Rajna Gibson

University of Geneva - Geneva Finance Research Institute (GFRI)

Professor in Finance

40 Boulevard du Pont d'Arve

Geneva 4, Geneva 1211

Switzerland

European Corporate Governance Institute (ECGI)

c/o the Royal Academies of Belgium

Rue Ducale 1 Hertogsstraat

1000 Brussels

Belgium

SCHOLARLY PAPERS

40

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Top 1,588

in Total Papers Downloads

26,672

SSRN CITATIONS
Rank 8,260

SSRN RANKINGS

Top 8,260

in Total Papers Citations

68

CROSSREF CITATIONS

88

Scholarly Papers (40)

1.

ESG Rating Disagreement and Stock Returns

Swiss Finance Institute Research Paper No. 19-67, European Corporate Governance Institute – Finance Working Paper No. 651/2020, Financial Analyst Journal, Forthcoming
Number of pages: 57 Posted: 10 Aug 2019 Last Revised: 23 Aug 2021
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva Finance Research Institute (GFRI) and University of Zurich - Department of Business Administration
Downloads 6,695 (1,495)
Citation 33

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ESG ratings, disagreement, non-financial information, stock returns, equity cost of capital, sustainable finance

2.

The Sustainability Footprint of Institutional Investors: ESG Driven Price Pressure and Performance

Swiss Finance Institute Research Paper No. 17-05, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 571/2018
Number of pages: 77 Posted: 16 Feb 2017 Last Revised: 21 Jan 2021
Rajna Gibson, Philipp Krueger and Shema F. Mitali
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva Finance Research Institute (GFRI) and Ecole Polytechnique Fédérale de Lausanne
Downloads 3,599 (4,306)
Citation 29

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ESG, sustainability footprint, environmental footprint, social footprint, risk-adjusted performance, price pressure, price impact, institutional investors, investment horizon, socially responsible investing, sustainable investing

3.

Do Responsible Investors Invest Responsibly?

Swiss Finance Institute Research Paper No. 20-13, European Corporate Governance Institute – Finance Working Paper 712/2020
Number of pages: 69 Posted: 23 Feb 2020 Last Revised: 09 Feb 2022
University of Geneva - Geneva Finance Research Institute (GFRI), Board of Governors of the Federal Reserve System, University of Geneva - Geneva Finance Research Institute (GFRI), University of Virginia - Darden School of Business and Osmosis Investment Management
Downloads 3,401 (4,785)
Citation 18

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ESG, SRI, PRI, socially responsible investing, sustainability, institutional investors, greenwashing

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 2,894 (6,147)
Citation 4

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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 (912,865)
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term structure, interest rates, continuous-time models

5.

Style Consistency and Survival Probability in the Hedge Funds Industry

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 1,182 (25,260)
Citation 23

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6.

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 Shanghai Jiao Tong University
Downloads 969 (33,590)
Citation 3

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Hedge Funds, Liquidity Risk, Managerial Skills, Predictability

7.

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 804 (43,537)
Citation 46

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

8.

Hedge Fund Allocation with Survival Uncertainty and Investment Constraints

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 739 (48,692)
Citation 7

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Hedge Fund, Portfolio Optimization

9.

The Economics of Sustainability Linked Bonds

Swiss Finance Institute Research Paper No. 22-26, European Corporate Governance Institute – Finance Working Paper No. 820/2022
Number of pages: 57 Posted: 16 Mar 2022 Last Revised: 09 Aug 2022
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 495 (81,284)

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ESG investing, sustainability linked bonds, security design, managerial incentives, mispricing

10.

Banks' Lobbying Determinants: Insights from the GFC and the Trump Presidency

European Corporate Governance Institute – Finance Working Paper No. 784/2021
Number of pages: 58 Posted: 15 Mar 2011 Last Revised: 09 Sep 2021
Rajna Gibson and Alper Odabasioglu
University of Geneva - Geneva Finance Research Institute (GFRI) and Bank of Canada
Downloads 494 (81,688)
Citation 1

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banking, deregulation, Dodd-Frank bill, Global Financial Crisis, lobbying, networks, Trump Presidency, Volcker rule

Earnings Management and Managerial Honesty: The Investors’ Perspectives

Swiss Finance Institute Research Paper No. 17-03, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 516/2017, LawFin Working Paper No. 7
Number of pages: 47 Posted: 07 Feb 2017 Last Revised: 26 Jul 2022
University of Geneva - Geneva Finance Research Institute (GFRI), European University Viadrina Frankfurt (Oder), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 449 (90,228)
Citation 1

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

Earnings Management and Managerial Honesty: The Investors&Apos; Perspectives

CEPR Discussion Paper No. DP13207
Number of pages: 84 Posted: 02 Oct 2018 Last Revised: 11 Feb 2021
University of Geneva - Geneva Finance Research Institute (GFRI), European University Viadrina Frankfurt (Oder), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
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12.
Downloads 435 ( 94,441)
Citation 2

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 314 (135,050)

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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 121 (319,535)
Citation 2

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

13.

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 372 (113,006)

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

14.

Stock Market Performance and the Term Structure of Credit Spreads

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 366 (115,109)

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15.

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 364 (115,828)

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

16.

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 362 (116,563)
Citation 10

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

17.

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 335 (126,873)

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

18.

Moral commitment: Does it reduce or enhance the response to social norms? Evidence from an experiment on earnings management

Swiss Finance Institute Research Paper No. 15-01
Number of pages: 61 Posted: 30 Jan 2015 Last Revised: 09 Apr 2021
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 333 (127,714)

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

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 228 (186,566)

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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 61 (486,098)

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options, signal precision, transaction costs, volatility trading

20.

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 262 (163,540)
Citation 2

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

21.

Measuring Sovereign Bond Market Integration

Swiss Finance Institute Research Paper No. 16-52. , Forthcoming, Review of Financial Studies
Number of pages: 66 Posted: 04 Aug 2016 Last Revised: 03 Oct 2019
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 253 (169,304)
Citation 2

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Credit Default Swap, credit quality, liquidity risk, macroeconomic risk, political stability, sovereign bond market integration, sovereign funding cost

22.

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 248 (172,543)

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

23.

The Valuation of Illiquid Assets: A Focus on Private Equity and Real Estate

Swiss Finance Institute Research Paper No. 22-12, Forthcoming, Journal of Alternative Investments
Number of pages: 29 Posted: 03 Feb 2022 Last Revised: 06 Feb 2022
Rajna Gibson, Martin Hoesli and Jiajun Shan
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva School of Economics and Management (GSEM) and University of Geneva
Downloads 225 (190,132)

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Valuation; Illiquid Assets; Private Equity; Real Estate; Real Options

24.

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 199 (212,328)

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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 197 (214,111)
Citation 1

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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?

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

26.

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 175 (237,420)

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

27.

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 175 (237,420)
Citation 3

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Executive compensation, fraud, incentives, stock options

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 111 (339,822)
Citation 1

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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 29 (652,746)
Citation 1

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

29.

Stock Market Performance and the Term Structure of Credit Spreads

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 93
Citation 2

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credit spreads, stock market index, leverage ratio

30.

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 63 (471,510)
Citation 3

Abstract:

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

31.

Do Wealth Managers understand Codes of Conduct and their ethical dilemmas? Lessons from an online survey

European Corporate Governance Institute – Finance Working Paper No. 801/2021
Number of pages: 84 Posted: 08 Nov 2021 Last Revised: 16 May 2022
Ewa Lombard and Rajna Gibson
GSCM-Montpellier Business School and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 46 (542,325)

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code of conduct corporate governance, client interest, financial security, ethical dilemmas,online survey, social norms

32.

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 (733,903)

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33.

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 (889,430)
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Conformity, Honesty, Pro-social concern, Protected values, Self-signaling, Situational social norms

34.

Earnings Belief Risk and the Cross-Section of Stock Returns

Review of Finance, Volume 24, Issue 5, September 2020, Pages 1107–1158.
Posted: 09 Mar 2021
Rajna Gibson and Songtao Wang
University of Geneva - Geneva Finance Research Institute (GFRI) and Shanghai Jiao Tong University

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Analysts' EPS forecasts, Asset pricing, Earnings belief risk, EPS forecasting models, Heterogeneity of beliefs.

35.

Liquidity Risk, Return Predictability, and Hedge Funds’ Performance: An Empirical Study

Journal of Financial and Quantitative Analysis, Vol. 48, No. 1, Feb. 2013, pp. 219–244
Posted: 03 Mar 2021
Rajna Gibson and Songtao Wang
University of Geneva - Geneva Finance Research Institute (GFRI) and Shanghai Jiao Tong University

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36.

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

37.

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

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

38.

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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39.

A Model of Sovereign Borrowing and Sovereign Yield Spreads

Posted: 19 May 2000
Rajna Gibson and Suresh M. Sundaresan
University of Geneva - Geneva Finance Research Institute (GFRI) and Columbia University - Columbia Business School, Finance

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40.

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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