Content
Undated material is presented at the end, although it may be more recent than other items
2023
- 23-89 Investment Efficiency of Private and Public Firms
by Pantelis Kazakis & Woon Sau Leung & Steven Ongena
2005
- rp163 False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
by Laurent BARRAS & Olivier SCAILLET & Russ WERMERS - rp162 Repurchasing Shares on a Second Trading Line
by Dusan ISAKOV & Dennis Y. CHUNG & Christophe PERIGNON - rp161 Distribution Risk and Equity Returns
by Jean-Pierre DANTHINE & John B. DONALDSON & Paolo SICONOLFI - rp160 House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics
by Steven C. BOURASSA & Donald R. HAURIN & Jessica L. HAURIN & Martin HOESLI & Jian SUN - rp159 A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements
by Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER - rp157 Negotiating over Banking Secrecy: The Case of Switzerland and the European Union
by Alexandre Ziegler & François-Xavier Delaloye & Michel Habib - rp156 Rational Inattention: A Solution to the Forward Discount Puzzle
by Philippe Bacchetta & Eric van Wincoop - rp155 Can Information Heterogeneity Explain the Exchange Rate Determination?
by Philippe Bacchetta & Eric van Wincoop - rp154 Testing for Stochastic Dominance Efficiency
by Olivier Scaillet & Nikolas Topaloglou - rp153 International Conditional Asset Allocation under Real Time Uncertrainty
by Laruent Barras - rp152 Debt Equity Choice in Europe
by Philippe Gaud & Martin HOesli & André Bender - rp151 Spatial Dependence, Housing Submarkets, and House Prices
by Steven C. Bourassa & Eva Cantoni & Martin Hoesli - rp150 Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
by Michael Rockinger & Maria Semenova - rp149 Suggested vs. Actual Institutional Allocattion to Real Estate in Europe: A Matter of Size
by Martin Hoesli & Jon Lekander - rp148 Monte Carlo Simulations for Real Estate Valuation
by Martin Hoesli & Elion Jani & André Bender - rp147 Equity and Neutrality in Housing Taxation
by Philippe Thalmann - rp146 Order Submission Strategies and Information: Empirical Evidence from the NYSE
by Alessandro Beber & Cecilia Caglio - rp145 Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters
by Olivier Scaillet - rp144 Multiariate Wavelet-based sahpe preserving estimation for dependant observation
by Antonio Cosma & Olivier Scaillet & Rainer von Sachs - rp143 A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives
by Michel Denuit & Anne-Cécile Goderniaux & Olivier Scaillet - rp142 Times-To-Default:Life Cycle, Global and Industry Cycle Impact
by Fabien Couderc & Olivier Renault - rp141 Understanding Default Risk Through Nonparametric Intensity Estimation
by Fabien Couderc - rp140 Robust Mean-Variance Portfolio Selection
by Cédric Perret-Gentil & Maria-Pia Victoria-Feser - rp139 Trading Volumes in Dynamically Efficient Markets
by Tony Berrada & Julien Hugonnier & Marcel Rindisbacher - rp138 Growth Options in General Equilibrium: Some Asset Pricing Implications
by Julien Hugonnier & Erwan Morellec & Suresh Sundaresan - rp137 On the Demand for Budget Constrained Insurance
by Richard Watt & Henri Loubergé - rp136 Direct Preference Wealth in Aggregate Household Portfolios
by Pascal St-Amour - rp135 Indirect Robust Estimation of the Short-term interest Rate Process
by Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti - rp134 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
by Didier Cossin & Gero Jung - rp133 Are European Corporate Bond and Default Swap Markets Segmented?
by Didier Cossin & Hongze Lu - rp132 Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?
by Eric Jondeau & Michael Rockinger - rp131 Capital Gains Taxes, Irreversible Investment, and Capital Structure
by Norman Schürhoff - rp130 Financial Intermediation and the Costs of Trading in an Opaque Market
by Richard C. Green & Burton Hollifield & Norman Schürhoff - rp129 House Prices, Fundamentals and Inflation
by Angela Black & Patricia Fraser & Martin Hoesli - rp128 A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence
by Olivier Scaillet - rp107 Theory and Calibration of Swap Market Models
by S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet
2004
- rp158 R2 Around the World: New Theory and New Tests
by Li JIN & Stewart C. MYERS - rp126 The Dynamics of Mergers and Acquisitions
by Erwan Morellec & Alexei Zdhanov - rp125 Capital Structure, Credit Risk, and Macroeconomic Conditions
by Dirk Hackbarth & Jianjun Miao & Erwan Morellec - rp124 Developer's Expertise and Dynamicsof Financial Innovation: Theory and Evidence
by Helios Herrera & Enrique Schroth - rp123 A Double-Sided Multiunit Combinatorial Auction for Substitutes: Theory and Algorithms
by Henry Schellhorn - rp122 Investment under Uncertainty and Incomplete Markets
by Julien Hugonnier & Erwan Morellec - rp120 Omega Portfolio Construction with Johnson Distributions
by Alexander Passow - rp119 A Simple Alternative House Price Index Method
by Steven C. Bourassa & Martin Hoesli & Jian Sun - rp118 Real Asset Returns and Components of Inflation: A Structural VAR Analysis
by Matthias HAGMANN & Carlos LENZ - rp117 Equity Returns and Integration: Is Europe Changing?
by Kpate ADJAOUTE & Jean-Pierre DANTHINE - rp116 Price Impact and Survival of Irrational Traders
by Leonid Kogan & Stephan Ross & Jiang Wang & Mark Westerfield - rp115 Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data
by Amine JALAL & Michael ROCKINGER - rp114 Further Evidence on Debt-Equity Choice
by Philippe GAUD & Martin HOESLI & André BENDER - rp113 Geographic Versus Industry Diversification: Contraints Matter
by Paul EHLING & Sofia B. RAMOS - rp112 Nonparametric Estimation of Conditional Expected Shortfall
by Olivier SCAILLET - rp111 The Integration of Securitized Real Estate and Financial Assets
by Séverine CAUCHIE & Martin HOESLI - rp110 Higher Order Expectations in Asset Pricing
by Philippe BACCHETTA & Eric VAN WINCOOP - rp108 Some Statistical Pitfalls In Copula Modeling For Financial Applications
by Jean-David FERMANIAN & Olivier SCAILLET - rp106 Credit Risk in a Network Economy
by Henry Schellhorn & Didier Cossin - rp105 The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market
by Alessandro BEBER & Michael W. BRANDT - rp93 A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics
by Alexey MEDVEDEV & Olivier SCAILLET - rp73 On the Consequences of State Dependent Preferences for the Pricing of Financial Assets
by Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis
2003
- rp121 On the debt Capacityof growth Options
by Michael J. Barclay & Erwan Morellec & Clifford W. Smith - rp109 Stock Exchange Competition in a Simple Model of Capital Market Equilibrium
by Sofia B. RAMOS & Ernst-Ludwig VON THADDEN - rp104 Sovereign Debt Contract and Optimal Consumption-Investment Strategies
by Andriy DEMCHUK, - rp102 Executive Compensation and Analyst Guidance: The Link between CEO Pay and Expectations Management
by Guido BOLLIGER & Manuel KAST - rp101 Mortality Risk and Real Optimal Asset Allocation for Pension Funds
by Francesco Menoncin & Olivier Scaillet - rp98 The Price of Aesthetic Externalities
by Steven C. BOURASSA & Martin HOESLI & Jian SUN - rp94 Quantitative Selection of Long-Short Hedge Funds
by Kaifeng CHEN & Alexander PASSOW - rp92 Testing for Contagion in International Financial Markets: Which Way to Go?
by Sébastien WÄLTI - rp91 Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators
by Matthias HAGMANN & Olivier SCAILLET - rp90 Determinants of Cross-Sectional Variation in Discount Rates, Growth Rates, and Exit Cap Rates
by Åke GUNNELIN & Patric H. HENDERSHOTT & Martin HOESLI & Bo SÖDERBERG - rp89 Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements
by Jean-David FERMANIAN & Olivier SCAILLET - rp88 The Macroeconomics of Delegated Management
by Jean-Pierre Danthine & John B. Donaldson - rp87 Maximum Drawdown and the Allocation to Real Estate
by Foort HAMELINK & Martin HOESLI - rp86 Portfolio Diversification in Europe
by Kpate ADJAOUTÉ & Jean-Pierre DANTHINE & Dušan ISAKOV - rp85 Start-ups Defined as Portfolios of Embedded Options
by Pascal BOTTERON & Jean-François CASANOVA - rp84 European Financial Integration and Equity Returns: A Theory-Based Assessment
by Kpate ADJAOUTÉ & Jean-Pierre DANTHINE - rp83 On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities
by Olivier RENAULT & Olivier SCAILLET - rp81 Does Poor Legal Enforcement Make Households Credit-Constrained?
by Daniela FABBRI & Mario PADULA - rp80 Geographical versus Industrial Diversification: A Mean Variance Spanning Approach
by Paul EHLING & Sofia B. RAMOS - rp79 What’s in a View?
by Steven C. Bourassa & Martin Hoesli & Jian Sun - rp78 Why Government Bonds Are Sold by Auction and Corporate Bonds by Posted-Price Selling
by Michel A. Habib & Alexandre Ziegler - rp77 Competition Between Stock Exchanges: A Survey
by Sofia B. Ramos - rp76 Profitable Innovation Without Patent Protection: The Case of Derivatives
by Helios Herrera & Enrique Schroth - rp75 Who are the Best? Local Versus Foreign Analysts on the Latin American Stock Markets
by Jean-François Bachmann & Guido Bolliger - rp72 Are practitioners right? On the relative importance of industrial factors in international stock returns
by Dušan Isakov & Frédéric Sonney - rp70 International Evidence on Real Estate as a Portfolio Diversifier
by Martin Hoesli & Jon Lekander & Witold Witkiewicz - rp68 The capital structure of Swiss companies: an empirical analysis using dynamic panel data
by Philippe Gaud & Elion Jani & Martin Hoesli & André Bender - rp66 Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases
by Paolo Battocchio & Francesco Menoncin & Olivier Scaillet - rp57 Nonparametric Estimation of Copulas for Time Series
by Jean-David FERMANIAN & Olivier SCAILLET - rp54 The Determinants of Stock Returns in a Small Open Economy
by Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV - rp50 What Factors Determine International Real Estate Security Returns?
by Foort HAMELINK & Martin HOESLI
2002
- rp127 Optimal Changes of Gaussian Measures, with Application to Finance
by Henry Schellhorn - rp103 Portfolio Optimization with Concave Transaction Costs
by Andriy Demchuk - rp100 Mutual Fund Flows and Performance in Rational Markets
by Jonathan B. Berk & Richard C. Green - rp99 Irreversible Investment with Regime Shifts
by Xin Guo & Jianjun Miao & Erwan Morellec - rp97 Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts
by Tom A. FEARNLEY - rp96 Financial Structure and Market Equilibrium in a Vertically Differentiated Industry
by Jean LEFOLL & Stylianos PERRAKIS - rp95 Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds
by Tom A. FEARNLEY - rp74 Innovation and First-Mover Advantages in Corporate Underwriting: Evidence from Equity Linked Securities
by Enrique Schroth - rp71 The Allocation of Assets Under Higher Moments
by Eric Jondeau & Michael Rockinger - rp69 Conditional Dependency of Financial Series: The Copula-GARCH Model
by Eric Jondeau & Michael Rockinger - rp67 Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility
by Peng Cheng & Olivier Scaillet - rp65 Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?
by Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang - rp64 Dynamic Allocation of Treasury and Corporate Bond Portfolios
by Roger Walder - rp63 Understanding the Economic Value of Legal Covenants in Investment Contracts: A Real-Options Approach to Venture Equity Contracts
by Didier Cossin & Benoît Leleux & Entela Saliasi - rp62 Integrated Market and Credit Risk Management of Fixed Income Portfolios
by Roger Walder - rp61 A Framework for Collateral Risk Control Determination
by Didier Cossin & Zhijiang Huang & Daniel Aunon-Nerin & Fer nando González - rp59 Implicit Forward Rents as Predictors of Future Rents
by Peter ENGLUND & Åke GUNNELIN & Martin HOESLI & Bo SÖDERBERG - rp58 Do Housing Submarkets Really Matter?
by Steven C. BOURASSA & Martin HOESLI & Vincent S. PENG - rp56 Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures
by Roger WALDER - rp55 Option Pricing with Discrete Rebalancing
by Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET - rp53 Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates
by Christophe PÉRIGNON & Christophe VILLA - rp52 Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates
by Christophe Pérignon & Christophe Villa - rp51 Cannibalization & Incentives in Venture Financing
by Stefan ARPING - rp49 Playing Hardball: Relationship Banking in the Age of Credit Derivatives
by Stefan ARPING, - rp48 A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
by Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI - rp47 Why does Implied Risk Aversion Smile?
by Alexandre Ziegler - rp46b Optimal Investment With Default Risk
by Yuanfeng Hou & Xiangrong Jin - rp45 Market Dynamics Around Public Information Arrivals
by Angelo Ranaldo - rp44 Nonparametric Tests Dependence For Positive Quadrant
by Michel DENUIT & Olivier SCAILLET - rp43 Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling
by Michael WESTPHALEN - rp41 Testing for Concordance Ordering
by Ana C. CEBRIÁN & Michel DENUIT & Olivier SCAILLET - rp40 Immunization of Bond Portfolios: Some New Results
by Olivier de LA GRANDVILLE - rp39 Weak Convergence of Hedging Strategies of Contingent Claims
by Jean-Luc PRIGENT & Olivier SCAILLET - rp19 Banking, Commerce, and Antitrust¤
by Stefan ARPING
2001
- rp82 The Welfare Implications of Non-Patentable Financial Innovations
by Helios HERRERA & Enrique SCHROTH - rp60 Optimal Dynamic rading Strategies with Risk Limits
by Domenico Cuoco & Hua He & Sergei Issaenko - rp42 Liquidity and Credit Risk
by Jan ERICSSON & Olivier RENAULT - rp38 Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
by Manfred GILLI, & Peter WINKER - rp37 How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods
by Laurent BARRAS, & Dušan ISAKOV - rp36 Coping with Credit Risk
by Henri LOUBERGÉ, & Harris SCHLESINGER - rp35 Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001
by Foort HAMELINK, & Hélène HARASTY & Pierre HILLION - rp34 Variable Selection for Portfolio Choice
by Yacine AÏT-SAHALIA, & Michael W. BRANDT - rp33 The Characteristics of Individual Analysts' Forecasts in Europe
by Guido BOLLIGER, - rp32 Portfolio Diversification: Alive and Well in Euroland!
by Kpaté ADJAOUTE & Jean-Pierre DANTHINE - rp30 Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing
by Evis KËLLEZI, & Giorgio PAULETTO - rp29 Liquidation Risk
by Alexandre ZIEGLER & Darrell DUFFIE - rp28 Defaultable Security Valuation and Model Risk
by Aydin AKGUN, - rp27 On Swiss Timing and Selectivity: In the Quest of Alpha
by François-Serge LHABITANT - rp24 Assessing Market Risk for Hedge Funds Portfolios
by François-Serge LHABITANT
2000
- rp31 EMU and Portfolio Diversification Opportunities
by Kpate ADJAOUTÉ, & Jean-Pierre DANTHINE - rp26 Hedging Housing Risk
by Peter ENGLUND & Min HWANG & John M. QUIGLEY - rp25 An Incentive Problem in the Dynamic Theory of Banking
by Ernst-Ludwig VON THADDEN - rp23 On the Informational Content of Changing Risk for Dynamic Asset Allocation
by Giovanni BARONE-ADESI & Patrick GAGLIARDINI & Fabio TROJANI - rp22 The Long-run Performance of Seasoned Equity Offerings with rights evidence from the Swiss Market
by Michel DUBOIS & Pierre JEANNERET - rp21 Optimal International Diversification: Theory and Practice from a Swiss Investor’s Perspective
by Foort HAMELINK - rp20 A Heuristic Approach to Portfolio Optimization
by Manfred Gilli & Evis Këllezi - rp18 Extreme Value Theory for Tail-Related Risk Measures
by Evis Këllezi & Manfred Gilli - rp17 International CAPM with Regime Switching GARCH Parameters
by Lorenzo CAPPIELLO & Tom A. Fearnley - rp16 Prospect Theory and Asset Prices
by Nicholas BARBERIS & Ming HUANG & Tano SANTOS - rp15 Evolution of Market Uncertainty around Earnings Announcements
by Dušan Isakov & Christophe Pérignon - rp13 European Financial Markets After EMU: A First Assessment
by Jean-Pierre DANTHINE & Francesco Giavazzi & Ernst-Ludwig von Thadden - rp12 Do fixed income securities also show asymmetric effects in conditional second moments?
by Lorenzo Cappiello - rp3 Real Options as a Tool in the Decision to Relocate: An Application to the Banking Industry
by Pascal BOTTERON
1999
- rp11 Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
by George CHACKO & Luis M. VICEIRA - rp10 Assessing Asset Pricing Anomalies
by Michael J. BRENNAN & Yihong XIA - rp9 Recovery Risk in Stock Returns
by Aydin AKGUN & Rajna GIBSON - rp8 Option Pricing and Replication with Transaction Costs and Dividends
by Stylianos PERRAKIS & Jean LEFOLL - rp7 Optimal Catastrophe Insurance with Multiple Catastrophes
by Henri LOUBERGE & Harris SCHLESINGER - rp6 Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse
by Foort HAMELINK - rp2 Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?
by Dušan ISAKOV & Marc HOLLISTEIN
1998
- rp5 Who Should Buy Long-Term Bonds?
by John Y. CAMPBELL & Luis VICEIRA - rp1 Enhancing Portfolio Performance Using Option Strategies: Why Beating the Market is Easy
by François-Serge Lhabitant
Undated
- rp14 Credit Spread Specification and the Pricing of Spread Options
by Nicolas Mougeot - rp4 Capital Asset Pricing Model and Changes in Volatility
by Andre Oliveira SANTOS