Publications des institutions partenaires

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Three essays on behavioural finance Hemmens, Christopher

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 the media has...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2017

Mixed-frequency models for tracking short-term economic developments in Switzerland

We compare several methods for monitoring short-term economic developments in Switzerland. Based on a large mixed-frequency data set, the following approaches are presented and discussed: factor-based information combination approaches (including factor model versions based on the Kalman filter/smoother, a principal component based version and the three-pass regression filter), a model...

Institution partenaire

Banque nationale suisse

Texte intégral(Anglais) - 2017

The Balassa-Samuelson Effect Reversed: New Evidence from OECD Countries

This paper explores the robustness of the Balassa-Samuelson (BS) hypothesis. We analyze an OECD country panel from 1970 to 2008 and compare three data sets on sectoral productivity, including newly constructed data on total factor productivity. Overall, our within- and between-dimension estimation results do not support the BS hypothesis. Over the last two decades, we find a robust negative...

Institution partenaire

Banque nationale suisse

Texte intégral(Anglais) - 2017

A Note on the Carlson-Parkin Method of Quantifying Qualitative Data Müller, Christian og Wirz, Aniela Maria og Sydow, Nora

Institution partenaire

Eidgenössische Technische Hochschule Zürich

Texte intégral(Allemand) - 2017

Four essays on fiscal decentralisation and secessions Lapointe, Simon;Madiès, Thierry;Décentralisation;Décentralisation administrative;Impôts;Sécession;Entreprises;Québec (Canada, province)

Entre 1945 et 2008, le nombre de pays reconnus internationalement a augmenté de 74 à 193 (Spolaore, 2008). Plus récemment, plusieurs pays ont vécu une vague croissante de décentralisation. Dans les pays de l'OCDE, par exemple, le nombre de gouvernements infranationaux a atteint 140 000 en 2014. De plus, ces gouvernements infranationaux ont une influence croissante dans ces pays (OCDE, 2014)....

Institution partenaire

Université de Fribourg

Texte intégral(Anglais) - 2017

Entrepreneurial orientation and SME performance across societal cultures: An international study Ambos, Tina

The concept of entrepreneurial orientation (EO) is universally applicable, and many empirical studies report a positive relationship between EO and performance in different national contexts. Empirical research, however, scarcely addresses which country-level contingencies affect the EO–performance link. Building on two secondorder factors of societal culture—performance-based culture (PBC)...

Institution partenaire

Université de Genève

Texte intégral(Français) - 2016

High Frequency House Price Indexes with Scarce Data Bourassa, Steven

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 inverse...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Real Estate Research in Europe Hoesli, Martin E.

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 country of study...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Real Estate Company Reactions to Financial Market Regulation Moss, Alex

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 – Basel III...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy Camponovo, Lorenzo

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy.

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Strategic Default, Debt Structure, and Stock Returns Valta, Philip

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 sample of...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

A diagnostic criterion for approximate factor structure Scaillet, Olivier

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-sectional covariance...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Asset allocation and monetary policy: evidence from the eurozone Lai, Sandy

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 find that...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Debt enforcement, investment, and risk taking across countries Valta, Philip

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 find that the...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

Early exercise decision in american options with dividends, stochastic volatility and jumps Scaillet, Olivier

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 jumps instead...

Institution partenaire

Université de Genève

Texte intégral(Français) - 2016

Valuing American options using fast recursive projections Scaillet, Olivier

We introduce a fast and widely applicable numerical pricing method that uses recursive projections. We characterize its convergence speed. We find that the early exercise boundary of an American call option on a discrete dividend paying stock is higher under the Merton and Heston models than under the Black-Scholes model, as opposed to the continuous dividend case. A large database of call...

Institution partenaire

Université de Genève

Texte intégral(Anglais) - 2016

The distributional consequences of large devaluations Levchenko, Andrei A

We study the differential impact of large exchange rate devaluations on the cost of living at different points on the income distribution. Across product categories, the poor have relatively high expenditure shares in tradeable products. Within tradeable product categories, the poor consume lower-priced varieties. Changes in the relative price of tradeables and the relative prices of lower-priced...

Institution partenaire

Université de Zürich - Faculté des sciences économiques

Texte intégral(Anglais) - 2016


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