Publications des institutions partenaires
Personalized philanthropy
Estimating moral and financial subjective values to explain preferences for philanthropy Philanthropy is characterized by a tension between promoting moral values aimed at increasing humanity’s quality of life and the material cost incurred to achieve said goal. Material values and preferences are well captured by computational models of choice; however, little is known about moral...
Institution partenaire
English / 01/01/2019
Spanning tests for markowitz stochastic dominance
Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz stochastic dominance spanning, and develop an analytical representation of the spanning property....
Institution partenaire
English / 01/01/2018
Dynamic stochastic general equilibrium models with heterogeneous agents: theory, computation and application
Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk pose numerous challenges stemming from the cross-sectional distribution of endogenous variables which changes stochastically over time due to aggregate risk. In this thesis, I tackle various open questions. My first contribution is of a theoretical nature as I establish existence and...
Institution partenaire
English / 01/01/2018
The Cross-Sectional Distribution of Fund Skill Measures
We develop a simple, non-parametric approach for estimating the entire distribution of skill. Our approach avoids the challenge of correctly specifying the distribution, and allows for a joint analysis of multiple measures–a key requirement for examining skill. Our results show that more than 85% of the funds are skilled at detecting profitable trades, but unskilled at overriding...
Institution partenaire
English / 01/01/2018
Commonality in liquidity and real estate securities
We conduct an empirical investigation of the exposure of U.S. REIT returns to commonality in liquidity. Taking advantage of the specific characteristics of REITs, we study three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with the stock market), and commonality with the underlying property market. We find evidence that the three types of...
Institution partenaire
English / 01/01/2017
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
Institution partenaire
English / 01/01/2017
Debt enforcement, investment, and risk taking across countries
We argue that the prospect of an imperfect enforcement of debt contracts in default reduces shareholder-debtholder conflicts and induces leveraged firms to invest more and take on less risk as they approach financial distress. To test these predictions, we use a large panel of firms in 41 countries with heterogeneous debt enforcement characteristics. Consistent with our model, we...
Institution partenaire
English / 01/01/2017
Three essays on behavioural finance
The fact that human economic behaviour has a significant irrational element - one that is simultaneously hard-to-explain and highly predictable - has fascinated economists for decades from Fechner, 1860 to Shiller, 2005 and beyond. In this dissertation, I investigate the field from various perspectives: chapter 1 examines the impact that language describing irrational behaviour in...
Institution partenaire
English / 01/01/2017
High-frequency jump analysis of the bitcoin market
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps are frequent events and they cluster in time. The order flow imbalance and the...
Institution partenaire
English / 01/01/2017
Real Estate Company Reactions to Financial Market Regulation
This study investigates the impact of international financial regulation on listed real estate companies. In particular, we look at how three regulatory reforms undertaken in the aftermath of the global financial crisis have affected returns and credit default swap (CDS) spreads of real estate companies. The three reforms are aimed at regulating different segments of the market –...
Institution partenaire
English / 01/01/2016
High Frequency House Price Indexes with Scarce Data
We show how a method that has been applied to commercial real estate markets can be used to produce high frequency house price indexes for a city and for submarkets within a city. Our application of this method involves estimating a set of annual robust repeat sales regressions staggered by start date and then undertaking an annual-to-monthly (ATM) transformation with a generalized...
Institution partenaire
English / 01/01/2016
Real Estate Research in Europe
We investigate the evolution from 2000 to 2015 in the proportion of papers published by authors with a European affiliation in the three main international real estate journals. Then, we analyze papers with at least one European author and/or concentrating on Europe published from 2008 to 2015 in the two main European real estate journals by authors’ country of affiliation, by...
Institution partenaire
English / 01/01/2016
Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy
This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy.
Institution partenaire
English / 01/01/2016
Strategic Default, Debt Structure, and Stock Returns
This paper theoretically and empirically investigates how debt structure and strategic interaction among shareholders and debt holders in the event of default affect expected stock returns. The model predicts that expected stock returns are higher for firms that face high debt renegotiation difficulties and that have a large fraction of secured or convertible debt. Using a large...
Institution partenaire
English / 01/01/2016
A diagnostic criterion for approximate factor structure
We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether the error terms are weakly cross-sectionally correlated or share at least one unobservable common factor. It only requires computing the largest eigenvalue of the empirical cross-...
Institution partenaire
English / 01/01/2016
Asset allocation and monetary policy: evidence from the eurozone
The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003–2010. We use this cross-country variation in the (local)tightness of monetary policy to examine its influence on equity and money market flows. In line with a powerful risk-shifting channel, we...
Institution partenaire
English / 01/01/2016
Early exercise decision in american options with dividends, stochastic volatility and jumps
Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early exercise boundary as confirmed by theoretical insights. Pricing with stochastic volatility and...
Institution partenaire
Français / 01/01/2016
Corporate Goodness and Shareholder Wealth
Using a unique data set, I study how stock markets react to positive and negative events concerned with a firm's corporate social responsibility (CSR). I show that investors respond strongly negatively to negative events and weakly negatively to positive events. I then show that investors do value "offsetting CSR", that is positive CSR news concerning firms with a...
Institution partenaire
English / 01/01/2015
Multifamily residential asset and space markets and linkages with the economy
This paper analyzes the linkages between the commercial real estate market and the economy. We maintain that a proper assessment of those linkages requires state of the art modeling techniques which treat economic variables endogenously and allow for a number of long-run relationships. We therefore use a long-run structural modeling approach, which incorporates equilibrium...
Institution partenaire
English / 01/01/2015
Incentive pay and bank risk-taking: evidence from austrian, german, and swiss banks
We use payroll data in the Austrian, German, and Swiss banking sector to identify incentive pay in the critical banking segments of treasury/capital market management and investment banking for 67 banks. We document an economically significant correlation of incentive pay with both the level and volatility of bank trading income - particularly for the pre-crisis period 2003 – 2007,...
Institution partenaire
English / 01/01/2015
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