N° 19-59: The Impact of Pensions and Insurance on Global Yield Curves
R. Greenwood, A. Vissing-Jorgensen
Working Papers
11 Nov. 2019
N° 19-58: Banks, Non-Banks, and the Incorporation of Local Information in CMBS Loan Pricing
S. Ongena, P. Eichholtz, N. Mimiroglu, E. Yönder
Working Papers
5 Nov. 2019
N° 19-57: Dispersion of Beliefs Bounds: Sentimental Recovery
P. Schneider, A. Pazarbasi, G. Vilkov
Working Papers
31 Oct. 2019
N° 19-56: An Improved Method to Predict Assignment of Stocks into Russell Indexes
F. Franzoni, I. Ben-David, R. Moussawi
Working Papers
30 Oct. 2019
N° 19-55: Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan
A. Barbon, V. Gianinazzi
Working Papers
22 Oct. 2019
N° 19-54: Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing
D. Filipović, K. Glau, Y. Nakatsukasa, F. Statti
Working Papers
22 Oct. 2019
N° 19-53: Properly Discounted Asset Prices Are Semimartingales
M. Schweizer, D. A. Bálint
Working Papers
11 Oct. 2019
N° 19-52: Mind the (Convergence) Gap: Bond Predictability Strikes Back!
A. Plazzi, A. Berardi, M. Markovich, A. Tamoni
Working Papers
26 Sept. 2019
N° 19-51: A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs
M. Paolella, P. Polak, P. S. Walker
Working Papers
26 Sept. 2019
N° 19-50: Low Risk Anomalies?
P. Schneider, Ch. Wagner, J. Zechner
Working Papers
26 Sept. 2019
N° 19-49: Risk Premia and Lévy Jumps: Theory and Evidence
L. Mancini, J. Hugonnier, H. Fallahgoul
Working Papers
26 Sept. 2019
N° 19-44: Unintended Consequences of Unemployment Insurance Benefits: The Role of Banks
G. Kabas, Y.Arslan, A. Degerli
Working Papers
26 Sept. 2019
N° 19-48: Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
O. Scaillet, D. Banulescu, C. Hurlin, J. Leymarie
Working Papers
19 Sept. 2019
N° 19-47: Information Revelation Through Regulatory Process: Interactions Between the SEC and Companies Ahead of the IPO
R. Michaely, M. Lowry, E. Volkova
Working Papers
17 Sept. 2019
N° 17-37: Anomalies and False Rejections
A. Goyal, T. Chordia, A. Saretto
Working Papers
11 Sept. 2019