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Series handle: RePEc:chf:rpseri
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Content
2019
2018
- 18-79 What Are the Shareholder Value Implications of Non-Voted Shareholder Proposals?
by Maxime Couvert
- 18-78 Distance-Based Metrics: A Bayesian Solution to the Power and Extreme-Error Problems in Asset-Pricing Tests
by Amit Goyal & Zhongzhi Lawrence He & Sahn-Wook Huh
- 18-77 Participants' Reputation in the Syndicated Lending Market
by Daria Kalyaeva
- 18-76 Estimation and Updating Methods for Hedonic Valuation
by Michael Mayer & Steven C. Bourassa & Martin Hoesli & Donato Flavio Scognamiglio
- 18-75 Why Are Firms With More Managerial Ownership Worth Less?
by Kornelia Fabisik & Rüdiger Fahlenbrach & René M. Stulz & Jérôme Taillard
- 18-74 The Sources of Financing Constraints
by Boris Nikolov & Lukas Schmid & Roberto Steri
- 18-73 Noisy Stock Prices and Corporate Investment
by Olivier Dessaint & Thierry Foucault & Laurent Frésard & Adrien Matray
- 18-72 Bank Bonus Pay as a Risk Sharing Contract
by Matthias Efing & Harald Hau & Patrick Kampkötter & Jean-Charles Rochet
- 18-71 Empirical Asset Pricing via Machine Learning
by Shihao Gu & Bryan T. Kelly & Dacheng Xiu
- 18-70 Large Financial Markets, Discounting, and No Asymptotic Arbitrage
by Dániel Ágoston Bálint & Martin Schweizer
- 18-69 Municipal Bond Markets
by Dario Cestau & Burton Hollifield & Dan Li & Norman Schürhoff
- 18-68 Valuation in the Public and Private Sectors: Tax, Risk, Debt Capacity, and the Cost of Capital
by Richard A. Brealey & Ian A. Cooper & Michel A. Habib
- 18-67 Are CoCo Bonds a Good Substitute for Equity? Evidence from European Banks
by Harald Hau & Gabriela Hrasko
- 18-66 The Cross-Sectional Distribution of Fund Skill Measures
by Laurent Barras & Patrick Gagliardini & O. Scaillet
- 18-65 Model Risk and Disappointment Aversion
by Hasan Fallahgoul & Loriano Mancini & Stoyan V. Stoyanov
- 18-64 Crash-o-phobia in Currency Carry Trade Returns
by Regina Hammerschmid & Alexandra Janssen
- 18-63 Stock Price Rewards to Climate Saints and Sinners: Evidence from the Trump Election
by Stefano Ramelli & Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler
- 18-62 Walk the Line: Do Investors Reward Firms that Exploit Regulatory Grey Areas?
by Marco Ceccarelli
- 18-61 Fuel the Engine: Bank Credit and Firm Innovation
by Shusen Qi & Steven Ongena
- 18-60 Hedge or Rebalance: Optimal Risk Management with Transaction Costs
by Florent Gallien & Serge Kassibrakis & Semyon Malamud
- 18-59 Frictional Intermediation in Over-the-Counter Markets
by Julien Hugonnier & Benjamin R. Lester & Pierre-Olivier Weill
- 18-58 The Importance of Climate Risks for Institutional Investors
by Philipp Krueger & Zacharias Sautner & Laura T. Starks
- 18-57 The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality
by Spencer Wheatley & Alexander Wehrli & Didier Sornette
- 18-56 Liquidity Provision in the Foreign Exchange Market
by Florent Gallien & Serge Kassibrakis & Nataliya Klimenko & Semyon Malamud & Alberto Teguia
- 18-55 Dominant Currency Debt
by Egemen Eren & Semyon Malamud
- 18-54 Strategic Interaction between Hedge Funds and Prime Brokers
by Nataliya Gerasimova & Eric Jondeau
- 18-53 Information Intermediaries: How Commercial Bankers Facilitate Strategic Alliances
by Marc Frattaroli & Christoph Herpfer
- 18-52 Frictional Intermediation in Over-the-Counter Markets
by Julien Hugonnier & Benjamin R. Lester & Pierre-Olivier Weill
- 18-51 Corporate Strategy, Conformism, and the Stock Market
by Thierry Foucault & Laurent Frésard
- 18-50 Cascading Logistic Regression Onto Gradient Boosted Decision Trees to Predict Stock Market Changes Using Technical Analysis
by Feng Zhou & Zhang Qun & Didier Sornette & Liu Jiang
- 18-49 Inefficient Bubbles and Efficient Drawdowns in Financial Markets
by Michael Schatz & Didier Sornette
- 18-48 Risk Measures Based on Benchmark Loss Distributions
by Valeria Bignozzi & Matteo Burzoni & Cosimo Munari
- 18-47 Optimal Fund Menus
by Jaksa Cvitanic & Julien Hugonnier
- 18-46 A Corporate Financing-Based Asset Pricing Model
by Roberto Steri
- 18-45 Greed and Fear: The Nature of Sentiment
by Giovanni Barone-Adesi & Matteo Pisati & Carlo Sala
- 18-44 Valuing Supply-Chain Responsiveness Under Demand Jumps
by Isik Bicer & Verena Hagspiel & Suzanne de Treville
- 18-43 Liquidity Regimes and Optimal Dynamic Asset Allocation
by Pierre Collin-Dufresne & Kent D. Daniel & Mehmet Sağlam
- 18-42 Activism, Strategic Trading, and Liquidity
by Kerry Back & Pierre Collin-Dufresne & Vyacheslav Fos & Tao Li & Alexander Ljungqvist
- 18-41 Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch
by Vincent Bogousslavsky & Pierre Collin-Dufresne & Mehmet Sağlam
- 18-40 Market Structure and Transaction Costs of Index CDSs
by Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle
- 18-39 Conditional Davis Pricing
by Kasper Larsen & Halil Mete Soner & Gordan Zitkovic
- 18-38 Capital Scarcity and Industrial Decline: Evidence from 172 Real Estate Booms in China
by Harald Hau & Difei Ouyang
- 18-37 The Term Structure of Variance Swaps and Risk Premia
by Yacine Ait-Sahalia & Mustafa Karaman & Loriano Mancini
- 18-36 Levered Returns and Capital Structure Imbalances
by Filippo Ippolito & Roberto Steri & Claudio Tebaldi
- 18-35 Lender of Last Resort versus Buyer of Last Resort – Evidence from the European Sovereign Debt Crisis
by Viral V. Acharya & Diane Pierret & Sascha Steffen
- 18-34 Polynomial Processes for Power Prices
by Damir Filipović & Martin Larsson & Tony Ware
- 18-33 On Randomized Reinsurance Contracts
by Hansjoerg Albrecher & Arian Cani
- 18-32 Dividends: From Refracting to Ratcheting
by Hansjoerg Albrecher & Nicole Bäuerle & Martin Bladt
- 18-31 Crash Risk in Individual Stocks
by Paola Pederzoli
- 18-30 Dissection of Bitcoin's Multiscale Bubble History
by J-C Gerlach & Guilherme Demos & Didier Sornette
- 18-29 S&P 500 Index, an Option-Implied Risk Analysis
by Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala
- 18-28 The Importance of Network Recommendations in the Director Labor Market
by Rüdiger Fahlenbrach & Hyemin Kim & Angie Low
- 18-27 Valuing Life as an Asset, as a Statistic and at Gunpoint
by Julien Hugonnier & Florian Pelgrin & Pascal St-Amour
- 18-26 Patience is a Virtue - In Value Investing
by Thorsten Hens & Klaus Reiner Schenk-Hoppé
- 18-25 Decentralized Exchange
by Semyon Malamud & Marzena J. Rostek
- 18-24 Bitcoin Bubble Trouble
by Jerome L Kreuser & Didier Sornette
- 18-23 Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR
by Dániel Ágoston Bálint & Martin Schweizer
- 18-22 Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model
by Spencer Wheatley & Didier Sornette & Tobias Huber & Max Reppen & Robert N. Gantner
- 18-21 Transitory versus Permanent Shocks: Explaining Corporate Savings and Investment
by Sebastian Gryglewicz & Loriano Mancini & Erwan Morellec & Enrique J. Schroth & Philip Valta
- 18-20 Lagrange Regularisation Approach to Compare Nested Data Sets and Determine Objectively Financial Bubbles' Inceptions
by Guilherme Demos & Didier Sornette
- 18-19 Electronic Trading in OTC Markets vs. Centralized Exchange
by Ying Liu & Sebastian Vogel & Yuan Zhang
- 18-18 Model-Free International Stochastic Discount Factors
by Mirela Sandulescu & Fabio Trojani & Andrea Vedolin
- 18-17 Why Do Large Investors Disclose Their Information?
by Ying Liu
- 18-16 Agency Conflicts and Short- vs Long-Termism in Corporate Policies
by Sebastian Gryglewicz & Simon Mayer & Erwan Morellec
- 18-15 The Conjunction Fallacy in Quantum Decision Theory
by Tatyana Kovalenko & Didier Sornette
- 18-14 An Intermediation-Based Model of Exchange Rates
by Semyon Malamud & Andreas Schrimpf
- 18-13 Inflation Risk Premia, Yield Volatility and Macro Factors
by Andrea Berardi & Alberto Plazzi
- 18-12 A General Equilibrium Appraisal of Capital Shortfall
by Eric Jondeau & Jean-Guillaume Sahuc
- 18-11 Measuring the Capital Shortfall of Large U.S. Banks
by Eric Jondeau & Amir Khalilzadeh
- 18-10 Being Stranded on the Carbon Bubble? Climate Policy Risk and the Pricing of Bank Loans
by Manthos D. Delis & Kathrin de Greiff & Steven Ongena
- 18-09 Asian Option Pricing with Orthogonal Polynomials
by Sander Willems
- 18-08 Spanning Tests for Markowitz Stochastic Dominance
by Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou
- 18-07 When Are Stocks Less Volatile in the Long Run?
by Eric Jondeau & Qunzi Zhang & Xiaoneng Zhu
- 18-06 Ignorance Is Bliss? Anonymous Lending with Roll over Risk
by Tobias Dieler & Loriano Mancini
- 18-05 Is Liquidity Risk Priced in Partially Segmented Markets?
by Ines Chaieb & Vihang R. Errunza & Hugues Langlois
- 18-04 Time-Varying Risk Premia in Large International Equity Markets
by Ines Chaieb & Hugues Langlois & O. Scaillet
- 18-03 Global Portfolio Rebalancing and Exchange Rates
by Nelson Camanho & Harald Hau & Hélène Rey
- 18-02 Does it Pay to Be an Optimist?
by Paul Schneider
- 18-01 When They Work with Women, Do Men Get All the Credit?
by Shusen Qi & Steven Ongena & Hua Cheng
2017
- 17-78 Analytical Option Pricing Under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model
by Matthias Thul & Ally Zhang
- 17-77 Earnings Management and Managerial Compensation
by Kremena Bachmann & Thorsten Hens
- 17-76 The Dynamics of Heterogeneity and Asset Prices
by Walter Farkas & Ciprian Necula
- 17-75 The Blockchain Folk Theorem
by Bruno Biais & Christophe Bisiere & Matthieu Bouvard & Catherine Casamatta
- 17-74 Move a Little Closer? Information Sharing and the Spatial Clustering of Bank Branches
by Shusen Qi & Ralph De Haas & Steven Ongena & Stefan Straetmans & Tamas Vadasz
- 17-73 Principle or Opportunism? Discretion, Capital, and Incentives
by Josef Falkinger & Michel Habib
- 17-72 U.S. Metropolitan House Price Dynamics
by Elias Oikarinen & Steven C. Bourassa & Martin Hoesli & Janne Engblom
- 17-71 Periodic or Generational Actuarial Tables: Which One to Choose?
by Severine Arnold (-Gaille) & Anca Jijiie & Eric Jondeau & Michael Rockinger
- 17-70 Discriminatory Pricing of Over-the-Counter Derivatives
by Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer
- 17-69 Asset-Liability Management for Long-Term Insurance Business
by Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipović & Pablo Koch-Medina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Frank Schiller & Hato Schmeiser & Joël Wagner
- 17-68 Corporate Bond Dealers' Inventory Risk and FOMC
by Alessio Ruzza & Wojciech Zurowski
- 17-67 Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability
by Alexey Ivashchenko
- 17-66 Does Protectionist Anti-Takeover Legislation Lead to Managerial Entrenchment?
by Marc Frattaroli
- 17-65 Quantile-Based Risk Sharing with Heterogeneous Beliefs
by Paul Embrechts & Haiyan Liu & Tiantian Mao & Ruodu Wang
- 17-64 Market Efficiency and Limits to Arbitrage: Evidence from the Volkswagen Short Squeeze
by Franklin Allen & Marlene Haas & Eric Nowak & Angel Tengulov
- 17-63 Approximating Equilibria with Ex-Post Heterogeneity and Aggregate Risk
by Elisabeth Pröhl
- 17-62 Arbitrage Crashes, Financial Accelerator, and Sudden Market Freezes
by Ally Zhang
- 17-61 Brokers and Order Flow Leakage: Evidence from Fire Sales
by Andrea Barbon & Marco Di Maggio & Francesco A. Franzoni & Augustin Landier
- 17-60 Polynomial Jump-Diffusion Models
by Damir Filipović & Martin Larsson
- 17-59 Dynamic Leverage Targets
by Filippo Ippolito & Stefano Sacchetto & Roberto Steri
- 17-58 Stressed Banks
by Diane Pierret & Roberto Steri
- 17-57 Asset Pricing with Large Investors
by Semyon Malamud & Alberto Teguia
- 17-56 Risky Arbitrage and Collateral Policies
by Ally Zhang
- 17-55 Risk-Reward Ratio Optimisation (Revisited)
by Manfred Gilli & Enrico Schumann
- 17-54 Quantile-Based Risk Sharing
by Paul Embrechts & Haiyan Liu & Ruodu Wang
- 17-53 Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation
by Priyank Gandhi & Benjamin Golez & Jens Carsten Jackwerth & Alberto Plazzi
- 17-52 A Term Structure Model for Dividends and Interest Rates
by Damir Filipović & Sander Willems
- 17-51 Which Measures Predict Risk Taking in a Multi-Stage Controlled Decision Process?
by Kremena Bachmann & Thorsten Hens & Remo Stössel
- 17-50 Fundamental Risk and Capital Structure
by Jakub Hajda
- 17-49 Short Selling and the Subsequent Performance of Initial Public Offerings
by Biljana Seistrajkova
- 17-48 Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
by Matteo Burzoni & Frank Riedel & H. Mete Soner
- 17-47 Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets
by Massimiliano Caporin & Loriana Pelizzon & Alberto Plazzi
- 17-46 Optimal Dividend Policies with Random Profitability
by Max Reppen & Jean-Charles Rochet & H. Mete Soner
- 17-45 CDS Central Counterparty Clearing Liquidation: Road to Recovery or Invitation to Predation?
by Magdalena Tywoniuk
- 17-44 Hawkes Graphs
by Paul Embrechts & Matthias Kirchner
- 17-43 How Persistent are the Effects of Experience Sampling on Investor Behavior?
by Meike Bradbury & Thorsten Hens & Stefan Zeisberger
- 17-42 Monetary Policy and Bond Risk Premia in the US and the UK
by Wojciech Zurowski
- 17-41 Option Pricing with Orthogonal Polynomial Expansions
by Damien Ackerer & Damir Filipović
- 17-40 The Rise of NGO Activism
by Julien Daubanes & Jean-Charles Rochet
- 17-39 The Reluctant Defaulter: A Tale of High Government Debt
by Michel Habib & Fabrice Collard & Jean-Charles Rochet
- 17-38 Financial Intermediation, Capital Accumulation and Crisis Recovery
by Hans Gersbach & Jean-Charles Rochet & Martin Scheffel
- 17-37 p-Hacking: Evidence from Two Million Trading Strategies
by Tarun Chordia & Amit Goyal & Alessio Saretto
- 17-36 Paths to Convergence: Stock Price Behavior After Donald Trump's Election
by Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler
- 17-35 The Price of Law: The Case of the Eurozone Collective Action Clauses
by Elena Carletti & Paolo Colla & G. Mitu Gulati & Steven Ongena
- 17-34 A Generalized 2D-Dynamical Mean-Field Ising Model with a Rich Set of Bifurcations (Inspired and Applied to Financial Crises)
by Damian Smug & Didier Sornette & Peter Ashwin
- 17-33 Super-Exponential RE Bubble Model with Efficient Crashes
by Jerome L Kreuser & Didier Sornette
- 17-32 The Sovereign Debt Crisis: Rebalancing or Freezes?
by Per Östberg & Thomas Richter
- 17-31 Earning Investor Trust: The Role of Past Earnings Management
by Florian Eugster & Alexander F. Wagner
- 17-30 Relationship Trading in OTC Markets
by Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff
- 17-29 Dynamic Mean-Variance Optimisation Problems with Deterministic Information
by Martin Schweizer & Danijel Zivoi & Mario Sikic
- 17-28 An Evolutionary Finance Model with a Risk-Free Asset
by Sergei Belkov & Igor V. Evstigneev & Thorsten Hens
- 17-27 Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles
by Didier Sornette & Peter Cauwels & Georgi Smilyanov
- 17-26 Evolutionary Finance Models with Short Selling and Endogenous Asset Supply
by Sergei Belkov & Igor V. Evstigneev & Thorsten Hens
- 17-25 The Sovereign Money Initiative in Switzerland: An Assessment
by Philippe Bacchetta
- 17-24 A Sovereign Wealth Fund for Switzerland
by Richard Senner & Didier Sornette
- 17-23 Predicting Financial Market Crashes Using Ghost Singularities
by Damian Smug & Peter Ashwin & Didier Sornette
- 17-22 The 'New Normal' of the Swiss Balance of Payments in a Global Perspective: Central Bank Intervention, Global Imbalances and the Rise of Sovereign Wealth Funds
by Richard Senner & Didier Sornette
- 17-21 Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics
by Michael Schatz & Didier Sornette
- 17-20 Margin Requirements and Evolutionary Asset Pricing
by Anastasiia Sokko & Klaus Reiner Schenk-Hoppé
- 17-19 High-Frequency Jump Analysis of the Bitcoin Market
by Olivier Scaillet & Adrien Treccani & Christopher Trevisan
- 17-18 Anticipating Critical Transitions of Chinese Housing Markets
by Zhang Qun & Didier Sornette & Hao Zhang
- 17-17 Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets
by Sergei Belkov & Igor V. Evstigneev & Thorsten Hens
- 17-16 Unspanned Stochastic Volatility in the Multi-Factor CIR Model
by Damir Filipović & Martin Larsson & Francesco Statti
- 17-15 Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns
by Philippe Bacchetta & Eric van Wincoop
- 17-14 Democracy and Credit “Democracy Doesn`t Come Cheap” But At Least Credit to Its Corporations Will Be
by Manthos D. DELIS & Iftekhar HASAN & Steven ONGENA
- 17-13 Straight Talkers and Vague Talkers: The Effects of Managerial Style in Earnings Conference Calls
by Michał DZIELINSKI & Alexander F. WAGNER & Richard J. ZECKHAUSER
- 17-12 The British Pound on Brexit night: a natural experiment of market efficiency and real-time predictability
by Ke WU & Spencer WHEATLEY & Didier SORNETTE
- 17-11 Closing Down the Shop: Optimal Health and Wealth Dynamics Near the End of Life
by Julien Hugonnier & Florian Pelgrin & Pascal St-Amour
- 17-10 Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading
by Thorsten Hens & Terje Lensberg & Klaus Reiner Schenk-Hoppé
- 17-09 Market Discipline Through Credit Ratings and Too-Big-To-Fail in Banking?
by Sascha KOLARIC & Florian KIESEL & Steven ONGENA
- 17-08 The Relevance of Broker Networks for Information Diffusion in the Stock Market
by Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla
- 17-07 Product Market Competition and Option Prices
by Erwan Morellec & Alexei Zhdanov
- 17-06 Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade
by Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler
- 17-05 The Sustainability Footprint of Institutional Investors
by Rajna Gibson & Philipp Krueger
- 17-04 Re-Use of Collateral: Leverage, Volatility, and Welfare
by Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders
- 17-03 Investing in Managerial Honesty
by Rajna Gibson & Matthias Sohn & Carmen Tanner & Alexander F. Wagner
- 17-02 Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints
by Ally Quan Zhang
- 17-01 The Consumption Response to Minimum Wages: Evidence from Chinese Households
by Ernest Dautovic & Harald Hau & Yi Huang
2016
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