Affiner les résultats

What Makes a Price Fair? An Experimental Study of Transaction Experience and Endogenous Fairness Views

Herz, Holger ; Taubinsky, Dmitry

In: Journal of the European Economic Association, 2018, vol. 16, no. 2, p. 316-352

Calls of convertible debt securities: no bad news at all

Nigbur, Tobias

In: Financial Markets and Portfolio Management, 2015, vol. 29, no. 1, p. 61-79

The war puzzle: contradictory effects of international conflicts on stock markets

Brune, Amelie ; Hens, Thorsten ; Rieger, Marc ; Wang, Mei

In: International Review of Economics, 2015, vol. 62, no. 1, p. 1-21

Culture and Corporate Governance: The Influence of Language and Religion in Switzerland

Volonté, Christophe

In: Management International Review, 2015, vol. 55, no. 1, p. 77-118

Measuring risk with multiple eligible assets

Farkas, Walter ; Koch-Medina, Pablo ; Munari, Cosimo

In: Mathematics and Financial Economics, 2015, vol. 9, no. 1, p. 3-27

Essays in institutional investors and financial markets

Cötelioglu, Efe ; Plazzi, Alberto (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2021 ; 2021ECO002.

I use empirical methods to study the effect of institutional investors on financial markets. My studies provide novel evidence on the commonality in liquidity of fixed-income securities, the liquidity provision of hedge funds and mutual funds in equity markets, and the information diffusion from credit default swaps to equities.

Financial market integration and asset prices

Sandulescu, Paula Mirela ; Trojani, Fabio (Dir.) ; Gagliardini, Patrick (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO008.

My doctoral thesis examines the relationships among the degree of financial market integration and the pricing of different classes of assets. The first chapter provides a theoretical framework that uncovers in a model-free way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different...

Asset prices and demand shocks

Barbon, Andrea ; Franzoni, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO002.

My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter deals with the informational role of brokerage firms during fire sales in the equity market. The second chapter exploits the ETF program by the bank of Japan as a quasi-natural experiment to measure the slope of the equity demand curve. The last chapter presents...

Bank risk appetite in a world of CoCos

Aquila, Cecilia ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO015.

We investigate the shape of risk appetite when the bank is financed also with contingent convertible bonds (CoCos). Our contribution to the existent literature is to assess risk appetite in a multi-dimensional perspective and to account for differences among banks' clusters, especially in a world with CoCos and policy rates approaching zero or negative figures. In our model, the bank objective...

Leveraging the network: A stress-test framework based on DebtRank

Battiston, Stefano ; Caldarelli, Guido ; D'Errico, Marco ; Gurciullo, Stefano

In: Statistics & Risk Modeling, 2016, vol. 33, no. 3-4, p. 117-138