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Swiss Finance Institute Research Paper Series
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Showing Papers 1 - 50 of 743
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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
18 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
24 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
6 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
Working Paper Series
115 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
19 downloads

Incl. Electronic Paper Understanding Anomalies
Filip Bekjarovski
Amundi Asset Management
Date Posted: March 12, 2017
Last Revised: March 15, 2017
Working Paper Series
160 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
63 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
52 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: February 22, 2017
Working Paper Series
57 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
37 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
55 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
328 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: March 21, 2017
Working Paper Series
54 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
44 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
Working Paper Series
67 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
38 downloads

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
Working Paper Series

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
46 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
26 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
54 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
56 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
42 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
66 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
38 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
20 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
76 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
127 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
137 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: January 28, 2017
Working Paper Series
501 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: November 23, 2016
Working Paper Series
547 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
145 downloads

Incl. Electronic Paper S&P 500 Index, an Option Implied Risk Analysis
Swiss Finance Institute Research Paper No. 16-62
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
Swiss Finance Institute, Swiss Finance Institute and ESADE Business School and USI
Date Posted: November 09, 2016
Last Revised: November 12, 2016
Working Paper Series
151 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
1172 downloads

Incl. Electronic Paper The Relevance of Broker Networks for Information Diffusion in the Stock Market
Swiss Finance Institute Research Paper No. 17-08, 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: February 27, 2017
Working Paper Series
312 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
281 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
112 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
45 downloads

Incl. Electronic Paper Joint Lifetime Financial, Work and Health Decisions: Thrifty and Healthy Enough for the Long Run?
Swiss Finance Institute Research Paper No. 16-57
Yannis Mesquida and Pascal St-Amour
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: September 30, 2016
Working Paper Series
51 downloads

Incl. Electronic Paper Old-Age Provision: Past, Present, Future
European Actuarial Journal, Forthcoming, Swiss Finance Institute Research Paper No. 16-55
Hansjoerg Albrecher, Paul Embrechts, Damir Filipović, Glenn W. Harrison, Pablo Koch-Medina, Stéphane Loisel, Paolo Vanini and Joël Wagner
University of Lausanne, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department of Banking and Finance, University of Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Date Posted: September 17, 2016
Last Revised: September 20, 2016
Working Paper Series
79 downloads

Incl. Electronic Paper A Model of Price Impact and Market Maker Latency
Swiss Finance Institute Research Paper No. 16-56
Jakub Rojcek
University of Zurich, Department of Banking and Finance
Date Posted: September 15, 2016
Last Revised: September 22, 2016
Working Paper Series
112 downloads

Incl. Electronic Paper Does Corporate Governance Matter? Evidence from the AGR Governance Rating
Swiss Finance Institute Research Paper No. 16-54
Alberto Plazzi and Walter N. Torous
USI-Lugano and Massachusetts Institute of Technology
Date Posted: September 09, 2016
Last Revised: September 21, 2016
Working Paper Series
267 downloads

Incl. Electronic Paper How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?
Swiss Finance Institute Research Paper No. 16-52
Ines Chaieb, Vihang R. Errunza and Rajna Gibson
University of Geneva and Swiss Finance Institute, McGill University - Desautels Faculty of Management and University of Geneva - Geneva Finance Research Institute (GFRI)
Date Posted: August 04, 2016
Last Revised: March 24, 2017
Working Paper Series
59 downloads

Incl. Electronic Paper A Diagnostic Criterion for Approximate Factor Structure
Swiss Finance Institute Research Paper No. 16-51
Patrick Gagliardini, Elisa Ossola and O. Scaillet
University of Lugano and Swiss Finance Institute, University of Lugano and University of Geneva GSEM and GFRI
Date Posted: August 03, 2016
Last Revised: December 15, 2016
Working Paper Series
67 downloads

Incl. Electronic Paper Market Integration and Global Crashes
Swiss Finance Institute Research Paper No. 16-49
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Board of Governors of the Federal Reserve System
Date Posted: July 25, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy
Swiss Finance Institute Research Paper No. 16-47
Harald Hau, Yi Huang and Gewei Wang
University of Geneva - Geneva Finance Research Institute, Graduate Institute of International and Development Studies and Graduate Institute of International and Development Studies (IHEID)
Date Posted: July 22, 2016
Last Revised: October 22, 2016
Working Paper Series
106 downloads

Incl. Electronic Paper On the American Swaption in the Linear-Rational Framework
Swiss Finance Institute Research Paper No. 16-44
Damir Filipović and Yerkin Kitapbayev
Ecole Polytechnique Fédérale de Lausanne and Boston University - Questrom School of Business
Date Posted: July 08, 2016
Last Revised: July 12, 2016
Working Paper Series
48 downloads

Incl. Electronic Paper Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
Swiss Finance Institute Research Paper No. 16-41
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Date Posted: July 06, 2016
Working Paper Series
90 downloads

Incl. Electronic Paper A False Sense of Security: Why U.S. Banks Diversify and Does it Help?
Swiss Finance Institute Research Paper No. 16-43
Priyank Gandhi, Patrick Christian Kiefer and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, UCLA Anderson School of Management and USI-Lugano
Date Posted: July 02, 2016
Last Revised: July 08, 2016
Working Paper Series
95 downloads

Incl. Electronic Paper Aggregate Bank Capital and Credit Dynamics
Swiss Finance Institute Research Paper No. 16-42
Nataliya Klimenko, Sebastian Pfeil, Jean-Charles Rochet and Gianni De Nicolo
University of Zurich, University of Bonn, University of Zurich - Swiss Banking Institute (ISB) and International Monetary Fund and CESifo
Date Posted: June 30, 2016
Working Paper Series
156 downloads

Incl. Electronic Paper Quantification of the Evolution of Firm Size Distributions Due to Mergers and Acquisitions
Swiss Finance Institute Research Paper No. 16-39
Sandro Claudio Lera and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: June 22, 2016
Last Revised: July 14, 2016
Working Paper Series
78 downloads


 

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