Institution
Swiss Finance Institute
Education•Zurich, Switzerland•
About: Swiss Finance Institute is a education organization based out in Zurich, Switzerland. It is known for research contribution in the topics: Portfolio & Market liquidity. The organization has 217 authors who have published 2041 publications receiving 61713 citations.
Topics: Portfolio, Market liquidity, Volatility (finance), Capital asset pricing model, Stock market
Papers published on a yearly basis
Papers
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TL;DR: In this article, behavioral thresholds for earnings management are introduced to identify earnings management to exceed each of three thresholds: report of positive profits, sustain recent performance, and meet analysts' expectations.
Abstract: Earnings provide important information for investment decisions. Thus executives--who are monitored by investors, directors, customers, and suppliers--acting in self-interest and at times for shareholders, have strong incentives to manage earnings. We introduce behavioral thresholds for earnings management. A model shows how thresholds induce specific types of earnings management. Empirical explorations identify earnings management to exceed each of three thresholds: report of positive profits, sustain recent performance, and meet analysts' expectations. The positive profits threshold proves predominant. The future performance of firms that have possibly boosted earnings just across a threshold appears poorer than that of less suspect control groups.
2,390 citations
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TL;DR: In this paper, an additive cascade model of volatility components defined over different time periods is proposed, which leads to a simple AR-type model in the realized volatility with the feature of considering different volatility components realized over different horizons and thus termed Heterogeneous Autoregressive model of Realized Volatility (HAR-RV).
Abstract: The paper proposes an additive cascade model of volatility components defined over different time periods. This volatility cascade leads to a simple AR-type model in the realized volatility with the feature of considering different volatility components realized over different time horizons and thus termed Heterogeneous Autoregressive model of Realized Volatility (HAR-RV). In spite of the simplicity of its structure and the absence of true long-memory properties, simulation results show that the HAR-RV model successfully achieves the purpose of reproducing the main empirical features of financial returns (long memory, fat tails, and self-similarity) in a very tractable and parsimonious way. Moreover, empirical results show remarkably good forecasting performance. (JEL: C13, C22, C51, C53)
1,848 citations
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TL;DR: An approach that stresses the systemic complexity of economic networks and that can be used to revise and extend established paradigms in economic theory will facilitate the design of policies that reduce conflicts between individual interests and global efficiency, as well as reduce the risk of global failure by making economic networks more robust.
Abstract: The current economic crisis illustrates a critical need for new and fundamental understanding of the structure and dynamics of economic networks. Economic systems are increasingly built on interdependencies, implemented through trans-national credit and investment networks, trade relations, or supply chains that have proven difficult to predict and control. We need, therefore, an approach that stresses the systemic complexity of economic networks and that can be used to revise and extend established paradigms in economic theory. This will facilitate the design of policies that reduce conflicts between individual interests and global efficiency, as well as reduce the risk of global failure by making economic networks more robust.
763 citations
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TL;DR: In this article, a new methodology based on copula functions is proposed to estimate first the univariate distributions and then the joining distribution of stock market returns, which can easily be rendered conditional and time varying.
746 citations
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TL;DR: In this article, the authors show that real exchange rate volatility can have a significant impact on productivity growth, but the effect depends critically on a country's level of financial development, and they also offer a simple monetary growth model in which real exchange-rate uncertainty exacerbates the negative investment effects of domestic credit market constraints.
699 citations
Authors
Showing all 235 results
Name | H-index | Papers | Citations |
---|---|---|---|
Didier Sornette | 104 | 1295 | 44157 |
Jean-Charles Rochet | 61 | 258 | 23145 |
Paul Embrechts | 60 | 199 | 26524 |
Steven Ongena | 59 | 401 | 14490 |
Roni Michaely | 57 | 152 | 20928 |
Martin Hoesli | 47 | 258 | 7192 |
Peter Bossaerts | 45 | 196 | 8610 |
Eric Jondeau | 45 | 155 | 7088 |
Damir Filipović | 44 | 186 | 6199 |
Stefano Battiston | 44 | 184 | 8353 |
Martin Schweizer | 43 | 108 | 7866 |
Philippe Bacchetta | 43 | 155 | 8780 |
Olivier Scaillet | 40 | 202 | 5868 |
Pierre Collin-Dufresne | 37 | 103 | 8263 |
H. Mete Soner | 37 | 109 | 8522 |