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Content
2020
2019
2018
2017
- 17155 Winning a Deal in Private Equity: Do Educational Networks Matter?
by Fuchs, Florian & Fuess, Roland & Jenkinson, Tim & Morkoetter, Stefan
- 1811 Local Banks, Credit Supply, and House Prices
by Kristian Blickle
- 1810 Illiquidity spirals in Coupled Over-The-Counter Markets
by Christoph Aymanns & Co-Pierre Georg & Benjamin Golub
- 1805 Models of Financial Stability and their Application in Stress Tests
by Christoph Aymanns & J. Doyne Farmer & Alissa M. Keinniejenhuis & Thom Wetzer
- 1804 Fake News in Social Networks
by Christoph Aymanns & Jakob Foerster & Co-Pierre Georg
- 1801 Momentum and Crash Sensitivity
by Ruenzi, Stefan & Weigert, Florian
- 1718 Tha Impact of the Morningstar Sustainability Rating on Mutual Fund Flows
by Ammann, Manuel & Bauer, Christopher & Fischer, Sebastian & Mueller, Philipp
- 1717 Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?
by Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz
- 1716 Get the Balance Right: A Simultaneous Equation Model to Analyze Growth, Profitability, and Safety
by Eling, Martin & Jia, Ruo & Schaper, Philipp
- 1714 Do Local Governments Tax Homeowner Communities Differently?
by Fuess, Roland & Lerbs, Oliver
- 1713 Settling the Staggered Board Debate
by Amihud, Yakov & Schmid, Markus & Davidoff Solomon, Steven
- 1712 Investor Attention and Sentiment: Risk or Anomaly?
by Bucher, Melk C.
- 1711 Numeracy and the quality of on-the-job decisions: Evidence from loan officers
by Brown, Martin & Kirschenmann, Karolin & Spycher, Thomas
- 1710 Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization
by Adams, Zeno & Kartsakli, Maria
- 1709 Credit Scoring vs. Expert Judgment – A Randomized Controlled Trial
by Gietzen, Thomas
- 1708 Monetary Policy and Currency Returns: the Foresight Saga
by Borisenko, Dmitry & Pozdeev, Igor
- 1707 Cultural Preferences and the Choice between Formal and Informal Financing
by Bedendo, Mascia & Garcia-Appendini, Emilia & Siming, Linus
- 1706 The Long-Term Performance of IPO’s, Revisited
by Hoechle, Daniel & Karthaus, Larissa & Schmid, Markus
- 1705 Best Land Use with Negative Externalities: Determining Land Values from Residential Rents
by Fuess, Roland & Koller, Jan A. & Weigand, Alois
- 1704 Illuminating the Dark Side of Financial Innovation: The Role of Investor Information
by Ammann, Manuel & Arnold, Marc & Straumann, Simon
- 1703 Culture and Financial Literacy
by Brown, Martin & Henchoz, Caroline & Spycher, Thomas
- 1702 Agglomeration Effects and Liquidity Gradients in Local Rental Housing Markets
by Ruf, Daniel
- 1701 Contract Nonperformance Risk and Uncertainty in Insurance Markets
by Biener, Christian & Landmann, Andreas & Santana, Maria Isabel
2016
- 1623 Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds
by Ammann, Manuel & Ehmann, Christian
- 1622 Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market
by Hagfors, Lars Ivar & Kamperud , Hilde Horthe & Paraschiv, Florentina & Prokopczuk, Marcel & Sator, Alma & Westgaard, Sjur
- 1621 Asset Pricing and Extreme Event Risk: Common Factors in ILS Fund Returns
by Ben Ammar, Semir & Braun, Alexander & Eling, Martin
- 1620 Currency Strategies and Sovereign Ratings
by Karnaukh, Nina
- 1619 The Forward Premium in Short-Term Rates
by Ranaldo, Angelo & Rupprecht, Matthias
- 1618 Liquidity Constraints, Wealth Transfers and Home Ownership
by Blickle, Kristian & Brown, Martin
- 1617 Pricing of Catastrophe Risk and the Implied Volatility Smile
by Ben Ammar, Semir
- 1616 Unsecured and Secured Funding
by Ranaldo, Angelo & Wrampelmeyer, Jan
- 1615 Immigration, Real Estate Prices and the Consumption Decisions of Native Households
by Adams, Zeno & Blickle, Kristian
- 1614 Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions
by Mirkov, Nikola & Pozdeev, Igor & Soderlind, Paul
- 1613 Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance
by Adams, Zeno & Fuess, Roland & Glueck, Thorsten
- 1612 The Impact of Credit Information Sharing on Interest Rates
by Gietzen, Thomas
- 1611 A Structural Model for Electricity Forward Prices
by Benth, Fred Espen & Paraschiv, Florentina
- 1610 Can Group Incentives Alleviate Moral Hazard? The Role of Pro-Social Preferences
by Biener, Christian & Eling, Martin & Pradhan, Shailee
- 1609 Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution
by Ranaldo, Angelo & Rossi, Enzo
- 1608 Social Norms and Strategic Default
by Brown, Martin & Schmitz, Jan & Zehnder, Christian
- 1607 Characteristics-based Portfolio Choice with Leverage Constraints
by Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip
- 1607 Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients
by Paraschiv, Florentina & Bunn, Derek & Westgaard, Sjur
- 1605 Experience and Brokerage in Asset Markets: Evidence from Art Auctions
by Bruno, Brunella & Garcia-Appendini, Emilia & Nocera, Giacomo
- 1604 A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, namely, close, high, and low prices, which are readily available. In the absence of end-of-day quote data, it generally provides the highest cross-sectional and average time-series correlations with the TAQ effective spread benchmark. Moreover, it delivers the most accurate estimates for less liquid stocks. Our estimator has many potential applications including an accurate measurement of transaction cost, systematic liquidity risk, and commonality in liquidity for U.S. stocks dating back almost one century
by Abdi, Farshid & Ranaldo, Angelo
- 1603 The Structure of the Global Reinsurance Market: An Analysis of Efficiency, Scale, and Scope
by Biener, Christian & Eling, Martin & Jia, Ruo
- 1602 The Roles of Industry Idiosyncrasy, Cost Efficiency, and Risk in Internationalization: Evidence from the Insurance Industry
by Biener, Christian & Eling, Martin & Jia, Ruo
- 1601 Funding Illiquidity
by
2015
- 1526 The Economic Drivers of Differences in House Price Inflation Rates across MSAs
by Fuess, Roland & Zietz, Joachim
- 1525 Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry
by Ammann, Manuel & Blickle, Kristian & Ehmann, Christian
- 1524 Testing Competing Factor Pricing Models
by Soederlind, Paul
- 1523 The Role of Spatial and Temporal Structure for Residential Rent Predictions
by Fuess, Roland & Koller, Jan
- 1522 Do Private Equity Funds Always Pay Less? A Synergy-Related Explanation Based on Add-on Acquisitions
by Morkoetter, Stefan & Wetzer, Thomas
- 1521 Econometric Analysis of 15-minute Intraday Electricity Prices
by Kiesel, Ruediger & Paraschiv, Florentina
- 1520 Pre-Trade Transparency and Return Co-movements in Commercial Real Estate Markets
by Fuess, Roland & Ruf, Daniel
- 1519 Does Foreign Information Predict the Returns of Multinational Firms Worldwide?
by Finke, Christian & Weigert, Florian
- 1518 State Space Geometry of Asset Pricing: An Introduction
by Pozdeev, Igor
- 1517 Something in the Air: Information Density, News Surprises, and Price Jumps
by Fuess, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael
- 1516 Asset Pricing of Financial Insitutions: The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry
by Ben Ammar, Semir & Eling, Martin & Milidonis, Andreas
- 1515 Conflicts of Interest and the Role of Financial Advisors in M&A Transactions: Empirical Evidence from the Private Equity Industry
by Morkoetter, Stefan & Wetzer, Thomas
- 1514 The Value of Creditor Governance: Debt Renegotiations In and Outside Distress
by Arnold, Marc & Westermann, Ramona
- 1513 Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation
by Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina
- 1512 Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach
by Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel
- 1511 Do CEOs Matter? Corporate Performance and the CEO Life Cycle
by Limbach, Peter & Schmid, Markus & Scholz, Meik
- 1510 Competing with Superstars
by Ammann, Manuel & Horsch, Philipp & Oesch, David
- 1509 The Exposure of Mortgage Borrowers to Interest Rate Risk, Income Risk and House Price Risk – Evidence from Swiss Loan Application Data
by Brown, Martin & Guin, Benjamin
- 1508 Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings
by Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian
- 1507 Sharing a Director with a Peer
by Berg, Tatjana & Horsch, Philipp & Schmid, Markus
- 1506 The Exposure of Microfinance Institutions to Financial Risk
by Gietzen, Thomas
- 1505 Competition in the Credit Rating Industry: Benefits for Investors and Issuers
by Morkoetter, Stefan & Stebler, Roman & Westerfeld, Simone
- 1504 Internal Control and Strategic Communication within Firms – Evidence from Bank Lending
by Brown, Martin & Schaller, Matthias & Westerfeld, Simone & Heusler, Markus
- 1503 Insurability of Cyber Risk: An Empirical Analysis
by Biener, Christian & Eling, Martin & Wirfs, Jan Hendrik
- 1502 The Determinants of Efficiency and Productivity in the Swiss Insurance Industry
by Biener, Christian & Eling, Martin & Wirfs, Jan Hendrik
- 1501 Does Female Management Influence Firm Performance? Evidence from Luxembourg Banks
by Reinert, Regina M. & Weigert, Florian & Winnefeld, Christoph H.
2014
- 1423 Sovereign Risk and the Pricing of Corporate Credit Default Swaps
by Haerri, Matthias & Morkoetter, Stefan & Westerfeld, Simone
- 1422 Sophisticated vs. Simple Systemic Risk Measures
by Pankoke, David
- 1421 Systemic Risk in the Insurance Sector: Review and Directions for Future Research
by Eling, Martin & Pankoke, David
- 1420 Costs and Benefits of Financial Regulation – An Empirical Assessment for Insurance Companies
by Eling, Martin & Pankoke, David
- 1419 The Impact of Financial Advice on Trade Performance and Behavioral Biases
by Hoechle, Daniel & Ruenzi, Stefan & Schaub, Nic & Schmid, Markus
- 1418 Ambiguity and Reality
by Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan
- 1417 Non-Interest Income and Bank Performance: Does Ring-Fencing Reduce Bank Risk?
by Saunders, Anthony & Schmid, Markus & Walter, Ingo
- 1416 Shareholder Voting and Merger Returns
by Henning, Laura Sophie
- 1415 Do Mutual Funds Outperform During Recessions? International (Counter-) Evidence
by Fink, Christopher & Raatz, Katharina & Weigert, Florian
- 1414 Credit Booms and Busts in Emerging Markets: The Role of Bank Governance and Risk Managment
by Andries, Alin Marius & Brown, Martin
- 1413 Financialization in Commodity Markets: A Passing Trend or the New Normal?
by Adams, Zeno & Glueck, Thorsten
- 1412 The Euroization of Bank Deposits in Eastern Europe
by Brown, Martin & Stix, Helmut
- 1411 Trade credit use as firms approach default: A supplier's hold-up story
by Garcia-Appendini, Emilia & Montoriol-Garriga, Judit
- 1410 Idiosyncratic Shocks and Industry Contagion: Evidence from a Quasi-experiment
by Garcia-Appendini, Emilia
- 1409 Precious Metals Under the Microscope: A High-Frequency Analysis
by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.
- 1408 Individual Investor Activity and Performance
by Dahlquist, Magnus & Martinez, Jose Vincente & Soderlind, Paul
- 1407 The Threat of Exclusion and Implicit Contracting
by Brown, Martin & Serra-García, Marta
- 1406 Neglected Risk: Evidence from Structured Product Counterparty Exposure
by Arnold, Marc & Schuette, Dustin & Wagner, Alexander
- 1405 Real Effects of Investment Banking Relationships: Evidence from the Financial Crisis
by Oesch, David & Schuette, Dustin & Walter, Ingo
- 1404 Corporate Transparency and Bond Liquidity
by Fecht, Falko & Füss, Roland & Rindler, Philipp B.
- 1403 Between-Group Adverse Selection: Evidence from Group Critical Illness Insurance
by Eling, Martin & Jia, Ruo & Yao, Yi
- 1402 Banks’ Loan Screening Incentives with Credit Risk Transfer: An Alternative to Risk Retention
by Arnold, Marc
- 1401 Board Industry Experience, Firm Value, and Investment Behavior
by Drobetz, Wolfgang & von Meyerinck, Felix & Oesch, David & Schmid, Markus
2013
- 1329 Management Influence on Investors: Evidence from Shareholder Votes on the Frequency of Say on Pay
by Ferri, Fabrizio & Oesch, David
- 1328 Hysteresis in Potential Output and Monetary Policy
by Kienzler, Daniel & Schmid, Kai D.
- 1327 Regional Inflation and Financial Dollarization
by Brown, Martin & De Haas, Ralph & Sokolov, Vladimir
- 1326 Extreme Downside Liquidity Risk
by Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian
- 1325 Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
by Weigert, Florian
- 1324 Crash Sensitivity and the Cross-Section of Expected Stock Returns
by Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian
- 1323 Electricity Spot and Derivatives Pricing when Markets are Interconnected
by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel
- 1322 Monetary Policy Effects on Long-term Rates and Stock Prices
by Ranaldo, Angelo & Reynard, Samuel
- 1321 This article analyzes the impact of the introduction of centrally cleared credit risk transfer on a loan originating bank's lending discipline in the primary loan market. Under Basel III, a bank can transfer credit risk via central clearing at favorable regulatory conditions. Central clearing, however, reduces the lending discipline because the fact that only standardized contracts can be centrally cleared allows the originating bank to profitably grant and hedge a low quality loan. The impact on the lending discipline crucially depends on the regulatory design of central clearing such as capital requirements, disclosure standards, risk retention, and access to uncleared credit risk transfer. I also show that the lending discipline is an important determinant of the impact of central clearing on system risk
by Arnold, Marc
- 1320 Financing Asset Sales and Business Cycles
by Arnold, Marc & Hackbarth, Dirk & Puhan, Tatjana-Xenia
- 1319 Deposit Withdrawals from Distressed Commercial Banks: The Importance of Switching Costs
by Brown, Martin & Guin, Benjamin & Morkoetter, Stefan
- 1318 Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals
by Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G.
- 1317 Electricity Derivatives Pricing with Forward-Looking Information
by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel
- 1316 The Euro Interbank Repo Market
by Mancini, Loreano & Ranaldo, Angelo & Wrampelmeyer, Jan
- 1315 Understanding FX Liquidity
by Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul
- 1314 Price Dynamics in Electricity Markets
by Paraschiv, Florentina
- 1313 Investors’ Behavior under Changing Market Volatility
by Daviou, Agustin & Paraschiv, Florentina
- 1312 Extreme Spillover Between Shadow Banking and Regular Banking
by Paraschiv, Florentina & Qin, Minzi
- 1311 Spot-forward Model for Electricity Prices
by Stein-Erik, Fleten & Paraschiv, Florentina & Schürle, Michel
- 1310 Relationship Banking in the Residential Mortgage Market? Evidence from Switzerland
by Brown, Martin & Hoffmann, Matthias
- 1309 Does Price Fixing Benefit Corporate Managers?
by Artiga González, Tanja & Schmid, Markus & Yermack, David
- 1308 The Determinants of Microinsurance Demand
by Eling, Martin & Pradhan, Shailee & Schmit, Joan T.
- 1307 Common Risk Factors of Infrastructure Firms
by Ben Ammar, Semir & Eling, Martin
- 1306 Basis Risk, Procylicality, and Systemic Risk in the Solvency II Equity Risk Module
by Eling, Martin & Pankoke, David
- 1305 Regulation in Microinsurance Markets: Principles, Practice, and Directions for Future Development
by Biener, Christian & Eling, Martin & Schmit, Joan T.
- 1304 Variance Risk Premiums in Foreign Exchange Markets
by Ammann, Manuel & Buesser, Ralf
- 1303 Announcements of Interest Rate Forecasts: Do Policymakers Stick to Them?
by Mirkov, Nikola & Natvik, Gisle James
- 1302 Microfinance Banks and Household Access to Finance
by Brown, Martin & Guin, Benjamin & Kirschenmann, Karolin
- 1301 Financial Literacy, Household Investment and Household Debt: Evidence from Switzerland
by Brown, Martin & Graf, Roman
2012
- 1224 Research on Lapse in Life Insurance – What Has Been Done and What Needs to Be Done?
by Eling, Martin & Kochanski, Michael
- 1223 Who is Changing Health Insurance Coverage? Empirical Evidence on Policyholder Dynamics
by Christiansen, Marcus & Eling, Martin & Schmidt, Jan-Philipp & Zirkelbach, Lorenz
- 1222 Systemic Risk in the Insurance Sector – What Do We Know?
by Eling, Martin & Pankoke, David
- 1221 The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design
by Eling, Martin & Holder, Stefan
- 1220 Medium-term Planning for Thermal Electricity Production
by Kovacevic, Raimund M. & Paraschiv, Florentina
- 1219 Adjustment Policy of Deposit Rates in the Case of Swiss non-Maturing Savings Accounts
by Paraschiv, Florentina
- 1218 Modeling Non-maturing Savings Volumes
by Paraschiv, Florentina
- 1217 Is Director Industry Experience Valuable?
by von Meyerinck, Felix & Oesch, David & Schmid, Markus
- 1216 Decomposing Performance
by Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz
- 1215 Time Stamp Errors and the Stock Price Reaction to Analyst Recommendation and Forecast Revisions
by Hoechle, Daniel & Schaub, nic & Schmid, Markus
- 1214 Risk Spillovers in International Equity Portfolios
by Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo
- 1213 On the Predictability of Stock Prices: a Case for High and Low Prices
by Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo
- 1212 Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity
by Mancini Griffoli, Tommaso & Ranaldo, Angelo
- 1211 Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model
by Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo
- 1210 Fragmentation in European Equity Markets and Market Quality – Evidence from the Analysis of Trade-Throughs
by Kohler, Alexander & von Wyss, Rico
- 1209 Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID
by Kohler, Alexander & von Wyss, Rico
- 1208 Central Bank Reserves and the Yield Curve at the ZLB
by Mirkov, Nikola & Sutter, Barbara
- 1207 Contagious Bank Runs: Experimental Evidence
by Brown, Martin & Trautmann, Stefan T. & Vlahu, Razvan
- 1206 Foreign Bank Ownership and Household Credit
by Beck, Thorsten
- 1205 Long-term Unemployment over the Business Cycle, Skill Loss, and Monetary Policy
by Kienzler, Daniel
- 1204 Do Newspaper Articles Predict Aggregate Stock Returns?
by Ammann, Manuel & Frey, Roman & Verhofen, Michael
- 1203 Information or Insurance? On the Role of Loan Officer Discretion in Credit Assessment
by Brown, Martin & Schaller, Matthias & Westerfeld, Simone & Heusler, Markus
- 1202 An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union
by Ammann, Manuel & Odoni, Sandro & Oesch, David
- 1201 International Financial Transmission of the US Monetary Policy: An Empirical Assessment
by Mirkov, Nikola
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