Founders benefit from identifying with their founding teams because identification facilitates cooperation in the team, aligns founders' actions with the norms and interests of the team, and, ultimately, enhances team performance. High identification with ...
Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
This thesis consists of two chapters that study separate subjects in the area of corporate finance.The first chapter, titled â Economic Gains in Bank Mergers and Acquisitions â Evidence from Targetsâ , investigates economic gains in bank mergers and ...
This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...
Bootstrapping parameters for the approximate homomorphic-encryption scheme of Cheon et al., CKKS (Asiacrypt 17), are usually instantiated using sparse secrets to be efficient. However, using sparse secrets constrains the range of practical parameters withi ...
This work focuses on the economic performance and environmental assessment of two biorefinery schemes using 100 t/day of olive tree pruning waste as feedstock. The first scheme is based on a multiproduct biorefinery producing 6363.64 m3/yr of ethanol, 999. ...
This thesis consists of three applications of machine learning techniques to empirical asset pricing.
In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
This paper analyzes efficiency and profitability in the Swiss banking sector over the period 1997–2019. We find strong evidence for scale economies: for most banks in the sample, efficiency and profitability increase with bank size. Using an instrumental v ...
This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...
The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the ...
We analyze about 200 naturally occurring networks with distinct dynamical origins to formally test whether the commonly assumed hypothesis of an underlying scale-free structure is generally viable. This has recently been questioned on the basis of statisti ...
This thesis consists of three chapters that study separate subjects in the area of corporate governance and financial intermediation.In the first chapter, I study a protectionist anti-takeover law introduced in 2014 in France that covers a subset of all ...
We build a dynamic agency model in which the agent controls both current earnings via short-term investment and firm growth via long-term investment. Under the optimal contract, agency conflicts can induce short- and long-term investment levels beyond firs ...
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
Empirical observations suggest that consumers' propensity towards sharing varies with culture and the individuals' socio-demographic characteristics. In an economy with overlapping generations of heterogeneous consumers, we study optimal dynamic selling by ...
This thesis develops models for three problems of liquidity under asymmetric information.
In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt
runs without perfect information in order to understand the impact of asset ...
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
