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Swiss Finance Institute Research Paper Series
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Showing Papers 1 - 50 of 754
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Incl. Electronic Paper Margin Requirements and Evolutionary Asset Pricing
Swiss Finance Institute Research Paper No. 17-20
Anastasiia Sokko and Klaus Reiner Schenk-Hoppé
University of Zurich, Department of Banking and Finance and University of Manchester - Department of Economics
Date Posted: June 14, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper High-Frequency Jump Analysis of the Bitcoin Market
Swiss Finance Institute Research Paper No. 17-19
O. Scaillet, Adrien Treccani and Christopher Trevisan
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Date Posted: June 10, 2017
Working Paper Series
78 downloads

Incl. Electronic Paper Calibration of Discrete Time Short Rate Term Structure Models from Coupon Bond Prices
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Date Posted: May 31, 2017
Last Revised: June 11, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and USI-Lugano
Date Posted: May 29, 2017
Last Revised: June 08, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper The Dynamics of Heterogeneity and Asset Prices
Swiss Finance Institute Research Paper No. 17-21
Walter Farkas and Ciprian Necula
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: May 24, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Anticipating Critical Transitions of Chinese Housing Markets
Swiss Finance Institute Research Paper No. 17-18
Zhang Qun, Didier Sornette and Hao Zhang
Guangdong University of Foreign Studies, Swiss Finance Institute and Guangdong University of Foreign Studies
Date Posted: May 20, 2017
Working Paper Series
47 downloads

Incl. Electronic Paper Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns
Swiss Finance Institute Research Paper No. 17-15
Philippe Bacchetta and Eric van Wincoop
University of Lausanne and University of Virginia - Department of Economics
Date Posted: May 20, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Democracy and Credit 'Democracy Doesn't Come Cheap' But at Least Credit to Its Corporations Will Be
Swiss Finance Institute Research Paper No. 17-14
Manthos D. Delis, Iftekhar Hasan and Steven Ongena
University of Surrey - Surrey Business School, Gabelli School of Business, Fordham University and University of Zurich - Department of Banking and Finance
Date Posted: May 15, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Factors vs. Sectors in Asset Allocation: Stronger Together?
Marie Briere and Ariane Szafarz
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Date Posted: May 10, 2017
Working Paper Series
460 downloads

Incl. Electronic Paper Straight Talkers and Vague Talkers: The Effects of Managerial Style in Earnings Conference Calls
HKS Working Paper No. RWP17-017, Swiss Finance Institute Research Paper No. 17-13
Michał Dzieliński, Alexander F. Wagner and Richard J. Zeckhauser
Stockholm Business School, Stockholm University, University of Zurich - Department of Banking and Finance and Harvard University - Harvard Kennedy School (HKS)
Date Posted: May 09, 2017
Last Revised: June 13, 2017
Working Paper Series
99 downloads

Incl. Electronic Paper Unspanned Stochastic Volatility in the Multi-Factor CIR Model
Swiss Finance Institute Research Paper No. 17-13
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Date Posted: May 08, 2017
Last Revised: May 20, 2017
Working Paper Series
48 downloads

Incl. Electronic Paper Earning Investor Trust: The Role of Past Earnings Management
Florian Eugster and Alexander F. Wagner
Stockholm School of Economics and University of Zurich - Department of Banking and Finance
Date Posted: May 01, 2017
Working Paper Series
52 downloads

Incl. Electronic Paper Competition and the Interbank Market
Daria Kalyaeva
Swiss Finance Institute
Date Posted: April 21, 2017
Last Revised: June 04, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper The British Pound on Brexit Night: A Natural Experiment of Market Efficiency and Real-Time Predictability
Swiss Finance Institute Research Paper No. 17-12
Ke Wu, Spencer Wheatley and Didier Sornette
ETH Zurich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich and Swiss Finance Institute
Date Posted: March 29, 2017
Working Paper Series
194 downloads

Incl. Electronic Paper Quantifying the Diversity of News Around Stock Market Moves
Chester Curme, Ying Daisy Zhuo, Helen Susannah Moat and Tobias Preis, Quantifying the diversity of news around stock market moves, Journal of Network Theory in Finance 3(1), 1–20 (2017).,
Chester Curme, Ying Daisy Zhuo, Helen Susannah Moat and Tobias Preis
Boston University, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University College London - Department of Civil, Environmental and Geomatic Engineering and Data Science Lab, Behavioural Science, Warwick Business School
Date Posted: March 23, 2017
Accepted Paper Series
183 downloads

Incl. Electronic Paper Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading
Swiss Finance Institute Research Paper No. 17-10
Thorsten Hens, Terje Lensberg and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance, Norwegian School of Economics (NHH) - Department of Finance and University of Manchester - Department of Economics
Date Posted: March 23, 2017
Working Paper Series
122 downloads

Incl. Electronic Paper Closing Down the Shop: Optimal Health and Wealth Dynamics Near the End of Life
Swiss Finance Institute Research Paper No. 17-11
Julien Hugonnier, Florian Pelgrin and Pascal St-Amour
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)
Date Posted: March 21, 2017
Working Paper Series
47 downloads

Incl. Electronic Paper Cross-Sectional and Time-Series Momentum Returns and Market States
Muhammad A. Cheema, Gilbert V. Nartea and Yimei Man
University of Waikato, University of Waikato and University of Waikato
Date Posted: March 16, 2017
Last Revised: May 15, 2017
Working Paper Series
664 downloads

Incl. Electronic Paper The Impact of Internationalization on Zero Leverage: Evidence from the UK
Eleni Chatzivgeri, Panagiotis Dontis-Charitos and Sheeja Sivaprasad
Westminster Business School, Westminster Business School, University of Westminster and University of Westminster - Westminster Business School
Date Posted: March 14, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Premium Investment Framework: Are Anomalies Risky?
Filip Bekjarovski
Amundi Asset Management
Date Posted: March 12, 2017
Last Revised: May 24, 2017
Working Paper Series
339 downloads

Incl. Electronic Paper Market Discipline through Credit Ratings and Too-Big-to-Fail in Banking
Swiss Finance Institute Research Paper No. 17-09
Sascha Kolaric, Florian Kiesel and Steven Ongena
Technische Universität Darmstadt, Technische Universität Darmstadt and University of Zurich - Department of Banking and Finance
Date Posted: March 07, 2017
Working Paper Series
134 downloads

Incl. Electronic Paper Product Market Competition and Option Prices
Swiss Finance Institute Research Paper No. 17-07
Erwan Morellec and Alexei Zhdanov
Ecole Polytechnique Fédérale de Lausanne and Pennsylvania State University
Date Posted: February 17, 2017
Last Revised: February 27, 2017
Working Paper Series
107 downloads

Incl. Electronic Paper The Sustainability Footprint of Institutional Investors
Swiss Finance Institute Research Paper No. 17-05
Rajna Gibson and Philipp Krueger
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva
Date Posted: February 16, 2017
Last Revised: May 11, 2017
Working Paper Series
210 downloads

Incl. Electronic Paper Re-Use of Collateral: Leverage, Volatility, and Welfare
Swiss Finance Institute Research Paper No. 17-04
Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders
Karlsruhe Institute of Technology, European Central Bank (ECB), University of Zurich and University of Zurich
Date Posted: February 07, 2017
Working Paper Series
86 downloads

Incl. Electronic Paper Investing in Managerial Honesty
Swiss Finance Institute Research Paper No. 17-03
Rajna Gibson, Matthias Sohn, Carmen Tanner and Alexander F. Wagner
University of Geneva - Geneva Finance Research Institute (GFRI), Zeppelin University, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: February 07, 2017
Working Paper Series
90 downloads

Incl. Electronic Paper Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade
Swiss Finance Institute Research Paper No. 17-06, HKS Working Paper No. 17-005
Alexander F. Wagner, Richard J. Zeckhauser and Alexandre Ziegler
University of Zurich - Department of Banking and Finance, Harvard University - Harvard Kennedy School (HKS) and University of Zurich - Department of Banking and Finance
Date Posted: February 02, 2017
Last Revised: March 14, 2017
Working Paper Series
411 downloads

Incl. Electronic Paper Best Friend or Worst Enemy? -- Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints
Swiss Finance Institute Research Paper No. 17-02
Ally Quan Zhang
University of Zurich - Department of Banking and Finance
Date Posted: January 17, 2017
Last Revised: June 07, 2017
Working Paper Series
87 downloads

Incl. Electronic Paper The Consumption Response to Minimum Wages: Evidence from Chinese Households
Swiss Finance Institute Research Paper No. 17-01
Ernest Dautovic, Harald Hau and Yi Huang
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Geneva - Geneva Finance Research Institute and Graduate Institute of International and Development Studies
Date Posted: January 10, 2017
Working Paper Series
64 downloads

Incl. Electronic Paper News About Zero-Leverage Firms
Swiss Finance Institute Research Paper No. 16-78
Thomas Geelen
Ecole Polytechnique Fédérale de Lausanne
Date Posted: January 05, 2017
Last Revised: June 20, 2017
Working Paper Series
82 downloads

Incl. Electronic Paper Comparing Ask and Transaction Prices in the Swiss Housing Market
Swiss Finance Institute Research Paper No. 16-80
Ahmed Ahmed, Diego Ardila, Dorsa Sanadgol and Didier Sornette
ETH Zurich, ETH Zurich, ETH Zurich and Swiss Finance Institute
Date Posted: January 05, 2017
Working Paper Series
48 downloads

Incl. Electronic Paper Liquidity, Innovation, and Endogenous Growth
Swiss Finance Institute Research Paper No. 15-41
Semyon Malamud and Francesca Zucchi
Ecole Polytechnique Federale de Lausanne and Federal Reserve Board
Date Posted: January 04, 2017
Last Revised: May 20, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Markov Cubature Rules for Polynomial Processes
Swiss Finance Institute Research Paper No. 16-79
Damir Filipović, Martin Larsson and Sergio Pulido
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, UMR CNRS 8071
Date Posted: December 27, 2016
Last Revised: January 04, 2017
Working Paper Series
54 downloads

Incl. Electronic Paper On the Shape of Non-Monetary Measures for Risks
Swiss Finance Institute Research Paper No. 16-77
Christophe Courbage, Henri Loubergé and Béatrice Rey
Haute Ecole de Gestion de Genève - University of Applied Sciences Western Switzerland (HES-SO), University of Geneva - Geneva School of Economics and Management and University of Lyon 2 - Groupe d'Analyse et de Théorie Economique (GATE)
Date Posted: December 20, 2016
Last Revised: January 04, 2017
Accepted Paper Series
29 downloads

Incl. Electronic Paper Statistical Approximation of High-Dimensional Climate Models
Swiss Finance Institute Research Paper No. 16-76
Alena Miftakhova, Kenneth L. Judd, Thomas S. Lontzek and Karl Schmedders
University of Zurich - Department of Business Administration, Stanford University - The Hoover Institution on War, Revolution and Peace, University of Zurich and University of Zurich
Date Posted: December 19, 2016
Last Revised: January 04, 2017
Accepted Paper Series
66 downloads

Incl. Electronic Paper Intermediation Markups and Monetary Policy Passthrough
Swiss Finance Institute Research Paper No. 16-75
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: December 14, 2016
Last Revised: March 19, 2017
Working Paper Series
63 downloads

Incl. Electronic Paper Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps
Swiss Finance Institute Research Paper No. 16-73
Antonio Cosma, Stefano Galluccio, Paola Pederzoli and O. Scaillet
Université du Luxembourg, BNP Paribas Fixed Income, University of Geneva and University of Geneva GSEM and GFRI
Date Posted: December 09, 2016
Working Paper Series
54 downloads

Incl. Electronic Paper A Primer on Portfolio Choice with Small Transaction Costs
Swiss Finance Institute Research Paper No. 16-74
Johannes Muhle-Karbe, Max Reppen and Halil Mete Soner
University of Michigan at Ann Arbor, ETH Zurich and ETH Zürich
Date Posted: December 07, 2016
Working Paper Series
78 downloads

Incl. Electronic Paper Hedging with Temporary Price Impact
Swiss Finance Institute Research Paper No. 16-72
Peter Bank, Halil Mete Soner and Moritz Voss
Humboldt University of Berlin - Department of Mathematics, ETH Zürich and Technische Universität Berlin (TU Berlin)
Date Posted: December 07, 2016
Working Paper Series
45 downloads

Incl. Electronic Paper Convex Duality with Transaction Costs
Swiss Finance Institute Research Paper No. 16-71
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Date Posted: December 07, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Wealth and Income Inequalities ← → r > g
Swiss Finance Institute Research Paper No. 16-69
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Swiss Finance Institute
Date Posted: December 02, 2016
Working Paper Series
87 downloads

Incl. Electronic Paper Bank Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment
Swiss Finance Institute Research Paper No. 16-70
Reint Gropp, Thomas C. Mosk, Steven Ongena and Carlo Wix
Halle Institute for Economic Research, Goethe University Frankfurt - Research Center SAFE, University of Zurich - Department of Banking and Finance and Goethe University Frankfurt - Research Center SAFE
Date Posted: November 30, 2016
Working Paper Series
174 downloads

Incl. Electronic Paper Collateral, Central Bank Repos, and Systemic Arbitrage
Swiss Finance Institute Research Paper No. 16-66
Falko Fecht, Kjell G. Nyborg, Jörg Rocholl and Jiri Woschitz
Frankfurt School of Finance & Management, University of Zurich - Department of Banking and Finance, ESMT European School of Management and Technology and University of Zurich
Date Posted: November 18, 2016
Working Paper Series
159 downloads

Incl. Electronic Paper Data Analytics for Non-Life Insurance Pricing
Swiss Finance Institute Research Paper No. 16-68
Mario V. Wuthrich and Christoph Buser
RiskLab, ETH Zurich and AXA-Winterthur
Date Posted: November 17, 2016
Last Revised: March 30, 2017
Working Paper Series
815 downloads

Incl. Electronic Paper Machine Learning in Individual Claims Reserving
Swiss Finance Institute Research Paper No. 16-67
Mario V. Wuthrich
RiskLab, ETH Zurich
Date Posted: November 11, 2016
Last Revised: March 29, 2017
Working Paper Series
753 downloads

Incl. Electronic Paper Intrinsic Risk Measures
Swiss Finance Institute Research Paper No. 16-65
Walter Farkas and Alexander Smirnow
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: November 09, 2016
Last Revised: November 18, 2016
Working Paper Series
166 downloads

Incl. Electronic Paper Exchange Traded Funds (ETFs)
Charles A. Dice Center Working Paper No. 2016-22, Fisher College of Business Working Paper No. 2016-03-022, Swiss Finance Institute Research Paper No. 16-64
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano and Villanova University - Department of Finance
Date Posted: November 08, 2016
Last Revised: November 11, 2016
Working Paper Series
1439 downloads

Incl. Electronic Paper The Relevance of Broker Networks for Information Diffusion in the Stock Market
Swiss Finance Institute Research Paper No. 16-63, Harvard Business School Finance Working Paper
Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla
Harvard Business School, Università della Svizzera italiana (USI), Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
Date Posted: October 28, 2016
Last Revised: June 10, 2017
Working Paper Series
593 downloads

Incl. Electronic Paper A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon
Swiss Finance Institute Research Paper No. 16-61
Li Lin and Didier Sornette
East China University of Science and Technology (ECUST) and Swiss Finance Institute
Date Posted: October 21, 2016
Working Paper Series
326 downloads

Incl. Electronic Paper Dependent Defaults and Losses with Factor Copula Models
Swiss Finance Institute Research Paper No. 16-59
Damien Ackerer and Thibault Vatter
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: October 17, 2016
Working Paper Series
119 downloads

Incl. Electronic Paper A Heterogeneous-Agent Foundation of the Representative-Agent Approach
Swiss Finance Institute Research Paper No. 16-58
Sabine Elmiger
University of Zurich
Date Posted: October 01, 2016
Working Paper Series
50 downloads


 

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