Publications associées à Incomplete information, idiosyncratic volatility and stock returns

Publications associées (31)

Takeover Protections and Asset Prices

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 ...

Informs2024

Machine Learning for Modeling Stock Returns

Teng Andrea Xu

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, ...

EPFL2024

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

Paolo Tombesi, Milinda Pathiraja

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 ...

FRONTIERS MEDIA SA2023

Financial Risk Management with Machine Learning

Marc-Aurèle Antoine Divernois

This thesis consists of three applications of machine learning techniques to risk management. The first chapter proposes a deep learning approach to estimate physical forward default intensities of companies. Default probabilities are computed using artifi ...

EPFL2022

Essays in Financial Economics

Kevin Marc Rageth

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 ...

EPFL2022

Essays on the Role of Policy and Venture Financing in Clean Technology Innovation

Matthias David van den Heuvel

This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...

EPFL2022

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

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 ...

EPFL2022

Computational tool for stock-constrained design of structures

Corentin Jean Dominique Fivet, Jan Friedrich Georg Brütting, Jonas Warmuth

Designing structures from reused elements is becoming an increasingly important design task for structural engineers as it has potential to significantly reduce adverse environmental impacts of building structures. To allow for a broad application of this ...

2021

COVID-19: data-driven dynamic asset allocation in times of pandemic

Anna Timonina-Farkas

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 ...

AMER INST MATHEMATICAL SCIENCES-AIMS2021

Experimental and numerical investigation of the thermo-mechanical behaviour of an energy sheet pile wall

Lyesse Laloui, Alessandro Francesco Rotta Loria

One-of-a-kind experimental and numerical investigation is provided in this paper about energy sheet pile walls: earth retaining structures that embed heat exchanger probes within piles for the exploitation of shallow geothermal energy. The study resorts to ...

2021

Linear Stochastic Dividend Model

Sander Félix M Willems

In this paper, we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate nonnegative. In its simplest form, the model ...

WORLD SCIENTIFIC PUBL CO PTE LTD2020

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

Optimum design of frame structures from a stock of reclaimed elements

Corentin Jean Dominique Fivet, Gennaro Senatore, Jan Friedrich Georg Brütting

This paper presents optimization methods to design frame structures from a stock of existing elements. These methods are relevant when reusing structural elements over multiple service lives. Reuse has the potential to reduce the environmental impact of bu ...

2020

Joinery Solver for Whole Timber Structures

Yves Weinand, Petras Vestartas

This paper presents a digital joinery generation method for whole-timber structures using wood-wood connections. The research is based on a collaboration with a local timber company located in a mountain area [1]. In this context, there is a need to explor ...

2020

Optimum design of low environmental impact structures through component reuse

Jan Friedrich Georg Brütting

Load-bearing systems (structures) in buildings and infrastructure contribute to a significant share of adverse environmental impacts (EI) because of resource- and energy-intensive fabrication. A currently overlooked circular economy strategy to reduce EI i ...

EPFL2020

On the relaxed maximum-likelihood blind MIMO channel estimation for orthogonal space-time block codes

Kamran Kalbasi

This paper concerns the maximum-likelihood channel estimation for MIMO systems with orthogonal space-time block codes when the finite alphabet constraint of the signal constellation is relaxed. We study the channel coefficients estimation subspace generate ...

ELSEVIER2020

Form follows availability – Designing structures through reuse

Corentin Jean Dominique Fivet, Jan Friedrich Georg Brütting, Gennaro Senatore

This work proposes a new direction in structural design: the synthesis of structures through the reuse of elements. Reusing structural elements reduces the environmental impacts of building structures because it avoids sourcing new material, it reduces was ...

International Center for Numerical Methods in Engineering (CIMNE)2019

Product Market Competition and Option Prices

Erwan Morellec

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...

OXFORD UNIV PRESS INC2019

Exploration of spatial structures made from reused elements and the design of optimal kits-of-parts

Corentin Jean Dominique Fivet, Gennaro Senatore, Jan Friedrich Georg Brütting

Reuse reduces raw material use, waste generation and energy consumption caused by building construction. A substantial share of these impacts is contributed by load-bearing systems be-cause of their mass- and energy-intensive production process. Therefore, ...

Taylor & Francis Group2019

Form follows availability - Designing structures through reuse

Corentin Jean Dominique Fivet, Gennaro Senatore, Jan Friedrich Georg Brütting

This work proposes a new direction in structural design: the synthesis of structures through the reuse of elements. Reusing structural elements reduces the environmental impacts of building structures because it avoids sourcing new material, it reduces was ...

2019