downloads 34
31.

Model Risk and Disappointment Aversion

Swiss Finance Institute Research Paper No. 18-65, 31st Australasian Finance and Banking Conference 2018
Number of pages: 40 Posted: 30 Jul 2018 Last Revised: 26 Oct 2018
Working Paper Series
Monash University, USI Lugano - Institute of Finance and Stony Brook University
Downloads 57
32.

Cascading Logistic Regression Onto Gradient Boosted Decision Trees to Predict Stock Market Changes Using Technical Analysis

Swiss Finance Institute Research Paper No. 18-50
Number of pages: 27 Posted: 25 Jul 2018 Last Revised: 08 Aug 2018
Working Paper Series
Guangdong University of Finance and Economics, Guangdong University of Foreign Studies, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and University of Surrey - Surrey Business School
Downloads 239
33.

Inefficient Bubbles and Efficient Drawdowns in Financial Markets

Swiss Finance Institute Research Paper No. 18-49
Number of pages: 55 Posted: 16 Jul 2018
Working Paper Series
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 115
34.

Optimal Fund Menus

Swiss Finance Institute Research Paper No. 18-47
Number of pages: 77 Posted: 12 Jul 2018 Last Revised: 13 Aug 2018
Working Paper Series
California Institute of Technology - Division of the Humanities and Social Sciences and Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 60
35.

Information Intermediaries: How Commercial Bankers Facilitate Strategic Alliances

Swiss Finance Institute Research Paper No. 18-53
Number of pages: 56 Posted: 22 Jun 2018 Last Revised: 18 Dec 2018
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Emory University - Goizueta Business School
Downloads 48
36.

A Corporate Financing-Based Asset Pricing Model

Swiss Finance Institute Research Paper No. 18-46
Number of pages: 75 Posted: 19 Jun 2018 Last Revised: 19 Jun 2018
Working Paper Series
University of Lausanne
Downloads 255
37.

Greed and Fear: The Nature of Sentiment

Swiss Finance Institute Research Paper No. 18-45
Number of pages: 114 Posted: 15 Jun 2018
Working Paper Series
University of Lugano, Universita' della Svizzera Italiana and ESADE Business School and USI
Downloads 199
38.

Valuing Supply-Chain Responsiveness Under Demand Jumps

Swiss Finance Institute Research Paper No. 18-44
Number of pages: 56 Posted: 08 Jun 2018 Last Revised: 13 Jun 2018
Accepted Paper Series
Erasmus University Rotterdam (EUR) - Department of Technology and Operations Management, Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and University of Lausanne - Faculty of Business and Economics
Downloads 49
39.

Conditional Davis Pricing

Swiss Finance Institute Research Paper No. 18-39
Number of pages: 35 Posted: 09 May 2018 Last Revised: 21 Aug 2018
Working Paper Series
Rutgers, The State University of New Jersey, ETH Zürich and University of Texas at Austin
Downloads 30
40.

Capital Scarcity and Industrial Decline: Evidence from 172 Real Estate Booms in China

Swiss Finance Institute Research Paper No. 18-38
Number of pages: 57 Posted: 09 May 2018 Last Revised: 11 Oct 2018
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva - Geneva School of Economics and Management
Downloads 94
41.

Polynomial Processes for Power Prices

Swiss Finance Institute Research Paper No. 18-34
Number of pages: 19 Posted: 08 May 2018
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and University of Calgary
Downloads 28
42.

Dividends: From Refracting to Ratcheting

Swiss Finance Institute Research Paper No. 18-32
Number of pages: 22 Posted: 08 May 2018
Working Paper Series
University of Lausanne, University of Karlsruhe and University of Lausanne
Downloads 62
43.

On Randomized Reinsurance Contracts

Swiss Finance Institute Research Paper No. 18-33
Number of pages: 31 Posted: 08 May 2018 Last Revised: 15 May 2018
Working Paper Series
University of Lausanne and University of Lausanne
Downloads 50
44.

Dissection of Bitcoin's Multiscale Bubble History

Swiss Finance Institute Research Paper No. 18-30
Number of pages: 38 Posted: 18 Apr 2018 Last Revised: 30 Apr 2018
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH-Zürich - Department of Management Technology and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 300
45.

S&P 500 Index, an Option-Implied Risk Analysis

Swiss Finance Institute Research Paper No. 18-29
Number of pages: 46 Posted: 16 Apr 2018 Last Revised: 30 Apr 2018
Working Paper Series
University of Lugano, Swiss Finance Institute and ESADE Business School and USI
Downloads 125
46.

Valuing Life as an Asset, as a Statistic and at Gunpoint

Swiss Finance Institute Research Paper No. 18-27
Number of pages: 59 Posted: 09 Apr 2018
Working Paper Series
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 160
47.

Patience is a Virtue - In Value Investing

Swiss Finance Institute Research Paper No. 18-26
Number of pages: 22 Posted: 23 Mar 2018 Last Revised: 02 Apr 2018
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 157
48.

Decentralized Exchange

American Economic Review, Vol. 107, No. 11, 2017, Swiss Finance Institute Research Paper No. 18-25
Number of pages: 45 Posted: 23 Mar 2018 Last Revised: 01 Apr 2018
Accepted Paper Series
Ecole Polytechnique Federale de Lausanne and University of Wisconsin - Madison
Downloads 62
49.

Bitcoin Bubble Trouble

Forthcoming in Wilmott Magazine, 2018, Swiss Finance Institute Research Paper No. 18-24
Number of pages: 17 Posted: 20 Mar 2018 Last Revised: 19 Jun 2018
Accepted Paper Series
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 339
50.

Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR

Swiss Finance Institute Research Paper No. 18-23
Number of pages: 55 Posted: 19 Mar 2018 Last Revised: 23 Mar 2018
Working Paper Series
ETH Zurich - Department of Mathematics and ETH Zurich
Downloads 42