Working Paper

 

WORKING PAPER SERIES

Rajna Gibson Brandon

1) with Songtao Wang, Liquidity Risk, Return Predictability and Hedge Funds' Performance: An Empirical Study. October 17, 2011. Forthcoming, Journal of Financial & Quantitive Analysis, 2011.

2) with Miret Padovani: The determinants of banks' lobbying activities, Working Paper University of Geneva, November 21 2011.

3) with Carsten Murawski, Margining in Derivatives Markets, and the Stability of the Banking Sector. Working Paper University of Geneva,  February 21 2011.

4) with Carmen Tanner, and Alexander F. Wagner, Honesty Can Trump Self-Interest: Experimental Evidence on the Protected Value of Truthfulness as a Motivator for Truth-Telling. Working Paper University of Geneva, September 19 2011.

5) with Ramazan Gencay,  and Yi Xue; The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading, Swiss Finance Institute Research Paper No. 09-11.

 

 

Tony Berrada

1)  Bounded Rationality and Asset Pricing with Intermediate Consumption, Review of Finance, Vol. 13, No. 4, pp. 693-725, 2009.

2) with Julien N. Hugonnier ; Incomplete Information, Idiosyncratic Volatility and Stock Returns, Swiss Finance Institute Research Paper No. 08-23.

3) with Reda Jurg, Messikhz Gianluca Oderda and Olivier Pictet; Beta-Arbitrage strategies: when do they work, and why ? Swiss Finance Institute Research Paper No. 11-64.

 

Martin Hoesli

1) with Steven C. Bourassa,  and Donato Flavio Scognamiglio; Housing Finance, Prices, and Tenure in Switzerland, Swiss Finance Institute Research Paper No. 09-16.

2) with Camilo Serrano; Are Securitized Real Estate Returns More Predictable than Stock Returns? Swiss Finance Institute Research Paper No. 08-27.

3) with Camilo Serrano: Global Securitized Real Estate Benchmarks and Performance, Swiss Finance Institute Research Paper No. 08-39.

4) with Camilo Serrano ; Fractional Cointegration Analysis of Securitized Real Estate, Swiss Finance Institute Research Paper No. 09-08.

5) with Elias Oikarinen,and Camilo Serrano; Linkages between Direct and Securitized Real Estate, Swiss Finance Institute Research Paper No. 09-26.

6) with Alain Chaney The Interest Rate Sensitivity of Real Estate, Swiss Finance Institute Research Paper No. 10-13.

7) with Patricia Fraser, and Lynn McAlevey; House Prices, Disposable Income, and Permanent and Temporary Shocks, Swiss Finance Institute Research Paper No. 09-42.

8) with Camilo Serrano; Housing and its Role in the Household Portfolio in Colombia, Swiss Finance Institute Research Paper No. 10-01.

9) with Camilo Serrano; Are Securitized Real Estate Returns More Predictable than Stock Returns?, Journal of Real Estate Finance and Economics, Vol. 41, No. 2, 2010.

10) with Steven C. Bourassa; Why Do the Swiss Rent? Journal of Real Estate Finance and Economics, Forthcoming.

 

Olivier Scaillet

1) with Pierre Bajgrowicz; Detecting Spurious Jumps in High-Frequency Data

2) with Lorenzo Camponovo, and Fabio Trojani; Robust Resampling Methods for Time Series, Swiss Finance Institute Research Paper No. 09-38.

3) with  Philippe Huber, and Maria-Pia Victoria-Feser; Assessing Multivariate Predictors of Financial Market Movements: A Latent Factor Frame Work for Ordinal Data, Swiss Finance Institute Research Paper No. 08-45.

4) with  Amine Lahiani; Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data,Swiss Finance Institute Research Paper No. 08-42.

5) with Pierre Bajgrowicz: Technical trading revisited: false discoveries, persistence tests, and transaction costs, Journal of Financial Economics, forthcoming

 

Henri Lougergé

1) with Pauline M. Barrieu: Hybrid Cat Bonds, Journal of Risk and Insurance, Vol. 76, Issue 3, pp. 547-578, September 2009.

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