Rajna Gibson

European Corporate Governance Institute (ECGI)

c/o the Royal Academies of Belgium

Rue Ducale 1 Hertogsstraat

1000 Brussels

Belgium

University of Geneva - Geneva Finance Research Institute (GFRI)

Professor in Finance

40 Boulevard du Pont d'Arve

Geneva 4, Geneva 1211

Switzerland

SCHOLARLY PAPERS

35

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14,722

SSRN CITATIONS
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Top 9,052

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55

CROSSREF CITATIONS

72

Scholarly Papers (35)

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, European Corporate Governance Institute (ECGI) and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 2,807 (4,541)
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
European Corporate Governance Institute (ECGI), Kedge Capital Fund Management and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 2 (728,295)
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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
European Corporate Governance Institute (ECGI) and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 1,879 (9,074)
Citation 18

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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

Number of pages: 25 Posted: 15 Jun 2001
affiliation not provided to SSRN, European Corporate Governance Institute (ECGI) and affiliation not provided to SSRN
Downloads 1,158 (19,353)
Citation 23

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4.

ESG Rating Disagreement and Stock Returns

Swiss Finance Institute Research Paper No. 19-67, European Corporate Governance Institute – Finance Working Paper No. 651/2020
Number of pages: 55 Posted: 10 Aug 2019 Last Revised: 30 Jun 2020
European Corporate Governance Institute (ECGI), University of Geneva - Geneva Finance Research Institute (GFRI) and University of Zurich - Department of Banking and Finance
Downloads 963 (25,414)
Citation 9

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Disagreement, non-financial information, ESG ratings dispersion, heterogeneous beliefs, stock returns, legal origins, sustainable finance

5.

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
European Corporate Governance Institute (ECGI) and affiliation not provided to SSRN
Downloads 947 (25,961)
Citation 3

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Hedge Funds, Liquidity Risk, Managerial Skills, Predictability

6.

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
European Corporate Governance Institute (ECGI), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 762 (35,226)
Citation 40

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

7.

Hedge Fund Allocation with Survival Uncertainty and Investment Constraints

Number of pages: 50 Posted: 28 Jan 2002
affiliation not provided to SSRN, European Corporate Governance Institute (ECGI) and affiliation not provided to SSRN
Downloads 727 (37,585)
Citation 7

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Hedge Fund, Portfolio Optimization

8.
Downloads 423 ( 75,025)
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
European Corporate Governance Institute (ECGI) and University of Melbourne - Department of Finance
Downloads 307 (107,459)

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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
European Corporate Governance Institute (ECGI) and University of Melbourne - Department of Finance
Downloads 116 (261,741)
Citation 2

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

9.

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
European Corporate Governance Institute (ECGI), Bank of Canada and Vienna University of Economics and Business
Downloads 388 (82,960)
Citation 1

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

What Does Earnings Management Signal? The Role of Managerial Honesty in Investment Decisions

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: 21 Nov 2019
European Corporate Governance Institute (ECGI), European University Viadrina Frankfurt (Oder), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 368 (87,560)
Citation 2

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

What Does Earnings Management Signal? The Role of Managerial Honesty in Investment Decisions

CEPR Discussion Paper No. DP13207
Number of pages: 85 Posted: 02 Oct 2018 Last Revised: 02 Dec 2019
European Corporate Governance Institute (ECGI), 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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Earnings management, honesty, investor preferences, investor segmentation, protected values, social value orientation, Trust

11.

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 European Corporate Governance Institute (ECGI)
Downloads 360 (90,502)

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12.

Default Risk Mitigation Mechanisms in Derivatives Markets

Number of pages: 8 Posted: 06 Oct 2008
Rajna Gibson and Carsten Murawski
European Corporate Governance Institute (ECGI) and University of Melbourne - Department of Finance
Downloads 355 (91,936)

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

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
European Corporate Governance Institute (ECGI), University of Geneva and University of St. Gallen
Downloads 352 (92,860)

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

14.

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

EFA 2007 Ljubljana Meetings Paper
Number of pages: 42 Posted: 26 Feb 2007
European Corporate Governance Institute (ECGI), University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 352 (92,860)
Citation 10

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

15.

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), European Corporate Governance Institute (ECGI), 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 327 (100,844)

Abstract:

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

16.

Responsible Institutional Investing Around the World

Swiss Finance Institute Research Paper No. 20-13
Number of pages: 67 Posted: 23 Feb 2020 Last Revised: 08 May 2020
European Corporate Governance Institute (ECGI), University of Virginia - Darden School of Business, University of Geneva - Geneva Finance Research Institute (GFRI), University of Virginia - Darden School of Business and Osmosis Investment Management
Downloads 319 (104,358)
Citation 8

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

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, European Corporate Governance Institute (ECGI) and Department of Economics, Simon Fraser University
Downloads 221 (150,914)

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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, European Corporate Governance Institute (ECGI) and University of International Business and Economics (UIBE)
Downloads 58 (400,186)

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options, signal precision, transaction costs, volatility trading

18.

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
European Corporate Governance Institute (ECGI), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 274 (121,956)

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

19.

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 European Corporate Governance Institute (ECGI)
Downloads 256 (130,937)
Citation 1

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

20.

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
European Corporate Governance Institute (ECGI) and Shanghai Jiao Tong University
Downloads 242 (138,576)

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

21.

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
European Corporate Governance Institute (ECGI) and affiliation not provided to SSRN
Downloads 195 (170,078)

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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 European Corporate Governance Institute (ECGI)
Downloads 195 (169,907)
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 European Corporate Governance Institute (ECGI)

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

23.

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 European Corporate Governance Institute (ECGI)
Downloads 170 (192,089)
Citation 1

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

24.

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 European Corporate Governance Institute (ECGI)
Downloads 164 (198,055)
Citation 1

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Executive compensation, fraud, incentives, stock options

25.

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
European Corporate Governance Institute (ECGI) and affiliation not provided to SSRN
Downloads 159 (203,325)

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

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 European Corporate Governance Institute (ECGI)
Downloads 108 (275,596)
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 European Corporate Governance Institute (ECGI)
Downloads 24 (558,805)
Citation 1

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

27.

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 European Corporate Governance Institute (ECGI)
Downloads 92
Citation 2

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credit spreads, stock market index, leverage ratio

28.

Margining in Derivatives Markets and the Stability of the Banking Sector

Number of pages: 73 Posted: 21 Feb 2011
Rajna Gibson and Carsten Murawski
European Corporate Governance Institute (ECGI) and University of Melbourne - Department of Finance
Downloads 58 (394,421)
Citation 1

Abstract:

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

29.

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
European Corporate Governance Institute (ECGI) and affiliation not provided to SSRN
Downloads 16 (592,950)
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30.

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

CEPR Discussion Paper No. DP9880
Number of pages: 48 Posted: 02 Jun 2014
European Corporate Governance Institute (ECGI), University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 1 (708,149)
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Conformity, Honesty, Pro-social concern, Protected values, Self-signaling, Situational social norms

31.

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 European Corporate Governance Institute (ECGI)

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

32.

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

Posted: 16 Jan 2004
affiliation not provided to SSRN, European Corporate Governance Institute (ECGI) and affiliation not provided to SSRN

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Investment analysis, Portfolio management, Hedge funds, performance persistence

33.

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 European Corporate Governance Institute (ECGI)

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34.

A Model of Sovereign Borrowing and Sovereign Yield Spreads

Posted: 19 May 2000
Rajna Gibson and Suresh M. Sundaresan
European Corporate Governance Institute (ECGI) and Columbia Business School - Finance and Economics

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35.

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 European Corporate Governance Institute (ECGI)

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