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Swiss Finance Institute Research Paper Series

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Viewing: 1 - 50 of 939 papers

1.

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 8
2.

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 21
3.

Disentangling the Impact of Securitization on Bank Profitability

Bakoush, M., Abouarab, R., & Wolfe, S. (2019). Disentangling the impact of securitization on bank profitability. Research in International Business and Finance, 47, 519-537.
Number of pages: 43 Posted: 10 Jan 2020
Working Paper Series
University of Southampton - Southampton Business School, Kafr El Sheikh University and University of Southampton - School of Management
Downloads 5
4.

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 29
5.

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 49
6.

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 90
7.

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, GFRI, University of Geneva and Karlsruhe Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 37
8.

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 Padua - Department of Economics and GFRI, University of Geneva
Downloads 34
9.

Optimal Financing with Tokens

Swiss Finance Institute Research Paper No. 19-78
Number of pages: 62 Posted: 08 Dec 2019 Last Revised: 02 Jan 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 37
10.

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 82
11.

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 48
12.

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 51
13.

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 186
14.

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 36
15.

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 45
16.

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 133
17.

Properly Discounted Asset Prices Are Semimartingales

Swiss Finance Institute Research Paper No. 19-53
Number of pages: 16 Posted: 10 Oct 2019 Last Revised: 13 Oct 2019
Working Paper Series
ETH Zürich - Department of Mathematics and ETH Zurich
Downloads 42
18.

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 68
19.

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: 26 Sep 2019
Working Paper Series
University of Orleans, University of Orleans, University of Orleans and University of Geneva GSEM and GFRI
Downloads 74
20.

Steady State and Efficiency Convergence Dynamics in Alternative Banking Systems: The Cases of Islamic and Community Banks

Swiss Finance Institute Research Paper No. 19-71
Number of pages: 46 Posted: 16 Sep 2019 Last Revised: 03 Jan 2020
Working Paper Series
Lancaster University Management School, University of Huddersfield, University of Zurich - Department of Banking and Finance, University of Kent, Kent Business School and Lancaster University
Downloads 20
21.

Does Quantitative Easing Boost Bank Lending to the Real Economy or Cause Other Bank Asset Reallocation? The Case of the UK

Swiss Finance Institute Research Paper No. 19-72
Number of pages: 49 Posted: 04 Sep 2019 Last Revised: 02 Jan 2020
Working Paper Series
University of Bath - School of Management, University of Essex and University of Zurich - Department of Banking and Finance
Downloads 35
22.

Estimation of Large Dimensional Conditional Factor Models in Finance

Swiss Finance Institute Research Paper No. 19-46
Number of pages: 76 Posted: 28 Aug 2019 Last Revised: 14 Sep 2019
Working Paper Series
University of Lugano, European Commission, Joint Research Centre and University of Geneva GSEM and GFRI
Downloads 107
23.

Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply

Swiss Finance Institute Research Paper No. 19-61
Number of pages: 37 Posted: 21 Aug 2019 Last Revised: 07 Dec 2019
Working 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 118
24.

Institutional Investors’ Views and Preferences on Climate Risk Disclosure

Swiss Finance Institute Research Paper No. 19-66
Number of pages: 58 Posted: 19 Aug 2019 Last Revised: 07 Jan 2020
Working Paper Series
Frankfurt School of Finance & Management, 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 246
25.

ESG Rating Disagreement and Stock Returns

Swiss Finance Institute Research Paper No. 19-67, European Corporate Governance Institute – Finance Working Paper No. 651/2020,
Number of pages: 45 Posted: 10 Aug 2019 Last Revised: 25 Jan 2020
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva Finance Research Institute and University of Zurich - Department of Banking and Finance
Downloads 377
26.

The Geography of Mortgage Lending in Times of FinTech

Swiss Finance Institute Research Paper No. 19-39, August 2019
Number of pages: 45 Posted: 09 Aug 2019 Last Revised: 21 Aug 2019
Working Paper Series
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 121
27.

Testing Market Efficiency With the Pricing Kernel

European Journal of Finance, 2019, Swiss Finance Institute Research Paper No. 19-77
Number of pages: 45 Posted: 01 Aug 2019 Last Revised: 02 Jan 2020
Accepted Paper Series
University of Lugano and ESADE Business School
Downloads 31
28.

Extracting Statistical Factors When Betas are Time-Varying

Swiss Finance Institute Research Paper No. 19-65
Number of pages: 70 Posted: 30 Jul 2019 Last Revised: 02 Jan 2020
Working Paper Series
University of Lugano and University of Lugano
Downloads 73
29.

The Effect of Unconventional Monetary Policy on Cross‐Border Bank Loans: Evidence from an Emerging Market

Swiss Finance Institute Research Paper No. 19-38
Number of pages: 53 Posted: 22 Jul 2019 Last Revised: 22 Jul 2019
Working Paper Series
Government of the Republic of Turkey - Central Bank of the Republic of Turkey, Central Bank of the Republic of Turkey, Central Bank of Turkey and University of Zurich - Department of Banking and Finance
Downloads 63
30.

Credit Risk Modeling With Jointly Spanned and Unspanned Interest Rate and Unspanned Bei Rate: A Macro-Finance Approach

Number of pages: 31 Posted: 17 Jul 2019 Last Revised: 08 Nov 2019
Working Paper Series
Independent
Downloads 16
31.

ICO Investors

Swiss Finance Institute Research Paper No. 19-37, European Corporate Governance Institute - Finance Working Paper No. 618/2019
Number of pages: 59 Posted: 15 Jul 2019 Last Revised: 01 Aug 2019
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Finreon
Downloads 209
32.

Debt, Innovation, and Growth

Swiss Finance Institute Research Paper No. 19-79
Number of pages: 61 Posted: 13 Jul 2019 Last Revised: 02 Jan 2020
Working Paper Series
Copenhagen Business School - Department of Finance, University of Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 70
33.

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

Multiple version iconThere are 3 versions of this paper

Downloads 70
34.

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 Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 92
35.

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 83
36.

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 83
37.

Option Trading and Stock Price Informativeness

Swiss Finance Institute Research Paper No. 19-74
Number of pages: 60 Posted: 18 Jun 2019 Last Revised: 02 Jan 2020
Working Paper Series
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, University of Houston - C.T. Bauer College of Business and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 148
38.

Machine Learning With Kernels for Portfolio Valuation and Risk Management

Swiss Finance Institute Research Paper No. 19-34
Number of pages: 39 Posted: 18 Jun 2019 Last Revised: 16 Jan 2020
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne - School of Basic Sciences and Ecole Polytechnique Fédérale de Lausanne
Downloads 331
39.

Implied Volatility Changes and Corporate Bond Returns

Swiss Finance Institute Research Paper No. 19-75
Number of pages: 53 Posted: 18 Jun 2019 Last Revised: 03 Jan 2020
Working Paper Series
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Lausanne, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 130
40.

Insider Trading with Penalties

Swiss Finance Institute Research Paper No. 19-68
Number of pages: 59 Posted: 14 Jun 2019 Last Revised: 02 Jan 2020
Working Paper Series
National Research University Higher School of Economics - International College of Economics and Finance, Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne

Multiple version iconThere are 2 versions of this paper

Downloads 48
41.

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 190
42.

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 115
43.

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 Lancaster University

Multiple version iconThere are 2 versions of this paper

Downloads 121
44.

The Valuation of Insurance Liabilities: A Framework Based on First Principles

Swiss Finance Institute Research Paper No. 20-03
Number of pages: 14 Posted: 02 Jun 2019 Last Revised: 14 Jan 2020
Working Paper Series
Department of Banking and Finance, Swiss Re, University of Zurich - Department of Banking and Finance and Swiss Re
Downloads 71
45.

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)
46.

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
47.

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
48.

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, Stevens Institute of Technology, Department of Mathematical Sciences and University of Zurich, Department of Banking and Finance
Downloads 123
49.

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 Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) and University of Muenster - Faculty of Economics
Downloads 171
50.

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 Zürich and ETH Zürich
Downloads 112