Swiss Finance Institute
Swiss Finance Institute Research Paper Series
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Series handle: repec:chf:rpseri
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2010
- 10-35 The performance of the Eurosystem's fixed rate tenders since 2004: Theory and evidence
by Christian EWERHART & Nuno CASSOLA & Natacha VALLA - 10-34 Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes
by Jeffrey SATINOVER & Didier SORNETTE - 10-32 The value of the liability insurance for Credit Suisse and UBS
by Mario HAEFELI & Matthias P. JUTTNER - 10-31 Alternative Models For Hedging Yield Curve Risk: An Empirical Comparison
by Nicola CARCANO & Hakim DALL'O - 10-30 Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change
by Zhihua CHEN & Aziz A. LOOKMAN & Norman SCHURHOFF & Duane J. SEPPI - 10-29 A structural analysis of the health expenditures and portfolio choices of retired agents
by Julien Hugonnier & Florian Pelgrin & Pascal St-Amour - 10-28 Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem
by Élise PAYZAN LE NESTOUR - 10-27 ALRIGHT: Asymmetric LaRge-Scale(I)GARCH with Hetero-Tails
by Marc S. PAOLELLA - 10-26 Price Impact and Portfolio Impact
by Jaksa CVITANIC & Semyon MALAMUD - 10-24 Bank Bailout Menus
by Sudipto BHATTACHARYA & Kjell G. NYBORG - 10-22 Replicating Hedge Fund Indices with Optimization Heuristics
by Manfred GILLI & Enrico SCHUMANN & Gerda CABEJ & Jonela LULA - 10-21 Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices
by Felix KUBLER & Karl SCHMEDDERS - 10-20 The Price of Liquidity: Bank Characteristics and Market Conditions
by Falko FECHT & Kjell G. NYBORG & Jörg ROCHOLL - 10-19 Macroeconomic Conditions, Growth Opportunities and the Cross-Section of Credit Risk
by Marc ARNOLD & Alexander F. WAGNER & Ramona WESTERMANN - 10-18 Risk-taking Incentives, Governance,and Losses in the Financial Crisis
by Marc CHESNEY & Jacob STROMBERG & Alexander F. WAGNER - 10-17 The Dark Side of Outside Directors: Do they Quit When They are Most Needed?
by Rüdiger Fahlenbrach & Angie Low & René M. Stulz - 10-16 Bubbles Everywhere in Human Affairs
by Monika GISLER & Didier SORNETTE - 10-14 Three Solutions to the Pricing Kernel Puzzle
by Thorsten HENS & Christian REICHLIN - 10-11 Former CEO Directors: Lingering CEOs or Valuable Resources?
by Rüdiger FAHLENBRACH & Bernadette A. MINTON & Carrie H. PAN - 10-10 Optimal Securitization with Heterogeneous Investors
by Semyon MALAMUD & Huaxia RUIZ & Andrew WHINSTON - 10-09 Information Percolation in Segmented Markets
by Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO - 10-06 The Lehman Brothers Effect and Bankruptcy Cascades
by Pawel SIECZKA & Didier SORNETTE & Janusz A. HOLYST - 10-03 Is the Price Kernel Monotone?
by Giovanni BARONE-ADESI & Hakim DALL'O - 10-32 Self-Fulfilling Risk Panics
by Philippe BACCHETTA & Cédric TILLE & Eric VAN WINCOOP
2009
- 10-25 Money and Liquidity in Financial Markets
by Kjell G. NYBORG & Per OSTBERG - 10-23 Microinformation, Nonlinear Filtering and Granularity
by Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT - 10-05 Realizing Smiles: Pricing Options with Realized Volatility
by Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA - 10-01 Housing and its Role in the Household Portfolio in Colombia
by Camilo SERRANO & Martin HOESLI - 09-18 Health and (other) Asset Holdings
by Julien Hugonnier & Florian Pelgrin & Pascal St-Amour - 09-16 The Swiss Housing Market
by Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO - 09-14 A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals
by Li LIN & Ruo En REN & Didier SORNETTE - 09-13 Variance Covariance Orders and Median Preserving
by Semyon MALAMUD & Fabio TROJANI - 09-11 The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading
by Ramazan GENCA & Rajna GIBSON & Yi XUE - 09-09 Dynamic Investment and Financing under Asymmetric Information
by Erwan MORELLEC & Norman SCHURHOFF - 09-08 Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables
by Camilo SERRANO & Martin HOESLI - 09-07 On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market
by Giovanni BARONE-ADESI & Helyette GEMAN & John THEAL - 09-06 An Empirical Analysis of Alternative Portfolio Selection Criteria
by Manfred GILLI & Enrico SCHUMANN
2008
- 09-12 Efficiency in Large Dynamic Panel Models with Common Factor
by Patrick GAGLIARDINI & Christian GOURIEROUX - 08-29 Market Selection of Constant Proportions Investment Strategies in Continuous Time
by Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE - 08-28 Bubbles and multiplicity of equilibria under portfolio constraints
by Julien Hugonnier - 08-26 Mutual Fund Competition in the Presence of Dynamic Flows
by Michèle Breton & Julien Hugonnier & Tarek Masmoudi - 08-23 Incomplete information, idiosyncratic volatility and stock returns
by Tony BERRADA & Julien HUGONNIER - 08-20 Valuing modularity as a real option
by Andrea GAMBA & Nicola FUSARI - 08-14 Evolutionary Finance
by Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé - 08-13 Executive Compensation and Stock Options: An Inconvenient Truth
by Jean-Pierre Danthine & John B. Donaldson - 08-11 The executive turnover risk premium
by Florian S. PETERS & Alexander F. WAGNER - 08-10 Constant-Quality House Price Indexes for Switzerland
by Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO & Philippe SORMANI - 08-09 Cash Sub-additive Risk Measures and Interest Rate Ambiguity
by Nicole EL KAROUI & Claudia RAVANELLI - 08-06 Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
by Eric Jondeau - 08-01 The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing
by Marc Chesney & Luca Taschini - 08-01 Predicting House Prices with Spatial Dependence: Impacts of Alternative Submarket Definitions
by Steven C. Bourassa & Eva Cantoni & Martin Hoesli
2007
- 9602 A Specification Test For Nonparametric Instrumental Variable Regression
by Patrick Gagliardini & Olivier Scaillet - 08-24 A standard repurchase agreement between two counterparties is considered to examine the endogenous choice of collateral, the feasibility of secured lending, and welfare implications of the central bank’s collateral framework. As an innovation, we allow for two-sided counterparty risk. In line with empirical observations, it is shown that the most liquid and least risky assets are used as collateral in market transactions first. An endogenous opportunity cost arises from using liquid collateral with the central bank. Conditions are identified such that expected utility increases for all market participants when the central bank accepts a broader range
by Christian Ewerhart & Jens Tapking - 08-05 Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs
by Pierre Bajgrowicz & Olivier Scaillet - 07-34 Dynamic Option-Based Strategies under Downside Loss Averse Preferences
by Amine Jalal - 07-33 Executive Compensation: The View from General Equilibrium
by Jean-Pierre Danthine & John B. Donaldson - 07-30 Prospect Theory for Continuous Distributions Games and Prospects
by Marc Oliver Rieger & Mei Wang - 07-29 Co-monotonicity of optimal investments and the design of structured financial products
by Marc Oliver Rieger - 07-28 Co-monotonicity of optimal investments and the design of structured financial products
by Marc Oliver Rieger - 07-26 Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
by Gregory Connor & Matthias Hagmann & Oliver Linton - 07-23 Asset Pricing, Habit Memory, and the Labor Market
by Ivan Jaccard - 07-22 Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations
by Christian Ewerhart & Nuno Cassola & Natacha Valla - 07-21 Financial Market Equilibria With Cumulative Prospect Therory
by Enrico De Giorgi & Thorsten Hens & Marc Oliver Rieger - 07-20 Do Stylised Facts of Order Book Markets Need Strategic Behaviour?
by Dan Ladley & Klaus Reiner Schenk-Hoppe - 07-19 Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle
by Ivan Jaccard - 07-18 Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets
by Alena Audzeyeva & Klaus Reiner Schenk-Hoppe - 07-17 Director Independence as Strategic Behavior
by Alexander F. WAGNER - 07-16 Why Firms Purchase Property Insurance?
by Daniel Aunon-Nerin & Paul Ehling - 07-15 Conspicuous Conservatism In Risk Choice
by Boaz Moselle & François Degeorge & Richard Zeckhauser - 07-14 Stochastic Reference Points And The Dependence Structure
by Enrico De Giorgi & Thierry Post - 07-12 Anomalies In Intertemporal Choice?
by Anke Gerber & Kirsten I.M. Rohde - 07-10 Stochastic Volatility: Risk Minimization and Model Risk
by Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe - 07-06 Aggregating Phillips Curves
by Jean Imbs & Eric Jondeau & Florian Pelgrin - 07-01 An Objective Function for Simulation Based Inference on Exchange Rate Data
by Peter Winker & Manfred Gilli & Vahidin Jeleskovic
2006
- 08-22 Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions
by Francesco A. Franzoni - 08-08 CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
by Simon A. BRODA & Marc S. PAOLELLA - 08-03 Nonparametric Instrumental Variable Estimators of Structural Quantile Effects
by Victor Chernozhukov & Patrick Gagliardini & Olivier Scaillet - 07-27 Hybrid Cat-bonds
by Pauline Barrieu & Henri Loubergé - 07-24 Testing For Equality Between Two Copulas
by Bruno Rémillard & Olivier Scaillet - 07-11 Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges
by Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang - 07-09 Benchmarks in Aggregate Household Portfolios
by Pascal St-Amour - 07-08 Bankcruptcy Law and Firms’ Behavior
by Anne Epaulard & Aude Pommeret - 07-07 Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers & Philipp J. Schoenbucher - 07-04 Why Do the Swiss Rent?
by Steven C. Bourassa & Martin Hoesli - 06-39 Pricing Interest Rate-SensitiveCredit Portfolio Derivatives
by Philippe Ehlers & Philipp J. Schonbucher - 06-38 On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach
by Terje Lensberg & Klaus Reiner Schenk-Hoppe - 06-37 House Prices, Real Estate Returns and the Business Cycle
by Ivan Jaccard - 06-36 Finance and Efficiency: Do Bank Branching Regulations Matter?
by Viral V. Acharya & Jean Imbs & Jason Sturgess - 06-35 The Economic Value of Distributional Timing
by Eric Jondeau & Michael Rockinger - 06-33 Robust Subsampling
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - 06-32 Local Transformation Kernel Density Estimation of Loss Distributions
by J. Gustafsson & M. Hagmann & J.P. Nielsen & O. Scaillet - 06-31 The Determinants of Mutual Fund Performance: A Cross-Country Study
by Miguel A. Ferreira & António F. Miguel & Sofia Ramos - 06-30 Tikhonov Regularization for Functional Minimum Distance Estimators
by P. Gagliardini & O. Scaillet - 06-28 The Impact of News on Higher Moments
by Eric Jondeau & Michael Rockinger - 06-26 An Econometric Analysis of Emission Trading Allowances
by Marc S. Paoletta & Luca Taschini - 06-25 Insuring a risky investment project
by Henri Loubergé & Richard Watt - 06-24 The Quality of Public Information and The Term Structure of Interest Rates
by Frederik Lundtofte - 06-22 Financing and Takeovers
by Erwan Morellec & Alexei Zhdanov - 06-18 Intangible Capital, Corporate Valuation and Asset Pricing
by Jean-Pierre Danthine & Xiangrong JIN - 06-17 Corporate Finance in Europe: A Survey
by Francois Degeorge & Ernst Maug - 06-16 Exchange Rate Volatility and Productivity Growth: The Role of Financial Development
by Philippe Aghion & Philippe Baccheta & Romain Ranciere & Kenneth Rogoff - 06-14 Hedge Fund Indices for Retail Investors: UCITS Eligible or not Eligible?
by François-Serge Lhabitant - 06-09 Growth and Volatility
by Jean Imbs - 06-06 What Jump Process to use to Model S&P500 Returns?
by Maria Semenova - 06-05 Model Combination and Stock Return Predictability
by Matthias Hagmann & Joachim Loebb - 06-01 Stock Returns in Mergers and Acquisitions
by Dirk Hackbarth & Erwan Morellec
2005
- 08-18 False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
by Laurent BARRAS & Olivier SCAILLET & Russ WERMERS - 07-31 Robust Value at Risk Prediction
by Loriano Mancini & Fabio Trojani - 06-34 Loyalty and competence: Empirical evidence from public agencies
by Alexander F. Wagner - 06-27 Portfolio Choice with Loss Aversion, Asymmetric Risk-Taking Behavior and Segregation of Riskless Opportunities
by Martin Vlcek - 06-19 What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
by Bernard Dumas & Alexander Kurshev & Raman Uppal - 06-03 The Overhang Hangover
by Jean Imbs & Romain Rancière
2004
- 10-07 Efficient Derivative Pricing By The Extended Method of Moments
by Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT - 08-04 Implied Volatility at Expiration
by Alexey Medvedev - 07-03 A GARCH Option Pricing Model in Incomplete Markets
by Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini - 06-13 ‘Running in the Family’ The Evolution of Ownership,Control and Performance in German Familyowned Firms, 1903-2003
by Olaf Ehrhardt & Eric NOWAK & Felix-Michael WEBER - 06-12 Unifications of Dual-Class Shares in Germany Empirical Evidence on the Effects ofRelated Changes in Ownership Structure, Market Value, and Bid-Ask Spreadsnce from the German Stock Market
by Olaf Ehrhardt & Jan Kuklinski & Eric Nowak - 06-11 The (Ir)relevance of Disclosure of Compliance with Corporate Governance Codes - Evidence from the German Stock Market
by Eric Nowak & Roland Rott & Till G. Mahr
2003
- 07-05 Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments
by Peter Bossaerts & Charles Plott & William R. Zame - 06-23 Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy
by Frederik Lundtofte - 06-07 Bounded Rationality and Asset Pricing
by Tony Berrada
Undated
- 11-54 A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives
by Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG - 11-53 Do Hedge Funds Manipulate Stock Prices?
by Itzhak Ben-David & Francesco A. Franzoni & Augustin Landier & Rabih Moussawi - 11-52 Multivariate Asset Return Prediction with Mixture Models
by Marc S. Paolella - 11-51 Collateral Smile
by Markus LEIPPOLD & Lujing SU - 11-49 We present a comprehensive model of household tenure choice that allows for the taxation of imputed rental income and capital gains, deductions of mortgage interest and property taxes, subsidies to owners and renters, and borrowing constraints. This model is used to guide our review of the literature that analyzes the impact of country tax and subsidy policies toward housing and to focus our critiques of various methodologies. We discuss the impact of factors such as house price capitalization effects and individuals’ choices of household structure, loan-to-value ratio, and wealth accumulation on the likelihood of homeownership. We argue that the best empirical studies are ones that use panel household-level data and have access to a large set of measures of housing taxes and subsidies, macroeconomic variables, and household characteristics. We conclude with a review of three studies that illustrate the benefits and challenges of modeling the homeownership decision across countries
by Steven C. BOURASSA & Donald R. HAURIN & Patric H. HENDERSHOTT & Martin HOESLI - 11-47 Preemptive Bidding, Target Resistance, and Takeover Premiums
by Theodosios DIMOPOULOS & Stefano SACCHETTO - 11-45 Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?
by Christoph HARTZ & Marc S. PAOLELLA - 11-44 Capital Supply Uncertainty, Cash Holdings, and Investment
by Julien HUGONNIER & Semyon MALAMUD & Erwan MORELLEC - 11-43 Buyers Versus Sellers: Who Initiates Trades And When?
by Tarun CHORDIA & Amit GOYAL & Narasimhan JEGADEESH - 11-42 Detecting Informed Trading Activities in the Options Markets
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI - 11-41 Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets
by Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET - 11-40 Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets
by Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET - 11-39 Stable Mixture GARCH Models
by Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE - 11-38 Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI - 11-37 The Value of Tradeability
by Marc CHESNEY & Alexander KEMPF - 11-36 We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics
by Pierre BAJGROWICZ & Olivier SCAILLET - 11-35 The Role of Equity Funds in the Financial Crisis Propagation
by Harald HAU & Sandy LAI - 11-34 The Term Structure of Interbank Risk
by Damir FILIPOVIC & Anders B. TROLLE - 11-33 Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much
by Fabio TROJANI & Christian WIEHENKAMP & Jan WRAMPELMEYER - 11-32 Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels
by Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET - 11-31 Institutional Investors and Mutual Fund Governance: Evidence from Retail – Institutional Fund Twins
by Richard B. EVANS & Rüdiger FAHLENBRACH - 11-30 Investment strategies used as spectroscopy of financial markets reveal new stylized facts
by Wei-Xing ZHOU & Guo-Hua MU & Wei CHEN & Didier SORNETTE - 11-29 Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
by Didier SORNETTE & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou - 11-28 Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences
by Claudia RAVANELLI & Gregor SVINDLAND - 11-27 Extreme-quantile tracking for financial time series
by Valérie CHAVEZ-DEMOULIN & Paul Embrechts & Sylvain Sardy - 11-26 Role of diversification risk in financial bubbles
by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE - 11-25 When and How is Voluntary Disclosure Quality Reflected in Equity Prices?
by Florian EUGSTER & Alexander F. WAGNER - 11-24 Risk Aversion in the Large and in the Small
by Jorgen HAUG & Thorsten HENS & Peter WOHRMANN - 11-23 Predictive Power of Information Market Prices
by Maria PUTINTSEVA - 11-22 R&D and the Market for Acquisitions
by Gordon PHILLIPS & Alexei ZHDANOV - 11-21 The war puzzle: contradictory effects of international conflicts on stock markets
by Amelie BRUNE & Thorsten HENS & Marc Olivier RIEGER & Mei WANG - 11-20 Density Approximations For Multivariate Affine Jump-Diffusion Processes
by Damir FILIPOVIC & Eberhard BERHARD & Paul SCHNEIDER - 11-19 This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis
by Rüdiger FAHLENBRACH & Robert PRILMEIER & René M. STULZ - 11-18 Utility Maximization, Risk Aversion, and Stochastic Dominance
by Mathias BEIGLBÖCK & Johannes MUHLE-KARBE & Johannes TEMME - 11-17 Tax-Adjusted Discount Rates: A General Formula under Constant Leverage Ratios
by Peter MOLNAR & Kjell G. NYBORG - 11-16 International Bond Risk Premia
by Magnus DAHLQUIST & Henrik HASSELTOFT - 11-15 The unconditional and conditional exchange rate exposure of U.S. firms
by Ines CHAIEB & Stefano MAZZOTTA - 11-14 CEO Contract Design: How Do Strong Principals Do It?
by Henrik CRONQVIST & Rüdiger FAHLENBRACH - 11-13 On the Timing and Pricing of Dividends
by Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen - 11-12 Are Shareholders Stupid? On The Surprising Impact of Binding Say-On-Pay On Stock Prices
by Alexander WAGNER & Christoph WENK - 11-10 Collateral Requirements and Asset Prices
by Johannes Brumm & Michael GRILL & Felix KUBLER & Karl SCHMEDDERS - 11-09 Weak Approximation of G-Expectations
by Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER - 11-08 Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
by Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov - 11-07 Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
by Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov - 11-06 Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals
by Eric Ghysels & Alberto Plazzi & Rossen I. Valkanov - 11-05 The US stock market leads the Federal funds rate and Treasury bond yields
by Kun GUO & Wei-Xing ZHOU & Si-Wei CHENG & Didier SORNETTE - 11-04 Regulating Asset Price Risk
by Philippe BACCHETTA & Cedric TILLE & Eric VAN WINCOOP - 11-03 Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM
by Xiaohui NI & Yannick MALEVERGNE & Didier SORNETTE & Peter WOEHRMANN - 11-02 Approaches to conditional risk
by Damir FILIPOVIC & Michael KUPPER & Nicolas VOGELPOTH - 11-01 Entrepreneurial Spawning and Firm Characteristics
by Michel A. HABIB & Ulrich HEGE & Pierre MELLA-BARRAL - 10-58 On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
by Peter S. SCHMIDT & Urs VON ARX & Andreas SCHRIMPF & Alexander F. WAGNER & Andreas ZIEGLER - 10-57 Semi-Parametric Estimation of American Option Prices
by Patrick Gagliardini & Diego Ronchetti - 10-56 Passive Shareholders as a Takeover Defense
by Andriy BODNARUK & Paul GAO & Per ÖSTBERG & Hayong YUN - 10-55 Do Implicit Barriers Matter for Globalization?
by Francesca CARRIERI & Ines CHAIEB & Vihang ERRUNZA - 10-54 Martingale Representation Theorem for the G-expectation
by Halil Mete SONER & Nizar TOUZI & Jianfeng ZHANG - 10-53 Consistent valuation of project finance and LBO'susing the flows-to-equity method
by Ian COOPER & Kjell G. Nyborg - 10-52 Superhedging and Dynamic Risk Measures under Volatility Uncertainty
by Marcel NUTZ & Halil Mete SONER - 10-50 Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration
by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE - 10-49 The Relationship between Credit Default Swap and Cost of Equity Capital
by Giovanni BARONE-ADESI & Moreno BRUGHELLI - 10-48 Land leverage and house prices
by Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO & Sumei ZHANG - 10-47 Response Speeds of Direct and Securitized Real Estate to Shocks in the Fundamentals
by Elias OIKARINEN & Martin HOESLI & Camilo SERRANO - 10-46 Forecasting customer behaviour in a multi-service financial organisation: A profitability perspective
by Alena AUDZEYEVA & Barbara SUMMERS & Klaus Reiner SCHENK-HOPPE - 10-45 Finding All Pure-Strategy Equilibria in Static and Dynamic Games with Continuous Strategies
by Kenneth L. JUDD & Philipp RENNER & Karl SCHMEDDERS - 10-44 Conditional Density Models for Asset Pricing
by Damir FILIPOVIC & Lane P. HUGHSTON & Andrea MACRINA - 10-43 Moment Component Analysis: An Illustration with International Stock Markets
by Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER - 10-42 Nonmyopic Optimal Portfolios in Viable Markets
by Jaksa CVITANIC & Semyon MALAMUD - 10-41 Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
by Eric JONDEAU & Michael ROCKINGER - 10-40 Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns
by Martin HOESLI & Kustrim REKA - 10-39 A Simple Model of the Firm Life Cycle
by Klaus REINER SCHENK-HOPPE & Urs SCHWERI - 10-38 Consumption Paths under Prospect Utility in an Optimal Growth Model
by Reto FOELLMI & Rina ROSENBLATT-WISCH & Klaus REINER SCHENK-HOPPE - 10-37 Banking System Stability with respect to Funding Liquidity Risk
by Mario HAEFELI - 10-36 An evolutionary financial market model with a risk-free asset
by Igor V. EVSTIGNEEVY & Thorsten HENS & Klaus Reiner SCHENK-HOPPE - 10-15 Diagnosis and Prediction of Market Rebounds in Financial Markets
by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE - 10-13 The Interest Rate Sensitivity of Real Estate
by Alain CHANEY & Martin HOESLI - 10-12 Exuberant innovation: The Human Genome Project
by Monika GISLER & Didier SORNETTE & Ryan WOODARD - 10-08 Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms
by Judith WIESINGER & Didier SORNETTE & Jeffrey SATINOVER - 10-04 Lemons and Money Market?
by Christian EWERHART & Patricia FEUBLI - 10-02 Exploring the Nature of 'Trader Intuition'
by Antoine J. BRUGUIER & Steven R. QUARTZ & Peter BOSSAERTS - 09-41 Endogenous completeness of diffusion driven equilibrium markets
by Julien HUGONNIER & Semyon MALAMUD & Eugene TRUBOWITZ