Swiss Finance Institute Research Paper Series最新文献

All-to-All Liquidity in Corporate Bonds 公司债券的全部流动性

Swiss Finance Institute Research Paper Series Pub Date : 2021-10-27 DOI: 10.2139/ssrn.3895270

T. Hendershott, Dmitry Livdan, N. Schürhoff

引用次数: 5

Does Dispersed Sentiment Drive Returns, Turnover, and Volatility for Bitcoin? 分散的情绪驱动比特币的回报、成交量和波动性吗?

Swiss Finance Institute Research Paper Series Pub Date : 2021-09-10 DOI: 10.2139/ssrn.3920987

Ilja Kantorovitch, J. Heineken

引用次数: 0

Hedonic Models and Market Segmentation 享乐模型与市场细分

Swiss Finance Institute Research Paper Series Pub Date : 2021-09-01 DOI: 10.2139/ssrn.3916232

Steven C. Bourassa, M. Dröes, Martin Hoesli

引用次数: 0

Picking Partners: Manager Selection in Private Equity 选择合伙人:私募股权基金经理的选择

Swiss Finance Institute Research Paper Series Pub Date : 2021-08-24 DOI: 10.2139/ssrn.3910494

Amit Goyal, Sunil Wahal, M. Yavuz

引用次数: 1

A Theory of Debt Accumulation and Deficit Cycles 债务积累与赤字周期理论

Swiss Finance Institute Research Paper Series Pub Date : 2021-07-05 DOI: 10.2139/ssrn.3881063

A. Melé

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引用次数: 0

In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis 寻找金融波动的起源:非弹性市场假说

Swiss Finance Institute Research Paper Series Pub Date : 2021-06-01 DOI: 10.2139/ssrn.3686935

X. Gabaix, R. Koijen

{"title":"In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis","authors":"X. Gabaix, R. Koijen","doi":"10.2139/ssrn.3686935","DOIUrl":"https://doi.org/10.2139/ssrn.3686935","url":null,"abstract":"We develop a framework to theoretically and empirically analyze the fluctuations of the aggregate stock market. Households allocate capital to institutions, which are fairly constrained, for example operating with a mandate to maintain a fixed equity share or with moderate scope for variation in response to changing market conditions. As a result, the price elasticity of demand of the aggregate stock market is small, and flows in and out of the stock market have large impacts on prices.Using the recent method of granular instrumental variables, we find that investing $1 in the stock market increases the market's aggregate value by about $5. We also develop a new measure of capital flows into the market, consistent with our theory. We relate it to prices, macroeconomic variables, and survey expectations of returns.We analyze how key parts of macro-finance change if markets are inelastic. We show how general equilibrium models and pricing kernels can be generalized to incorporate flows, which makes them amenable to use in more realistic macroeconomic models and to policy analysis.Our framework allows us to give a dynamic economic structure to old and recent datasets comprising holdings and flows in various segments of the market. The mystery of apparently random movements of the stock market, hard to link to fundamentals, is replaced by the more manageable problem of understanding the determinants of flows in inelastic markets. We delineate a research agenda that can explore a number of questions raised by this analysis, and might lead to a more concrete understanding of the origins of financial fluctuations across markets. \u0000 \u0000Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115784320","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 119

Do Responsible Investors Invest Responsibly? 负责任的投资者负责投资吗?

Swiss Finance Institute Research Paper Series Pub Date : 2021-05-25 DOI: 10.2139/ssrn.3525530

Rajna Gibson, Simon Glossner, Philipp Krueger, Pedro Matos, Tom Steffen

引用次数: 61

“Salvation and Profit”: Deconstructing the Clean-Tech Bubble “拯救与利润”:解构清洁技术泡沫

Swiss Finance Institute Research Paper Series Pub Date : 2021-05-23 DOI: 10.2139/ssrn.3852673

V. Giorgis, Tobias Huber, D. Sornette

引用次数: 2

Post-crisis Banking Regulation and Credit Rating Adjustments. How Did the Bail-In Affect Eurozone Banks’ Credit Rating? 危机后银行业监管和信用评级调整。纾困如何影响欧元区银行信用评级?

Swiss Finance Institute Research Paper Series Pub Date : 2021-05-03 DOI: 10.2139/ssrn.3838842

L. Franco

引用次数: 0

Revisiting Metropolitan House Price-Income Relationships 重新审视大都市房价收入关系

Swiss Finance Institute Research Paper Series Pub Date : 2021-04-20 DOI: 10.2139/ssrn.3830512

Elias Oikarinen, Steven C. Bourassa, Martin Hoesli, J. Engblom

引用次数: 1