L’équipe de l’Institut est diversifiée et se compose de chercheurs et de professeurs qui se consacrent à la publication de leurs recherches de pointe dans les meilleures revues financières. Elle s’investit également en faveur d’une formation en finance de haut niveau et contribue au partage du savoir en organisant des conférences, des séminaires et des débats publics portant sur un large éventail de sujets en matière de finance.
Série de vidéos sur la recherche
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Sovereign debt sustainability in advanced economiesIn 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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Sélection de 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
Orłowski, P., Schneider, P. & Trojani, F. (2022). On the Nature of (Jump) Skewness Risk Premia. Management Science.
à paraître
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), 3446–3491.
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), 331–356.
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), 1107–1158.
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), 2639–2671.
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), 1067–1111.
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
> Pour une liste complète, veuillez consulter notre page web Savoir & publications
Thèses de doctorat récentes
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)
> Veuillez cliquer ici pour de plus amples informations sur le programme de doctorat en finance
