Nº 20-82: Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified
P. Gagliardini, O. Scaillet, D. Ardia, L. Barras
Working Papers
18 sept. 2020
Nº 20-81: Do Mutual Funds and ETFs Affect the Commonality in Liquidity of Corporate Bonds?
E. Cötelioglu
Working Papers
17 sept. 2020
Nº 20-80: Illiquidity and Higher Cumulants
S. Malamud, S. Glebkin, A. Teguia
Working Papers
15 sept. 2020
Nº 20-79: A Deep Learning Approach to Estimate Forward Default Intensities
M. Divernois
Working Papers
14 sept. 2020
Nº 20-78: Trapped in the "Zero-Risk" Society and how to Break Free
D. Sornette, P. Cauwels
Working Papers
1 sept. 2020
Nº 20-77: Connected Banks and Economic Policy Uncertainty
S. Ongena, H. Cheng, K. Gawande, S. Qi
Working Papers
31 août 2020
Nº 20-76: Information Leakages, Distribution of Profits from Informed Trading, and Last Mover Advantage
A. Pankratov
Working Papers
29 août 2020
Nº 20-75: CEO Incentives and Bank Risk over the Business Cycle
S. Ongena, T. Savaser, E. S. Ciamarra
Working Papers
28 août 2020
Nº 20-74: How Market Intervention can Prevent Bubbles and Crashes
D. Sornette, R. Westphal
Working Papers
27 août 2020
Nº 20-73: Ambiguity, Optimal Currency Overlay, and Home Currency Bias
U. Ulrych, N. Vasiljevic
Working Papers
26 août 2020
Nº 20-72: To Be or Not to Be? The Questionable Benefits of Mutual Clearing Agreements for Derivatives
M. Tywoniuk
Working Papers
25 août 2020
Nº 20-71: True Cost of Immediacy
N. Schürhoff, T. Hendershott, D. Li, D. Livdan
Working Papers
24 août 2020
Nº 20-70: Financial Returns to Household Inventory Management
L. Küng , S. R. Baker, S. Johnson
Working Papers
23 août 2020
Nº 20-69: Securities Lending and Information Transmission: a Model of Endogenous Short-Sale Constraint
A. Pankratov
Working Papers
21 août 2020
Nº 20-68: Nepotism in IPOs: Consequences for Issuers and Investors
F. Degeorge, G. Pratobevera
Working Papers
20 août 2020