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Swiss Finance Institute Research Paper Series

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Viewing: 1 - 50 of 979 papers

1.

The COVID-19 Pandemic and Sovereign Bond Risk

Swiss Finance Institute Research Paper No. 20-42
Number of pages: 21 Posted: 21 May 2020
Working Paper Series
Alexandru Ioan Cuza University - Faculty of Economics and Business Administration, University of Zurich - Department of Banking and Finance and Alexandru Ioan Cuza University of Iasi
Downloads 52
2.

Boom, Bust, and Bitcoin: Bitcoin-Bubbles As Innovation Accelerators

Swiss Finance Institute Research Paper No. 20-41
Number of pages: 27 Posted: 16 May 2020 Last Revised: 18 May 2020
Working Paper Series
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 479
3.

Risk Spillovers and Interconnectedness between Systemically Important Institutions

Swiss Finance Institute Research Paper No. 20-40
Number of pages: 56 Posted: 16 May 2020 Last Revised: 18 May 2020
Working Paper Series
Alexandru Ioan Cuza University - Faculty of Economics and Business Administration, University of Zurich - Department of Banking and Finance, Alexandru Ioan Cuza University of Iasi and University of Sussex
Downloads 25
4.

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

Swiss Finance Institute Research Paper No. 20-39
Number of pages: 38 Posted: 16 May 2020 Last Revised: 18 May 2020
Working Paper Series
ETH Zürich, ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 22
5.

A Machine Learning Approach to Portfolio Pricing and Risk Management for High-Dimensional Problems

Swiss Finance Institute Research Paper No. 20-28
Number of pages: 44 Posted: 02 May 2020 Last Revised: 22 May 2020
Working Paper Series
Zurich Insurance Group and Ecole Polytechnique Fédérale de Lausanne
Downloads 68
6.

Interpreting, Analysing and Modelling COVID-19 Mortality Data

Swiss Finance Institute Research Paper No. 20-27
Number of pages: 29 Posted: 30 Apr 2020
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, Southern University of Science and Technology and Insight Research LLC
Downloads 215
7.

The Global Impact of COVID-19 on Fintech Adoption

Swiss Finance Institute Research Paper No. 20-38
Number of pages: 36 Posted: 29 Apr 2020 Last Revised: 11 May 2020
Working Paper Series
Center for Sustainable Finance and Private Wealth; University of Zurich - Department of Banking and Finance and Swiss Finance Institute
Downloads 192
8.

How Valuable is Financial Flexibility When Revenue Stops? Evidence from the COVID-19 Crisis

Fisher College of Business Working Paper No. 2020-03-007, Charles A. Dice Working Paper No. 2020-07, Swiss Finance Institute Research Paper No. 20-37
Number of pages: 62 Posted: 27 Apr 2020 Last Revised: 18 May 2020
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 441
9.

Stochastic representation decision theory: How probabilities and values are entangled dual characteristics in cognitive processes

Swiss Finance Institute Research Paper No. 20-25
Number of pages: 44 Posted: 24 Apr 2020
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 60
10.

On the Use of Equities in Target Date Funds

Swiss Finance Institute Research Paper No. 20-24
Number of pages: 20 Posted: 22 Apr 2020
Working Paper Series
University of Lugano, University of Technology, Sydney (UTS) - Finance Discipline Group and ESADE Business School
Downloads 70
11.

Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets

Swiss Finance Institute Research Paper No. 20-22
Number of pages: 67 Posted: 22 Apr 2020
Working Paper Series
Peking University - Guanghua School of Management, University of Geneva GSEM and GFRI and Columbia Business School - Decision Risk and Operations
Downloads 20
12.

Human-Environment-Health and Reinforcement of Individual Resilience

Swiss Finance Institute Research Paper No. 20-23
Number of pages: 8 Posted: 22 Apr 2020 Last Revised: 23 Apr 2020
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and Southern University of Science and Technology
Downloads 86
13.

Optimal Strategies for ESG Portfolios

Swiss Finance Institute Research Paper No. 20-21
Number of pages: 48 Posted: 20 Apr 2020 Last Revised: 20 Apr 2020
Working Paper Series
University of Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 103
14.

A New Indicator of Bank Funding Cost

Swiss Finance Institute Research Paper No. 20-20
Number of pages: 42 Posted: 15 Apr 2020
Working Paper Series
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Bank for International Settlements (BIS) and Banque de France

Multiple version iconThere are 2 versions of this paper

Downloads 35
15.

Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets

Swiss Finance Institute Research Paper No. 20-19
Number of pages: 40 Posted: 09 Apr 2020
Working Paper Series
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance, University of Manchester and University of Manchester - Department of Economics
Downloads 54
16.

Spanning analysis of stock market anomalies under Prospect Stochastic Dominance

Swiss Finance Institute Research Paper No. 20-18
Number of pages: 75 Posted: 09 Apr 2020
Working Paper Series
Athens University of Economics and Business - Department of Economics, University of Geneva GSEM and GFRI and Athens University of Economics and Business
Downloads 22
17.

Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing

Swiss Finance Institute Research Paper No. 20-11
Number of pages: 49 Posted: 11 Mar 2020 Last Revised: 18 Mar 2020
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 32
18.

Feverish Stock Price Reactions to COVID-19

Swiss Finance Institute Research Paper No. 20-12
Number of pages: 55 Posted: 09 Mar 2020 Last Revised: 30 Apr 2020
Working Paper Series
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 3,476
19.

Income Fluctuations and Firm Choice

Swiss Finance Institute Research Paper No. 20-29
Number of pages: 46 Posted: 04 Mar 2020 Last Revised: 04 May 2020
Working Paper Series
Northwestern University, Kellogg School of Management, Department of Finance, University of Nebraska at Lincoln and University of Lugano - Faculty of Economics
Downloads 17
20.

Flooded through the Back Door: The Role of Bank Capital in Local Shock Spillovers

Swiss Finance Institute Research Paper No. 20-07
Number of pages: 63 Posted: 03 Mar 2020
Working Paper Series
University of Bonn - Department of Economics and University of Zurich - Department of Banking and Finance
Downloads 55
21.

Deep Learning for Asset Bubbles Detection

Swiss Finance Institute Research Paper No. 20-08
Number of pages: 27 Posted: 02 Mar 2020 Last Revised: 09 Mar 2020
Working Paper Series
HEC Lausanne and EPFL
Downloads 110
22.

An Investigation of the Synchronization in Global House Prices

Swiss Finance Institute Research Paper No. 20-06
Number of pages: 16 Posted: 02 Mar 2020 Last Revised: 09 Mar 2020
Working Paper Series
University of Geneva - Geneva School of Economics and Management (GSEM)
Downloads 37
23.

On-Site Inspecting Zombie Lending

Swiss Finance Institute Research Paper No. 20-16
Number of pages: 38 Posted: 27 Feb 2020 Last Revised: 24 Mar 2020
Working Paper Series
Banco de Portugal, Catolica-Lisbon SBE, KU Leuven, Department Accounting, Finance and Insurance and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 58
24.

How Integrated Are Corporate Bond and Stock Markets?

Swiss Finance Institute Research Paper No. 20-09
Number of pages: 49 Posted: 25 Feb 2020 Last Revised: 11 Mar 2020
Working Paper Series
University of Lugano
Downloads 65
25.

Responsible Institutional Investing Around the World

Swiss Finance Institute Research Paper No. 20-13
Number of pages: 67 Posted: 23 Feb 2020 Last Revised: 08 May 2020
Working Paper Series
European Corporate Governance Institute (ECGI), University of Virginia - Darden School of Business, University of Geneva - Geneva Finance Research Institute (GFRI), University of Virginia - Darden School of Business and Osmosis Investment Management
Downloads 190
26.

Low-carbon Mutual Funds

Swiss Finance Institute Research Paper No. 19-13, European Corporate Governance Institute – Finance Working Paper No. 659/2020,
Number of pages: 63 Posted: 19 Feb 2020 Last Revised: 06 May 2020
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 498
27.

Identifying Empty Creditors with a Shock and Micro-Data

Swiss Finance Institute Research Paper No. 20-15
Number of pages: 67 Posted: 11 Feb 2020 Last Revised: 24 Mar 2020
Working Paper Series
KU Leuven, Department Accounting, Finance and Insurance, Deutsche Bundesbank, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 30
28.

Factors and Risk Premia in Individual International Stock Returns

Swiss Finance Institute Research Paper No. 18-04, HEC Paris Research Paper No. FIN-2018-1250, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 80 Posted: 07 Feb 2020 Last Revised: 13 May 2020
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), HEC Paris - Finance Department and University of Geneva GSEM and GFRI
Downloads 541
29.

Rational Belief Bubbles

Swiss Finance Institute Research Paper No. 20-05
Number of pages: 43 Posted: 05 Feb 2020
Working Paper Series
ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

Multiple version iconThere are 2 versions of this paper

Downloads 77
30.

Systemic Risk in Networks with a Central Node

Forthcoming, SIAM Journal on Financial Mathematics, Swiss Finance Institute Research Paper No. 20-04
Number of pages: 43 Posted: 24 Jan 2020
Working Paper Series
J. Mack Robinson College of Business, Ecole Polytechnique Fédérale de Lausanne and Cornell University

Multiple version iconThere are 2 versions of this paper

Downloads 62
31.

Unintended Consequences of the Global Derivatives Market Reform

Swiss Finance Institute Research Paper No. 20-02
Number of pages: 41 Posted: 14 Jan 2020
Working Paper Series
Ecole Normale Supérieure (ENS) de Lyon, KU Leuven- Faculty of Economics & Business, University of Lausanne and University of Zurich - Department of Banking and Finance
Downloads 78
32.

A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data

Swiss Finance Institute Research Paper No. 20-01
Number of pages: 53 Posted: 10 Jan 2020
Working Paper Series
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 55
33.

Policy Announcement Design

Swiss Finance Institute Research Paper No. 20-17
Number of pages: 60 Posted: 08 Jan 2020 Last Revised: 25 Mar 2020
Working Paper Series
Duke University - Fuqua School of Business, Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 65
34.

Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps

Swiss Finance Institute Research Paper No. 19-76
Number of pages: 46 Posted: 02 Jan 2020 Last Revised: 03 Jan 2020
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
Downloads 80
35.

On the Fast Track: Information Acquisition Costs and Information Production

Swiss Finance Institute Research Paper No. 20-14
Number of pages: 96 Posted: 01 Jan 2020 Last Revised: 24 Mar 2020
Working Paper Series
affiliation not provided to SSRN, Business School, University of International Business and Economics, Washington University in Saint Louis - Olin School of Business and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 100
36.

Volatility Dependent Structured Products

Swiss Finance Institute Research Paper No. 19-64
Number of pages: 11 Posted: 23 Dec 2019 Last Revised: 24 Dec 2019
Working Paper Series
University of Trier - Faculty of Economics, University of Zurich - Department of Banking and Finance and University of Trier
Downloads 106
37.

Financial Intermediation, Capital Accumulation and Crisis Recovery

Swiss Finance Institute Research Paper No. 19-62
Number of pages: 80 Posted: 12 Dec 2019
Working Paper Series
ETH Zurich - CER-ETH -Center of Economic Reseaarch, Swiss Finance Institute and Karlsruhe Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 51
38.

Bank Restructuring without Government Intervention

Swiss Finance Institute Research Paper No. 19-63
Number of pages: 48 Posted: 12 Dec 2019
Working Paper Series
Ca Foscari University of Venice, University of Padova - Department of Economics and Swiss Finance Institute
Downloads 54
39.

Optimal Financing with Tokens

Swiss Finance Institute Research Paper No. 19-78
Number of pages: 62 Posted: 08 Dec 2019 Last Revised: 03 Mar 2020
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Ecole Polytechnique Fédérale de Lausanne
Downloads 80
40.

Why Do U.S. CEOs Pledge Their Own Company's Stock?

Swiss Finance Institute Research Paper 19-60
Number of pages: 68 Posted: 14 Nov 2019 Last Revised: 15 Nov 2019
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne
Downloads 151
41.

Distance Effects in CMBS Loan Pricing: Banks versus Non-Banks

Swiss Finance Institute Research Paper No. 19-58
Number of pages: 47 Posted: 07 Nov 2019
Working Paper Series
Maastricht University, Maastricht University, University of Zurich - Department of Banking and Finance and John Molson School of Business, Concordia University
Downloads 70
42.

An Improved Method to Predict Assignment of Stocks into Russell Indexes

Swiss Finance Institute Research Paper No. 19-56
Number of pages: 43 Posted: 01 Nov 2019 Last Revised: 15 Nov 2019
Working Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 54
43.

Sentimental Recovery

Swiss Finance Institute Research Paper No. 19-57
Number of pages: 41 Posted: 31 Oct 2019 Last Revised: 05 Dec 2019
Working Paper Series
Frankfurt School of Finance & Management, University of Lugano - Institute of Finance and Frankfurt School of Finance & Management
Downloads 215
44.

Gender, Credit, and Firm Outcomes

Swiss Finance Institute Research Paper No. 19-70
Number of pages: 51 Posted: 23 Oct 2019 Last Revised: 02 Jan 2020
Working Paper Series
Montpellier Business School, Fordham University - Gabelli School of Business, University of Surrey - Surrey Business School and University of Zurich - Department of Banking and Finance
Downloads 59
45.

Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing

Swiss Finance Institute Research Paper No. 19-54
Number of pages: 31 Posted: 18 Oct 2019 Last Revised: 23 Oct 2019
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Queen Mary University of London, University of Oxford and Ecole Polytechnique Fédérale de Lausanne
Downloads 54
46.

An Improved Method to Predict Assignment of Stocks into Russell Indexes

Fisher College of Business Working Paper No. 2019-03-024, Charles A. Dice Center Working Paper No. 2019-24, Swiss Finance Institute Research Paper No. 19-56
Number of pages: 41 Posted: 10 Oct 2019 Last Revised: 14 Nov 2019
Working Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 172
47.

Properly Discounted Asset Prices Are Semimartingales

Swiss Finance Institute Research Paper No. 19-53
Number of pages: 18 Posted: 10 Oct 2019 Last Revised: 21 Apr 2020
Working Paper Series
ETH Zürich - Department of Mathematics and ETH Zurich
Downloads 48
48.

A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs

Swiss Finance Institute Research Paper No. 19-51
Number of pages: 33 Posted: 27 Sep 2019
Working Paper Series
University of Zurich - Department of Banking and Finance, Stevens Institute of Technology, Department of Mathematical Sciences and University of Zurich, Department of Banking and Finance
Downloads 86
49.

Deep Learning, Jumps, and Volatility Bursts

Swiss Finance Institute Research Paper No. 20-10
Number of pages: 25 Posted: 20 Sep 2019 Last Revised: 14 Mar 2020
Working Paper Series
HEC Lausanne and EPFL
Downloads 229
50.

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Swiss Finance Institute Research Paper No. 19-48 (2019)
Number of pages: 64 Posted: 19 Sep 2019 Last Revised: 08 Apr 2020
Working Paper Series
University of Orleans, University of Orleans, University of Orleans and University of Geneva GSEM and GFRI
Downloads 150