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Swiss Finance Institute Research Paper Series

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Viewing: 1 - 50 of 887 papers

1.

Crude Awakening: Oil Prices and Bond Returns

Swiss Finance Institute Research Paper No. 19-24
Number of pages: 45 Posted: 15 Apr 2019
Working Paper Series
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Shandong University and Shanghai University of Finance and Economics
Downloads 8
2.

Strategic Trading As a Response to Short Sellers

Swiss Finance Institute Research Paper No. 19-23
Number of pages: 49 Posted: 05 Apr 2019 Last Revised: 11 Apr 2019
Working Paper Series
Harvard Business School, USI Lugano, INSEAD - Finance and USI Lugano
Downloads 40
3.

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 8
4.

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 36
5.

ESG Investing: From Sin Stocks to Smart Beta

Swiss Finance Institute Research Paper No. 19-16
Number of pages: 49 Posted: 21 Mar 2019 Last Revised: 31 Mar 2019
Working Paper Series
University of Lausanne and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
Downloads 91
6.

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 102
7.

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 53
8.

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 89
9.

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 454
10.

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 46
11.

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 44
12.

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 22
13.

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 73
14.

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 87
15.

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 21
16.

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 23
17.

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 54
18.

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 34
19.

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 70
20.

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 235
21.

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 96
22.

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 43
23.

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 41
24.

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 399
25.

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 36
26.

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 102
27.

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 80
28.

Passive Investors are Passive Monitors

Swiss Finance Institute Research Paper No. 19-08
Number of pages: 73 Posted: 29 Oct 2018 Last Revised: 09 Apr 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 280
29.

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 90
30.

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 69
31.

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 76
32.

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

Swiss Finance Institute Research Paper No. 18-63
Number of pages: 62 Posted: 27 Sep 2018 Last Revised: 20 Mar 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 292
33.

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 65
34.

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 75
35.

The Importance of Climate Risks for Institutional Investors

Swiss Finance Institute Research Paper No. 18-58
Number of pages: 74 Posted: 27 Aug 2018 Last Revised: 18 Apr 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 566
36.

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 46
37.

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 56
38.

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 108
39.

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 63
40.

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 39
41.

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 64
42.

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 262
43.

Inefficient Bubbles and Efficient Drawdowns in Financial Markets

Swiss Finance Institute Research Paper No. 18-49
Number of pages: 55 Posted: 16 Jul 2018 Last Revised: 22 Feb 2019
Working Paper Series
ETH Zurich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 127
44.

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 68
45.

Information Intermediaries: How Commercial Bankers Facilitate Strategic Alliances

Swiss Finance Institute Research Paper No. 18-53, 14th Annual Mid-Atlantic Research Conference in Finance (MARC)
Number of pages: 60 Posted: 22 Jun 2018 Last Revised: 13 Mar 2019
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Emory University - Goizueta Business School
Downloads 76
46.

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 271
47.

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
Downloads 207
48.

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 54
49.

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 33
50.

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 104