Publications

2019

Journal Articles

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. DOI : 10.1016/j.econlet.2019.108642.

Does Austerity Go Along with Internal Devaluations

L. Lambertini; C. Pröbsting 

IMF Economic Review. 2019-08-13. 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.

“Does Austerity Go Along With Internal Devaluations?

C. Proebsting; L. Lambertini 

IMF Economic Review. 2019. 

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.

Theses

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. 

Quantifying the Benefits of Labor Mobility in a Currency Union

C. Proebsting; C. L. House; L. Tesar 

NBER Working Paper No. 25347. 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. 

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.

Marriage stability, taxation and aggregate labor supply in the U.S. vs. Europe

I. Chakrabortya; H. Holter; S. Stepanchuk 

the Journal of Monetary Economics. 2015. Vol. 72, p. 1-20. DOI : 10.1016/j.jmoneco.2015.01.001.

Asset pricing with arbitrage activity

J. Hugonnier; R. Prieto 

Journal of Financial Economics. 2015. Vol. 115, num. 2, p. 411-428. DOI : 10.1016/j.jfineco.2014.10.001.

Capital supply uncertainty, cash holdings, and investment

J. Hugonnier; S. Malamud; E. Morellec 

Review of Financial Studies. 2015. Vol. 28, num. 2, p. 391-445. DOI : 10.1093/rfs/hhu081.

Approximating Functions On Stratified Sets

D. Drusvyatskiy; M. Larsson 

Transactions Of The American Mathematical Society. 2015. Vol. 367, num. 1, p. 725-749. DOI : 10.1090/S0002-9947-2014-06412-X.

Default And Systemic Risk In Equilibrium

A. Capponi; M. Larsson 

Mathematical Finance. 2015. Vol. 25, num. 1, p. 51-76. DOI : 10.1111/mafi.12009.

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

How Does Tax Progressivity and Household Heterogeneity Affect Laer Curves?

H. Holter; D. Krueger; S. Stepanchuk 

2015

International Interest Rates and Housing Markets

L. Franjo 

2015

2014

Journal Articles

Event risk, contingent claims and the temporal resolution of uncertainty

P. Collin-Dufresne; J. Hugonnier 

Mathematics and Financial Economics. 2014. Vol. 8, num. 1, p. 29-69. DOI : 10.1007/s11579-013-0107-8.

Information percolation in segmented markets

D. Duffie; S. Malamud; G. Manso 

Journal Of Economic Theory. 2014. Vol. 153, p. 1-32. DOI : 10.1016/j.jet.2014.05.006.

Macroeconomic conditions and a firm’s investment decisions

H. Jeon; M. Nishihara 

Finance Research Letters. 2014. Vol. 11, num. 4, p. 398-409. DOI : 10.1016/j.frl.2014.08.002.

A two-period model with portfolio choice: Understanding results from different solution methods

K. Rabitsch; S. Stepanchuk 

Economics Letters. 2014. Vol. 124, num. 2, p. 239-242. DOI : 10.1016/j.econlet.2014.05.028.

Trade policy: Home market effect versus terms-of-trade externality

A. Campolmi; H. Fadinger; C. Forlati 

Journal Of International Economics. 2014. Vol. 93, num. 1, p. 92-107. DOI : 10.1016/j.jinteco.2013.12.010.

Risk and Reward Preferences under Time Pressure

A. D. Nursimulu; P. Bossaerts 

Review Of Finance. 2014. Vol. 18, num. 3, p. 999-1022. DOI : 10.1093/rof/rft013.

The Swaption Cube

A. B. Trolle; E. S. Schwartz 

Review Of Financial Studies. 2014. Vol. 27, num. 8, p. 2307-2353. DOI : 10.1093/rfs/hhu015.

Theses

Commodity Spread Option Pricing and the Economic Fundamentals of Crack Spreads

I. Kolpakov / A. Trolle (Dir.)  

Lausanne, EPFL, 2014. 

Three Essays on Asset Pricing

E. Leclercq / D. Filipović; L. Mancini (Dir.)  

Lausanne, EPFL, 2014. 

Essays in Asset Pricing with Search Frictions

R. Praz / S. Malamud (Dir.)  

Lausanne, EPFL, 2014. 

Financial Frictions within the Macroeconomy

V. Nuguer / L. Lambertini (Dir.)  

Lausanne, EPFL, 2014. 

Book Chapters

Efficient Pricing of Energy Derivatives

A. B. Trolle 

Energy Pricing Models; Palgrave Macmillan US, 2014. p. 21.

Working Papers

Capital Goods, Measured TFP and Growth: The Case of Spain

A. Diaz; L. Franjo 

2014