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Swiss Finance Institute Research Paper Series

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1.

Bank CEO Incentives and the Credit Crisis

Journal of Financial Economics (JFE), Forthcoming, Charles A Dice Center Working Paper No. 2009-13, Fisher College of Business Working Paper No. 2009-03-13, Swiss Finance Institute Research Paper No. 09-27, ECGI - Finance Working Paper No. 256/2009
Number of pages: 43 Posted: 28 Jul 2009 Last Revised: 27 Sep 2010
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,567
2.

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of pages: 53 Posted: 05 Mar 2008 Last Revised: 03 Feb 2011
Accepted 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 5,370
3.

Momentum Crashes

Swiss Finance Institute Research Paper No. 13-61, Columbia Business School Research Paper No. 14-6, Fama-Miller Working Paper
Number of pages: 57 Posted: 24 Dec 2013
Working Paper Series
Columbia Business School - Finance and Economics and Yale University, Yale SOM

Multiple version iconThere are 5 versions of this paper

Downloads 5,293
4.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 289 Posted: 03 Sep 2013 Last Revised: 15 Mar 2017
Working Paper Series
RiskLab, ETH Zurich
Downloads 5,268
5.

Hedge Fund Diversification: How Much is Enough?

FAME Research Working Paper No. 52
Number of pages: 53 Posted: 31 Aug 2002
Working Paper Series
Kedge Capital Fund Management and Thunderbird, American Graduate School of International Management
Downloads 4,167
6.

Assessing Market Risk for Hedge Funds and Hedge Funds Portfolios

EFA 2001 Barcelona Meetings; EFMA 2001 Lugano Meetings; FAME Research Paper No 24
Number of pages: 38 Posted: 30 Apr 2001
Working Paper Series
Kedge Capital Fund Management
Downloads 3,839
7.

An Econometric Analysis of Emission Trading Allowances

Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Number of pages: 45 Posted: 26 Nov 2006 Last Revised: 21 Dec 2009
Accepted Paper Series
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment and University of Zurich - Department of Banking and Finance
Downloads 3,306
8.

On the Timing and Pricing of Dividends

CRSP Working Paper, Chicago Booth Research Paper No. 10-30, Swiss Finance Institute Research Paper No. 11-13
Number of pages: 38 Posted: 12 Feb 2010 Last Revised: 15 Sep 2013
Working Paper Series
University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and New York University (NYU) - Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 2,992
9.

The Determinants of Mutual Fund Performance: A Cross-Country Study

Swiss Finance Institute Research Paper No. 31
Number of pages: 56 Posted: 26 Nov 2006 Last Revised: 29 Jul 2011
Working Paper Series
Nova School of Business and Economics, Faculty of Finance, Cass Business School, City University, London, Instituto Universitário de Lisboa (ISCTE - IUL) and ESSEC
Downloads 2,879
10.

A GARCH Option Pricing Model with Filtered Historical Simulation

Review of Financial Studies, 2008
Number of pages: 54 Posted: 15 Oct 2004 Last Revised: 29 Apr 2008
Working Paper Series
Swiss Finance Institute at the University of Lugano, New York University - Leonard N. Stern School of Business - Department of Economics and Ecole Polytechnique Fédérale de Lausanne

Multiple version iconThere are 2 versions of this paper

Downloads 2,823
11.

Shadow Insurance

Econometrica, Vol. 84, No. 3, 2016, Swiss Finance Institute Research Paper No. 14-64
Number of pages: 50 Posted: 06 Sep 2013 Last Revised: 19 May 2016
Accepted Paper Series
New York University (NYU) - Department of Finance and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 2,772
12.

Do ETFs Increase Volatility?

Charles A. Dice Center Working Paper No. 2011-20, Fisher College of Business Working Paper No. 2011-03-20, Swiss Finance Institute Research Paper No. 11-66, AFA 2013 San Diego Meetings Paper
Number of pages: 110 Posted: 02 Dec 2011 Last Revised: 27 Mar 2017
Working Paper Series
Ohio State University - Fisher College of Business, Finance Department, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,641
13.

Corporate Finance in Europe: A Survey

ECGI - Finance Working Paper No. 121/2006, Swiss Finance Institute Research Paper No. 06-17
Number of pages: 34 Posted: 19 Apr 2006
Working Paper Series
University of Lugano - Faculty of Economics and University of Mannheim Business School
Downloads 2,625
14.

The Acceleration Effect and Gamma Factor in Asset Pricing

Swiss Finance Institute Research Paper No. 15-30
Number of pages: 25 Posted: 21 Aug 2015
Working Paper Series
ETH Zurich, Independent and Swiss Finance Institute
Downloads 2,441
15.

Stock Returns in Mergers and Acquisitions

Swiss Finance Institute Research Paper No. 06-1, EFA 2006 Zurich Meetings Paper
Number of pages: 44 Posted: 03 Mar 2006
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne and Boston University Questrom School of Business
Downloads 2,376
16.

Betting Against Beta

Swiss Finance Institute Research Paper No. 12-17
Number of pages: 85 Posted: 03 May 2012
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 2,287
17.

Private Equity Performance and Liquidity Risk

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 09-43
Number of pages: 80 Posted: 04 Dec 2009 Last Revised: 13 Sep 2012
Accepted Paper Series
USI Lugano, University of Lugano and University of Oxford - Said Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,244
18.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Working Paper Series
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 2,116
19.

Hedge Fund Stock Trading in the Financial Crisis of 2007-2009

AFA 2011 Denver Meetings Paper, Charles A. Dice Center Working Paper No. 2010-2, Fisher College of Business Working Paper No. 2010-03-002, Swiss Finance Institute Research Paper No. 11-08
Number of pages: 83 Posted: 09 Feb 2010 Last Revised: 14 Sep 2011
Working Paper Series
Ohio State University - Fisher College of Business, Finance Department, USI Lugano and Villanova University - Department of Finance
Downloads 2,079
20.

The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing

Applied Mathematical Finance, Vol. 19, No. 5, 2012, Swiss Finance Institute Research Paper No. 08-02, EFA 2008 Athens Meetings Paper
Number of pages: 34 Posted: 04 Feb 2008 Last Revised: 12 Oct 2013
Accepted Paper Series
University of Zurich - Swiss Banking Institute (ISB) and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads 2,071
21.

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?

FAME Research Paper No. 65
Number of pages: 87 Posted: 05 Apr 2003
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and JP Morgan
Downloads 2,056
22.

Do Hedge Funds Manipulate Stock Prices?

Journal of Finance, Forthcoming, Charles A. Dice Center Working Paper No. 2011-005, Fisher College of Business Working Paper No. 2011-03-005, Swiss Finance Institute Research Paper No. 11-53, AFA 2013 San Diego Meetings Paper
Number of pages: 80 Posted: 17 Feb 2011 Last Revised: 16 Sep 2012
Accepted Paper Series
Ohio State University - Fisher College of Business, Finance Department, USI Lugano, Toulouse School of Economics and Villanova University - Department of Finance
Downloads 2,019
23.

Beta-Arbitrage Strategies: When Do They Work, and Why?

Swiss Finance Institute Research Paper No. 11-64
Number of pages: 59 Posted: 09 Jan 2012 Last Revised: 07 Apr 2014
Working Paper Series
University of Geneva, Pictet Asset Management SA, Ersel Asset Management SGR s.p.a. and Pictet Asset Management
Downloads 1,931
24.

Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Swiss Finance Institute Research Paper No. 09-15
Number of pages: 54 Posted: 12 Jun 2009
Working Paper Series
Swiss Finance Institute and ETH Zurich

Multiple version iconThere are 2 versions of this paper

Downloads 1,824
25.

Crashes and High Frequency Trading

Swiss Finance Institute Research Paper No. 11-63
Number of pages: 29 Posted: 24 Dec 2011
Working Paper Series
Swiss Finance Institute and ETH Zurich
Downloads 1,763
26.

Detecting Abnormal Trading Activities in Option Markets

Swiss Finance Institute Research Paper No. 11-42
Number of pages: 36 Posted: 13 Jan 2010 Last Revised: 23 Jan 2015
Working Paper Series
University of Zurich - Swiss Banking Institute (ISB), University of Zurich - Swiss Banking Institute (ISB) and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,757
27.

House Prices, Real Estate Returns, and the Business Cycle

Swiss Finance Institute Research Paper No. 06-37
Number of pages: 39 Posted: 20 Jan 2007
Working Paper Series
European Central Bank (ECB) - Directorate General Research
Downloads 1,691
28.

Short Selling Regulation after the Financial Crisis - First Principles Revisited

International Journal of Disclosure and Regulation, Vol. 7, No. 2, pp. 108-135 , Swiss Finance Institute Research Paper No. 09-28
Number of pages: 54 Posted: 27 Jul 2009 Last Revised: 02 Jun 2010
Accepted Paper Series
University of Zurich - Rechtswissenschaftliches Institut (School of Law), University of Zurich - Department of Banking and Finance and University of Zurich - Faculty of Law
Downloads 1,645
29.

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-05
Number of pages: 61 Posted: 19 Mar 2008 Last Revised: 25 Jan 2012
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva GSEM and GFRI
Downloads 1,557
30.

Do Independent Director Departures Predict Future Bad Events?

Fisher College of Business Working Paper No. 2010-03-007, Charles A. Dice Center Working Paper No. 2010-7, Swiss Finance Institute Research Paper No. 10-17, ECGI - Finance Working Paper No. 281/2010
Number of pages: 52 Posted: 12 Apr 2010 Last Revised: 18 Dec 2015
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Nanyang Technological University - Division of Banking & Finance and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,533
31.

Competition, Cash Holdings, and Financing Decisions

Swiss Finance Institute Research Paper No. 13-72
Number of pages: 59 Posted: 20 Mar 2009 Last Revised: 06 Feb 2014
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, University of Lausanne and Federal Reserve Board
Downloads 1,523
32.

The Illusion of the Perpetual Money Machine

Swiss Finance Institute Research Paper No. 12-40
Number of pages: 30 Posted: 21 Dec 2012
Working Paper Series
ETH Zürich and Swiss Finance Institute
Downloads 1,511
33.

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
Number of pages: 35 Posted: 08 Nov 2016 Last Revised: 11 Nov 2016
Working Paper Series
Ohio State University - Fisher College of Business, Finance Department, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,498
34.

On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications

Swiss Finance Institute Research Paper No. 10-58
Number of pages: 83 Posted: 12 Jan 2011 Last Revised: 11 Feb 2017
Working Paper Series
University of Zurich - Department of Banking and Finance, ETH Zürich, Bank for International Settlements (BIS) - Monetary and Economic Department, University of Zurich - Department of Banking and Finance and University of Kassel
Downloads 1,489
35.

Systemic Risk and Central Clearing Counterparty Design

Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46 Posted: 09 Jun 2013 Last Revised: 01 Mar 2017
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads 1,481
36.

Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?

Swiss Finance Institute Research Paper No. 11-45
Number of pages: 26 Posted: 10 Oct 2011 Last Revised: 18 Oct 2011
Working Paper Series
University of Munich and University of Zurich - Department of Banking and Finance
Downloads 1,460
37.

The Capital Structure of Swiss Companies: An Empirical Analysis using Dynamic Panel Data

FAME Research Paper No. 68
Number of pages: 40 Posted: 27 May 2003
Working Paper Series
Rentes Genevoises, University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva School of Economics and Management (GSEM) and University of Geneva - Hautes Études Commerciales (HEC-Genève)

Multiple version iconThere are 2 versions of this paper

Downloads 1,446
38.

The Term Structure of Interbank Risk

Journal of Financial Economics, vol. 109, no. 4, p. 707-733, 2013, Swiss Finance Institute Research Paper No. 11-34
Number of pages: 98 Posted: 08 Sep 2011 Last Revised: 11 Feb 2016
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,379
39.

Constructing Long/Short Portfolios with the Omega Ratio

Swiss Finance Institute Research Paper No. 08-34
Number of pages: 21 Posted: 27 Oct 2008
Working Paper Series
Geneva School of Economics and Management (GSEM), Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,352
40.

Dragon-Kings, Black Swans and the Prediction of Crises

Swiss Finance Institute Research Paper No. 09-36
Number of pages: 21 Posted: 08 Sep 2009
Working Paper Series
Swiss Finance Institute

Multiple version iconThere are 2 versions of this paper

Downloads 1,296
41.

A Review of Heuristic Optimization Methods in Econometrics

Swiss Finance Institute Research Paper No. 08-12
Number of pages: 47 Posted: 05 Jun 2008
Accepted Paper Series
Geneva School of Economics and Management (GSEM) and University of Giessen - Department of Economics
Downloads 1,289
42.

Quantitative Selection of Long-Short Hedge Funds

FAME Research Paper No. 94
Number of pages: 57 Posted: 05 Jan 2005
Working Paper Series
Universite de Lausanne and International Center FAME
Downloads 1,226
43.

Hedge Fund Indices for Retail Investors: UCITS Eligible or Not Eligible?

Swiss Finance Institute Research Paper No. 06-14
Number of pages: 34 Posted: 06 Oct 2006
Working Paper Series
Kedge Capital Fund Management
Downloads 1,208
44.

Real Options and Risk Aversion

Swiss Finance Institute Research Paper
Number of pages: 21 Posted: 17 Jul 2003 Last Revised: 28 Sep 2008
Working Paper Series
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,194
45.

Theory and Calibration of Swap Market Models

FAME Working Paper No. 107
Number of pages: 42 Posted: 27 Feb 2005
Working Paper Series
BNP Paribas Fixed Income, University of Geneva GSEM and GFRI, JP Morgan and BNP Paribas Fixed Income

Multiple version iconThere are 2 versions of this paper

Downloads 1,167
46.

Managerial Incentives to Take Asset Risk

Swiss Finance Institute Research Paper No. 10-18
Number of pages: 59 Posted: 25 Apr 2010 Last Revised: 14 Apr 2016
Working Paper Series
University of Zurich - Swiss Banking Institute (ISB), Swiss Finance Institute and University of Zurich - Department of Banking and Finance
Downloads 1,159
47.

This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis

Charles A. Dice Center Working Paper No. 2011-10 , Fisher College of Business Working Paper No. 2011-03-010, AFA 2012 Chicago Meetings Paper, Swiss Finance Institute Research Paper No. 11-19
Number of pages: 55 Posted: 07 Mar 2011 Last Revised: 12 Oct 2011
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Tulane University - A.B. Freeman School of Business and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,150
48.

A Macroeconomic Framework for Quantifying Systemic Risk

Fama-Miller Working Paper, Swiss Finance Institute Research Paper No. 13-42, Chicago Booth Research Paper No. 12-37
Number of pages: 52 Posted: 21 Aug 2012 Last Revised: 17 Apr 2015
Working Paper Series
University of Chicago - Booth School of Business, and NBER and Northwestern University - Kellogg School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 1,133
49.

Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory

Swiss Finance Institute Research Paper No. 12-21
Number of pages: 47 Posted: 18 May 2012 Last Revised: 20 Mar 2017
Working Paper Series
Swiss Finance Institute at the University of Lugano, Ecole Polytechnique Fédérale de Lausanne and Santa Clara University - Leavey School of Business
Downloads 1,132
50.

Evolutionary Finance

Swiss Finance Institute Research Paper No. 08-14
Number of pages: 60 Posted: 04 Jul 2008 Last Revised: 17 Dec 2008
Working Paper Series
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads 1,126