Institutes

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

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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

  

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Selected Publications

Barras, L., Gagliardini, P., & Scaillet, O. (2022). Skill, scale, and value creation in the mutual fund industry. The Journal of Finance.
https://doi.org/10.1111/jofi.13096

Efing, M., Fahlenbrach, R., Herpfer, C., & Krueger, P. (2022). How Do Investors and Firms React to a Large, Unexpected Currency Appreciation Shock? The Review of Corporate Finance Studies.
https://doi.org/10.1093/rcfs/cfac024

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

Bourassa, S. C., Hoesli, M., Merlin, L., & Renne, J. (2021). Big data, accessibility, and urban house prices. Urban Studies, 58(15), 3176–3195.
https://doi.org/10.1177/0042098020982508

Chaieb, I., Errunza, V., & Langlois, H. (2021). How is liquidity priced in global markets? The Review of Financial Studies, 34(9), 4216–4268.
https://doi.org/10.1093/rfs/hhaa125

Chaieb, I., Langlois, H., & Scaillet, O. (2021). Factors and risk premia in individual international stock returns. Journal of Financial Economics, 141(2), 669–692.
https://doi.org/10.1016/j.jfineco.2021.04.007

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.
https://doi.org/10.1016/j.jcorpfin.2019.101544

Michaely, R., Rossi, S., & Weber, M. (2021). Signaling Safety. Journal of Financial Economics, 139(2), 405–427.
https://doi.org/10.1016/j.jfineco.2020.08.013

Sandulescu, M., Trojani, F., & Vedolin, A. (2021). Model-Free International Stochastic Discount Factors. The Journal of Finance, 76(2), 935–976.
https://doi.org/10.1111/jofi.12970

Arvanitis, S., Scaillet, O., & Topaloglou, N. (2020). Spanning tests for Markowitz stochastic dominance. Journal of Econometrics, 217(2), 291–311.
https://doi.org/10.1016/j.jeconom.2019.12.005

Chaieb, I., Errunza, V., & Gibson Brandon, R. (2020). Measuring sovereign bond market integration. The Review of Financial Studies, 33(8), 34463491.
https://doi.org/10.1093/rfs/hhz107

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.
https://doi.org/10.1017/S0022109018001229

Gibson Brandon, R., & Wang, S. (2020). Earnings belief risk and the cross-section of stock returns. Review of Finance, 24(5), 11071158.
https://doi.org/10.1093/rof/rfaa001

Gruber, P. H., Tebaldi, C., & Trojani, F. (2020). The price of the smile and variance risk premia. Management Science, 67(7).
https://doi.org/10.1287/mnsc.2020.3689

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.
https://doi.org/10.1093/restud/rdz058

Krueger, P., Sautner, Z., & Starks, L. T. (2020). The importance of climate risks for institutional investors. The Review of Financial Studies, 33(3), 10671111.
https://doi.org/10.1093/rfs/hhz137

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.
https://doi.org/10.1016/j.jmoneco.2019.02.002

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.
https://doi.org/10.1287/mnsc.2020.3751

Scaillet, O., Treccani, A., & Trevisan, C. (2020). High-Frequency Jump Analysis of the Bitcoin Market. Journal of Financial Econometrics, 18(2), 209–232.
https://doi.org/10.1093/jjfinec/nby013

 

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

 

Recent Ph.D. Theses

 

Three Essays on Sustainable Finance (Jouvenot, V. 2022)

Three Essays on Fintech and Online Marketplaces (Shan, H. 2022)

Three Essays on Corporate Finance (Zhang, Ye. 2022)

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)


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

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