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PhD Publications

The Scientific Council of the Swiss Finance Institute explicitly recognizes the Journal of Finance, the Journal of Financial Economics and the Review of Financial Studies as well as 5 economics journals (Econometrica, American Economic Review, Journal of Political Economy, Quarterly Journal of Economics and the Review of Economic Studies) as A-journals. While the Scientific Council also recognizes major publications published in other academic journals, the current list is restricted to publications in the above-named top-journals.

Publications 2017 and forthcoming publications in major journals

Information Percolation, Momentum and Reversal, D. Andrei and J. Cujean, Journal of Financial Economics, forthcoming.

Income Insurance and the Equilibrium Term-Structure of Equity, R. Marfè, Journal of Finance, forthcoming.

Do Exogenous Changes in Passive Institutional Ownership Affect Corporate Governance and Firm Value?, R. Fahlenbrach and C. Schmidt, Journal of Financial Economics, forthcoming.

Debt Enforcement, Investment, and Risk Taking Across Countries, G. Favara, E. Morellec, E. Schroth, and P. Valta, Journal of Financial Economics, vol. 123(1), pp 22-41, 2017.

Publications 2016

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets, L. Barras and A. Malkhozov, Journal of Financial Economics. vol. 121(1), pp 79-92, 2016.

Infrequent Rebalancing, Return Autocorrelation, and Seasonality, V. Bogousslavky, Journal of Finance, vol. 71(6), pp 2967-3006, 2016.

Quadratic Variance Swap Models, E. Gourier, D. Filipovic, and L. Mancini, Journal of Financial Economics, vol. 119(1), pp 44-68, 2016.

On Secondary Buyouts, F. Degeorge, J. Martin, and L. Phalippou, Journal of Financial Economics, vol. 120(1), pp 124-145, 2016.

Sticky Leverage, L. Schmid, J. Gomes and U. Jermann, American Economic Review, vol. 106(12), pp 3800-3828, 2016.

Disaster Recovery and the Term Structure of Dividend Strips, M. Hasler and R. Marfè, Journal of Financial Economics, vol. 122(1), pp 116-134, 2016.

Publications 2015

Investor Attention and Stock Market Volatility, D. Andrei and M. Hasler, Review of Financial Studies, vol. 28(1), pp 33-72, 2015.

Strategic Investment and Industry Risk Dynamics, M. C. Bustamante, Review of Financial Studies, vol. 28(2), pp 297-341, 2015.

Structured Debt Ratings: Evidence on Conflicts of Interest, M. Efing and H. Hau, Journal of Financial Economics, vol. 116(1), pp 46-60, 2015.

The Risk Premia Embedded in Index Options, T. G. Andersen, N. Fusari, and V. Todorov, Journal of Financial Economics, vol. 117(3), pp 558-584, 2015.

Parametric Inference and Dynamic State Recovery From Option Panels, T.G.Andersen, N.Fusari, and V.Todorov, Econometrica, vol. 83(3), pp 1081-1145, 2015.

Learning about Unstable, Publicly Unobservable Payoffs, E. Payzan-LeNestour and P. Bossaerts, Review of Financial Studies, vol. 28(7), pp 1874-1913, 2015.

Asset Pricing with Arbitrage Activity, J. Hugonnier and R. Prieto, Journal of Financial Economics, vol. 115(2), pp 411-428, 2015.

Innovation, Growth and Asset Prices, L. Schmid and H. Kung, Journal of Finance, vol. 70(3), pp 1001-1037, 2015.

Publications 2014

Agency Conflicts and Cash: Estimates from a Dynamic Model, B. Nikolov and T. M. Whited, Journal of Finance, vol. 69(5), pp 1883-1921, 2014.

The Executive Turnover Risk Premium, F. S. Peters and A. F. Wagner, Journal of Finance, vol. 69(4), pp 1529-1563, 2014.

Investment-Based Corporate Bond Pricing, L. Kuehn and L. Schmid, Journal of Finance, vol. 69(6), pp 2741-2776, 2014.

Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions, M. Leippold and J. Stromberg, Journal of Financial Economics, vol. 111(1), pp 224-250, 2014.

Publications 2013

Growth Options, Macroeconomic Conditions, and the Cross Section of Credit Risk, M. Arnold, A. F. Wagner, and R. Westermann, Journal of Financial Economics, vol. 107(2), pp 350-385, 2013.

Realizing Smiles: Options Pricing with Realized Volatility, F. Corsi, N. Fusari, and D. Vecchia, Journal of Financial Economics, vol. 107(2), pp 284-304, 2013.

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, L. Mancini, A. Ranaldo, and J. Wrampelmeyer, Journal of Finance, vol. 68(5), pp 1805-1841, 2013.

Publications 2012

Corporate Governance and Capital Structure Dynamics, E. Morellec, B. Nikolov, and N. Schurhoff, Journal of Finance, vol. 67(3), pp 803-848, 2012.

Fiscal Policies and Asset Prices, M. Croce, H. Kung, T. T. Nguyen, and L. Schmid, Review of Financial Studies, vol. 25(9), pp 2635-2672, 2012.

Strategic Default and Equity Risk Across Countries, G. Favara, E. Schroth, and P. Valta, Journal of Finance, vol. 67(6), pp 2051-2095, 2012.

Competition and the Cost of Debt, P. Valta, Journal of Financial Economics, vol. 105(3), pp 661-682, 2012.

Publications 2010

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas, L. Barras, O. Scaillet, and R. Wermers, Journal of Finance, vol. 65(1), pp 179-216, 2010.

Pricing American Options under Stochastic Volatility and Stochastic Interest Rates, A. Medvedev and O. Scaillet, Journal of Financial Economics, vol. 98(1), pp 145-159, 2010.

Levered Returns, J. F. Gomes and L. Schmid, Journal of Finance, vol. 65(2), pp 467-494, 2010.

Publications 2009

Financial Analysts' Performance: Sector versus Country Specialization, F. Sonney, Review of Financial Studies, vol. 22(5), pp 2087-2131, 2009.

Publications 2008

Why Firms Purchase Property Insurance, D. Aunon-Nerin and P. Ehling, Journal of Financial Economics, vol. 90(3), pp 298-312, 2008.

How common are Common Return Factors across the NYSE and Nasdaq?, A. Goyal, C. Pérignon, and C. Villa, Journal of Financial Economics, vol. 90(3), pp 252-271, 2008.

Publications 2007

Heterogeneous Preferences and Equilibrium Trading Volume, T. Berrada, J. Hugonnier, and M. Rindisbacher, Journal of Financial Economics, vol. 83(3), pp 719-750, 2007.

Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility, A. Medvedev and O. Scaillet, Review of Financial Studies, vol. 20(2), pp 427-459, 2007.

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