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Publications


100 last publications ordered by: publication type  -  year
N.B.: Publications appears only after the authors have joined HEC Lausanne.
For the complete publications list of authors, please, see their personal websites.


In Press

Dimopoulos T. , Sacchetto S. (in press). Merger Activity in Industry Equilibrium. Journal of Financial Economics.
Jardet C., Monfort A. ; Pegoraro F. (in press). No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. Journal of Banking and Finance. Peer Reviewed
Jondeau E., Jurczenko E. ; Rockinger M. (in press). Moment Component Analysis: An Illustration with International Stock Markets. Journal of Business and Economic Statistics. Peer Reviewed
Marfè R. (in press). Multivariate Lévy Processes with Dependent Jump Intensity. Quantitative Finance. Peer Reviewed

2017

Hollifield B., Neklyudov A. ; Spatt C. (2017). Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations. The Review of Financial Studies. Peer Reviewed

2016

Borisova A. , Rockinger M. (2016). Violating United Nations Global Compact Principles: An Event Study. Bankers, Markets & Investors, 4-19 .
Chordia T., Goyal A. ; Jegadeesh N. (2016). Buyers Versus Sellers: Who Initiates Trades And When?. Journal of Financial and Quantitative Analysis, 51, 1467-1490. Peer Reviewed
Dimopoulos T. , Sacchetto S. (2016). Technological Heterogeneity and Corporate Investment. Journal of Economic Dynamics and Control, 66, 20-35. Peer Reviewed
Dimopoulos T. , Wagner H. (2016). Corporate Governance and CEO Turnover Decisions. HEC Lausanne and SFI.
Morellec E., Nikolov B. ; Schürhoff N. (2016). Agency Conflicts Around the World. Université de Lausanne.
Sato Y. (2016). Delegated portfolio management, optimal fee contracts, and asset prices. Journal of Economic Theory, 165, 360-389. Peer Reviewed
Sato Y. (2016). Fund tournaments and asset bubbles. Review of Finance, 20, 1383-1426. Peer Reviewed

2015

Bacchetta P. , Benhima K. (2015). The demand for liquid assets, corporate saving, and international capital flows. Journal of the European Economic Association, 13, 1101-1135. Peer Reviewed
Engle R., Jondeau E. ; Rockinger M. (2015). Systemic Risk in Europe. Review of Finance, 19, 145-190. Peer Reviewed
Goyal A. , Wahal S. (2015). Is Momentum an Echo?. Journal of Financial and Quantitative Analysis, 50, 1237-1267. Peer Reviewed
Hendershott T., Livdan D. ; Schuerhoff N. (2015). Are Institutions Informed About News?. Journal of Financial Economics, 117, 249-287. Peer Reviewed
Jondeau E., Lahaye J. ; Rockinger M. (2015). Estimating the price impact of trades in a high-frequency microstructure model with jumps. Journal of Banking and Finance, 61, S205–S224. Peer Reviewed
Jondeau E. , Rockinger M. (2015). Long-term Portfolio Allocation Based on Long-term Macro Forecasts. Bankers, Markets & Investors, 62-69.
Nikolov B., Schmid L. ; Steri R. (2015). Dynamic Corporate Liquidity. Université de Lausanne.
Pierret D. (2015). Systemic Risk and the Solvency-Liquidity Nexus of Banks. International Journal of Central Banking, 11, 193-227. Peer Reviewed

2014

Ang A., Goyal A. ; Ilmanen A. S. (2014). Asset Allocation and Bad Habits. Rotman International Journal of Pension Management, 7, NA.
Busse J., Goyal A. ; Wahal S. (2014). Investing in a Global World. Review of Finance, 18, 561-590. Peer Reviewed
Chen Z., Lookman A. A., Schuerhoff N. ; Seppi D. J. (2014). Rating-Based Investment Practices and Bond Market Segmentation. Review of Asset Pricing Studies, 4, 162-205. Peer Reviewed
de Treville S., Schuerhoff N., Trigeorgis L. ; Avanzi B. (2014). Optimal Sourcing and Lead-Time Reduction under Evolutionary Demand Risk. Production and Operations Management, 23, 2103-2117. Peer Reviewed
de Treville S., Bicer I., Chavez-Demoulin V., Hagspiel V., Schuerhoff N., Tasserit C. ; Wager S. (2014). Valuing lead time. Journal of Operations Management, 32, 337-346. Peer Reviewed
Dimopoulos T. , Sacchetto S. (2014). Preemptive Bidding, Target Resistance, and Takeover Premiums. Journal of Financial Economics, 114, 444-470. Peer Reviewed
Sato Y. (2014). Opacity in financial markets. Review of Financial Studies, 27, 3502-3546. Peer Reviewed

2013

Benhima K. (2013). Financial integration, capital misallocation and global imbalances. Journal of International Money and Finance, 32, 324-340. Peer Reviewed
Benhima K. (2013). A Reappraisal of the Allocation Puzzle through the Portfolio Approach. Journal of International Economics, 89, 331-346. Peer Reviewed
Benhima K. , Massenot B. (2013). Safety Traps. American Economic Journal. Macroeconomics, 5, 68-106. Peer Reviewed
Cestau D., Green R.C. ; Schuerhoff N. (2013). Tax-subsidized underpricing: The market for Build America Bonds. Journal of Monetary Economics, 60, 593-608. Peer Reviewed
Jondeau E. , Rockinger M. (2013). Systemic Risk in Europe. Global Credit Review, 3, 1-6. Peer Reviewed
Morellec E., Nikolov B. ; Zucchi F. (2013). Competition, Cash Holdings, and Financing Decisions. Université de Lausanne.
Poon S.-H., Rockinger M. ; Stathopoulos K. (2013). Market liquidity and institutional trading during the 2007–8 financial crisis. International Review of Financial Analysis, 30, 86–97. Peer Reviewed

2012

Benhima K. (2012). Exchange Rate Volatility and Productivity Growth: The Role of Liability Dollarization. Open Economies Review, 23, 501-529. Peer Reviewed
Bernardo A., Chowdhry B. ; Goyal A. (2012). Assessing Project Risk. Journal of Applied Corporate Finance, 24, 94-100. Peer Reviewed
Bernile G., Lyandres E. ; Zhdanov A. (2012). A Theory of Strategic Mergers. Review of Finance, 16, 517-575. Peer Reviewed
Goyal A. (2012). Empirical Cross-Sectional Asset Pricing: A Survey. Financial Markets and Portfolio Management, 26, 3-38. Peer Reviewed
Jondeau E. , Rockinger M. (2012). On the Importance of Time Variability in Higher Moments for Asset Allocation. Journal of Financial Econometrics, 10, 84-123. Peer Reviewed
Li D. , Schuerhoff N. (2012). Dealer Networks. SSRN (Social Science Research Network).
Marfè R. (2012). A Generalized Variance Gamma Process for Financial Applications. Quantitative Finance, 12, 75-87. Peer Reviewed
Marfè R. (2012). A multivariate pure-jump model with multi-factorial dependence structure. International Journal of Theoretical and Applied Finance, 15. Peer Reviewed
Monfort A. , Pegoraro F. (2012). Asset Pricing with Second-Order Esscher Transforms. Journal of Banking and Finance, 36, 1678-1687. Peer Reviewed
Morellec E., Nikolov B. ; Schuerhoff N. (2012). Corporate Governance and Capital Structure Dynamics. The Journal of Finance, 67, 803-848. Peer Reviewed

2011

Billio M., Calès L. ; Guégan D. (2011). A Cross-Sectional Score for the Relative Performance of an Allocation. International Review of Applied Financial Issues and Economics, 3, 700-710. Peer Reviewed
Billio M., Calès L. ; Guégan D. (2011). Portfolio Symmetry and Momentum. European Journal of Operational Research, 214, 759-767. Peer Reviewed
Imbs J., Jondeau E. ; Pelgrin F. (2011). Sectoral Phillips Curves and the Aggregate Phillips Curve. Journal of Monetary Economics, 58, 328-344. Peer Reviewed
Lyandres E., Zhdanov A. ; Hsieh J. (2011). A Theory of Merger-Driven IPOs. Journal of Financial and Quantitative Analysis, 46, 1367–1405. Peer Reviewed
Morellec E. , Schuerhoff N. (2011). Corporate Investment and Financing under Asymmetric Information. Journal of Financial Economics, 99, 262-288. Peer Reviewed
Schuerhoff N. , Ziegler A. (2011). Variance risk, financial intermediation, and the cross-section of expected option returns. CEPR - Centre for Economic Policy Research.

2010

Benhima K. (2010). Financial Development, Technological Change in Emerging Countries and Global Imbalances. Université de Lausanne - HEC - DEEP.
Benhima K. , Havrylchyk O. (2010). When Do Long-term Imbalances Lead to Current Account Reversals?. World Economy, 33, 107-128. Peer Reviewed
Busse J., Goyal A. ; Wahal S. (2010). Performance Persistence in Institutional Investment Management. Journal of Finance, 65, 765-790. Peer Reviewed
Green R.C., Li D. ; Schuerhoff N. (2010). Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall ?. Journal of Finance, 65, 1669-1702. Peer Reviewed
Lyandres E. , Zhdanov. A. (2010). Accelerated Investment Effect of Risky Debt. Journal of Banking and Finance, 34, 2587-2599. Peer Reviewed
Morellec E. , Schuerhoff N. (2010). Dynamic Investment and Financing under Personal Taxation. Review of Financial Studies, 23, 101-146. Peer Reviewed

2009

Bustamante M. C., Danthine J.-P. (Dir.) (2009). Three essays in dynamic corporate finance. Université de Lausanne, Faculté des hautes études commerciales.
Chen Z., Lookman A., Schuerhoff N. ; Seppi D. (2009). Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change. EFA (European Finance Association) 2009 Bergen Meetings Papers.
Chen Z. H., Schürhoff N. (Dir.) (2009). Asset pricing in fixed income markets. Université de Lausanne, Faculté des hautes études commerciales.
Chordia T., Goyal A., Sadka G., Sadka R. ; Shivakumar L. (2009). Liquidity and the Post-Earnings-Announcement-Drift. Financial Analyst Journal, 65, 18-32. Peer Reviewed
Goyal A. , Saretto A. (2009). Cross-Section of Option Returns and Volatility. Journal of Financial Economics, 94, 310-326. Peer Reviewed
Jondeau E. , Pelgrin F. (2009). Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity. Swiss Finance Institute.
Jondeau E. , Rockinger M. (2009). The Impact of Shocks on Higher Moments. Journal of Financial Econometrics, 7, 77-105. Peer Reviewed
Osambela Zavala J. E., Dumas B. (Dir.) (2009). Essays in general equilibrium asset pricing. Université de Lausanne, Faculté des hautes études commerciales.
Puopolo G. W., Danthine J.-P. (Dir.) (2009). Essays in equilibrium asset pricing. Université de Lausanne, Faculté des hautes études commerciales.
Vulkán L. N., Jondeau E. (Dir.) (2009). Structural macro factors and the affine term structure of interest rates. Université de Lausanne, Faculté des hautes études commerciales.

2008

Danthine J.-P. , Donaldson J.B. (2008). Executive Compensation and Stock Options: an Inconvenient Truth. CEPR - Centre for Economic Policy Research.
Danthine J.-P., Donaldson J.B. ; Siconolfi P. (2008). Distribution Risk and Equity Returns. The Equity Risk Premium. Elsevier, North Holland, Amsterdam.
Danthine J.-P. , Kurmann A. (2008). The Macroeconomic Consequences of Reciprocity in Labour Relations. Scandinavian Journal of Economics. Peer Reviewed
Goyal A., Pérignon C. ; Villa C. (2008). How Common are Common Return Factors Across Nyse and Nasdaq?. Journal of Financial Economics, 90, 252-271. Peer Reviewed
Goyal A. , Wahal S. (2008). The Selection and Termination of Investment Managers by Plan Sponsors. Journal of Finance, 63, 1805-1847. Peer Reviewed
Goyal A. , Welch I. (2008). A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. Review of Financial Studies, 21, 1455-1508. Peer Reviewed
Holly Alberto, Monfort Alain ; Rockinger Michael (2008). Fourth order pseudo maximum likelihood methods. IEMS.
Jalal A. , Rockinger M. (2008). Predicting tail-related risk measures: The consequences of using GARCH filters for non GARCH data. Journal of Empirical Finance, 15, 868-877. Peer Reviewed
Jondeau E. (2008). Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias. Swiss Finance Institute.
Jondeau E. , Le Bihan H. (2008). Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification. Journal of Econometrics, 143, 375 - 395. Peer Reviewed
Jondeau E. , Sahuc J.-G. (2008). Testing Heterogeneity within the Euro Area. Economics Letters, 99, 192-196. Peer Reviewed
Jondeau E. , Sahuc J.-G. (2008). Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. International journal of central banking / Bank of Canada, 4, 23-72. Peer Reviewed
Joos P. , Zhdanov A. (2008). Earnings and Equity Valuation in the Biotech Industry: Theory and Evidence. Financial Management, 37, 431-459. Peer Reviewed
Morellec E. , Zhdanov A. (2008). Financing and Takeovers. Journal of Financial Economics, 87, 556-581. Peer Reviewed
Nikolov Boris, Morellec Erwan (Dir.) (2008). Three essays in dynamic corporate finance. Université de Lausanne, Faculté des hautes études commerciales.

2007

Danthine J.-P. (2007). Superneutrality. The New Palgrave Dictionary of Economics. Palgrave Macmillan.
Danthine J.-P. , Jin X. (2007). Intangible Capital, Firm Valuation and Asset Pricing. Economic Theory, 32, 157-177. Peer Reviewed
Danthine J.-P. , Kurmann A. (2007). The Business Cycle Implications of reciprocity in Labour Relations. Université Laval, CIRPEE.
Green R.C., Hollifield B. ; Schuerhoff N. (2007). Financial Intermediation and the Costs of Trading in an Opaque Market. Review of Financial Studies, 20, 275-314. Peer Reviewed
Green R.C., Hollifield B. ; Schuerhoff N. (2007). Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues. Journal of Financial Economics, 86, 643-682. Peer Reviewed
Imbs J., Jondeau E. ; Pelgrin F. (2007). Aggregating Phillips Curves. CEPR - Centre for Economic Policy Research.
Jalal A., Rockinger M. (Dir.) (2007). Three essays on the psychology of investment and financial markets. Université de Lausanne, Faculté des hautes études commerciales.
Jondeau E., Perilla A. ; Rockinger M. (2007). Optimal Liquidation Strategies in Illiquid Markets. Swiss Finance Institute.
Jondeau E., Poon S.-H. ; Rockinger M. (2007). Financial Modeling Under Non-Gaussian Distributions. Springer Verlag London, London, UK.
Mertens E., Danthine J.-P. (Dir.) (2007). Three essays on the determinants of output, inflation and interest rates. Université de Lausanne, Faculté des hautes études commerciales.
Niu J., Morellec E. (Dir.) (2007). Essays in banking and corporate finance. Université de Lausanne, Faculté des hautes études commerciales.
Schmid L., Danthine J.-P. (Dir.) (2007). Financing frictions and the cross section of returns. Université de Lausanne, Faculté des hautes études commerciales.
Zhdanov A. (2007). Competitive Equilibrium with Debt. Journal of Financial and Quantitative Analysis, 42, 709-734. Peer Reviewed

2006

Aunon-Nerin D., Cossin D. (Dir.) (2006). Essays on risk management with focus on credit risk. Université de Lausanne, Faculté des hautes études commerciales.
Barclay M., Morellec E. ; Smith C. (2006). On the debt capacity of growth options. Journal of Business, forthcoming.
Berrada T., Hugonnier J. ; Rindisbacher M. (2006). Heterogeneous Preferences and Equilibrium Trading Volume. Journal of Financial Economics, Forthcoming.
Danthine J.-P. , Kurmann A. (2006). Efficiency wages revisited: The internal reference perspective. Economics Letters, 90, 278-284. Peer Reviewed
Georgiev A., Danthine J.-P. (Dir.) (2006). Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration. Université de Lausanne, Faculté des hautes études commerciales.
Green R., Hollifield B. ; Schuerhoff N. (2006). Financial intermadiation and the cost of trading in an opaque market. Review of Financial Studies, Forthcoming.
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