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Series handle: RePEc:chf:rpseri
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Content
2019
- 19-75 Implied Volatility Changes and Corporate Bond Returns
by Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan
- 19-74 Option Trading and Stock Price Informativeness
by Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan
- 19-73 Dissecting the Yield Curve: The International Evidence
by Andrea Berardi & Alberto Plazzi
- 19-72 Does Quantitative Easing Boost Bank Lending to the Real Economy or Cause Other Bank Asset Reallocation? The Case of the UK
by Simone Giansante & Mahmoud Fatouh & Steven Ongena
- 19-71 Steady State and Efficiency Convergence Dynamics in Alternative Banking Systems: The Cases of Islamic and Community Banks
by Marwan Izzeldin & Jill Johnes & Steven Ongena & Vasileios Pappas & Efthymios G. Tsionas
- 19-70 Gender, Credit, and Firm Outcomes
by Manthos D. Delis & Iftekhar Hasan & Maria Iosifidi & Steven Ongena
- 19-69 Liquidity, Volume, and Order Imbalance Volatility
by Vincent Bogousslavsky & Pierre Collin-Dufresne
- 19-68 Insider Trading with Penalties
by Sylvain Carre & Pierre Collin-Dufresne & Franck Gabriel
- 19-67 ESG Rating Disagreement and Stock Returns
by Rajna Gibson & Philipp Krueger & Nadine Riand & Peter Steffen Schmidt
- 19-66 Institutional Investors’ Views and Preferences on Climate Risk Disclosure
by Emirhan Ilhan & Philipp Krueger & Zacharias Sautner & Laura T. Starks
- 19-65 Extracting Statistical Factors When Betas are Time-Varying
by Patrick Gagliardini & Hao Ma
- 19-64 Volatility Dependent Structured Products
by Artem Dyachenko & Walter Farkas & Marc Oliver Rieger
- 19-63 Bank Restructuring without Government Intervention
by Marcella Lucchetta & Bruno Maria Parigi & Jean-Charles Rochet
- 19-62 Financial Intermediation, Capital Accumulation and Crisis Recovery
by Hans Gersbach & Jean-Charles Rochet & Martin Scheffel
- 19-61 Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply
by Laurent Barras & O. Scaillet & Russ Wermers
- 19-60 Why Do U.S. CEOs Pledge Their Own Company's Stock?
by Kornelia Fabisik
- 19-59 The Impact of Pensions and Insurance on Global Yield Curves
by Robin M. Greenwood & Annette Vissing-Jorgensen
- 19-58 Distance Effects in CMBS Loan Pricing: Banks versus Non-Banks
by Piet Eichholtz & NAGIHAN MIMIROGLU & Steven Ongena & Erkan Yönder
- 19-57 Sentimental Recovery
by Altan Pazarbasi & Paul Schneider & Grigory Vilkov
- 19-56 An Improved Method to Predict Assignment of Stocks into Russell Indexes
by Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi
- 19-55 Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan
by Andrea Barbon & Virginia Gianinazzi
- 19-54 Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing
by Damir Filipović & Kathrin Glau & Yuji Nakatsukasa & Francesco Statti
- 19-53 Properly Discounted Asset Prices Are Semimartingales
by Dániel Ágoston Bálint & Martin Schweizer
- 19-52 Mind the (Convergence) Gap: Bond Predictability Strikes Back!
by Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni
- 19-51 A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs
by Marc S. Paolella & Pawel Polak & Patrick S. Walker
- 19-50 Low Risk Anomalies?
by Paul Schneider & Christian Wagner & Josef Zechner
- 19-49 Risk Premia and Lévy Jumps: Theory and Evidence
by Hasan Fallahgoul & Julien Hugonnier & Loriano Mancini
- 19-48 Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
by Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet
- 19-47 Information Revelation Through Regulatory Process: Interactions Between the SEC and Companies Ahead of the IPO
by Michelle Lowry & Roni Michaely & Ekaterina Volkova
- 19-46 Estimation of Large Dimensional Conditional Factor Models in Finance
by Patrick Gagliardini & Elisa Ossola & O. Scaillet
- 19-45 Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation
by Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens
- 19-44 Unintended Consequences of Unemployment Insurance Benefits: The Role of Banks
by Yavuz Arslan & Ahmet Degerli & Gazi Kabas
- 19-43 The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone
by Roman Goncharenko & Steven Ongena & Asad Rauf
- 19-42 Fear, Anger and Credit. On Bank Robberies and Loan Conditions
by Paola Morales Acevedo & Steven Ongena
- 19-41 Are U.S. Industries Becoming More Concentrated?
by Gustavo Grullon & Yelena Larkin & Roni Michaely
- 19-40 Consumption Taxes and Corporate Investment
by Martin Jacob & Roni Michaely & Maximilian A. Müller
- 19-39 The Geography of Mortgage Lending in Times of FinTech
by Christoph Basten & Steven Ongena
- 19-38 The Effect of Unconventional Monetary Policy on Cross‐Border Bank Loans: Evidence from an Emerging Market
by Koray Alper & Fatih Altunok & Tanju Çapacıoğlu & Steven Ongena
- 19-37 ICO Investors
by Rüdiger Fahlenbrach & Marc Frattaroli
- 19-36 Innovation Activities and Integration through Vertical Acquisitions
by Laurent Frésard & Gerard Hoberg & Gordon M. Phillips
- 19-35 Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment
by Philippe Bacchetta & Eric van Wincoop
- 19-34 Machine Learning With Kernels for Portfolio Valuation and Risk Management
by Lotfi Boudabsa & Damir Filipović
- 19-33 Real Estate Performance, the Macroeconomy and Leverage
by Jean-Christophe Delfim & Martin Hoesli
- 19-32 Robust Desmoothed Real Estate Returns
by Jean-Christophe Delfim & Martin Hoesli
- 19-31 On the Nature of Jump Risk Premia
by Piotr Orłowski & Paul Schneider & Fabio Trojani
- 19-30 The Effect of Stock Liquidity on Cash Holdings: The Repurchase Motive
by Kjell G. Nyborg & Zexi Wang
- 19-29 Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model
by Rebecca Westphal & Didier Sornette
- 19-28 Bank Capital Requirements, Loan Guarantees and Firm Performance
by Sergio Mayordomo & Antonio Moreno & Steven Ongena & Maria Rodriguez-Moreno
- 19-27 A Flexible Regime Switching Model for Asset Returns
by Marc S. Paolella & Pawel Polak & Patrick S. Walker
- 19-26 Insurance: Models, Digitalization, and Data Science
by Hansjoerg Albrecher & Antoine Bommier & Damir Filipović & Pablo Koch-Medina & Stéphane Loisel & Hato Schmeiser
- 19-25 The Fair Reward Problem: The Illusion of Success and How to Solve It
by Didier Sornette & Spencer Wheatley & Peter Cauwels
- 19-24 Crude Awakening: Oil Prices and Bond Returns
by Eric Jondeau & Qunzi Zhang & Xiaoneng Zhu
- 19-23 Strategic Trading As a Response to Short Sellers
by Marco Di Maggio & Francesco A. Franzoni & Massimo Massa & Roberto Tubaldi
- 19-22 Technological Disruptiveness and the Evolution of IPOs and Sell-Outs
by Donald E. Bowen III & Laurent Frésard & Gerard Hoberg
- 19-21 Short-Term Debt and Incentives for Risk-Taking
by Marco Della Seta & Erwan Morellec & Francesca Zucchi
- 19-20 Arbitrage Free Dispersion
by Piotr Orłowski & Andras Sali & Fabio Trojani
- 19-19 Consumer Protection and the Design of the Default Option of a Pan-European Pension Product
by Andrea Berardi & Claudio Tebaldi & Fabio Trojani
- 19-18 Saddlepoint Approximations for Spatial Panel Data Models
by Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & O. Scaillet
- 19-17 A Theory of Scenario Generation
by Paul Schneider
- 19-16 ESG Investing: From Sin Stocks to Smart Beta
by Fabio Alessandrini & Eric Jondeau
- 19-15 The Keys of Predictability: A Comprehensive Study
by Giovanni Barone-Adesi & Antonietta Mira & Matteo Pisati
- 19-14 The Impact of Venture Capital Screening
by Rustam Abuzov
- 19-13 When Investors Call for Climate Responsibility, How Do Mutual Funds Respond?
by Marco Ceccarelli & Stefano Ramelli & Alexander F. Wagner
- 19-12 Owners' Portfolio Diversification and Firm Investment: Theory and Evidence from Private and Public Firms
by Evgeny Lyandres & Maria‐Teresa Marchica & Roni Michaely & Roberto Mura
- 19-11 What Do Insiders Know? Evidence from Insider Trading Around Share Repurchases and SEOs
by Peter Cziraki & Evgeny Lyandres & Roni Michaely
- 19-10 FinTechs and the Market for Financial Analysis
by Jillian Grennan & Roni Michaely
- 19-09 Sticking around Too Long? Dynamics of the Benefits of Dual-Class Voting
by Hyunseob Kim & Roni Michaely
- 19-08 Do Index Funds Monitor?
by Davidson Heath & Daniele Macciocchi & Roni Michaely & Matthew Ringgenberg
- 19-07 Cultural Diversity on Wall Street: Evidence from Sell-Side Analysts’ Forecasts
by Kenneth J. Merkley & Roni Michaely & Joseph Pacelli
- 19-06 Lured by the Consensus
by Roni Michaely & Amir Rubin & Dan Segal & Alexander Vedrashko
- 19-05 Repo Rates and the Collateral Spread: Evidence
by Kjell G. Nyborg & Cornelia Rösler
- 19-04 Repo Rates and the Collateral Spread Puzzle
by Kjell G. Nyborg
- 19-03 The Intangibles Song in Takeover Announcements: Good Tempo, Hollow Tune
by Zoran Filipovic & Alexander F. Wagner
- 19-01 On the Solution of High-Dimensional Macro Models with Distributional Channels
by Luca MAzzone
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
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