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Research Output
Working Papers
2024
Tsuyoshi Iwata, Tomasz Orpiszewski, Mark Thompson, Betting Against ESG Sinners: Evidence From Short Selling Around the World , SSRN
Markus Leippold, Felix Matthys, Philippe Mueller, Michal Svaton, Political uncertainty and currency markets , SFI Research Paper No. 24-13
Markus Leippold and Michal Svaton, Scheduling processes and inference of scheduled events from price data , SFI Research Paper No. 24-12
2023
Daniel Grosshans, Ferdinand Langnickel, Stefan Zeisberger, How Consistently Do Investors Act on Their Beliefs? , SSRN
Linda Isabella Hain, Julian Kölbel, Markus Leippold, Bounding the Impact of Hazard Interdependence on Climate Risk , SFI Research Paper No. 23-26
Luca Gaegauf, Simon Scheidegger, Fabio Trojani, A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs , SFI Research Paper No. 23-114
Diana Bonfim, Ralph De Haas, Alexandra Matyunina, Steven Ongena, Bank Specialization in Lending to New Firms
Winta Beyene, Natural Disasters, Community Resilience, and Household Credit
Jiyuan Huang, Per Östberg, Difference-in-differences with Economic Factors and the Case of Housing Returns
Daniel Grosshans, Recovering Market Beliefs with Ordinal Stochastic Discount Factor Constraints
Vincent Wolff, Taxing Financial Transactions in Multiple Markets , SSRN
Florian Heeb, Julian Kölbel, Stefano Ramelli, Anna Vasileva, Is Sustainable Finance a Dangerous Placebo? , SFI Research Paper, No. 23-46
Tsuyoshi Iwata, Marc Weibel, A Factor-Tilt Approach to ESG Investing , SSRN
Tsuyoshi Iwata, Marc Weibel, Enhancing Equity Factor Model with Publicly-reported ESG Data , SSRN
Andreas Hoepner, Johannes Klausmann, Markus Leippold, Jordy Rillaerts, Beyond Climate: The Impact of Biodiversity, Water, and Pollution on the CDS Term Structure , SFI Research Paper, No. 23-10
Stefan Pohl, Vesa Pursiainen, The Role of Stock Indices in Analyst Career Outcomes and Stock Recommendations , University of St. Gallen, School of Finance Research Paper
Christoph Basten, Merike Kukk, Jan Toczynski, Beyond the Headline: How Personal Inflation Exposure Shapes Households’ Financial Choices , SFI Research Paper, No. 23-15
Marc Chesney, Adrien-Paul Lambillon, How green is ‘dark green’? An analysis of SFDR Article 9 funds , SSRN
2022
Luzius Meisser, The Continuous Capital Corporation , SSRN
Andreas Dietrich, Reto Rey, What Matters to Individual Investors: Price Setting in Online Auctions of P2P Consumer Loans , arXiv:2003.11347
Jan Toczynski, MPC or MPCrypto? Heterogenous Responses to Stimulus Checks , SSRN
Vesa Pursiainen, Jan Toczynski, Retail Investors’ Cryptocurrency Investments , SSRN
Francesca Barbiero, Lorenzo Burlon, Maria Dimou, Jan Toczynski, Targeted Monetary Policy, Dual Rates and Bank Risk Taking , ECB Working Paper, No. 2022/2682
Simon Hediger, Jeffrey Näf, Michael Wolf, R-NL: Fast and Robust Covariance Estimation for Elliptical Distributions in High Dimensions , arXiv.org, No. 2210.14854
Ming Deng, Markus Leippold, Alexander Wagner, Qian Wang, The Net-Zero Transition and Firm Value: Insights from the Russia-Ukraine War, REPowerEU, and the US Inflation Reduction Act , SFI Research Paper, No. 22-29
Philip Berntsen, Markus Leippold, The Monetary Benefit of Tokenizing Renewable Energy , SSRN
Winta Beyene, Matteo Falagiarda, Steven Ongena, Alessandro Scopelliti, Do Lenders Price the Brown Factor in Car Loans? Evidence from Diesel Cars , SFI Research Paper, No. 22-76
Soros Chitsiripanich, Marc Paolella, Pawel Polak, Patrick Walker, Momentum Without Crashes , SFI Research Paper, No. 22-87
Francesco Franzoni, Roxana Mihet, Markus Leippold, Per Ostberg, Olivier Scaillet, Norman Schürhoff, Oksana Bashchenko, Nicola Mano, Michele Pelli, Non-Standard Errors , SFI Research Paper 22-09
Julian F Kölbel, Adrien-Paul Lambillon, Who Pays for Sustainability? An Analysis of Sustainability-Linked Bonds , SSRN
Emanuela Benincasa, Mrinal Mishra, Adityavardhan Paranjape, Jonathan Fu, Different Shades of Green: Estimating the Green Bond Premium using Natural Language Processing , SFI Research Paper, No. 22-64
Ming Deng, Markus Leippold, Alexander Wagner, Qian Wang, The Russia-Ukraine War and Climate Policy Expectations: Evidence from the Stock Market , SFI Research Paper, No. 22-29
Simon Hediger, Jeffrey Näf, Shrinking in COMFORT, SSRN
Thomas Puschmann, Valentyn Khmarskyi, Developing a Novel Approach to Calculating the Crypto Asset Carbon Footprint , Swiss FinTech Innovation Lab, No. 5
Urban Ulrych, Raphael Burkhardt, Sparse and Stable International Portfolio Optimization and Currency Risk Management , SFI Research Paper, No. 22-07
Urban Ulrych, David Anderson, Accelerated American Option Pricing with Deep Neural Networks , SFI Research Paper, No. 22-03
Erich Walter Farkas, Francesco Ferrari, Urban Ulrych, Pricing autocallables in a Heston-like local-stochastic volatility model
Urban Ulrych, Antonello Cirulli, Michal Kobak, Portfolio Construction with Hierarchical Momentum , SSRN
2021
Andrea Bergesio, Pablo Koch Medina, Cosimo Munari, Limited Liability and the Demand for Coinsurance by Individuals and Corporations , SSRN
Stefano Ramelli, Marie Briere, Green Sentiment, Stock Returns, and Corporate Behavior , SSRN
Philipp Lentner, Price pressure during central bank asset purchases
Philipp Lentner, The effect of the ECB's collateral framework on covered bond issuance
Yushi Peng, Mortgage Credit and Housing Markets
Yushi Peng, Vasso Ioannidou, Nicola Pavanini, Collateral and Asymmetric Information in Lending Markets , CEPR Working Paper DP13905
Marc Chesney, Felix Fattinger, Nils Jonathan Krakow, Interest Rates, Bounded Rationality, and Complexity: Demand and Supply of Retail Financial Products , SSRN
Urban Ulrych, Pawel Polak, Dynamic Currency Hedging with Ambiguity , SFI Research Paper, No. 21-60
Marlon Azinovic, Luca Gaegauf, Simon Scheidegger, Deep Equilibrium Nets , SSRN
Gazi Kabas, Kasper Roszbach, Household Leverage and Labor Market Outcomes Evidence from a Macroprudential Mortgage Restriction , SSRN
Markus Leippold, Qian Wang, Wenyu Zhou, Machine-Learning in the Chinese Factor Zoo , SSRN
Stefano Ramelli, Alexander Wagner, Richard Zeckhauser, Alexandre Ziegler, Investor Rewards to Climate Responsibility: Stock-Price Responses to the Opposite Shocks of the 2016 and 2020 U.S. Elections , SSRN (Review of Corporate Finance Studies, forthcoming )
2020
Stefano Ramelli, Elisa Ossola, Michela Rancan, Stock Price Effects of Climate Activism: Evidence from the First Global Climate Strike , SSRN (Journal of Corporate Finance, Vol. 69, 2021 )
Sebastian Doerr, Gazi Kabas, Steven Ongena, Population Aging and Bank Risk-Taking , SFI Research Paper No. 20-62
Simon Glossner, Pedro Matos, Stefano Ramelli, Alexander Wagner, Do Institutional Investors Stabilize Equity Markets in Crisis Periods? Evidence from COVID-19 , SFI Research Paper, No. 20-56
Egor Maslov, Risk Sharing within the Firm and Beyond: The Role of the Firm in the Transmission of Shocks to Households
Egor Maslov, Mathias Hoffmann, Housing Risk Premia and State-Level Banking Deregulation
Simon Glossner, Pedro Matos, Stefano Ramelli, Alexander Wagner, Where do institutional investors seek shelter when disaster strikes? Evidence from COVID-19 , SFI Research Paper, No. 20-56
Hanlin Yang, Decomposing Factor Momentum , SSRN
Ana Mao de Ferro, Geraldo Cerqueiro, María Fabiana Penas, Political Uncertainty and the Geographic Allocation of Credit: Evidence from Small Businesses , SSRN
Nicolas Ettlin, Erich Walter Farkas, Andreas Kull, Alexander Smirnow, Optimal Risk-Sharing Across a Network of Insurance Companies , SFI Research Paper, No. 20-52 (Insurance: Mathematics and Economics , Vol. 95, pp. 39-47, 2020 )
Jonathan Krakow, Timo Schäfer, Mutual Funds and Risk Disclosure: Information Content of Fund Prospectuses , SFI Research Paper, No. 20-54
Anne-Florence Allard, Nils Jonathan Krakow, Kristien Smedts, When Mutual Fund Names Misinform , SSRN
Gianluca De Nard, Zhao Zhao, A Large-Dimensional Test for Cross-Sectional Anomalies: Efficient Sorting Revisited , SSRN
Gianluca De Nard, Simon Hediger, Markus Leippold, Subsampled Factor Models for Asset Pricing: The Rise of Vasa , SSRN
Gianluca De Nard, Robert F. Engle, Olivier Ledoit, Michael Wolf, Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data
Julian Kölbel, Markus Leippold, Jordy Rillaerts, Qian Wang, Does the CDS market reflect regulatory climate risk disclosures? , SSRN
Stefano Ramelli, Alexander Wagner, Feverish Stock Price Reactions to the Novel Coronavirus , SFI Research Paper, No. 20-12
Jonathan Fu, Mrinal Mishra, The Global Impact of COVID-19 on Fintech Adoption , SFI Research Paper, No. 20-38
Hans Degryse, Yalin Gündüz, Kuchulain O'Flynn, Steven Ongena, Identifying Empty Creditors with a Shock and Micro-Data , SFI Research Paper, No. 20-15
Andrea Bergesio, Paul Huber, Pablo Koch-Medina, Lutz Wilhelmy, The Valuation of Insurance Liabilities: A Framework Based on First Principles , SFI Research Paper, No. 20-03
Yunhao He, Markus Leippold, Short-run Risk, Business Cycle, and the Value Premium , SSRN, (Journal of Economic Dynamics and Control, Vol. 120, 2020 )
Yunhao He, Why Do Value Stocks Have More Consumption Risk? , SSRN
Yunhao He, Jump-Only Momentum and Reversal in Currency Markets , SSRN
Walter Farkas, Ludovic Mathys, Nikola Vasiljevic, Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps , SFI Research Paper, No. 19-76
Walter Farkas, Ludovic Mathys, Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing , SFI Research Paper, No. 20-11
Ludovic Mathys, Valuing Tradeability in Exponential Lévy Models , SSRN
2019
Mathias Hoffmann, Egor Maslov, Bent E Sørensen, Small firms and domestic bank dependence in Europe's Great Recession , CAMA Working Paper No. 76/2019
Alan Roncoroni, Stefano Battiston, Serafin Martinez Jaramillo, Luis Onesimo Leonardo Escobar Farfan, Climate Risk and Financial Stability in the Network of Banks and Investment Funds , SSRN
Alan Roncoroni, Stefano Battiston, Marco D'Errico, Grzegorz Hałaj, Christoffer Kok, Interconnected Banks and Systemically Important Exposures , ECB Working Paper No. 2331
Gianluca De Nard, Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage , SSRN (Journal of Financial Econometrics, forthcoming )
Ludovic Mathys, On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options , SSRN
Ulrych Urban, Nikola Vasiljevic, Optimal Currency Exposure Under Risk and Ambiguity Aversion
Urban Ulrych, Erich Walter Farkas, Pawel Polak, Dynamic Currency Hedging Using Non-Gaussian Returns Model
Felix Fattinger, Trading Complex Risks
Stefano Ramelli, Alexander Wagner, Richard Zeckhauser, Alexandre Ziegler, Investor Rewards to Climate Responsibility: Evidence from the 2016 Climate Policy Shock , CEPR, No. 13206
Runjie Geng, Recursive equilibria in dynamic economies with bounded rationality
Luca Mazzone, On the Solution of High-Dimensional Macro Models with Distributional Channels , SFI Research Paper No. 19-01
Marc Folch, Luca Mazzone, Go Big or Buy a Home: Student Debt, Human Capital and Wealth Accumulation
Andrada Bilan, Yalin Gunduz, CDS Market Liquidity and Bond Spreads
Andrada Bilan, Luciana Barbosa, Claire Célérier, Capital Inflows, Credit Growth and Skill (Mis)allocation , ECB Working Paper
Andrada Bilan, Yalin Gunduz, When Big Banks Exit OTC Markets: Liquidity, Prices, and Spillover Effects
Gazi Kabas, Sebastian Dörr, Banking On Demography: Population Aging and Financial Integration , SSRN
Lena Hörnlein, Utility divestitures in Germany. A case study of corporate financial strategies and energy transition risk , SSRN
Hanlin Yang, A Weighted Least Squares Estimator of Factor Momentum , SSRN
Markus Leippold, Hanlin Yang, Mixed-Frequency Predictive Regressions , SSRN
Alan Roncoroni, Stefano Battiston, Serafin Martinez Jaramillo, Luis Onesimo Leonardo Escobar Farfan, Climate Risk and Financial Stability in the Network of Banks and Investment Funds , SSRN
Marco Ceccarelli, Stefano Ramelli, Alexander F. Wagner, Low-carbon Mutual Funds , SFI Research Paper No. 19-13
Vladimir Petrov, Anton Golub and Richard B. Olsen, Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time , SSRN (Journal of Risk and Financial Management , 2019, Vol. 12 (2), pp. 54)
Vladimir Petrov, Anton Golub and Richard B. Olsen, Agent-Based Model in Directional-Change Intrinsic Time , SSRN
Simon Hediger, Loris Michel, Jeffrey Näf, On the Use of Random Forest for Two-Sample Testing , arxiv.org
Manthos Delis, Fulvia Fringuellotti, Steven Ongena, Credit and Income , CEPR
2018
Mathias Hoffmann, Egor Maslov, Bent E Sørensen, Iryna Stewen, Are banking and capital markets union complements? Evidence from channels of risk sharing in the eurozone , CEPR Discussion Paper No. DP13254
Gianluca De Nard, Olivier Ledoit, Michael Wolf, Factor models for portfolio selection in large dimensions: the good, the better and the ugly
Markus Leippold, Steven Schaerer, Optimal Conic Execution Strategies with Stochastic Liquidity , SSRN
Hanlin Yang, Behavioral Anomalies in Cryptocurrency Markets , SSRN
Kölbel Julian, Heeb Florian, Paetzold Falko, Busch Timo, Beyond Returns: Investigating the Social and Environmental Impact of Sustainable Investing , SSRN
Regina Hammerschmid, Alexandra Janssen, Crash-o-phobia in Currency Carry Trade Returns , SFI Research Paper No. 18-64
Mathias Hoffmann, Egor Maslov, Bent E Sørensen, Iryna Stewen, Are Banking and Capital Markets Union Complements? Evidence from Channels of Risk Sharing in the Eurozone , CEPR, No. 13254
Gazi Kabas, Yavuz Arslan, Ahmet Degerli, Unintended Consequences of Unemployment Insurance Benefits: The Role of Banks , SSRN
Runjie Geng, Felix Kübler, Existence of Equilibrium in Stochastic Overlapping Generations Economies with Nonconvexities
Nicola Branzoli, Fulvia Fringuellotti, The Effect of Bank Monitoring on Loan Repayment
Albertazzi Ugo, Fringuellotti Fulvia, Ongena Steven, Fixed Rate versus Adjustable Rate Mortgages: Evidence from Euro Area Banks , Bank of Italy Temi di Discussione, No. 1176
Walter Farkas, Fulvia Fringuellotti, Radu Tunaru, Capital Requirements with Model Risk
Marco Ceccarelli, When Companies Use Their Wiggle Room, Which Investors Care? , SFI Research Paper No. 18-62
Manthos D. Delis, Kathrin de Greiff, Steven Ongena, Being Stranded on the Carbon Bubble? Climate Policy Risk and the Pricing of Bank Loans , SFI Research Paper No. 18-10
Ferdinand Langnickel, Naïve News Trading: Experimental Evidence , SSRN
Adriano Tosi, International Volatility Arbitrage , SSRN
Stefano Ramelli, Alexander Wagner, Richard Zeckhauser, Alexandre Ziegler, Stock Price Rewards to Climate Saints and Sinners: Evidence from the Trump Election , SFI Research Paper, No. 18-63
Marc Chesney, Carlos Vargas, What are You Waiting to Invest? Long-Term Investment in Grid-Connected Residential Solar Energy in California. A Real Options Analysis , SSRN
2017
Lucas Marc Fuhrer, Liquidity in the Repo Market , Working Papers 2017-06, Swiss National Bank
Regina Hammerschmid, Harald Lohre, Regime Shifts and Stock Return Predictability , SSRN (International Review of Economics and Finance , 2018, Vol. 56, pp. 138-160)
Regina Hammerschmid, Commodity Return Predictability , SSRN
Daniel Grosshans, Ferdinand Langnickel, Stefan Zeisberger, How Investment Performance Affects the Formation and Use of Beliefs , SSRN
Alexandra Janssen, Rahel Studer, The Swiss Franc's Honeymoon , ECON Working Paper Series, No. 170
Thomas Richter, Per Nils Anders Östberg, The Sovereign Debt Crisis: Rebalancing or Freezes? , SFI Research Paper, No. 17-32
Anastasiia Sokko, Klaus Reiner Schenk-Hoppé, Margin Requirements and Evolutionary Asset Pricing , SFI Research Paper No. 17-20
Adriano Tosi, Alexandre Ziegler, The Timing of Option Returns , SSRN
Marc Chesney, Nikola Vasiljevic, Parisian Options with Jumps: A Maturity–Excursion Randomization Approach , SSRN (Quantitative Finance , 2018, Vol. 18 (11), pp. 1887-1908)
Ally Quan Zhang, Best Friend or Worst Enemy? - Dynamics and Multiple Equilibria with Arbitrage, Production and Collateral Constraints , SFI Research Paper No. 17-02
Ally Quan Zhang, Arbitrage Crashes, Financial Accelerator, and Sudden Market Freezes , SSRN
2016
Simone Bernardi, William Robert Maurice Perraudin and Peng Yang, Capital Floors, the Revised SA and the Cost of Loans in Switzerland , SSRN
Sabine Elmiger, A Heterogeneous-Agent Foundation of the Representative-Agent Approach , SFI Research Paper No. 16-58
Walter Farkas, Fulvia Fringuellotti, Radu Tunaru, Regulatory Capital Requirements: Saving Too Much for Rainy Days?
Urs Birchler, René Hegglin, Michael Reichenecker, Alexander F. Wagner, Which Swiss Gnomes Attract Money? Efficiency and Reputation as Performance Drivers of Wealth Management Banks , SFI Research Paper No. 16-28
Andreas Ita, How Do Banks Adapt Their Asset Holdings to Binding Leverage Ratio and Liquidity Requirements under Basel III? , SSRN
Andreas Ita, Capital Allocation in Large Banks - A Renewed Look at Practice , SSRN
Lilia Mukhlynina, Kjell G. Nyborg, The Choice of Valuation Techniques in Practice: Education Versus Profession , SFI Research Paper No. 16-36 (Critical Finance Review, Vol. 9 (1-2), 2020 )
Ivan Petzev, Information Diffusion in Analyst Portfolios , SSRN
Jakub Rojcek, Ramazan Gencay, Soheil Mahmoodzadeh, Michael C Tseng, Price Impact and Bursts In Liquidity Provision , SFI Research Paper No. 16-21
Jakub Rojcek, A Model of Price Impact and Market Maker Latency , SFI Research Paper No. 16-56
Markus Leippold, Nikola Vasiljevic, Option-Implied Intra-Horizon Value-at-Risk , SSRN, (Management Science, Vol. 66 (1), 2020 )
Alexander F. Wagner, Christoph Wenk, Corporate Governance: Beyond Best Practice , 2016, SFI White Paper
Falko Fecht, Kjell G. Nyborg, Jörg Rocholl and Jiri Woschitz, Collateral, Central Bank Repos, and Systemic Arbitrage , SFI Research Paper No. 16-66
Markus Leippold, Hanlin Yang, Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models , SSRN, (Econometrics and Statistics, Vol. 12, 2019)
Ally Quan Zhang, Amplification and Spillover with Financial Arbitrage, Production and Collateral Constraints , SSRN
2015
Andrin Bögli and Felix Fattinger, Indebtedness, Interests, and Incentives: State-contingent Sovereign Debt Revisited , SSRN
Meike Bradbury, Thorsten Hens, Stefan Zeisberger, Do Risk Simulations Lead to Persistently Better Investment Decisions? , SSRN
Felix Fattinger, Alexandre Ziegler, Risk and Return Around the Clock , SSRN
Fulvia Fringuellotti, Ciprian Necula, A Generalized Bachelier Formula for Pricing Basket and Spread Options , SSRN
Walter Farkas, Robert Huitema, Elise Gourier, Ciprian Necula, A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing , SFI Research Paper No. 15-54 (Journal of Banking & Finance , 2017, Vol. 77, pp. 249-268)
Andreas Ita, Credit Default Swap Spreads and Implied Cost of Equity , SSRN
Markus Leippold and Felix Matthys, Economic Policy Uncertainty and the Yield Curve , SSRN
Felix Matthys, Markus Leippold, Endogenous Markov Switching Regression Models for High-Frequency Data under Microstructure Noise , SSRN
Julia Meyer, Annette Krauss, Measuring and Aggregating Social Performance of Microfinance Investment Vehicles , CMF Working Paper Series, No. 3-2015
Julia Meyer, Social Versus Financial Return of Investments in Microfinance , CMF Working Paper Series, No. 1-2015
Ivan Petzev, Andreas Schrimpf, Alexander F. Wagner, Has the Pricing of Stocks Become More Global? , SFI Research Paper No. 15-48
Ivan Petzev, Marina Druz, Alexander Wagner, Richard Zeckhauser, When Managers Change Their Tone, Analysts and Investors Change Their Tune , SFI Research Paper No. 15-02
Marc Paolella and Pawel Polak, Portfolio Selection with Active Risk Monitoring , SFI Research Paper No. 15-17
Jakub Rojcek, Alexandre Ziegler, High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation , SFI Research Paper No. 15-23
Remo Stössel, Willingness to Be Financially Informed and the Benefits of Nudging Investors to Do So , SSRN
Remo Stössel, Anna Meier, Framing Effects and Risk Perception: Testing Graphical Representations of Risk for the KIID , SSRN
Markus Leippold, Lujing Su and Alexandre Ziegler, How Index Futures and ETFs Affect Stock Return Correlations , SSRN
M. Leippold, N. Vasiljevic, Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model , SFI Research Paper No. 15-08 (Journal of Banking & Finance , 2017, Vol. 77, pp. 78-94)
Marc Chesney, Nikola Vasiljevic, Québécoisation method for the pricing of Parisian options with jump risk
Boris Wälchli, A Random Forests Based Performance Ratio for Regulatory Asset Portfolio Management and Optimization , SSRN
Boris Wälchli, A Proximity Based Macro Stress Testing Framework , SSRN (Dependence Modeling , 2016, Vol. 4(1), pp. 251-276)
Boris Wälchli, Walter Farkas, Ciprian Necula, Herding and Stochastic Volatility , SFI Research Paper No. 15-59
2014
Meike Bradbury, Thorsten Hens and Stefan Zeisberger, Improving Investment Decisions with Simulated Experience , SSRN (Review of Finance , 2015, Vol. 19 (3), pp. 1019-1052)
Dominic Burkhardt, Time-Varying Inflation Risk and the Cross-Section of Stock Returns , SSRN
Kremena Bachmann, Thorsten Hens, Investment competence and advice seeking , SSRN (Journal of Behavioral and Experimental Finance , 2015, Vol. 6, pp. 27-41)
Florian Eugster, Endogeneity and the Dynamics of Voluntary Disclosure Quality: Is There Really an Effect on the Cost of Equity Capital? , SSRN
Thomas J. Chemmanur, Manish Gupta, Karen Simonyan, Management Quality and Innovation in Entrepreneurial Firms
Robert Huitema, Bas Peeters, Risk Premiums in a Multi-Factor Jump-Diffusion Model for the Joint Dynamics of Equity Options and Their Underlying , SSRN
Robert Huitema, Francesco Audrino, Markus Ludwig, An Empirical Analysis of the Ross Recovery Theorem , SSRN
Jochen Krause and Marc S. Paolella, A Fast, Accurate Method for Value at Risk and Expected Shortfall , SFI Research Paper No. 14-40 (Econometrics , 2014, Vol. 2(2), pp. 98-122)
Johannes Brumm, Dominika Kryczka, Felix Kubler, Recursive equilibria in dynamic economies with stochastic production (Econometrica , 2017, Vol. 85 (5), pp. 1467-1499)
Felix Matthys, Yacine Ait-Sahalia, Robust Portfolio Optimization with Jumps
Falko Paetzold, Timo Busch, Cognitive Barriers to Sustainable Investing: Unleashing the Power of Wealthy Private Investors , DSF Policy Paper No. 41
Rajna Gibson and Nikolay Ryabkov, Long/Short Equity Hedge Funds and Systematic Ambiguity , SFI Research Paper No. 14-05
M. Ibraimi, M. Leippold and F. Stang, A Robust Fundamental Theorem of Asset Pricing with Discrete Martingale Measures , SSRN
Remo Stössel, Kremena Bachmann, Thorsten Hens, Which Measures Predict Risk Taking in a Multi-Stage Controlled Decision Process? , SSRN
Boris Wälchli, An Integrated Risk Capital Aggregation Framework Using Nonlinear Classification by Random Forests and Its Proximity Measures , SSRN
Zexi Wang, Short Sellers, Institutional Investors, and Corporate Cash Holdings , SSRN
2013
Fabian Ackermann, Karl Schmedders, Pohl Walt, Long-Run UIP Holds Even in the Short Run , SFI Research Paper No. 13-31
Erdinc Akyildirim, Ibrahim Ethem Güney, Jean-Charles Rochet and Halil Mete Soner, Optimal Dividend Policy with Random Interest Rates , SFI Research Paper No. 13-14 (Journal of Mathematical Economics , 2014, Vol. 51, pp. 93-101)
Erdinc Akyildirim, Partial Hedging and Cash Requirement in Discrete Time , NCCR FINRISK WP 840 (Quantitative Finance , 2016, Vol. 16 (6), pp. 929-945)
Erdinc Akyildirim, Yan Dolinsky, Halil Mete Soner, Approximating Stochastic Volatility by Recombinant Trees , NCCR FINRISK WP 839 (The Annals of Applied Probability , 2014, Vol. 24 (5), pp. 2176-2205)
Marc Arnold, The Impact of Centrally Cleared Credit Risk Transfer on Banks' Lending Discipline , SSRN
Marc Arnold, Dirk Hackbarth and Tatjana Xenia Puhan, Financing Asset Sales and Business Cycles , SSRN (Review of Finance , Vol. 22 (1), 2018, pp. 243–277)
Marc Arnold, The Impact of Managerial Cash Use to Defer Default on Corporate Financial Policies , SSRN (Journal of Corporate Finance , 2014, Vol. 27, pp. 305-325)
Chris Bardgett, Elise Gourier and Markus Leippold, Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets , SFI Research Paper No. 13-40
Simone Bernardi, Markus Leippold, Harald Lohre, Maximum Diversification Strategies Along Commodity Risk Factors , SSRN (European Financial Management , 2018, Vol. 24 (1), pp. 53-78)
Nilufer Caliskan and Thorsten Hens, Value and Patience: The Value Premium in a Dividend-Growth Model with Hyperbolic Discounting , SFI Research Paper No. 13-32
Kremena Bachmann, Thorsten Hens, Behavioural Finance and Investment Advice , SSRN (Handbook of Behavioral Finance , 2010, Edward Elgar Publishing, pp. 301-321)
Michal Dzielinski, Short-Term Reactions to News Announcements: What Do Investors Learn from Them? , SSRN
Michal Dzielinski, The Role of Information Intermediaries in Financial Markets
Michal Dzielinski and Henrik Hasseltoft, Why Do Investors Disagree? The Role of a Dispersed News Flow
Sabine Elmiger, Can the CRRA-Lognormal Framework Explain CAPM-Anomalies in the Cross-Section of Stock Returns? , SFI Research Paper No. 13-43
Damir Filipovic, Elise Gourier and Loriano Mancini, Quadratic Variance Swap Models , SFI Research Paper No. 13-06 (Journal of Financial Economics , 2016, Vol. 119 (1), pp. 44-68)
Markus Leippold, Meriton Ibraimi, The Fundamental Theorem of Asset Pricing on Measurable Spaces under Uncertainty , SSRN
Benjamin Jonen and Simon Scheuring, Multivariate Markov Chain Approximations , SSRN
Markus Haas, Jochen Krause, Marc S. Paolella and Sven C. Steude, Time-Varying Mixture GARCH Models and Asymmetric Volatility , SFI Research Paper No. 13-04 (The North American Journal of Economics and Finance , 2013, Vol. 26, pp. 602-623)
Marc S. Paolella and Pawel Polak, Comfort: A Common Market Factor Non-Gaussian Returns Model , SFI Research Paper No. 13-38 (Journal of Econometrics , 2015, Vol. 187 (2), pp. 593-605)
Tatjana Xenia Puhan, Volatility Information in Index Option Demand , SSRN
Kjell G. Nyborg and Zexi Wang, Stock Liquidity and Corporate Cash Holdings: Feedback and the Cash as Ammunition Hypothesis , SFI Research Paper No. 13-36
Rajna Gibson Brandon, Ramona Westermann, Stock prices’ overreaction corrections: Firm-specific and market-wide attributes , FINRISK WP 853
Matthias Thul, Ally Quan Zhang, Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model , SSRN
2012
Fabian Ackermann, Karl Schmedders, Pohl Walt, On the Risk and Return of the Carry Trade , SFI Research Paper No. 12-36
Henrik Hasseltoft and Dominic Burkhardt, Understanding Asset Correlations , SFI Research Paper No. 12-38
Michal Dzielinski, Which News Resolves Asymmetric Information? , NCCR FINRISK WP 800
Michal Dzielinski, Henrik Hasseltoft, News Tone Dispersion and Investor Disagreement , SSRN
Manish Gupta, Agency Issues and Financing Constraints - Evidence from REITs , NCCR FINRISK WP 743
Robert Huitema, Optimal Portfolio Execution using Market Orders and Limit Orders , SSRN
Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini, The Term Structure of Variance Swaps and Risk Premia , SSRN
Markus Ludwig, Robust Estimation of Shape-Constrained State Price Density Surfaces , SSRN (The Journal of Derivatives , 2015, Vol. 22 (3), pp. 56-72)
Kerstin Kehrle and Tatjana Xenia Puhan, The Information Content of Option Demand , SFI Research Paper No. 12-43
Maria Putintseva, Mixture Normal Conditional Correlation Models , SFI Research Paper No. 12-41
Markus Leippold and Jacob Stromberg, Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube , SFI Research Paper No. 12-23 (Journal of Financial Economics , 2014, Vol. 111 (1), pp. 224-250)
Rajna Gibson Brandon, Songtao Wang, Market Belief Risk and the Cross-Section of Stock Returns , SFI Research Paper No. 12-37
Per Östberg and Christoph Wenk, Evidence of Excess Comovement in US Mergers , SFI Research Paper No. 12-33
2011
Amelie Brune, Thorsten Hens, Marc Oliver Rieger, Mei Wang, The war puzzle: Contradictory effects of international conflicts on stock markets , SFI Research Paper No. 11-21 (International Review of Economics , 2015, Vol. 62 (1), pp. 1–21)
Marc Chesney, Remo Crameri and Loriano Mancini, Detecting Abnormal Trading Activities in Option Markets , SFI Research Paper No. 11-42 (Journal of Empirical Finance , 2015, Vol. 33, pp. 263-275)
Marc Chesney, Remo Crameri and Loriano Mancini, Detecting Abnormal Trading Activities in Option Markets: Supplemental Appendix , SFI Research Paper No. 11-38
Michal Dzielinski, News Sensitivity and the Cross-Section of Stock Returns , NCCR FINRISK WP 719
Florian Eugster and Alexander F. Wagner, Value Reporting Quality, Operating Performance, and Stock Market Valuations , SFI Research Paper No. 11-25
Benjamin Jonen and Simon Scheuring, Time-Varying International Diversification and the Forward Premium , SSRN (Journal of International Money and Finance , 2014, Vol. 40, pp. 128-148)
Simon A. Broda, Markus Haas, Jochen Krause , Marc S. Paolella and Sven C. Steude, Stable Mixture GARCH Models , SFI Research Paper No. 11-39 (Journal of Econometrics , 2013, Vol. 172 (2), pp. 292-306)
Gabriel H. Neukomm, Structured Finance, Acquisitions and Debt Agency , SFI Research Paper No. 11-55
Miret Padovani and Rajna Gibson, The Determinants of Banks' Lobbying Activities , SFI Research Paper No. 11-56
Maria Putintseva, Predictive Power of Information Market Prices , SFI Research Paper No. 11-23
Urs Schweri, Is the Pricing Kernel U-Shaped? , FINRISK WP 732
Urs Schweri, Market Selection in an Evolutionary Market with Creation and Disappearance of Assets , FINRISK WP 316
Sven Christian Steude, Weighted maximum likelihood for risk prediction , NCCR FINRISK WP 689
Markus Leippold, Lujing Su, Collateral Smile , SFI Research Paper No. 11-51 (Journal of Banking & Finance , 2015, Vol. 58, pp. 15-28)
Alexander F. Wagner and Christoph Wenk, Agency versus Hold-up: On the Impact of Binding Say-on-Pay on Shareholder Value , SFI Research Paper No. 11-12
Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer, Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums' , SSRN
Fabio Trojani, Christian Wiehenkamp and Jan Wrampelmeyer, Ambiguity and Reality , SFI Research Paper No. 11-33
2010
Marc Arnold, Alexander F. Wagner, Ramona Westermann, Growth Options, Macroeconomic Conditions and the Cross-Section of Credit Risk , SFI Research Paper No. 10-19 (Journal of Financial Economics , 2013, Vol. 107 (2), pp. 350-385)
Matteo Bonato, Robust Estimation of Skewness and Kurtosis in Distributions with Infinite Higher Moments , SSRN (Finance Research Letters , 2011, Vol. 8 (2), pp. 77-87)
Michal Dzielinski, Measuring Economic Uncertainty and its Impact on the Stock Market , NCCR FINRISK WP 638 (Finance Research Letters , 2012, Vol. 9 (3), pp. 167-175)
Marc Chesney, Mustafa Karaman and Ganna Reshetar, The Impact of Terrorism on Financial Markets: An Empirical Study , SSRN (Journal of Banking & Finance , 2011, Vol. 35 (2), pp. 253-267)
Paolo Vanini and Miret Padovani, Stochastic Volatility I: Heston Model: Analytics , SSRN
Hans Caspar von der Crone and Evgeny Plaksen, The Value of Dual-Class Shares in Switzerland , SSRN
Marc Paolella and Pawel Polak, ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails , SFI Research Paper No. 10-27 (International Review of Economics & Finance , 2015, Vol. 40, pp. 282-297)
Klaus Reiner Schenk-Hoppé and Urs Schweri, Firm Life Cycles Under Additive Shocks , SFI Research Paper No. 10-39
Marc Chesney, Jacob Stromberg and Alexander F. Wagner, Managerial Incentives to Take Asset Risk , SFI Research Paper No. 10-18
Luca Taschini, Marc Chesney and Mei Wang, Experimental Comparison between Markets on Dynamic Permit Trading and Investment in Irreversible Abatement with and without Non-Regulated Companies , SSRN (Journal of Regulatory Economics , 2014, Vol. 46 (1), pp. 23-50)
Songtao Wang, Market Belief, Trading Volume, Price Volatility, and Liquidity , NCCR FINRISK WP 625
2009
Matteo Bonato, Estimating the Degrees of Freedom of the Realized Volatility Wishart Autoregressive Model , SSRN
Kremena Bachmann, Peter Woehrmann, Optimal Guidance by Central Banks , NCCR FINRISK WP 242
Matthias Jüttner, A Credit Risk Model Incorporating Microstructural Dependencies and Stochastic Recovery , FINRISK WP 533
Miret Padovani and Paolo Vanini, An Intergenerational Cross-Country Swap , SFI Research Paper No. 09-17 (The Journal of Risk Finance , 2010, Vol. 11 (5), pp.446-463)
Florian Peters, Risk Premia in Executive Compensation: A Life-Cycle Perspective
Loriano Mancini, Angelo Ranaldo, Jan Wrampelmeyer, Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums , NCCR FINRISK WP 590 (Journal of Finance , 2013, Vol. 68 (5), pp. 1805-1841)
2008
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo, Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model , SSRN
Gorazd Brumen, Pricing Effects of Crossholdings in a Network Environment , SSRN
Gorazd Brumen, Mergers and Asset Prices in a Firm Network Economy , SSRN
Gorazd Brumen and Paolo Vanini, Pricing Credit Risk in Buyer-Supplier Networks , SSRN
Gorazd Brumen and Bogdan Stacescu, Financial Effects of External Auditing , SSRN
Artashes Karapetyan and Bogdan Stacescu, Information Sharing and Information Acquisition in Credit Markets , SSRN (Review of Finance , 2014, Vol. 18 (4), pp. 1583–1615)
Stefan Mauchle, Hans Geiger, Das Vermögensverwaltungsgeschäft durch Nicht-Banken in der Schweiz , ISB WP 47
Benoit Metayer, A Double Exponential Jump Diffusion Process To Modelling Risky Bond Prices , SSRN
Rajna Gibson and Carsten Murawski, Default Risk Mitigation Mechanisms in Derivatives Markets , SSRN
Rajna Gibson and Carsten Murawski, Margining and the Stability of the Banking Sector , SFI Research Paper No. 08-43
Florian Peters and Alexander F. Wagner, The Executive Turnover Risk Premium , SFI Research Paper No. 08-11 (Journal of Finance , 2014, Vol. 69 (4), pp. 1529-1563 )
Evgeny Plaksen, Value of Your IPO Advisor's Advice: M&A Perspective , SSRN
Ganna Reshetar, Dependence of Operational Losses and the Capital at Risk , SSRN
Bruce A. Conway, Rina Rosenblatt-Wisch and Klaus Reiner Schenk-Hoppé, (Un)Anticipated Technological Change in an Endogenous Growth Model , NCCR FINRISK WP 461 (Studies in Nonlinear Dynamics & Econometrics , 2009, Vol. 13)
Marc Chesney and Luca Taschini, The Endogenous Price Dynamics of Emission Allowances and an Application to CO2 Option Pricing , SFI Research Paper No. 08-02 (Applied Mathematical Finance , 2012, Vol. 19 (5), pp. 447-475)
Tõnn Talpsepp, Martin Vlcek and Mei Wang, Speculating in Gains, Waiting in Losses: A Closer Look at the Disposition Effect , SSRN (Journal of Behavioral and Experimental Finance , 2014, Vol. 2, pp. 31-43)
Rajna Gibson, Songtao Wang, Hedge Fund Alphas: Do They Reflect Manager Skills or Mere Compensation for Liquidity Risk Bearing? , SFI Research Paper No. 08-37
Reinhard Madlener and Christoph Wenk, Efficient Investment Portfolios for the Swiss Electricity Supply Sector , FCN Working Paper No. 2/2008
2007
Kremena Bachmann, Peter Woehrmann, Managerial Guidance and Analysts Underreaction , NCCR FINRISK WP 418
Kremena Bachmann, Thorsten Hens, The Earnings Game with Behavioral Investors , NCCR FINRISK WP 406
Matteo Bonato, Modeling Fat Tails in Stock Returns: A Multivariate Stable-GARCH Approach , SSRN (Computational Statistics , 2012, Vol. 27 (3), pp. 499-521)
Rajna Gibson, Carsten Murawski, The Price of Protection: Derivatives, Default Risk, and Margining , NCCR FINRISK WP 255
Ganna Reshetar, Pricing of Multiple-Event Coupon Paying CAT Bond , SSRN
Bogdan Stacescu, Payout and Investment Decisions Under Managerial Discretion , SSRN
Matti Koivu, Ken Nyholm and Jacob Stromberg, Joint Modelling of International Yield Curves , SSRN
Martin Vlcek, Mei Wang, The Disposition Effect in the Lab , NCCR FINRISK WP 402
2006
Gorazd Brumen, Paolo Vanini, Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks , NCCR FINRISK WP 314
Stefan Mauchle, Hans Geiger, Die Entwicklung und Wertschöpfung der Schweizer Nicht-Banken-Effektenhändler , ISB WP 45
Rajna Gibson and Carsten Murawski, Default Risk Mitigation in Derivatives Markets and its Effectiveness , EFA 2006 Zurich Meetings Paper
Carsten Murawski, Dynamic Hedging and Order Flow Dynamics , NCCR FINRISK WP 319
Bogdan Stacescu, Dividends Revisited: An In-Depth Look at the Relationship between Dividends and Earnings , SSRN
Luca Taschini and Marc S. Paolella, An Econometric Analysis of Emission Trading Allowances , SFI Research Paper No. 06-26 (Journal of Banking & Finance , 2008, Vol. 32 (10), pp. 2022-2032)
Martin Vlcek, Portfolio Choice with Loss Aversion, Asymmetric Risk-Taking Behavior and Segregation of Riskless Opportunities , SFI Research Paper No. 27
2005
Kremena Bachmann, The Conditional Value of R&D Investments , NCCR FINRISK WP 213
Carsten Murawski, Valuing Contingent Claims with Different Types of Market Incompleteness , NCCR FINRISK WP 186
Rina Rosenblatt-Wisch, Loss Aversion in Aggregate Macroeconomic Time Series , NCCR FINRISK WP 236 (European Economic Review , 2008, Vol. 52 (7), pp. 1140-1159)
Rina Rosenblatt-Wisch, Optimal Capital Accumulation in a Stochastic Growth Model under Loss Aversion , NCCR FINRISK WP 222
Thorsten Hens and Martin Vlcek, Does Prospect Theory Explain the Disposition Effect? , NHH Discussion Paper No. 18/2005 (Journal of Behavioral Finance , 2011, Vol. 12 (3), pp. 141-157)
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