Publications

2022

Journal Articles

Impact and implications of mixed plaque class in automated characterization of complex atherosclerotic lesions

M. L. Olender; Y. Niu; D. Marlevi; E. R. Edelman; F. R. Nezami 

Computerized Medical Imaging And Graphics. 2022-04-01. Vol. 97, p. 102051. DOI : 10.1016/j.compmedimag.2022.102051.

A contagion process with self-exciting jumps in credit risk applications

P. Pasricha; D. Selvamuthu; S. Natarajan 

Stochastics-An International Journal Of Probability And Stochastic Processes. 2022-02-26. DOI : 10.1080/17442508.2022.2041641.

Monetary Independence And Rollover Crises

J. Bianchi; J. Mondragon 

Quarterly Journal Of Economics. 2022-02-01. Vol. 137, num. 1, p. 435-491. DOI : 10.1093/qje/qjab025.

Theses

Essays in Monetary Policy and Asset Pricing

B. V. S. Cornet / J. Hugonnier; P. Collin Dufresne (Dir.)  

Lausanne, EPFL, 2022. 

Essays in Empirical Asset Pricing

A. A. Marchal / P. Collin Dufresne; J. Hugonnier (Dir.)  

Lausanne, EPFL, 2022. 

Asset Pricing and Monetary Policy

N. Gauderon / J. Hugonnier (Dir.)  

Lausanne, EPFL, 2022. 

Essays in Financial Economics

K. M. Rageth / R. Fahlenbrach (Dir.)  

Lausanne, EPFL, 2022. 

Working Papers

Privacy Laws and Value of Personal Data

M. Canayaz; I. Kantorovitch; R. Mihet 

2022-01-18

2021

Journal Articles

Optimal fund menus

J. Cvitanic; J. Hugonnier 

Mathematical Finance. 2021-12-03. DOI : 10.1111/mafi.12341.

Can Corporate Debt Foster Innovation and Growth?

T. Geelen; J. Hajda; E. Morellec 

Review Of Financial Studies. 2021-12-01. DOI : 10.1093/rfs/hhab129.

Optimal financing with tokens

S. Gryglewicz; S. Mayer; E. Morellec 

Journal Of Financial Economics. 2021-12-01. Vol. 142, num. 3, p. 1038-1067. DOI : 10.1016/j.jfineco.2021.05.004.

Machine learning with kernels for portfolio valuation and risk management

L. Boudabsa; D. Filipovic 

Finance And Stochastics. 2021-11-22. DOI : 10.1007/s00780-021-00465-4.

How Valuable Is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis

R. Fahlenbrach; K. Rageth; R. M. Stulz 

Review Of Financial Studies. 2021-11-01. Vol. 34, num. 11, p. 5474-5521. DOI : 10.1093/rfs/hhaa134.

Predictably Unequal? The Effects of Machine Learning on Credit Markets

A. Fuster; P. Goldsmith-Pinkham; T. Ramadorai; A. Walther 

The Journal of Finance. 2021-10-28. DOI : 10.1111/jofi.13090.

Acquirers and Financial Constraints – Theory and Evidence from Emerging Markets

R. Mukherjee; C. Proebsting 

Journal Of International Money And Finance. 2021-10-01. Vol. 117, p. 102440. DOI : 10.1016/j.jimonfin.2021.102440.

Risk Premia and Levy Jumps: Theory and Evidence*

H. Fallahgoul; J. Hugonnier; L. Mancini 

Journal Of Financial Econometrics. 2021-08-25. DOI : 10.1093/jjfinec/nbab020.

Stress tests and loan pricing—Evidence from syndicated loans

L. Lambertini; A. Mukherjee 

Finance Research Letters. 2021-07-21.  p. 102349. DOI : 10.1016/j.frl.2021.102349.

Dominant currency debt

E. Eren; S. Malamud 

Journal of Financial Economics. 2021-07-18. DOI : 10.1016/j.jfineco.2021.06.023.

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

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

Journal of Financial Stability. 2021-07-02. num. 100910. DOI : 10.1016/j.jfs.2021.100910.

What Would You Do with $500? Spending Responses to Gains, Losses, News, and Loans

A. Fuster; G. Kaplan; B. Zafar 

The Review of Economic Studies. 2021-07-01. Vol. 88, num. 4, p. 1760-1795. DOI : 10.1093/restud/rdaa076.

How Do Mortgage Refinances Affect Debt, Default, and Spending? Evidence from HARP

J. Abel; A. Fuster 

American Economic Journal: Macroeconomics. 2021-04. Vol. 13, num. 2, p. 254-291. DOI : 10.1257/mac.20180116.

The Sensitivity of Housing Demand to Financing Conditions: Evidence from a Survey

A. Fuster; B. Zafar 

American Economic Journal: Economic Policy. 2021-02. Vol. 13, num. 1, p. 231-265. DOI : 10.1257/pol.20150337.

Some Properties of the Kilbas-Saigo Function

L. Boudabsa; T. Simon 

Mathematics. 2021-02-01. Vol. 9, num. 3, p. 217. DOI : 10.3390/math9030217.

ICO investors

R. Fahlenbrach; M. Frattaroli 

Financial Markets And Portfolio Management. 2021. Vol. 35, p. 1–59. DOI : 10.1007/s11408-020-00366-0.

Informed Trading in the Stock Market and Option Price Discovery

P. Collin-Dufresne; V. Fos; D. Muravyev 

Journal of Financial and Quantitative Analysis. 2021. Vol. 56, num. 6, p. 1945-1984. DOI : 10.1017/S0022109020000629.

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

P. Collin Dufresne; V. Bogousslavsky; S. Mehmet 

Journal of Financial Economics. 2021. Vol. 139, num. 3, p. 922-949. DOI : 10.1016/j.jfineco.2020.08.009.

Conference Papers

A Game-Theoretic Analysis of Cross-Chain Atomic Swaps with HTLCs

J. Xu; D. Ackerer; A. Dubovitskaya 

2021-01-01. 41st IEEE International Conference on Distributed Computing Systems (ICDCS), ELECTR NETWORK, Jul 07-10, 2021. p. 584-594. DOI : 10.1109/ICDCS51616.2021.00062.

A Game-Theoretic Analysis of Cross-ledger Swaps with Packetized Payments

A. Dubovitskaya; D. Ackerer; J. Xu 

2021-01-01. Conference on Financial Cryptography and Data Security (FC), ELECTR NETWORK, Mar 05, 2021. p. 177-187. DOI : 10.1007/978-3-662-63958-0_16.

Liquidations: DeFi on a Knife-Edge

D. Perez; S. M. Werner; J. Xu; B. Livshits 

2021-01-01. 25th International Conference on Financial Cryptography and Data Security (FC), ELECTR NETWORK, Mar 01-05, 2021. p. 457-476. DOI : 10.1007/978-3-662-64331-0_24.

Theses

Essays on Mortgage Supply in a Low Rate Environment and Gender Effects of Covid-19

Y. Wu / L. Lambertini (Dir.)  

Lausanne, EPFL, 2021. 

Essays in Banking and Financial Regulation

S. J. P. L. Vissers / E. Morellec (Dir.)  

Lausanne, EPFL, 2021. 

Empirical Evidence on the Effectiveness of Shareholder Democracy

M. T. B. Couvert / R. Fahlenbrach (Dir.)  

Lausanne, EPFL, 2021. 

Informational frictions in financial markets

E. Hapnes / S. Malamud (Dir.)  

Lausanne, EPFL, 2021. 

Working Papers

Stress tests and loan pricing—Evidence from syndicated loans

L. Lambertini; A. Mukherjee 

2021-07-21

2020

Journal Articles

Regional Effects of Exchange Rate Fluctuations

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

Journal Of Money Credit And Banking. 2020-12-01. Vol. 52, p. 429-463. DOI : 10.1111/jmcb.12758.

Expectations with Endogenous Information Acquisition: An Experimental Investigation

A. Fuster; R. Perez-Truglia; M. Wiederholt; B. Zafar 

The Review of Economics and Statistics. 2020-10-30.  p. 1-54. DOI : 10.1162/rest_a_00994.

Silicon Nanowire Arrays Coated with Ag and Au Dendrites for Surface-Enhanced Raman Scattering

N. Grevtsov; A. Burko; S. Redko; N. Khinevich; S. Zavatski et al. 

Mrs Advances. 2020-09-01. Vol. 5, num. 39, p. 2023-2032. DOI : 10.1557/adv.2020.332.

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.

Market Structure and Transaction Costs of Index CDSs

P. Collin-Dufresne; B. Junge; A. B. Trolle 

Journal Of Finance. 2020-06-17. Vol. 75, num. 5, p. 2719-2763. DOI : 10.1111/jofi.12953.

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.

High-Frequency Jump Analysis of the Bitcoin Market

O. Scaillet; A. Treccani; C. Trevisan 

Journal Of Financial Econometrics. 2020-03-01. Vol. 18, num. 2, p. 209-232. DOI : 10.1093/jjfinec/nby013.

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. 47-75. 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.

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

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

Health Economics. 2020. Vol. 29, num. 2, p. 138-153. DOI : 10.1002/hec.3960.

Option pricing with orthogonal polynomial expansions

D. Ackerer; D. Filipovic 

Mathematical Finance. 2020. Vol. 30, num. 1, p. 47-84. DOI : 10.1111/mafi.12226.

Austerity in the Aftermath of the Great Recession

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

Journal of Monetary Economics. 2020. Vol. 115, p. 37-63. DOI : 10.1016/j.jmoneco.2019.05.004.

Theses

Trading mechanisms in over-the-counter markets

S. Vogel / P. Collin Dufresne (Dir.)  

Lausanne, EPFL, 2020. 

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

Patents

System and method for user data input to modify operating mode configurations

S. Malamud 

WO2020228929.

2020.

2019

Journal Articles

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.

Understanding Mortgage Spreads

N. Boyarchenko; A. Fuster; D. O. Lucca 

The Review of Financial Studies. 2019-10-01. Vol. 32, num. 10, p. 3799-3850. DOI : 10.1093/rfs/hhz004.

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, p. 618–656. DOI : 10.1057/s41308-019-00086-0.

Home Price Expectations and Behaviour: Evidence from a Randomized Information Experiment

L. Armona; A. Fuster; B. Zafar 

The Review of Economic Studies. 2019-07-01. Vol. 86, num. 4, p. 1371-1410. DOI : 10.1093/restud/rdy038.

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 Role of Technology in Mortgage Lending

A. Fuster; M. Plosser; P. Schnabl; J. Vickery 

The Review of Financial Studies. 2019-05-01. Vol. 32, num. 5, p. 1854-1899. DOI : 10.1093/rfs/hhz018.

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.

Regional Heterogeneity and the Refinancing Channel of Monetary Policy

M. Beraja; A. Fuster; E. Hurst; J. Vavra 

The Quarterly Journal of Economics. 2019-02-01. Vol. 134, num. 1, p. 109-183. DOI : 10.1093/qje/qjy021.

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.

Investment Dynamics with Natural Expectations

A. Fuster; B. Hebert; D. Laibson 

International Journal of Central Banking. 2018-08-24. Vol. 8, num. 1, p. 243-265.

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.

Tracking and Stress-Testing U.S. Household Leverage

A. Fuster; B. Guttman-Kenney; A. F. Haughwout 

FRBNY Economic Policy Review. 2018. Vol. 24, num. 1.

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; P. Collin Dufresne 

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

A General Equilibrium Model of Oil Prices and Convenience yields

J. Casassus; P. Collin-Dufresne; B. Routledge 

2018

2017

Journal Articles

Payment Size, Negative Equity, and Mortgage Default

A. Fuster; P. S. Willen 

American Economic Journal: Economic Policy. 2017-11. Vol. 9, num. 4, p. 167-191. DOI : 10.1257/pol.20150007.

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.

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.