Recherche

Afficher tous les résultats pour

Accueil

Personne

Pierre Collin-Dufresne

Cette personne a quitté l’EPFL

À propos
Confidentialité
Mentions légales

Graph Chatbot

Publications associées (22)

Page 1 sur 2

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin-Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

Equilibrium commodity prices with irreversible investment and non-linear technologies

Pierre Collin-Dufresne

We model oil price dynamics in a general equilibrium production economy with two goods: a consumption good and oil. Production of the consumption good requires drawing from oil reserves at a fixed rate. Investment necessary to replenish oil reserves is cos ...

2018

The CDS-bond basis

Pierre Collin-Dufresne

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. ...

WILEY2019

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

Pierre Collin-Dufresne, Jan Benjamin Junge

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 ...

Wiley2024

Parameter Learning in General Equilibrium: The Asset Pricing Implications

Pierre Collin-Dufresne

Parameter learning strongly amplifies the impact of macroeconomic shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumpti ...

American Economic Association2016

Do Prices Reveal the Presence of Informed Trading ?

Pierre Collin-Dufresne

Using a comprehensive sample of trades by Schedule 13D filers, who possess valuable private information when they accumulate stocks of targeted companies, this paper studies whether several liquidity measures reveal the presence of informed trading. The ev ...

2012

Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin-Dufresne

Many leading asset pricing models are specified so that the term structure of dividend volatility is either flat or upward sloping. These models predict that the term structures of expected returns and volatilities on dividend strips (i.e., claims to divid ...

Wiley-Blackwell2015

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin-Dufresne

Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if EBIT dynamics are combined wi ...

2012

Liquidity, Volume, and Order Imbalance Volatility

Pierre Collin-Dufresne

We examine the dynamics of liquidity using a comprehensive sample of U.S. stocks in the post-decimalization period. Motivated by a continuous-time inventory model, we compute a high-frequency measure of order imbalance volatility to proxy for the inventory ...

WILEY2023

Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch

Pierre Collin-Dufresne, Vincent Jean Bogousslavsky

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

2021

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Pierre Collin-Dufresne

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...

Wiley-Blackwell2012

Insider trading with penalties

Pierre Collin-Dufresne, Franck Raymond Gabriel

We consider a Kyle (1985) one-period model where insider trading may be subject to a penalty that is increasing in trade size. We characterize the solution - the equilibrium price and optimal trading strategy explicitly and establish existence and uniquene ...

2022

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

Pierre Collin-Dufresne

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks t ...

Wiley-Blackwell2016

Informed Trading in the Stock Market and Option Price Discovery

Pierre Collin-Dufresne

When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

2021

On Bounding Credit-Event Risk Premia

Pierre Collin-Dufresne

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market por ...

Oxford University Press2015

Do Prices Reveal the Presence of Informed Trading?

Pierre Collin-Dufresne

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stoc ...

Wiley-Blackwell2015

Market Structure and Transaction Costs of Index CDSs

Pierre Collin-Dufresne, Jan Benjamin Junge

Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...

WILEY2020

A General Equilibrium Model of Oil Prices and Convenience yields

Pierre Collin-Dufresne

N.A.2018

Activism, Strategic Trading, and Liquidity

Pierre Collin-Dufresne

We analyze dynamic trading by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. Variation in parameters can pro ...

2018

Pricing and hedging in the presence of extraneous risks

Pierre Collin-Dufresne, Julien Hugonnier

2007