activity report geneva finance research...

Activity Report

Geneva Finance Research InstituteJanuary - December 2016 www.gfri.ch

Table of Content

Activity Report January-December 2016Geneva Finance Research Institute

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page 05

page 27

page 30

page 12

I. Introduction

page 06II. GFRI Members

V. Education

a. PhD Program in Financeb. Master Program in Financec. MOOC, Online course: Specialization Investment Management

VI. Knowledge Transfer Activities

a. Conferencesb. Media Coverage

IV. Research

1. GFRI general research activities

1.a. Our Faculty fields of expertise1.b. Scientific collaboration and research projects1.c. Finance Seminars

2. GFRI Members research contributions: Finance Professors

2.a. Publications in academic journals2.b Other publications2.c. Working papers2.d. Other research activities (participation at conferences and seminars)2.e. Award and honors related to research activities2.f. Membership on Scientific Councils, Editorial Boards, etc.2.g. Additional functions

page 10III. Organigram of the GFRI

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Le GFRI :Un Aperçu

L e GFRI est un Institut pluridisciplinaire de l’Université de Genève (UNIGE) créé en

mars 2009 et entièrement dédié à la recherche et à la formation en finance.

Son ambition est de donner un élan nouveau à la recherche et à la formation en finance au sein de l’Université de Genève, et ce, particulièrement dans les domaines de la gestion de portefeuille et de la gouvernance d’entreprise. Structurellement interfacultaire, le GFRI se situe à la croisée entre les Facultés d‘Economie et Management (GSEM), de Droit, de Psychologie et des Sciences de l’Education.

Par ailleurs, le GFRI collabore étroitement avec le Centre de Droit Bancaire et Financier de l’UNIGE et le Pôle de Recherche National en Sciences Affectives. Il fait partie intégrante du Swiss Finance Institute et ses activités de recherche et de formation s’inscrivent dans la complémentarité par rapport à celles menées par ce dernier.

Le GFRI se veut enfin le véhicule privilégié de transfert de connaissances de l’UNIGE en matière de finance à destination de la Cité. A ce titre il organise régulièrement des séminaires, des conférences et des débats portant sur des thèmes de « finance et société ». Dans ce contexte, le GFRI est très reconnaissant à la Fondation Genève Place Financière pour son soutien financier.

Ce rapport a pour vocation de synthétiser les activités principales en matière de recherche et d’enseignement menées par les membres du GFRI depuis janvier 2016 et ce jusqu’à fin décembre 2016.

Nous publions régulièrement des nouvelles au sujet du GFRI, de ses membres et de leurs activités sur notre site internet :

www.gfri.ch


I. The GFRI: An Overview

GFRI is a multidisciplinary Finance Research Institute located at the University of Geneva that focuses on two main research topics: Portfolio Management and Corporate Governance. Its research themes build on the role that Geneva as a financial center plays in Portfolio Management and on the Corporate Governance concerns of society at large. GFRI research is multidisciplinary and encourages synergies between the Faculties of Economics and Management (GSEM), Law, Psychology and Science of Education. GFRI collaborates in particular with the Center for Banking and Financial Law and the National Center for Research in Affective Sciences, both located at the University of Geneva. GFRI is fully integrated within the Swiss Finance Institute and pursues research and educational activities in finance that are complementary to the goals and missions of SFI in terms of achieving academic excellence in finance among SFI partner universities. GFRI also engages in knowledge transfer activities such as conferences, seminars and public debates on finance topics related to Portfolio Management and Corporate Governance. In this context, GFRI gratefully acknowledges financial support by the Geneva Financial Center Foundation. This activity report is intended to provide a synthetic view of the main research and educational activities pursued by GFRI’s members from January 2016 until December 2016.

II. GFRI Members


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a. Permanent GFRI Members:

Finance Professors also affiliated to the Faculty of Economics & Management (GSEM):

GFRI Members

Tony Berrada,Associate Professor of Finance

Ines Chaieb,Assistant Professor of Finance

Harald Hau,Professor of Finance,Deputy Director of GFRI, Managing Director as of October 2016, Swiss Finance Institute Senior Chair

Rajna Gibson Brandon,Professor of Finance, Managing Director of GFRI until the end of September 2016, Swiss Finance Institute Senior Chair

Michel Girardin, Lecturer

Martin Hoesli,Professor of Real Estate Finance

Philipp Krüger,Assistant Professor of Responsible Finance, Swiss Finance Institute Junior Chair

Kerstin Preuschoff,Associate Professor in Neurofinance and Neuroeconomics

Olivier Scaillet,Professor of Probability & Statistics, Deputy Director of GFRI, Swiss Finance Institute Senior Chair

Fabio Trojani,Professor of Finance, Swiss Finance Institute Senior Chair

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a. Permanent GFRI Members:

Assistants and doctoral students in Finance:

GFRI Members

Administration:

Sébastien Coupy,PhD Candidate in Finance under the supervision of Prof. Tony Berrada, undertaking the Swiss Finance Institute Doctoral Program

Christopher Hemmens,Phd Candidate in Finance under the supervision of Prof. Rajna Gibson Brandon

Jean-Christophe Delfim,PhD Candidate in Finance under the supervision of Prof Martin Hoesli

Magdalena Tyworniuk,Phd Candidate in Finance under the supervision of Prof. Rajna Gibson Brandon, undertaking the Swiss Finance Institute Doctoral Program

Paola Pederzoli,Candidate in Finance under the supervision of Prof. Olivier Scaillet, undertaking the Swiss Finance Institute Doctoral Program

Elisabeth Zchorlich,Phd Candidate in Finance under the supervision of Prof. Rajna Gibson Brandon, undertaking the Swiss Finance Institute Doctoral Program

Adrien Treccani,PhD Candidate in Finance under the supervision of Prof Tony Berrada, undertaking the Swiss Finance Institute Doctoral Program

Zhicheng Zhang,Phd Candidate in Finance under the supervision of Prof. Harald Hau

Christina Gremaud,Administrative Support

Michael Steinhauser,Administrator

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b. Associate GFRI Members:

Faculty from the Centre for Banking and Financial Law:

• Rashid Bahar, Associate Professor of Law, Attorney at Law at Bär & Karrer

• Ursula Cassani, Professor of Law

• Bénédict Foëx, Professor of Law

• Anne Héritier Lachat, Associate Professor of Law, Board Member at FINMA

• Xavier Oberson, Professor of Law

• Henry Peter, Professor of Law

• Luc Thévenoz, Director of the Centre for Banking and Financial Law, Professor of Law

Faculty from the National Centre of Competencein Research for the Affective Sciences:

• Didier Grandjean, Associate Professor of Psychology

• David Sander, Director of the Geneva Emotion Research Group, Professor of Psychology

• Klaus Scherer, Professor Emeritus of Psychology

GFRI Members

III. Organigram of the GFRI


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DEPUTY DIRECTOR RESEARCH

POST-DOCTORALRESEARCHERS

FACULTY OF LAW

FACULTY MEMBERS

PhD STUDENTS ADMINISTRATION

DEPUTY DIRECTOR EDUCATION

FACULTY OF PSYCHOLOGY

FACULTY OF ECONOMICS

& MANAGEMENT(GSEM)

SUPERVISORY COUNCIL

Swiss Finance Institute

UNIGERECTORATE

MANAGING DIRECTOR GFRI

Organigram of the GFRI

IV. Research


1.a. Our Faculty Fields of Expertise:

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1. General GFRI research activities

Asset Pricing / Portfolio Management

Prof. Tony BerradaProf. Rajna Gibson BrandonProf. Olivier Scaillet

Corporate Finance

Prof. Philipp Krüger

Banking

Prof. Harald Hau

International Finance

Prof. Ines ChaiebProf. Harald Hau

Real Estate Finance

Prof. Martin Hoesli

Sustainable Finance


Behavioral / Experimental Finance

Prof. Rajna Gibson Brandon

Neuro Finance / Neuro Economics

Prof. Kerstin Preuschoff

Financial Statistics

Prof. Fabio Trojani

Research

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A top priority of GFRI is to achieve excellence in academic research on topics relevant to Geneva’s finance

community.

This section describes ongoing research projects led by GFRI members:

Asset Pricing with Regime Dependent Preferences and Learning(SFI Research Project 2013-2016)

GFRI member: Prof. Tony Berrada(in collaboration with Jerome Detemple, Boston University and Marcel Rindisbacher, Boston University)

The last four decades have witnessed tremendous progress in our understanding of the structure and behavior of asset prices (Merton (1973), Lucas (1978), Breeden (1979), Cox, Ingersoll and Ross (1985), Huang (1987)). The classic intertemporal asset pricing model, nevertheless, remains confronted with puzzling discrepancies between its theoretical predictions and the corresponding empirical evidence. The excess volatility phenomenon is one area where theoretical implications clash with the facts (Shiller (1981)). The equity premium puzzle is a second facet of this mismatch (Mehra and Prescott (1985)). Yet another aspect of this problematic is the abnormally high level of the interest rate implied by the model (Weil (1989)). A great deal of the asset pricing literature of the past twenty years has been devoted to the resolution of these well-known issues. This research project seeks to address these fundamental issues.

More precisely our goal is to study the impact of regime dependent preferences on equilibrium asset prices when information pertaining to the state of the economy is incomplete. The class of models developed builds on the regime-switching models with unobserved regimes and constant relative risk aversion developed by David (1997) and Veronesi (2000). The extension considered here allows for a dependence between preferences and the growth regime. As the regime is not observed, this dependence implies that the individual learns about preferences at the same time as he/she learns about the growth state of the economy. The general formulation adopted is flexible. Regime-dependence pertains to risk aversion alone or risk aversion and the subjective discount rate in time preferences.

The first part of the project addresses methodological issues related to the construction of equilibrium quantities. We focus on obtaining analytical solutions to all of the fundamental components of the equilibrium, including the market prices of risk, the risk free interest rate, the stock return volatility, the stock price and the zero coupon bond price with fixed maturity. Equipped with these results we perform a preliminary assessment of the model‘s ability to explain observered asset prices moments and dynamics. The empirical work in the first part is limited to a 2-state model.

The second part of the research project focuses on developing an estimation methodology for a general multi-state model using both high and low frequency data (stock return, realized

1.b. Scientific collaboration and research projects

Research

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Research

volatility for high frequency and consumption and price dividend ratio for low frequency).

The third part of the project studies the implication of the model for the valuation of fixed income securities. We study the implied term structure of interest rate and the ability of the model to explain observed behavior.

In the last part of the project we study the model‘s implication for the pricing of derivative securities. In particular we expect the model to have important implication for the pricing of long term options and for the dynamics of the implied volatility surface.

Market Integration(SFI Research Project 2013-2016)

GFRI member: Prof. Ines Chaieb(in collaboration with Vihang Errunza, McGill University and Rajna Gibson Brandon, University of Geneva, Swiss Finance Institute)

The long-run stability and growth of the World economy is under stress from world shocks emanating from the U.S. and Europe. It necessitates an in-depth understanding of the evolving global market structure and risks embedded in the global financial infrastructure to comprehend the ongoing globalization process. Indeed, market integration critically affects the well-being of nations. Hence, with financial market integration at the core of inquiry, we will extend and exploit the existing analytical and empirical frameworks to investigate issues that will be important for the World economy going forward.

The bond markets constitute the largest asset class among global portfolios. Although, there is a very large body of literature including pricing,

term structure models and the determinants of yield spreads, the amount of work on market integration for fixed-income securities is modest. Based on econometric models and correlation analysis, the available papers argue that the government bond markets from developed economies are not fully integrated. Since their publication, there have been major innovations including market liberalizations to reduce barriers to cross-border portfolio flows, development of significant bond markets in emerging economies as well as the advent of exchange traded bond funds. Given the sheer size of the sovereign bond market, it would be very important to investigate the impact of these developments on pricing and integration. Hence, we will test the formal international asset pricing model (IAPM) of Chaieb and Errunza (2007, henceforth CE) for sovereign bonds from both the developed markets (DMs) and emerging markets (EMs). It will allow us to decompose bond excess returns into global market, global currency, local market and local currency risk premia. Further, estimating the model for different maturity bands will allow us to develop a term structure of integration indices based on a theoretical measure of integration. Finally, we will assess the economic importance of various factors that explain the departure of bond markets from full integration.

Emerging markets have become major geo-political, and economic players. From the perspective of the developed world, the demographic changes will make our aging population net dis-savers from current net savers over the next quarter century. Indeed, the populations of emerging economies could be potential buyers. The development of emerging markets is a necessity for the future

1 As of September 2011, the outstanding amounts in the global bond market are 95 trillion U.S. dollars and are much larger than the global equity market which had a market capitalization of around 55 trillion U.S. dollars. Domestic bond markets accounted for 70% of the total and government bonds accounted for 57% of the outstanding value of domestic bonds in 2010.2 See for example Bar and Priestley (2004) and Capiello et al. (2006).3 See for example, Stulz (1981), Errunza and Losq (1985), Eun and Janakiramanan (1986), Basak (1996), De Jong and De Roon (2005), Chaieb and Errunza (2007).

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health of the global capital market. Hence, we need to focus on policy tools employed by EMs to achieve their objectives of globalization and financial market development. Specifically, we need to assess the impact of policies that reduce barriers to foreign portfolio investments. Market liquidity risk affects the willingness and the ability of foreign investors to invest in EMs. Unfortunately, most of the asset pricing models under barriers to portfolio flows do not take into account market development initiatives that would lead to more liquid and efficient markets. Hence, we will analyze the effect of illiquidity cost and risk factors on the pricing of EM securities by developing a formal international asset pricing model (IAPM) that takes into account the barriers in place as well as the liquidity constraint. We will estimate the model for major emerging markets using GARCH-in-mean methodology to characterize the impact of liquidity on asset valuation and market integration.

The results of this research program will shed new light on how assets are priced in an increasingly global market, and what tangible benefits we can expect from globalization. It will inform the portfolio managers on strategic asset allocation and government decision makers on the cost of fiscal deficit funding. It thus has the potential to help determine policy towards more effective integration.

Fractional cointegration analysis of securitized real estateGFRI member: Prof. Martin Hoesli

The aim of this project is to use fractional cointegration analysis to examine whether long-run relationships exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is,

they examine whether such relationships are characterized by long Memory (long-range dependence), short Memory (short-range dependence), mean reversion (no long-run effects) or no mean reversion (no long-run equilibrium). Forecasting implications are also considered. Empirical analyses are conducted using data for the US, the UK, and Australia. The main finding of this project is strong evidence of fractional cointegration between securitized real estate and the three sets of variables. Such relationships are mainly characterized by short memory, although long memory is sometimes present. The use of fractional cointegration for forecasting purposes proves particularly useful since the start of the financial crisis.

Empirics of Financial Stability (Sinergia Grant from the Swiss National Fund) GFRI member: Prof. Harald Hau(in collaboration with Loriano Mancini, Swiss Finance Institute at EPFL, Norman Schürhoff, University of Lausanne, Angelo Ranaldo and Jan Wrampelmeyer, University of St. Gallen University).

The aim of this joint research project with EPFL and UNIL is to explore the sources, channels, and consequences of frictions in the financial sector for financial (in)stability. The analysis is structured around four interrelated themes:

A. Bank Compensation and Bank Risk Taking (Harald Hau)

B. Money Markets (Angelo Ranaldo and Jan Wrampelmeyer)

C. Financial Intermediation Frictions and Asset Prices (Norman Schürhoff)

D. Systemic Risk and the Real Economy (Loriano Mancini)

The common objective is to produce policy relevant research to promote financial stability.

Research

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Research

Matthieu Rosenbaum 11 February“Volatility is rough”

Simon Scheidegger 11 February“Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models”

Michael Moore 25 February “Expectation Errors in the Foreign Exchange Market”

Julian Franks 3 March“The privatization of bankruptcy:evidence from financial distress in the shipping industry”

Yongheng Deng 7 March“Evaluating the Risk of Chinese Housing Markets: What we Know and what we Need to Know”

Konark Saxena 10 March“Asset pricing with fluctuating riskless rates”

Kathy Yuan 17 March“Network Risk and Key Players: A Structural Analysis of Interbank Liquidity”

Evren Ors 7 April“Risk-Based Capital Requirements for Banks and International Trade”

Chayawat Ornthanalai 14 April“Time-varying Crash Risk: The Role of Market Liquidity”

Zacharias Sautner 21 April“The Retention Effects of Unvested Equity: Evidence from Accelerated Option Vesting”

Maxime Bonelli 9 May“Stock Market Volatility Dynamics: a Volume Filtered-GARCH Model”

Dong Lou 12 May“The Speed of Communication”

Suresh Sundaresan 26 May“Bank Liability Structure”

1.c. Finance Research SeminarsThanks to the ongoing support of the Geneva Financial Center,

we have organized 27 Finance Research Seminars at the University of Geneva from January 2016 to December 2016:

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Kris Jacobs 9 June“Leverage and the Cross-Section of Equity Returns”

Peter Bossaerts 7 September “Perception of Intentionality in Investor Attitudes Towards Financial Risks”

Lily Fang 22 September“Inattention as a Limit to Arbitrage: Evidence from School Holidays”

Johan Hombert 6 October“Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing”

Chen Lin 13 October“Does Competitition affect Bank risk?”

Arvind Krishnamurthy 25 October“How Credit Cycles across a Financial Crisis”

Laurent Frésard 25 October“Ripple E ects of Noise on CorporateInvestment”

Henri Servaes 3 November“A Matter of Trust? The Bond Market Benefits of Corporate Social Capital During the Financial Crisis”

Marcin Kacperczyk 10 November “Chasing Private Information”

Daniel Metzger 17 November“Since you’re so rich, you must be really smart:Talent and the Finance Wage Premium”

Roberto Marfè 24 November“Labor Rigidity and the Dynamics of the Value Premium”

Vincent Bougousslavsky 1 December“The Cross-Section of Intraday and Overnight Returns”

Angelo Ranaldo 8 December“Unsecured and Secured Funding”

Piotrek Orlowski 15 December“BIG RISK”

Research

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Research

2. GFRI Faculty Research Contributions

2.a. Publications in academic journalsProf. Tony Berrada

E. Payzan-LeNestour, B.Balleine, T. Berrada. and J. Pearson (2016), “Variance After-effects Bias Risk Perception in Humans”, Current Biology, vol. 16, Nr 11, 1500 – 1504.


A. Dogan, Y. Morishima, F. Heise, C.Tanner, R. Gibson Brandon, A.F. Wagner and P. N. Tobler, “Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against economic benefits”, Scientific Reports, September 2016 (5 year- Impact Factor 5.5).

Prof. Harald Hau

H. Hau and S. Lai, “The Role of Equity Funds in the Financial Crisis Propagation”, Review of Finance, forthcoming.

Prof. Martin Hoesli

S.C. Bourassa, and M. Hoesli, “High frequency house price indexes with scarce data”, Journal of Real Estate Literature, forthcoming.

S.C. Bourassa, M Hoesli and E. Oikarinen, “Measuring house price bubbles”, Real Estate Economics, forthcoming.

M. Hoesli, A. Kadilli and K. Reka, “Commonality in liquidity and real estate securities”, Journal of Real Estate Finance and Economic, forthcoming..

M. Hoesli, and E. Oikarinen, “Are public and private asset returns and risks the same? Evidence from real estate data”, Journal of

Real Estate Portfolio Management, 22, pp. 179-198, 2016.

M. Hoesli “Real estate research in Europe”, Journal of European Real Estate Research, 9, pp. 220-230, 2016.

J-C. Delfim, and M. Hoesli, “Risk factors of European non-listed real estate fund returns”, Journal of Property Research, 33, pp. 190-213, 2016.

S.C. Bourassa, D.R. Haurin and M. Hoesli, “What affects children’s outcomes: house characteristics or homeownership?”, Housing Studies, 31, pp. 427-444, 2016.

S.C. Bourassa, E. Cantoni, and M. Hoesli, 2016, “Robust hedonic price indexes”, International Journal of Housing Markets and Analysis, 9, pp. 47-65, 2016.

Prof. Philipp Krueger

W. Krueger, P. Krueger, H.C. Lehmann and M. Schroeter, “Therapy-Associated Progressive Multifocal Leukoencephalopathy During Disease-Modifying Treatment of Multiple Sclerosis”, Neurographics, 6(6), 350-368, 2016.

Prof. Olivier Scaillet

P. Bajgrowicz, O. Scaillet and A. Treccani, “Jumps in high-frequency data: spurious detections, dynamics and news”, Management Science, 62 (8), 2198-2217, 2016.

P. Gagliardini, E. Ossola and O. Scaillet, “Time-varying risk premium in large cross-sectional equity datasets”, Econometrica, 84(3), 985-1046, 2016.

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R. Gibson Brandon, M. Sohn, C.Tanner and A. Wagner, “Investing in managerial honesty”, Unpublished Working Paper, December 2016 (accepted for presentation at the AEA Meetings in Chicago in January 2017).

R. Gibson Brandon, C. Hemmens, and M. Trépanier, “Does market irrationality in the media affect stock returns?” Swiss Finance Institute Research Paper N°15-25, revised November 2016.

R. Gibson Brandon, C.Tanner and A. Wagner, “How effective are social norm interventions? Evidence from a laboratory experiment on managerial honesty”, Unpublished Working Paper, December 2016.

R. Gibson Brandon and P. Krueger, “The Sustainability Footprint of Institutional Investors”. Unpublished Working Paper University of Geneva, 2016.

R. Gibson Brandon, I. Chaieb and V. Errunza, “How does sovereign bond market integration

2.c. Working papers

O. Scaillet, “On ill-posedness of nonparametric instrumental variable regression with convexity constraints”, The Econometrics Journal, 19, 232-236, 2016.

L. Camponovo, O. Scaillet and F. Trojani, “Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy”, Journal of Financial Econometrics, forthcoming.

P. Gagliardini and O. Scaillet, “A specification

test for nonparametric instrumental variable regression”, Annals of Economics and Statistics, Special Issue on “Inverse Problems in Econometrics”, forthcoming.

Prof. Fabio Trojani

L. Camponovo, O. Scaillet and F. Trojani, “Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy”, Journal of Financial Econometrics, forthcoming.

Research

2.b. Other PublicationsProf. Martin Hoesli

J.C. Delfim and M. Hoesli, “The risk factors of non-listed European real estate funds”, International Banker Magazine, pp. 18-21, 2016.

M. Hoesli, “La recherche immobilière en Europe”, Réflexions Immobilières, pp. 73-78, 2016.

M. Hoesli, S. Milcheva, S. and A. Moss, “Real estate company reactions to financial market regulation”, EPRA Industry Newsletter, pp. 28-29, 2016.


Federal Office for the Environment (FOEN), “Proposals for a Roadmap towards a Sustainable Financial System in Switzerland” (Member of Editing Committee) 2016.

P. Krueger, Was sind nachhaltige Finanzen? Die Volkswirtschaft, 2016.

A. Krauss, P. Krueger and J. Meyer, “Sustainable Finance in Switzerland: Where do we stand?”, SFI White Paper Series, 2016.

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Research

relate to fundamentals and CDS spreads?”, SFI Working Paper. Paper submitted for publication.

Prof. Ines Chaieb

I. Chaieb, V. Errunza, and R. Gibson Brandon, “How does sovereign bond market integration relate to fundamentals and CDS spreads?”, SFI working paper. Paper submitted for publication.

I. Chaieb, V. Errunzas and H. Langlois, “Is Liquidity Risk Priced in Partially Segmented Markets?”.

Prof. Harald Hau

H. Hau, H. Geng and S. Lai, “Technological Progress and Ownership Structure”, SFI Working Paper N°15-39, revised to be resubmitted.

Prof. Martin Hoesli

S.C. Bourassa, M. Hoesli and E. Oikarinen, “Measuring house price bubbles”, SFI Working Paper N°16-01.

M. Hoesli, S. Milcheva, and A. Moss, “Real estate company reactions to financial market regulation”, SFI Working Paper N°16-20.

S.C. Bourassa and M. Hoesli, “High frequency house price indexes with scarce data”, SFI Working Paper N°16-27.

J-C. Delfim, and M. Hoesli, “Risk factors of European non-listed real estate fund returns”, SFI Working Paper N°16-37.

M. Hoesli, “Real estate research in Europe”, SFI Working Paper N°16-40.


P. Krueger, J-P. Bouchaud, A. Landier and D. Thesmar, “Sticky Expectations and the Profitability Anomaly”, SFI Working Paper N°16-60.

R. Gibson Brandon and P. Krueger, “The Sustainability Footprint of Institutional Investors”. Unpublished Working Paper

University of Geneva, 2016.


P. Gagliardini, E. Ossola and O. Scaillet, “A diagnostic criterion for approximate factor structure”, SFI Working Paper N°2016.51.

A. Cosma, S. Galluccio, P. Pederzoli and O. Scaillet, “Early exercise decision in American options with dividends, stochastic volatility and jumps”, SFI Working Paper N°2016.73.

A. Cosma, S. Galluccio, P. Pederzoli and O. Scaillet, „Valuing American options using fast recursive projections”, SFI Working Paper N°2016.53.

Prof. Fabio Trojani

“Learning Associations With A Neurally-Computed Global Novelty Signal” with M. Faraji, and W. Gerstner.

“Bayesian filtering, parallel hypotheses and uncertainty: a new, combined model for human learning” with M. Lehmann, A. Aivazidis, and M. Faraji.

Prof. Fabio Trojani

FF. Trojani, C. Wiehenkamp, and J. Wrampelmeyer, “Ambiguity and Reality”. Under revision for the Review of Financial Studies.

P. Gruber, C. Tebaldi and F. Trojani, “The Price of the Smile and Variance Risk Premia”. Submitted, presented at EFA 2016.

I. Piatti, and F. Trojani, “Predictive Regressions and Predictable Risks in Present Value Models”. Under revision for the Journal of Finance.

L. Camponovo, O. Scaillet and F. Trojani, “Predictability Hidden by Anomalous Observations”. Submitted.

P. Schneiderand F. Trojani, “Fear Trading”. Presented at ESSFM 2016.

I. Piatti, and F. Trojani “Dividend Growth

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Prof. Tony Berrada

QMF, Sydney 2016

FMA Annual meeting, Las Vegas 2016

SAFE Asset Pricing Workshop, Frankfurt 2016

IFABS Conference, Barcelona 2016

7th Conference on Financial Markets and Corporate Governance Conference, Melbourne 2016


Organisation of the 3rd Sustainable Finance Summit in Geneva, the largest conference on Sustainable Finance in Europe with about 1000 participants, March 22nd 2016.

Organisation and participation at a meeting on Sustainable finance at the WEF in Davos, January 2016.

Prof. Ines Chaieb

Is Liquidity Risk Priced in Partially Segmented Markets? Seminar conducted at McGill University, Montreal, Canada. (2016, 09).

How does sovereign bond market integration relate to fundamentals and CDS spreads? Paris Financial Management Conference (Paris, 12-14 December 2016).

Emerging Market Sovereign Bonds. Special Session Panelist conducted at European Financial Management Association, Basel. (2016, 06).

Discussant at North Finance Association, Mont-Tremblant, Canada. (2016, 09).

Discussant at Paris Financial Management Conference (Paris, 12-14 December 2016.

Prof. Harald Hau

The Price-Stability Target in the Eurozone and the European Debt Crisis, conference of the ESTM and the Max Planck Institute for Tax Law and Public Finance, Berlin, September 28, 2016

First Conference of the European Systematic Risk Board, Frankfurt, September 22-23, 2016

European Economic Association Meetings 2015, Geneva, August 22, 2016

18th NBER-CCER Annual Conference, Peking, China, June 22-24, 2016

Seminar presentations at the International Monetary Fund (Washington) and the Board of Governor of the Federal Reserve Bank (Washington)

Organized EEA-ESEM Special Session on China, August 22, 2016

Research

2.d. Other research activities (conference and seminar participation)

Predictability and the Price Dividend Ratio”. Under revision for Management Science.

P. Schneider and F. Trojani, “(Almost) Model-Free Recovery”. Under revision for the Journal of Finance.

P. Schneider and F. Trojani, “Divergence and the Price of Uncertainty”.

P. Orlowski, A. Sali, and F. Trojani, “Arbitrage-Free Dispersion”.

M. Leippold and F. Trojani, “Asset Pricing with Matrix Jump Diffusions”.

M. Sandulescu, F. Trojani, and A. Vedolin, “Make SDFs Great Again”.

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Prof. Martin Hoesli

“High frequency house price indexes with scarce data”, 25th International Rome Conference on Money, Banking and Finance, University of Rome Tre, Rome, Italy, December 2016.

“Real estate company reactions to financial market regulation”, Real Estate Finance & Investment Symposium, University of Cambridge, Cambridge, England, September 2016.

“European non-listed real estate fund risk factors”, American Real Estate and Urban Economics Association International Conference, University of Alicante, Alicante, Spain, July 2016.

“U.S. metropolitan area house price dynamics”, American Real Estate and Urban Economics Association International Conference, University of Alicante, Alicante, Spain, July 2016.

“European non-listed real estate fund risk factors”, 23nd European Real Estate Society Annual Conference, Regensburg, Germany, June 2016.

“U.S. metropolitan area house price dynamics”, 23nd European Real Estate Society Annual Conference, Regensburg, Germany, June 2016.

“Real estate research in Europe”, 23nd

European Real Estate Society Annual Conference, Regensburg, Germany, June 2016.

“Measuring house price bubbles”, Finance and real estate seminar, Ecole hôtelière de Lausanne, Lausanne, Switzerland, May 2016.

“Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data”, Journal of Real Estate Portfolio Management Symposium, London, U.K., May 2016.

“Comparing direct, non-listed and listed property investments: impact of macroeconomic risk factors”, MSCI KTI Nordic Property Seminar, Helsinki, Finland, May 2016.

“High frequency house price indexes with scarce data”, 32nd American Real Estate Society Annual Conference, Denver (CO), USA, April 2016.

“House price indices and bubbles”, 6th

International Research and Practice Conference, Tomsk State University of Architecture and Building, Tomsk, Russia, March 2016.


Valuation effects of carbon disclosure and carbon management. CDP (formerly The Carbon Disclosure project), Seminar, Berlin. (2016, 06)

The Sustainability Footprint of Institutional Investors. Maastricht University, Seminar, Maastricht. (2016, 09)

Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment. American Finance Association Annual Meetings, San Francisco. (2016, 01)

Long-term finance and sustainability. AZEK Campus, Geneva. (2016, 02)

Long-term finance and sustainability. AZEK Campus, Zurich. (2016, 02)

Discussion of Giving behavior of millionaires. Geneva Summit on Sustainable Finance, Geneva. (2016, 03)

Sticky Expectations and Stock Market Anomalies. NBER Behavioral Finance Spring Meeting, Chicago. (2016, 04)

Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment. 33rd International Conference of the French Finance Association, Liège. (2016, 05)

Research

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Discussion of Does a Green-Certified Storefront Mean More Income? Estimating Financial Benefits of Certification for Space Users. 33rd International Conference of the French Finance Association, Liège. (2016, 05)

Finance and Social Economy. Shanghai Forum, Shanghai. (2016, 05)

How Do Investors and Firms React to an Unexpected Currency Appreciation Shock? SFI Research Days, Gerzensee. (2016, 06)


“Pricing American options using fast recursive projections”, seminar at University of Orleans, Orleans. (January 2016)

“A diagnostic criterion for approximate factor structure”, DagStat (invited speaker), Goettingen. (March 2016)

“A diagnostic criterion for approximate factor structure”, Econometrics Seminar at University College of London, London. (May 2016)

“Pricing American options using fast recursive projections”, FERM2016 conference, Guangzhou. (June 2016)

“Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy”, SoFiE conference, Hong Kong. (June 2016)

“A diagnostic criterion for approximate factor structure”, Invited speaker at SoFiE conference, Hong Kong. (June 2016)

“A diagnostic criterion for approximate factor structure”, CEMFI seminar, Madrid. (October 2016)

“A diagnostic criterion for approximate factor structure”, FMA international 2016, Las Vegas. (October 2016)

“A diagnostic criterion for approximate factor structure”, seminar at Pittsburgh University, Pittsburgh. (November 2016)

“A diagnostic criterion for approximate factor structure“, seminar at PennState University, State College. (November 2016)

“A diagnostic criterion for approximate factor structure”, seminar at Federal Reserve Board of Governors, Washington. (November 2016)

“A diagnostic criterion for approximate factor structure”, seminar at University of Surrey, Guildford. (November 2016)

Prof. Fabio Trojani

Arbitrage Free Dispersion:9th Annual SOFIE Conference, Hong Kong; Econometric Society European Meeting, Geneva. Seminars: University of Geneva, Bocconi University.

(Almost) Model-Free Recovery:9th Annual SOFIE Conference, Hong Kong; SFI Research Days, Gezensee.

The Price of the Smile and Variance Risk Premia:EFA Annual Meeting, Oslo, 8th Annual SOFIE Conference, Hong Kong, Workshop on Forecasting and Financial Markets, Erasmus University, Rotterdam.

Fear Trading:European Summer Symposium in Financial Markets, Gerzensee.

Divergence, Fear and the Price of Uncertainty:9th Annual SOFIE Conference, Hong Kong (poster session).

What is the expected return on a stock? By Ian Martin and Christian Wagner, BI-SHoF Conference Stockholm, June 3-4, 2016.

The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling. By Andrea Tamoni and Daniele Bianchi, Asset Prices and the Macro Economy University of Mannheim, June 24-25, 2016.

Derivatives and Mathematical Finance: Option Returns. EFA 2016, Oslo.

Research

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2.f. Membership on Scientific Councils, Editorial Boards, etc.


President, Scientific Council of Training Center for Investment Professionals, Bülach

Member of the Board and of the Scientific Council of the Foundation Natixis for Quantitative Research, Paris

Member of the Strategic and Surveillance Committee of Sustainable Finance, Geneva

Appointed on the Editorial Board of the Financial Analysts Journal.

Referee for the following journals: • Journal of Finance • Review of Financial Studies • American Economic Review • Journal of Financial & Quantitative Analysis • Journal of Banking and Finance • Review of Finance • Revue Finance

Prof. Ines Chaieb

External member of the scientific committee of IPAG business school.Reviewer for the Swiss Society for Financial Market Research conference, Zurich, 2016.Referee for the following journals:

• Review of Financial Studies• Journal of International Economics• Economic Journal,• Journal of Financial Economics• Journal of Empirical Finance• Review of Quantitative Finance and Accounting,• Journal of Economic Dynamics and Control• Journal of Financial Econometrics• Journal of Business Finance and Accounting• Journal of International Money and Finance• Journal of International Business Studies

2.e. Award and honors related to research activities

Prof. Ines Chaieb

Inquire Europe grant for the project “A Test for Time-varying Market Integration in Large International Equity Markets”, April 2016.


Financial Management Association Annual

Meeting 2016, Best Paper in Corporate Finance.

Prof. Marting Hoesli

Prize for the best paper in the Innovative/Thinking Out of the Box category presented at the 2016 American Real Estate Society Conference, Denver (CO).

Research

26


Member of the Board of Directors of Swiss Re.

Prof. Ines Chaieb

Editing of the “Equity” manual used in Azek.


Member of the Editing committee of “Federal Office for the Environment (FOEN): Design of a Sustainable Financial System. Swiss Team Input into the UNEP Inquiry. 20 pp.”

Prof. Fabio Trojani

Knowledge Transfer Project with Alphacruncher AG. The project aims at developing a flexible integrated data science platform on the cloud to support and boost financial research in different areas and countries.

From Data Science to Hedge Fund Performance. Invited talk at Sahara Club Kuwait, sponsored by the Global Center, College of Business Administration, Kuwait City, 2015.

Research

2.g. Additional Functions


• Journal of Business and Economic Statistics (Associate Editor: 2007-)• Econometric Theory (Associate Editor: 2011-)• Econometrics Journal (Associate Editor: 2012-)• Management Science (Associate Editor: 2012-)

• Journal of Banking and Finance (Associate Editor: 2011-)• Stat (Associate Editor: 2012-)• Stochastic analysis and Applications (Associate Editor: 2013-)• Annals of Computational and Financial Econometrics (Associate Editor: 2013-)

V. Education


a. PhD Program in FinanceThe PhD program in Finance at the University of Geneva is fully integrated within the PhD program of the Swiss Finance Institute (ww.SFI.ch), a private foundation created in 2006 by Switzerland’s banking and finance community in cooperation with leading Swiss universities.

The PhD program is structured in two phases:

1) A first year course divided in three semesters (September to June) with a total of ten courses, after which students are evaluated on the basis of their test scores and a summer paper (first paper) prepared under the supervision of a SFI Professor.

Three faculty members, Tony Berrada, Ines Chaieb and Harald Hau are teaching during the first year courses:

Tony Berrada: Information and Asset Pricing

Ines Chaeib and Harald Hau: Topics in International Finance

2) Years 2-4 are assigned to the writing of the thesis itself. In the middle of year 4, students usually participate in the academic job market conference held at the ASSA in the United States.

During the first phase, students are fully funded by the SFI (grant of CHF 30,000). During the second phase, students are hired as assistants in one of the partner universities.

The SFI doctoral program has now acquired an excellent international reputation. Excellent placement of students in the academic market allows SFI to compete with institutions at the forefront of academic Finance. Note for example that over the last two years SFI students have been appointed to the rank of Assistant-Professors at the following universities: Carnegie Mellon, Rochester, McGill, London School of Economics, Boston University, HEC Paris, University of New South Wales, HEC Montreal, Bocconi, University of Copenhagen, etc.

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Education

b. Master Program in Finance “Geneva Master in Wealth Management“

This degree is accredited as a Master of Science in Wealth Management from the University of Geneva. It is vocationally-oriented and combines both practice and in-depth theoretical studies in finance and regulation oriented topics, which are both essential for gaining a thorough understanding of wealth management.

The program is based on modules designed to help students acquire an in-depth knowledge of portfolio management, investments, international finance, banking and finance law.

General information• Credits: 120 ECTS• Duration: 4 semesters• Language: English• Content: lectures and tutorials (900 hours, 90 credits), thesis (30 credits), possible internship• Location: Geneva• Organisation: Geneva Finance Research Institute (GFRI) and the Faculty of Economics

and Management (GSEM).

Structure

Year 1 Choice of 5 core modules, worth 12 credits each

Year 227 credits of elective classes1 practical class: “Wealth management and law in practice” (3 credits)Master’s thesis (30 credits)

InternshipsStudents may take on internships lasting a minimum of 3 months, at the end of which they will write an internship report which will be evaluated during an oral defence. Internships are worth 15 credits and can be validated as practical classes or electives.

29

Education

c. MOOC, Online course: Specialization Investment ManagementThe GFRI Faculty has teamed up with UBS and Coursera to design and develop a comprehensive online course curriculum entitled “Make Smart Investment Decisions in a Global World”.

Learn how a wealth-generating investment portfolio functions in practiceIn this Specialization, one will understand how investment strategies are designed to reach financial goals in a global context. Students learn the theory that underlies strong investment decisions, as well as practical, real-world skills that you can apply when discussing investment proposals with your advisor, managing your personal assets or your client’s investment portfolio. They start by developing a global understanding of financial markets and what impacts rational and irrational behaviors have in finance at the micro and macro levels. Students will then learn how to adequately build and manage a portfolio with a long-term

view while gaining an appreciation for novel research advances in finance and related areas as well as future trends that are shaping the investment management industry. In the final Capstone Project, students will create a sensible 5-year investment plan that accounts for an investor‘s goals and constraints in a dynamic economic landscape. Key speakers from UBS, will contribute to this specialization by providing you with practical insights they have gathered through years of experience working for the world’s largest wealth manager.

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Education

VI. Knowledge Transfer Activities


a. Conferences organized or co-organised by the GFRI

The Latsis Symposium, 3rd Geneva Summit on Sustainable Finance, hosted about 30 researchers and speakers and welcomed a thousand participants on the 22nd of March 2016.

REGISTER AT:http://www.geneva-summit-on-sustainable-finance.ch

“THE ROLE OF FINANCE IN PROMOTING SUSTAINABLE DEVELOPMENT”

LATSIS SYMPOSIUM 20163rd GENEVA SUMMIT ON SUSTAINABLE FINANCE

22 March 2016 I 9:30-19:45International Conference Centre Geneva (CICG)

17 rue de Varembé | CH-1202 Genève | Switzerland

Keynote speaker:

Tidjane THIAMCEO Credit Suisse

GENEVA SUMMITON SUSTAINABLEFINANCE

FOLLOW US @GVASummit The conference will be held in English without translation

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Knowledge Transfer Activities

33


34

b. Media coveragePress articles mentioning the Geneva Finance Research Institute

L‘Université de Genève lance une formation de masse en gestion de fortune, le Temps, 23.02.16

Geneva Summit on Sustainable Finance CS Chef fordert Umdenken, NZZ, 23.03.16

Très attendu hier à Genève, l’Agefi, 23.03.16

La finance durable a rassemblé plus de 1000 participants à Genève, Le Temps, 23.03.16

Tidjane Thiams Mantra, Finews, 23.03.16

Rayonnement international et audience en nette hausse, l’Agefi, 17.03.16

La finance durable est érigée en vedette à Genève, Tribune de Genève, 21.03.16

Prof. Tony Berrada

The waterfall effect, and why traders go rogue, Sydney Morning Herald, 15.05.16


Femmes à la tête des entreprises, La Suisse à la traîne, L‘ Hebdo, 26.03.16

L‘Université de Genève lance une formation de masse en gestion de fortune, le Temps, 23.02.16

Prof. Harald Hau

Does Management Quality Matter? Evidence from Labour Cost Shocks in China”, VoxEU.org, 17.10.16


Award-winning research demonstrates that environmental regulations is good for capital markets, ESG Magazine, February 16

La finance durable évolue rapidement, le Temps, 06.12.16

La fin du taux plancher mènera à des délocalisations, selon l‘EPFL“, le Temps, 12.02.16

Quand les universitaires découvrent les effets négatifs du franc fort, l’Agefi, 12.02.16

Le franc fort peut générer une hémorragie d‘emplois, Tribune de Genève,13.02.16

Le franc fort peut provoquer une saignée de l’emploi, 24 Heures, 13.02.16

12‘500 Arbeitslose mehr im laufenden Jahr, NZZ, 14.02.16

Franc fort, Radio Chablais, 14.02.16

Prof. Fabio Trojani

High Frequency Data at the Geneva Finance Research Institute, www.Infobright.com, February 16

Elastic High Performance Computing in the Cloud at the Geneva Finance Research Institute, www.profitbricks.co.uk, March 16

Dr. Michel Girardin

La Cina non ci vac-cina piu, feflazine in transizione, Economia E Finanza, January 16

Le pessimisme sur la croissance est injustifié, l’Agefi, 22.02.16

Statu quo de la BNS, taux négatifs, l’Agefi, 18.03.16

...A la recherche du rendement perdu, l‘Hebdo, 27.04.16

Protections des données des cours online, l’Agefi, 09.05.16

Les politiques agressives des banques centrales n’ont pas eu l’effet escompté sur la croissance, l’Agefi, 26.05.16

A deux semaines d’un référendum crucial, l’Agefi, 06.07.16

Les munitions des banques centrales, l’Agefi, 19.10.16

The Annual Guide of Asset Management 2016


Geneva Finance Research Institute

www.gfri.ch

Université de Genève40 Bld Du Pont D’Arve

1211 Geneva 4Switzerland

www.gfri.ch

Activity Report

Geneva Finance Research InstituteJanuary - December 2016

activity report geneva finance research...

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