Publications des institutions partenaires
401 - 420 of 1296
Secret médical en prison : la troisième victime ?
Institution partenaire
Français / 01/01/2014
Certificat médical d'incapacité de travail lorsque l'incapacité varie selon l'occupation (certificat "à géométrie variable")
Institution partenaire
Français / 01/01/2014
Conservation du dossier médical : documents originaux ou sous forme électronique ?
Institution partenaire
Français / 01/01/2014
Patients décédés : le médecin doit-il renoncer à ses honoraires ?
Institution partenaire
Français / 01/01/2014
Disclosure Duties: How does Swiss Law protect minority shareholders?
Institution partenaire
English / 01/01/2014
International evidence on the equity premium puzzle and time discounting
We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey participants tend to be more short-term oriented. This finding is consistent with the…
Institution partenaire
English / 01/12/2013
Beyond cash-additive risk measures: When changing the numeraire fails
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the cash-additive case…
Institution partenaire
English / 01/11/2013
Closed form option pricing under generalized hermite expansions
In this article, we generalize the classical Edgeworth series expansion used in the option pricing literature. We obtain a closed-form pricing formula for European options by employing a generalized Hermite expansion for the risk neutral density. The main advantage of the generalized expansion is that it can be applied to heavy-tailed return distributions, a case for which the…
Institution partenaire
English / 06/10/2013
Productivity and mobility in academic research: evidence from mathematicians
Institution partenaire
English / 30/08/2013
Can CRRA preferences explain CAPM-anomalies in the cross-section of stock returns?
A large number of empirical studies find evidence for systematic deviations from the CAPM. The CAPM tends to understate the returns on low-beta stocks and overstate the returns on high-beta stocks, which means that the security market line is too steep. Other well-documented anomalies are the size premium and the value premium. The CAPM is a special case of the consumption-based CAPM…
Institution partenaire
English / 19/08/2013
Tax-adjusted discount rates: a general formula under constant leverage ratios tax-adjusted discount rates
Cooper and Nyborg (2008) derive a tax-adjusted discount rate formula under a constant proportion leverage policy, investor taxes and risky debt. However, their analysis assumes zero recovery in default. We extend their framework to allow for positive recovery rates. We also allow for differences in bankruptcy codes with respect to the order of priority of interest payments versus…
Institution partenaire
English / 28/07/2013
Solomonic separation: Risk decisions as productivity indicators
Institution partenaire
English / 06/07/2013
Der Liberalismus und die Logik des Finanzsektors
Die Privatisierung von Gewinnen und die Sozialisierung von Verlusten der "Too big to fail"-Banken widersprechen den Grundprinzipien des Liberalismus.
Institution partenaire
Deutsch / 01/07/2013
Three solutions to the pricing kernel puzzle
The pricing kernel is an important link between economics and finance. In standard models of financial economics, it is proportional to the aggregate marginal utility in the economy. We first show that none of the three standard assumptions (completeness, risk aversion, and correct beliefs) is needed for the pricing kernel to be generally decreasing. If at least one of the three…
Institution partenaire
English / 01/07/2013
Tradable permits schemes and new technology adoption
In this paper technology adoption behaviour under (regulatory) no-anticipation of new technology, and imperfect competition in a tradable permits scheme (rents market) is investigated. The inter-dependence between the incentive to adopt a new technology and the allowance price is explicitly modelled. A firm's longterm incentives to adopt a new technology depend on the future…
Institution partenaire
English / 01/07/2013
How can governments borrow so much?
Traditional models of sovereign debt assume that governments seek to maximize the long terminterests of their countries.We assume instead that governments borrow and default according to their own political interests. In particular they often have limited horizons and are reluctant to default strategically. This allows us to define a maximum sustainable debt to GDP ratio, and compute…
Institution partenaire
English / 01/07/2013
Optimal risk-exposure management with costly refinancing opportunities
In this paper the decisions of a firm's manager, in terms of exposure to a profitable but risky technology, distribution of dividends and (costly) re-injection of cash to ward off bankruptcy are studied. The analysis of the manager's optimal choices is done via a value function whose state variable is the firm's current level of reserves. Contingent on whether…
Institution partenaire
English / 01/07/2013
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