Publications associées à Finance

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We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

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 ...

Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generate ...

Zoning reform is a crucial tool for cities to adapt to contemporary challenges. However, its implementation remains challenging. Property owners, with a vested interest in the value of their neighborhoods, are sensitive to local developments and the potent ...

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

We introduce a new measure of the price charged by ﬁnancial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...

Why have countries formerly leading public policies of housing – Norway, the U.K., France, etc. – shifted towards privatizing accommodation from the late 1970s? Have these States merely let go of housing and handed it over to private interests in the name ...

Like many other countries, Switzerland offers various incentives to promote residential solar PV, but not all households have equal access to them. Using a microsimulation approach based on merged data from the Swiss Household Budget Survey and Household E ...

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Using Iran's unexpected flood in April 2019 as a natural experiment, we show that local branches bridge the time gap between the disaster and governmental aids by immediately increasing their lending for two months following the flood. Analyzing proprietar ...

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 ...

Among heterosexual couples, employment of the female partner may suffer from household migration often driven by the job of the male partner. Most research has traditionally focused on the distance moved after couple formation and has neglected how far par ...

The production of aluminium largely depends on the use of fossil fuels, resulting in the emission of significant amounts of greenhouse gases. As the aluminium industry is working towards decreasing its environmental burdens, the elimination of direct emiss ...

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 ...

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 ...

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...

Persistent fiscal and political mismanagement, together with the financial pressures of the COVID-19 pandemic, have driven Sri Lanka into a social and economic crisis triggering a decrease in national foreign exchange reserves, an inability to purchase vit ...

This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large ...

Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...

Finance

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Takeover Protections and Asset Prices

Asset life, leverage, and debt maturity matching

Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment

Spatial Modeling for Building Design Evaluation: from Visual Landscape Quality Assessment to Devaluation Risk Estimation

Portfolio Construction with Hierarchical Momentum

Machine Learning for Modeling Stock Returns

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Frihet, sikkerhet, forstaden: Brev fra Amerika

Distributional justice, effectiveness, and costs of current and alternative solar PV incentive schemes in Switzerland

How Integrated are Credit and Equity Markets? Evidence from Index Options

Flood, farms and credit: The role of branch banking in the era of climate change

Equity ownership and identification with the founding team

Migration distance from birthplace and its association with relative income and employment share among heterosexual couples in Switzerland

CO2 Capture and Management Strategies for Decarbonizing Secondary Aluminium Production

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Closed form approximation methods for portfolio valuation and risk management

Mortgage-backed securities

Circularity by stock in Sri Lanka: Economic necessity meets urban fabric renovation

Essays in macro-finance and deep learning

Discount models