Publications

2020

Journal Articles

Lifetime investment and consumption with recursive preferences and small transaction costs

Y. Melnyk; J. Muhle-Karbe; F. T. Seifried 

Mathematical Finance. 2020-07-01. Vol. 30, num. 3, p. 1135-1167. DOI : 10.1111/mafi.12245.

Short-term debt and incentives for risk-taking

M. Della Seta; E. Morellec; F. Zucchi 

Journal Of Financial Economics. 2020-07-01. Vol. 137, num. 1, p. 179-203. DOI : 10.1016/j.jfineco.2019.07.008.

Agency conflicts and short- versus long-termism in corporate policies

S. Gryglewicz; S. Mayer; E. Morellec 

Journal Of Financial Economics. 2020-06-01. Vol. 136, num. 3, p. 718-742. DOI : 10.1016/j.jfineco.2019.12.003.

Frictional Intermediation in Over-the-Counter Markets

J. Hugonnier; B. Lester; P-O. Weill 

Review Of Economic Studies. 2020-05-01. Vol. 87, num. 3, p. 1432-1469. DOI : 10.1093/restud/rdz037.

Liquidity regimes and optimal dynamic asset allocation

P. Collin-Dufresne; K. Daniel; M. Saglam 

Journal Of Financial Economics. 2020-05-01. Vol. 136, num. 2, p. 379-406. DOI : 10.1016/j.jfineco.2019.09.011.

Does protectionist anti-takeover legislation lead to managerial entrenchment?

M. Frattaroli 

Journal Of Financial Economics. 2020-04-01. Vol. 136, num. 1, p. 106-136. DOI : 10.1016/j.jfineco.2019.03.014.

Signaling in OTC Markets: Benefits and Costs of Transparency

K. Back; R. Liu; A. Teguia 

Journal Of Financial And Quantitative Analysis. 2020-02-01. Vol. 55, num. 1, p. PII S0022109018001394. DOI : 10.1017/S0022109018001394.

Dating Death: An Empirical Comparison of Medical Underwriters in the U.S. Life Settlements Market

J. Xu 

North American Actuarial Journal. 2020-01-01. Vol. 24, num. 1, p. 36-56. DOI : 10.1080/10920277.2019.1585881.

Fiscal Policy, Relative Prices and Net Exports in a Currency Union

L. Lambertini; C. Pröbsting 

2020. 

Mortgage Supply and Capital Regulation in a Low Interest Rate Environment

L. Lambertini; Y. Wu 

2020. 

Monopsony with nominal rigidities: An inverted Phillips Curve

C. Dennery 

Economics Letters. 2020. Vol. 191, p. 109124. DOI : 10.1016/j.econlet.2020.109124.

Managing inventory with proportional transaction costs

F. Gallien; S. Kassibrakis; S. Malamud 

Mathematics And Financial Economics. 2020-01-01. Vol. 14, num. 1, p. 121-138. DOI : 10.1007/s11579-019-00248-8.

Theses

Essays in Financial Economics

K. Fabisik / R. Fahlenbrach (Dir.)  

Lausanne, EPFL, 2020. 

Essays in Financial Economics

M. A. Frattaroli / R. Fahlenbrach (Dir.)  

Lausanne, EPFL, 2020. 

Working Papers

Monopsony, Wage Bargaining and the Phillips Curve

C. Dennery 

2020

Ambiguous labor market reforms

C. Dennery 

2020

2019

Journal Articles

Closing down the shop: Optimal health and wealth dynamics near the end of life

J. Hugonnier; F. Pelgrin; P. St-Amour 

Health Economics. 2019-12-17. Vol. 29, num. 2, p. 138-153. DOI : 10.1002/hec.3960.

Product Market Competition and Option Prices

E. Morellec; A. Zhdanov 

Review Of Financial Studies. 2019-11-01. Vol. 32, num. 11, p. 4343-4386. DOI : 10.1093/rfs/hhz027.

Are insurance balance sheets carbon-neutral? Harnessing asset pricing for climate change policy(dagger)

A. Braun; S. Utz; J. Xu 

Geneva Papers On Risk And Insurance-Issues And Practice. 2019-10-01. Vol. 44, num. 4, p. 549-568. DOI : 10.1057/s41288-019-00142-w.

Dampened expectations in the Phillips Curve: A note

C. Dennery 

Economics Letters. 2019-08-23. Vol. 184, p. 108642. DOI : 10.1016/j.econlet.2019.108642.

Does Austerity Go Along With Internal Devaluations?

L. Lambertini; C. Proebsting 

IMF Economic Review. 2019-08-13. Vol. 67, num. 3. DOI : 10.1057/s41308-019-00086-0.

Option pricing with orthogonal polynomial expansions

D. Ackerer; D. Filipovic 

Mathematical Finance. 2019-07-11. DOI : 10.1111/mafi.12226.

The CDS-bond basis

J. Bai; P. Collin-Dufresne 

Financial Management. 2019-06-01. Vol. 48, num. 2, p. 417-439. DOI : 10.1111/fima.12252.

The sources of sovereign risk: a calibration based on Levy stochastic processes

S. Carre; D. Cohen; S. Villemot 

Journal Of International Economics. 2019-05-01. Vol. 118, p. 31-43. DOI : 10.1016/j.jinteco.2019.02.003.

Liquidity, Innovation, And Endogenous Growth

S. Malamud; F. Zucchi 

Journal of Financial Economics. 2019-05-01. Vol. 132, num. 2, p. 519-541. DOI : 10.1016/j.jfineco.2018.11.002.

Anisotropic exchange Hamiltonian, magnetic phase diagram, and domain inversion of Nd2Zr2O7

J. Xu; O. Benton; V. K. Anand; A. T. M. N. Islam; T. Guidi et al. 

Physical Review B. 2019-04-23. Vol. 99, num. 14, p. 144420. DOI : 10.1103/PhysRevB.99.144420.

Austerity in the Aftermath of the Great Recession

C. L. House; L. L. Tesar; C. Proebsting 

Journal of Monetary Economics. 2019. DOI : 10.1016/j.jmoneco.2019.05.004.

Conference Papers

The Anatomy of a Cryptocurrency Pump-and-Dump Scheme

J. Xu; B. Livshits 

2019-01-01. 28th USENIX Security Symposium, Santa Clara, CA, Aug 14-16, 2019. p. 1609-1625.

Theses

Pricing interest rate, dividend, and equity risk

S. F. M. Willems / D. Filipovic (Dir.)  

Lausanne, EPFL, 2019. 

Three Essays in Banking and Finance

D. O. Klossner / E. Morellec (Dir.)  

Lausanne, EPFL, 2019. 

Three Problems of Liquidity under Asymmetric Information

S. J. P. Carré / P. Collin Dufresne (Dir.)  

Lausanne, EPFL, 2019. 

Essays in Financial Economics

J. A. Blatt / S. Malamud (Dir.)  

Lausanne, EPFL, 2019. 

Working Papers

The Pass-through of Bank Capital Requirements to Corporate Lending Spreads

L. Lambertini; R. Bichsel; A. Mukherjee; D. Wunderli 

2019-05-27

Does Austerity Go Along with Internal Devaluations?

L. Lambertini; C. Proebsting 

2019-01-15

Job turnover, expectations, and the Phillips Curve

C. Dennery 

2019

2018

Journal Articles

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

F. Gallien; S. Kassibrakis; S. Malamud 

Risks. 2018-12-01. Vol. 6, num. 4, p. 112. DOI : 10.3390/risks6040112.

Non-myopic betas

S. Malamud; G. Vilkov 

Journal of Financial Economics. 2018-08-01. Vol. 129, num. 2, p. 357-381. DOI : 10.1016/j.jfineco.2018.05.004.

Why Does Fast Loan Growth Predict Poor Performance for Banks?

R. Fahlenbrach; R. Prilmeier; R. M. Stulz 

The Review of Financial Studies. 2018-03-01. Vol. 31, num. 3, p. 1014-1063. DOI : 10.1093/rfs/hhx109.

Acquirers and Financial Constraints – Theory and Evidence from Emerging Markets

C. Proebsting; R. Mukherjee 

2018. 

Exact Smooth Term-Structure Estimation

D. Filipovic; S. Willems 

Siam Journal On Financial Mathematics. 2018-01-01. Vol. 9, num. 3, p. 907-929. DOI : 10.1137/16M1080276.

Small-cost asymptotics for long-term growth rates in incomplete markets

Y. Melnyk; F. Seifried 

MATHEMATICAL FINANCE. 2018. Vol. 28, num. 2, p. 668-711. DOI : 10.1111/mafi.12152.

Agency conflicts around the world

E. Morellec; B. Nikolov; N. Schürhoff 

Review of Financial Studies. 2018. Vol. 31, num. 11, p. 4232-4287. DOI : 10.1093/rfs/hhy018.

Activism, Strategic Trading, and Liquidity

K. Back; V. Fos; T. Li; A. Ljungqvist 

Econometrica. 2018. Vol. 86, num. 4, p. 1431-1463. DOI : 10.3982/ECTA14917.

Equilibrium commodity prices with irreversible investment and non-linear technologies

j. Casassus; B. R. Routledge 

Journal of Banking and Finance. 2018. Vol. 95, p. 128-147. DOI : 10.1016/j.jbankfin.2018.04.001.

Theses

Financial Stability and the Macroeconomy

C. Dubois / L. Lambertini (Dir.)  

Lausanne, EPFL, 2018. 

Equilibrium Models for Derivatives Markets with Frictions

Y. Zhang / S. Malamud (Dir.)  

Lausanne, EPFL, 2018. 

Essays in Corporate Finance

T. A. Geelen / J. Hugonnier; E. Morellec (Dir.)  

Lausanne, EPFL, 2018. 

Working Papers

Quantifying the Benefits of Labor Mobility in a Currency Union

C. Proebsting; C. L. House; L. Tesar 

2018

2017

Journal Articles

Do Independent Director Departures Predict Future Bad Events?

R. Fahlenbrach; A. Low; R. M. Stulz 

Review of Financial Studies. 2017. Vol. 30, num. 7, p. 2313-2358. DOI : 10.1093/rfs/hhx009.

Bank capital, liquid reserves, and insolvency risk

J. Hugonnier; E. Morellec 

Journal of Financial Economics. 2017. Vol. 125, num. 2, p. 266-285. DOI : 10.1016/j.jfineco.2017.05.006.

Trust, integrated information technology and new product success

J. E. Ettlie; C. Tucci; P. T. Gianiodis 

European Journal Of Innovation Management. 2017. Vol. 20, num. 3, p. 406-427. DOI : 10.1108/Ejim-12-2015-0128.

Organic Dyes Containing Coplanar Dihexyl-Substituted Dithienosilole Groups for Efficient Dye-Sensitised Solar Cells

C. Lyons; N. Rathi; P. Dev; O. Byrne; P. K. Surolia et al. 

International Journal Of Photoenergy. 2017.  p. 7594869. DOI : 10.1155/2017/7594869.

Do exogenous changes in passive institutional ownership affect corporate governance and firm value?

C. Schmidt; R. Fahlenbrach 

Journal Of Financial Economics. 2017. Vol. 124, num. 2, p. 285-306. DOI : 10.1016/j.jfineco.2017.01.005.

Stochastic impulse control with regime-switching dynamics

R. Korn; Y. Melnyk; F. T. Seifried 

European Journal Of Operational Research. 2017. Vol. 260, num. 3, p. 1024-1042. DOI : 10.1016/j.ejor.2016.12.029.

Corporate policies with permanent and transitory shocks

J-P. Decamps; S. Gryglewicz; E. Morellec; S. Villeneuve 

Review of Financial Studies. 2017. Vol. 30, num. 1, p. 162-210. DOI : 10.1093/rfs/hhw078.

Asset Pricing When ‘This Time Is Different’

P. Collin-Dufresne; M. Johannes; L. A. Lochstoer 

Review Of Financial Studies. 2017. Vol. 30, num. 2, p. 505-538. DOI : 10.1093/rfs/hhw084.

Mortgage Default in an Estimated Model of the U.S. Housing Market

L. Lambertini; P. Uysal; V. Nuguer 

Journal of Economic Dynamics and Control. 2017. Vol. 76, p. 171-201. DOI : 10.1016/j.jedc.2017.01.007.

Expectations-driven cycles in the housing market

L. Lambertini; C. Mendicino; M. T. Punzi 

Economic Modelling. 2017. Vol. 60, p. 297-312. DOI : 10.1016/j.econmod.2016.10.004.

Debt enforcement, investment, and risk taking across countries

G. Favara; E. Morellec; E. Schroth; P. Valta 

Journal of Financial Economics. 2017. Vol. 123, num. 1, p. 22-41. DOI : 10.1016/j.jfineco.2016.09.002.

Theses

Polynomial models in finance

D. E. Ackerer / D. Filipovic (Dir.)  

Lausanne, EPFL, 2017. 

Three Essays on Corporate Disclosure

E. Petrov / S. Malamud (Dir.)  

Lausanne, EPFL, 2017. 

Essays in Bank Financing

Y. Sigrist / E. Morellec; R. Fahlenbrach (Dir.)  

Lausanne, EPFL, 2017. 

Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns

V. J. Bogousslavsky / P. Collin Dufresne (Dir.)  

Lausanne, EPFL, 2017. 

Essays in Financial Economics

C. H. P. Herpfer / R. Fahlenbrach (Dir.)  

Lausanne, EPFL, 2017. 

Working Papers

AUSTERITY IN THE AFTERMATH OF THE GREAT RECESSION

C. Pröbsting; C. L. House; L. L. Tesar 

2017

2016

Journal Articles

The total benefit of alternative assets to pension fund portfolios

J. C. Jackwerth; A. Slavutskaya 

Journal Of Financial Markets. 2016. Vol. 31, p. 25-42. DOI : 10.1016/j.finmar.2016.06.002.

Scientific research measures

M. Frittelli; L. Mancini; I. Peri 

Journal Of The Association For Information Science And Technology. 2016. Vol. 67, num. 12, p. 3051-3063. DOI : 10.1002/asi.23530.

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

V. Bogousslavsky 

Journal Of Finance. 2016. Vol. 71, num. 6, p. 2967-3006. DOI : 10.1111/jofi.12436.

Optimal reinsurance with multiple tranches

S. Malamud; H. Rui; A. Whinston 

Journal Of Mathematical Economics. 2016. Vol. 65, p. 71-82. DOI : 10.1016/j.jmateco.2016.05.006.

Elliptical tempered stable distribution

H. A. Fallahgoul; Y. S. Kim; F. J. Fabozzi 

Quantitative Finance. 2016. Vol. 16, num. 7, p. 1069-1087. DOI : 10.1080/14697688.2015.1111522.

Insider Trading, Stochastic Liquidity, And Equilibrium Prices

P. Collin-Dufresne; V. Fos 

Econometrica. 2016. Vol. 84, num. 4, p. 1441-1475. DOI : 10.3982/Ecta10789.

Why Don’t All Banks Practice Regulatory Arbitrage? Evidence from Usage of Trust-Preferred Securities

N. M. Boyson; R. Fahlenbrach; R. M. Stulz 

Review Of Financial Studies. 2016. Vol. 29, num. 7, p. 1821-1859. DOI : 10.1093/rfs/hhw007.

The Euro Interbank Repo Market

L. Mancini; A. Ranaldo; J. Wrampelmeyer 

Review Of Financial Studies. 2016. Vol. 29, num. 7, p. 1747-1779. DOI : 10.1093/rfs/hhv056.

Resilience To Contagion In Financial Networks

H. Amini; R. Cont; A. Minca 

Mathematical Finance. 2016. Vol. 26, num. 2, p. 329-365. DOI : 10.1111/mafi.12051.

Capital goods, measured TFP and growth: The case of Spain

A. Diaz; L. Franjo 

European Economic Review. 2016. Vol. 83, p. 19-39. DOI : 10.1016/j.euroecorev.2015.11.009.

Parameter Learning in General Equilibrium: The Asset Pricing Implications

P. Collin-Dufresne; M. Johannes; L. A. Lochstoer 

American Economic Review. 2016. Vol. 106, num. 3, p. 664-698. DOI : 10.1257/aer.20130392.

Optimal exchange rate flexibility with large labor unions

L. Lambertini; V. Cuciniello 

Journal of International Money and Finance. 2016. Vol. 63, p. 112-136. DOI : 10.1016/j.jimonfin.2016.01.001.

Quadratic variance swap models

D. Filipovic; E. Gourier; L. Mancini 

Journal Of Financial Economics. 2016. Vol. 119, num. 1, p. 44-68. DOI : 10.1016/j.jfineco.2015.08.015.

Theses

Credit Supply and the Macroeconomy

A. Mukherjee / L. Lambertini (Dir.)  

Lausanne, EPFL, 2016. 

Essays in Financial Economics

C. Trevisan / P. Collin Dufresne (Dir.)  

Lausanne, EPFL, 2016. 

Essays on Capital Calculation in Insurance

M. J. D. Cambou / D. Filipovic; A. C. Davison (Dir.)  

Lausanne, EPFL, 2016. 

Essays on the Market Structure and Pricing of Credit Derivatives

J. B. Junge / A. Trolle (Dir.)  

Lausanne, EPFL, 2016. 

2015

Journal Articles

Financing Investment: The choice between bonds and bank loans

E. Morellec; P. Valta; A. Zhdanov 

Management Science. 2015. Vol. 61, num. 11, p. 2580-2602. DOI : 10.1287/mnsc.2014.2005.

International portfolios: A comparison of solution methods

K. Rabitsch; S. Stepanchuk; V. Tsyrennikov 

Journal Of International Economics. 2015. Vol. 97, num. 2, p. 404-422. DOI : 10.1016/j.jinteco.2015.08.001.

Control of Interbank Contagion Under Partial Information

H. Amini; A. Minca; A. Sulem 

Siam Journal On Financial Mathematics. 2015. Vol. 6, num. 1, p. 1195-1219. DOI : 10.1137/140981538.

Informational Efficiency under Short Sale Constraints

R. A. Jarrow; M. Larsson 

Siam Journal On Financial Mathematics. 2015. Vol. 6, num. 1, p. 804-824. DOI : 10.1137/140963522.

Detecting abnormal trading activities in option markets

M. Chesney; R. Crameri; L. Mancini 

Journal Of Empirical Finance. 2015. Vol. 33, p. 263-275. DOI : 10.1016/j.jempfin.2015.03.008.

On Bounding Credit-Event Risk Premia

J. Bai; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

Review Of Financial Studies. 2015. Vol. 28, num. 9, p. 2608-2642. DOI : 10.1093/rfs/hhv022.

Investment timing, debt structure, and financing constraints

T. Shibata; M. Nishihara 

European Journal Of Operational Research. 2015. Vol. 241, num. 2, p. 513-526. DOI : 10.1016/j.ejor.2014.09.011.

Credit market frictions and capital structure dynamics

J. Hugonnier; S. Malamud; E. Morellec 

Journal of Economic Theory. 2015. Vol. 157, p. 1130-1158. DOI : 10.1016/j.jet.2014.09.021.

The effects of business cycle and debt maturity on a firm’s investment and default decisions

H. Jeon; M. Nishihara 

International Review Of Economics & Finance. 2015. Vol. 38, p. 326-351. DOI : 10.1016/j.iref.2015.02.031.

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

D. Duffie; S. Malamud; G. Manso 

Journal Of Economic Theory. 2015. Vol. 158, p. 838-869. DOI : 10.1016/j.jet.2014.11.014.

Modeling Credit Contagion via the Updating of Fragile Beliefs

L. Benzoni; P. Collin-Dufresne; R. S. Goldstein; J. Helwege 

Review Of Financial Studies. 2015. Vol. 28, num. 7, p. 1960-2008. DOI : 10.1093/rfs/hhv018.

Do Prices Reveal the Presence of Informed Trading?

P. Collin-Dufresne; V. Fos 

Journal Of Finance. 2015. Vol. 70, num. 4, p. 1555-1582. DOI : 10.1111/jofi.12260.

Portfolio and welfare consequences of debt market dominance

S. Stepanchuk; V. Tsyrennikov 

Journal Of Monetary Economics. 2015. Vol. 74, p. 89-101. DOI : 10.1016/j.jmoneco.2015.06.005.

Investment-based financing constraints and debt renegotiation

T. Shibata; M. Nishihara 

Journal Of Banking & Finance. 2015. Vol. 51, p. 79-92. DOI : 10.1016/j.jbankfin.2014.11.005.

Dividend Dynamics and the Term Structure of Dividend Strips

F. Belo; P. Collin-Dufresne; R. S. Goldstein 

Journal Of Finance. 2015. Vol. 70, num. 3, p. 1115-1160. DOI : 10.1111/jofi.12242.

Theses

Essays in Empirical Corporate Finance

S. Colonnello / E. Morellec; R. Fahlenbrach (Dir.)  

Lausanne, EPFL, 2015. 

Essays in Dynamic Corporate Finance

F. M. Zucchi / E. Morellec (Dir.)  

Lausanne, EPFL, 2015. 

Working Papers

Mortgage Default in an Estimated Model of the U.S. Housing Market

L. Lambertini; V. Nuguer; P. Uysal 

2015