Rajna Gibson

University of Geneva - Geneva Finance Research Institute (GFRI)

Professor in Finance

40 Boulevard du Pont d'Arve

Geneva 4, 1211

Switzerland

SCHOLARLY PAPERS

33

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Top 7,758

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60

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Scholarly Papers (33)

Modeling the Term Structure of Interest Rates: A Review of the Literature

Number of pages: 97 Posted: 23 Jul 2001
Francois Lhabitant, Rajna Gibson and Denis Talay
Kedge Capital Fund Management, University of Geneva - Geneva Finance Research Institute (GFRI) and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 2,756 (4,025)

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Interest rates, term structure models

Modeling the Term Structure of Interest Rates: A Review of the Literature

Foundations and Trends in Finance, Vol. 5, No. 1-2, 2010
Number of pages: 171 Posted: 29 Feb 2012
Rajna Gibson, Francois Lhabitant and Denis Talay
University of Geneva - Geneva Finance Research Institute (GFRI), Kedge Capital Fund Management and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 2 (655,602)
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term structure, interest rates, continuous-time models

2.

The Sustainability Footprint of Institutional Investors

Swiss Finance Institute Research Paper No. 17-05, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 571/2018
Number of pages: 70 Posted: 16 Feb 2017 Last Revised: 15 Aug 2018
Rajna Gibson and Philipp Krueger
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 1,373 (13,072)

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Investment horizon, institutional investors, sustainability footprint, environmental footprint, social footprint, portfolio turnover, investment horizon, risk-adjusted performance, CSR, ESG impact, socially responsible investing, sustainable investing, impact investing

3.

Style Consistency and Survival Probability in the Hedge Funds Industry

EFA 2001 Barcelona Meetings; EFMA 2001 Lugano Meetings
Number of pages: 25 Posted: 15 Jun 2001
affiliation not provided to SSRN, University of Geneva - Geneva Finance Research Institute (GFRI) and affiliation not provided to SSRN
Downloads 1,150 (17,172)

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4.

Hedge Fund Alphas: Do They Reflect Managerial Skills or Mere Compensation for Liquidity Risk Bearing?

Swiss Finance Institute Research Paper No. 08-37
Number of pages: 67 Posted: 21 Nov 2008 Last Revised: 24 Mar 2010
Rajna Gibson and Songtao Wang
University of Geneva - Geneva Finance Research Institute (GFRI) and affiliation not provided to SSRN
Downloads 934 (23,380)

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Hedge Funds, Liquidity Risk, Managerial Skills, Predictability

5.

Preferences for Truthfulness: Heterogeneity Among and Within Individuals

American Economic Review, 2013, vol. 103, pp. 532-548, Swiss Finance Institute Research Paper No. 08-48
Number of pages: 40 Posted: 06 Jan 2009 Last Revised: 03 Jun 2013
University of Geneva - Geneva Finance Research Institute (GFRI), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 732 (32,931)

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Ethics, incentives, protected values, social norms, earnings management, truthfulness, honesty

6.

Hedge Fund Allocation with Survival Uncertainty and Investment Constraints

EFMA 2002 London Meetings
Number of pages: 50 Posted: 28 Jan 2002
affiliation not provided to SSRN, University of Geneva - Geneva Finance Research Institute (GFRI) and affiliation not provided to SSRN
Downloads 719 (33,744)

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Hedge Fund, Portfolio Optimization

7.
Downloads 415 ( 68,285)

Margining and the Stability of the Banking Sector

Swiss Finance Institute Research Paper No. 08-43
Number of pages: 53 Posted: 09 Dec 2008 Last Revised: 03 Jan 2011
Rajna Gibson and Carsten Murawski
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Melbourne - Department of Finance
Downloads 303 (97,459)

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Derivative Securities, Default Risk, Collateral, Margining, Systemic Risk

The Price of Protection: Derivatives, Default Risk, and Margining

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 57 Posted: 26 Aug 2007 Last Revised: 25 Oct 2008
Rajna Gibson and Carsten Murawski
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Melbourne - Department of Finance
Downloads 112 (242,025)

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derivative securities, default risk, collateral, margining, systemic risk

8.

The Determinants of Banks' Lobbying Activities before and during the 2007-2009 financial crisis

Number of pages: 54 Posted: 15 Mar 2011 Last Revised: 19 May 2018
Rajna Gibson, Alper Odabasioglu and Miret Padovani
University of Geneva - Geneva Finance Research Institute (GFRI), London School of Economics & Political Science (LSE) - Systemic Risk Centre and Vienna University of Economics and Business
Downloads 357 (81,505)

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banking, lobbying, networks, political connections, financial crisis, financial regulatory reform, Dodd-Frank bill, Volcker rule

9.

Stock Market Performance and the Term Structure of Credit Spreads

EFA 2004 Maastricht Meetings Paper No. 1638
Number of pages: 35 Posted: 24 Aug 2004
Andriy Demchuk and Rajna Gibson
International Center FAME and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 354 (82,323)

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10.

Default Risk Mitigation Mechanisms in Derivatives Markets

Number of pages: 8 Posted: 06 Oct 2008
Rajna Gibson and Carsten Murawski
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Melbourne - Department of Finance
Downloads 348 (83,970)

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Derivative securities, default risk, collateral, margining, central counterparty

11.

Does Market Irrationality in the Media Affect Stock Returns?

Swiss Finance Institute Research Paper No. 15-25
Number of pages: 51 Posted: 12 Aug 2015 Last Revised: 19 Aug 2015
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva and University of St. Gallen
Downloads 342 (85,670)

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Linguistics, Market Irrationality, Mean-Reversion, Media, Stock Market Returns, Volatility.

12.

Why Have Exchange-Traded Catastrophe Instruments Failed to Displace Reinsurance?

EFA 2007 Ljubljana Meetings Paper
Number of pages: 42 Posted: 26 Feb 2007
University of Geneva - Geneva Finance Research Institute (GFRI), University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 338 (86,814)

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Catastrophe risk, insurance, reinsurance, financial markets, private and public financing

13.

A Methodology to Analyze Model Risk with an Application to Discount Bond Options in a Heath-Jarrow-Morton Framework

Risklab Research Report
Number of pages: 42 Posted: 10 Jul 2001
Kedge Capital Fund Management, Institut National de Recherche en Informatique et Automatique (INRIA), University of Geneva - Geneva Finance Research Institute (GFRI), French National Institute for Research in Computer Science and Control (INRIA) and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Downloads 324 (91,034)

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model risk, interest rate risk, Heath-Jarrow-Morton

14.
Downloads 314 ( 94,184)

Investing in Managerial Honesty

Swiss Finance Institute Research Paper No. 17-03, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 516/2017
Number of pages: 89 Posted: 07 Feb 2017 Last Revised: 19 Mar 2019
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
Downloads 314 (93,620)

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earnings management, honesty, investor preferences, investor segmentation, protected values

Investing in Managerial Honesty

CEPR Discussion Paper No. DP13207
Number of pages: 76 Posted: 02 Oct 2018
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
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Earnings management, honesty, investor preferences, investor segmentation, protected values, social value orientation, Trust

The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading

Swiss Finance Institute Research Paper No. 09-11
Number of pages: 51 Posted: 31 Mar 2009 Last Revised: 18 Jan 2010
Ramazan Gencay, Rajna Gibson and Yi Xue
Simon Fraser University, University of Geneva - Geneva Finance Research Institute (GFRI) and Department of Economics, Simon Fraser University
Downloads 215 (138,976)

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Informed traders, options, stocks, signal precision, transaction costs, volatility trading

The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading

Number of pages: 51 Posted: 11 Mar 2010
Ramazan Gencay, Rajna Gibson and Yi Xue
Simon Fraser University, University of Geneva - Geneva Finance Research Institute (GFRI) and University of International Business and Economics (UIBE)
Downloads 54 (374,299)

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options, signal precision, transaction costs, volatility trading

16.

Financial Integration, Economic Instability and Trade Structure in Emerging Markets

EFA 2005 Moscow Meetings
Number of pages: 44 Posted: 01 Feb 2005
Anthony Chambet and Rajna Gibson
affiliation not provided to SSRN and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 249 (120,505)

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Emerging markets, economic instability, stock market integration, international trade

17.

How Effective Are Social Norm Interventions in Corporations? Evidence from a Laboratory Experiment on Earnings Misrepresentation

Swiss Finance Institute Research Paper No. 15-01
Number of pages: 66 Posted: 30 Jan 2015 Last Revised: 29 Mar 2017
University of Geneva - Geneva Finance Research Institute (GFRI), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 243 (123,508)

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Behavioral finance, corporate governance, earnings misrepresentation, honesty, laboratory experiments, social finance, social norm interventions

18.

Market Belief Risk and the Cross-Section of Stock Returns

Swiss Finance Institute Research Paper No. 12-37
Number of pages: 58 Posted: 08 Dec 2012
Rajna Gibson and Songtao Wang
University of Geneva - Geneva Finance Research Institute (GFRI) and Shanghai Jiao Tong University
Downloads 235 (127,761)

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Analysts' EPS Forecasts, Heterogeneous Beliefs, Market Belief Risk, Cross-Section of Stock Returns

19.

The Pricing of Interest Rate and Credit Risks in Equity Returns: An Empirical Cross-Country Comparison

Number of pages: 42 Posted: 16 Feb 2002
Rajna Gibson and Anthony Chambet
University of Geneva - Geneva Finance Research Institute (GFRI) and affiliation not provided to SSRN
Downloads 192 (154,886)

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Do Newly Listed Derivatives Affect the Market Risk Premium in a Thin Stock Market?

Number of pages: 32 Posted: 03 Jul 2001
Nicolas Clerc and Rajna Gibson
ETH Zürich and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 192 (154,801)

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futures, non-redundancy, options, time-varying risk premium, volatility

Do Newly Listed Derivatives Affect the Market Risk Premium in a Thin Stock Market?

European Finance Review, Vol. 4, No. 2, 2000
Posted: 13 Jun 2001
Nicolas Clerc and Rajna Gibson
ETH Zürich and University of Geneva - Geneva Finance Research Institute (GFRI)

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non-redundancy, options, futures, time-varying risk premium, volatility

21.

Stock Options and Managers' Incentives to Cheat

Number of pages: 46 Posted: 20 Jan 2005
Marc Chesney and Rajna Gibson
University of Zurich - Department of Banking and Finance and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 160 (181,881)

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Executive compensation, fraud, incentives, stock options

22.

Long/Short Equity Hedge Funds and Systematic Ambiguity

Swiss Finance Institute Research Paper No. 14-05
Number of pages: 40 Posted: 08 Feb 2014
Rajna Gibson and Nikolay Ryabkov
University of Geneva - Geneva Finance Research Institute (GFRI) and affiliation not provided to SSRN
Downloads 146 (196,309)

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Ambiguity, Asset Allocation, Long/Short Equity Hedge Funds, Performance Measurement

23.

How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?

Swiss Finance Institute Research Paper No. 16-52
Number of pages: 81 Posted: 04 Aug 2016 Last Revised: 12 Dec 2018
Ines Chaieb, Vihang R. Errunza and Rajna Gibson
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 132 (212,969)

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CDS spreads, credit quality, currency risk, liquidity, macroeconomic risk, political risk, sovereign bond market integration, sovereign funding cost.

Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Swiss Finance Institute Research Paper No. 14-47
Number of pages: 65 Posted: 16 Jul 2014
Ines Chaieb, Vihang R. Errunza and Rajna Gibson
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 104 (255,215)

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market integration, term structure of integration, sovereign bond markets, political risk, developed markets, emerging markets, sovereign risk

Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects

Number of pages: 63 Posted: 15 Jul 2014
Ines Chaieb, Vihang R. Errunza and Rajna Gibson
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 19 (535,822)

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market integration, term structure of integration, sovereign bond markets, political risk, developed markets, emerging markets, sovereign risk.

25.

Stock Market Performance and the Term Structure of Credit Spreads

EFMA 2004 Basel Meetings Paper; NCCR-FINRISK Working Paper
Number of pages: 42 Posted: 06 May 2004
Andriy Demchuk and Rajna Gibson
International Center FAME and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 92

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credit spreads, stock market index, leverage ratio

26.

Margining in Derivatives Markets and the Stability of the Banking Sector

Number of pages: 73 Posted: 21 Feb 2011
Rajna Gibson and Carsten Murawski
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Melbourne - Department of Finance
Downloads 54 (368,564)

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Derivative Securities, Default Risk, Collateral, Margining, Systemic Risk

27.

The Style Consistency of Hedge Funds

European Financial Management, Vol. 13, No. 2, pp. 287-308, March 2007
Number of pages: 22 Posted: 04 Mar 2007
Rajna Gibson and Sébastien Gyger
University of Geneva - Geneva Finance Research Institute (GFRI) and affiliation not provided to SSRN
Downloads 16 (534,931)
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28.

Understanding Honesty: An Experiment Regarding Heterogeneous Responses to Situational Social Norms

CEPR Discussion Paper No. DP9880
Number of pages: 48 Posted: 02 Jun 2014
University of Geneva - Geneva Finance Research Institute (GFRI), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 1 (638,107)
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Conformity, Honesty, Pro-social concern, Protected values, Self-signaling, Situational social norms

29.

Default Risk Mitigation in Derivatives Markets and its Effectiveness

EFA 2006 Zurich Meetings Paper
Posted: 09 Jun 2006
Carsten Murawski and Rajna Gibson
University of Melbourne - Department of Finance and University of Geneva - Geneva Finance Research Institute (GFRI)

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Derivative securities, over-the-counter markets, default risk, systemic risk, central counterparty

30.

Performance in the Hedge Funds Industry: An Analysis of Short and Long-Term Persistence

Journal of Alternative Investments, Vol. 6, No. 3, pp. 25-41, Winter 2003
Posted: 16 Jan 2004
affiliation not provided to SSRN, University of Geneva - Geneva Finance Research Institute (GFRI) and affiliation not provided to SSRN

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Investment analysis, Portfolio management, Hedge funds, performance persistence

31.

The Investment Policy and the Pricing of Equity in a Levered Firm: A Reexamination of the Contingent Claims' Valuation Approach

Posted: 22 May 2000
Marc Chesney and Rajna Gibson
University of Zurich - Department of Banking and Finance and University of Geneva - Geneva Finance Research Institute (GFRI)

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32.

A Model of Sovereign Borrowing and Sovereign Yield Spreads

EFA 0044; PaineWebber Series at Columbia University
Posted: 19 May 2000
Rajna Gibson and Suresh M. Sundaresan
University of Geneva - Geneva Finance Research Institute (GFRI) and Columbia Business School - Finance and Economics

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33.

On the Predictability of the Stock Market Volatility: Does History Matter?

European Financial Management
Posted: 11 Feb 1998
Kpate Adjaoute, Martin Bruand and Rajna Gibson
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Geneva - Geneva Finance Research Institute (GFRI)

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