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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RECENT Publications

Ardia, D., Barras, L., Gagliardini, P., & Scaillet, O. 2024. Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. Journal of Financial Economics, 154, Article 103805.
https://doi.org/10.1016/j.jfineco.2024.103805

Dautović, E., Hau, H., & Huang, Y. 2024. Consumption Response to Minimum Wages: Evidence from Chinese Households. The Review of Economics and Statistics.
https://doi.org/10.1162/rest_a_01411

Lombard, E., & Gibson Brandon, R. N. 2024. Do wealth managers understand codes of conduct and their ethical dilemmas? Lessons from an online survey.  Journal of Business Ethics, 189, 553–572.
https://doi.org/10.1007/s10551-023-05372-6

Orłowski, P., Schneider, P., & Trojani, F. 2024. On the nature of (jump) skewness risk premia. Management Science, 70(2), 671–1342.
https://doi.org/10.1287/mnsc.2023.4734

Arvanitis, S., Scaillet, O., & Topaloglou, N. (in press). Spanning analysis of stock market anomalies under prospect stochastic dominance. Management Science.
https://doi.org/10.1287/mnsc.2023.4953

Bakalli, G., Guerrier, S., & Scaillet, O. 2023. A penalized two-pass regression to predict stock returns with time-varying risk premia. Journal of Econometrics237(2), Article 105375.
https://doi.org/10.1016/j.jeconom.2022.12.004

Efing, M., Fahlenbrach, R., Herpfer, C., & Krüger, P. 2023. How do investors and firms react to a large, unexpected currency appreciation shock? The Review of Corporate Finance Studies12(3), 488–538.
https://doi.org/10.1093/rcfs/cfac024

Efing, M., Hau, H., Kampkötter, P., & Rochet, J.-C. 2023. Bank bonus pay as a risk sharing contract. The Review of Financial Studies36(1), 235–280.
https://doi.org/10.1093/rfs/hhac030

Fortin, A.-P., Gagliardini, P., & Scaillet, O. 2023Eigenvalue tests for the number of latent factors in short panels. Journal of Financial Econometrics.
https://doi.org/10.1093/jjfinec/nbad024

Gersbach, H., Rochet, J.-C., & Scheffel, M. 2023. Financial intermediation, capital accumulation, and crisis recovery. Review of Finance27(4), 1423–1469.
https://doi.org/10.1093/rof/rfac046

Ilhan, E., Krüger, P., Sautner, Z., & Starks, L. T. 2023. Climate risk disclosure and institutional investors. The Review of Financial Studies36(7), 26172650.
https://doi.org/10.1093/rfs/hhad002

Korsaye, S. A., Trojani, F., & Vedolin, A. 2023. The global factor structure of exchange rates. Journal of Financial Economics, 148(1), 21–46.
https://doi.org/10.1016/j.jfineco.2023.01.005

Barras, L., Gagliardini, P., & Scaillet, O. 2022. Skill, scale, and value creation in the mutual fund industry. The Journal of Finance77(1), 601–638.
https://doi.org/10.1111/jofi.13096

Camanho, N., Hau, H. & Rey, H. 2022. Global Portfolio Rebalancing and Exchange Rates. The Review of Financial Studies35(11), 5228–5274.
https://doi.org/10.1093/rfs/hhac023

Gibson Brandon, R., Glossner, S., Krüger, P., Matos, P., & Steffen, T. 2022. Do Responsible Investors Invest Responsibly? Review of Finance, 26(6), 1389–1432.
https://doi.org/10.1093/rof/rfac064

 

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

 

Recent Ph.D. Theses

Analyzing semi-variances at individual level: the pricing, risk premiums, and their relation to stock return (Anisimov, E. 2023)

Three essays on asset pricing and portfolio allocation (Auberson, M. 2023)

Three Essays on Environmental and Development Economics (Han, K. 2023)

Essays in Asset Pricing (Korsaye, S. A. 2023)

Essays in International Finance and Monetary Economics (Terracciano, T. 2023)

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)


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

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