The Institute's faculty is a diversified international team of professors and researchers who are primarily dedicated to publishing cutting-edge research in top finance journals, but they also engage in high-level education in finance as well as in knowledge transfer activities such as conferences, seminars, and public debates on a broad range of finance topics.


Research video series


Sovereign debt sustainability in advanced economies

In this video, Professor Jean-Charles Rochet presents his research on sovereign debt aimed at answering the following question: what is the maximum debt-to-GDP ratio that is sustainable by a government?

10 June 2021



Selected Publications

Barras, L., Gagliardini, P., & Scaillet, O. (2022). Skill, scale, and value creation in the mutual fund industry. The Journal of Finance.

Orłowski, P., Schneider, P. & Trojani, F. (2022). On the Nature of (Jump) Skewness Risk Premia. Management Science.

Bourassa, S. C., Hoesli, M., Merlin, L., & Renne, J. (2021). Big data, accessibility, and urban house prices. Urban Studies, 58(15), 3176–3195.

Chaieb, I., Errunza, V., & Langlois, H. (2021). How is liquidity priced in global markets? The Review of Financial Studies, 34(9), 4216–4268.

Chaieb, I., Langlois, H., & Scaillet, O. (2021). Factors and risk premia in individual international stock returns. Journal of Financial Economics, 141(2), 669–692.

Cziraki, P., Lyandres, E., & Michaely, R. (2021). What do insiders know? Evidence from insider trading around share repurchases and SEOs. Journal of Corporate Finance, 66.

Michaely, R., Rossi, S., & Weber, M. (2021). Signaling Safety. Journal of Financial Economics, 139(2), 405–427.

Sandulescu, M., Trojani, F., & Vedolin, A. (2021). Model-Free International Stochastic Discount Factors. The Journal of Finance, 76(2), 935–976.

Arvanitis, S., Scaillet, O., & Topaloglou, N. (2020). Spanning tests for Markowitz stochastic dominance. Journal of Econometrics, 217(2), 291–311.

Chaieb, I., Errunza, V., & Gibson Brandon, R. (2020). Measuring sovereign bond market integration. The Review of Financial Studies, 33(8), 34463491.

Cosma, A., Galluccio, S., Pederzoli, P., & Scaillet, O. (2020). Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps. Journal of Financial and Quantitative Analysis, 55(1), 331356.

Gibson Brandon, R., & Wang, S. (2020). Earnings belief risk and the cross-section of stock returns. Review of Finance, 24(5), 11071158.

Gruber, P. H., Tebaldi, C., & Trojani, F. (2020). The price of the smile and variance risk premia. Management Science, 67(7).

Hau, H., Huang Y., & Wang, G. (2020). Firm response to competitive shocks: Evidence from China’s minimum wage policy. The Review of Economic Studies, 87(6), 26392671.

Krueger, P., Sautner, Z., & Starks, L. T. (2020). The importance of climate risks for institutional investors. The Review of Financial Studies, 33(3), 10671111.

Magill, M., Quinzii, M., & Rochet, J.-C. (2020). The safe asset, banking equilibrium, and optimal central bank monetary, prudential and balance-sheet policies. Journal of Monetary Economics, 112, 113–128.

Scaillet, O., Baulescu-Radu, D., Hurlin, C., & Leymarie, J. (2020). Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures. Management Science, 67(9), 5730–5754.

Scaillet, O., Treccani, A., & Trevisan, C. (2020). High-Frequency Jump Analysis of the Bitcoin Market. Journal of Financial Econometrics, 18(2), 209–232.


> For a complete list, please visit our Knowledge & Publications page.


Recent Ph.D. Theses


Real Estate Investments, Macroeconomic Risk Factors and Portfolio Implications (Delfim, J.-C. 2021)

Three Essays on Chinese Banking and Corporate Finance (Zhang, Z. 2020)

Essays on bank capital structure (Hrasko, G. 2019)

Dynamic stochastic general equilibrium models with heterogeneous agents: theory, computation and application (Pröhl, E. 2018)

Essays in Asset Pricing (Pederzolli, P. 2018)

Three essays on behavioural finance (Hemmens, C. 2017)


> Click here for more information on the Ph.D. in Finance program.

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