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Seminar papers and events documents

Fall 2015      
September 17, 2015 Juhani T. Linnainmaa, Chicago Booth The History of the Cross Section of Stock Returns A33
September 30, 2015 Jin Duan, National University Singapore Local-Momentum Autoregression and the Modeling of Interest Rate Term Structure
October 2, 2015

Itzhak Ben-David, Ohio State University

The Granular Nature of Large Institutional Investors A24
October 8, 2015 Veronika Krepely Pool, Indiana University   Do Shocks to Personal Wealth Affect Risk Taking in Delegated Portfolios?



November 3, 2015 Mike West, Duke University Dynamic Latent Threshold Modelling  A33
November 20, 2015 Hugues Langlois, HEC Paris   Asset Pricing with Return Asymmetries: Theory and Tests  A24
December 11, 2015 Andrea M. Buffa, Boston University   A Theory of Operational Risk  A24
December 18, 2015 Joel Peress, INSEAD
Glued to the TV: Distracted Retail Investors and Stock Market Liquidity A24
Spring 2016        
January 19, 2016 Darrell Duffie, Stanford University   Size Discovery A24
January 29, 2016
Michel Habib, University of Zurich   Multifaceted Transactions, Incentives and Organizational Form
February 5, 2016 Benjamin Golez, University of Notre Dame   Four Centuries of Return Predictability   
February 8, 2016 Eric Renault, Brown University APT with Idiosyncratic Variance Factors



February 25, 2016
Sascha Steffen, Universität Mannheim 
Lender of Last Resort versus Buyer of Last Resort - The Impact of the European Central Bank Actions on the Bank-Sovereign Nexus
March 11, 2016 Konark Saxena, University of New South Wales Asset pricing with fluctuating riskless rates A33
March 23, 2016 George Constantinides, Chicago Booth Asset Pricing with Countercyclical Household Consumption Risk A33
April 15, 2016 Andrea Tamoni, LSE The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling
April 29, 2016 Anthony Neuberger, City University London

Estimating the Moments of Long Horizon Returns

May 13, 2016
Ron Kaniel, University of Rochester Relative Pay for Non-Relative Performance:  Keeping up with the Joneses with Optimal Contracts
May 20, 2016
Martin Oehmke,  Columbia Business School

Bank Resolution and the Structure of Global Banks 

June 3, 2016
Geoffrey Tate, University of North Carolina at Chapel Hill   Investor Experience and Attention: The Effect of Financial Shocks on Individual Trading Decisions A24
June 10, 2016 Jaroslav Borovicka, NYU Identifying ambiguity shocks in business cycle models using survey data  250