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Essays in empirical finance

Garzoli, Matteo ; Plazzi, Alberto (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2021 ; 2021ECO007.

I use empirical methods to forecast U.S. repeat-sales house price indices, to analyze Swiss long-run default rates and to investigate the role of country and industry effects on the downside risk of stock index returns.

Investors' perception of business group membership during an economic crisis : Evidence from the COVID-19 pandemic

Ducret, Romain

(Working Papers SES ; 524)

This paper examines how investors perceive business group membership in Korea during the COVID-19 pandemic. Stock price performance analysis reveals evidence of a time-varying and heterogeneous value of affiliation: investors discount business group affiliation during a market collapse, but are willing to pay a premium for affiliation during market recovery. Overall, this pattern is more...

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

Marc Goergen: International Corporate Governance : Pearson, 2012, 336 pages, approx. USD 50

Horsch, Philipp

In: Financial Markets and Portfolio Management, 2015, vol. 29, no. 2, p. 169-171

Dynamical system theory of periodically collapsing bubbles

Yukalov, V. ; Yukalova, E. ; Sornette, D.

In: The European Physical Journal B, 2015, vol. 88, no. 7, p. 1-14

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

Reflexivity in Sustainability Accounting and Management: Transcending the Economic Focus of Corporate Sustainability

Schneider, Anselm

In: Journal of Business Ethics, 2015, vol. 127, no. 3, p. 525-536

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

Camponovo, Lorenzo ; Scaillet, Olivier ; Trojani, Fabio

In: Journal of Financial Econometrics, 2017, vol. 15, no. 3, p. 505-505

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

Camponovo, Lorenzo ; Scaillet, Olivier ; Trojani, Fabio

In: Journal of Financial Econometrics, 2017, vol. 15, no. 3, p. 377-387