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Related publications (58)

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Explaining asset pricing puzzles associated with the 1987 market crash

Pierre Collin Dufresne

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in whic ...

Elsevier2011

Corporate Finance, Asset Returns, and Credit Risk

Philip Valta

This dissertation consists of three chapters. The first chapter empirically investigates how the intensity of product market competition affects the cost of debt. Using a large sample of loans to publicly traded US manufacturing firms, the chapter provides ...

EPFL2010

Dynamic investment and financing under personal taxation

Erwan Morellec, Norman Schuerhoff

This paper examines the effects of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenously and jointl ...

2010

Why do firms appoint CEOs as outside directors?

Rüdiger Fahlenbrach

Companies actively seek to appoint outside CEOs to their boards. Consistent with our matching theory of outside CEO board appointments, we show that such appointments have a certification benefit for the appointing firm. CEOs are more likely to join boards ...

Elsevier2010

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010

Credit Supply and Corporate Policies

Erwan Morellec

This paper develops a model of corporate investment and financing decisions that differs from previous contributions by recognizing that firms may face uncertainty regarding their future access to credit markets. We show that accounting for credit supply u ...

Swiss Finance Institute Research Paper Series2010

Collaborative working capital management in supply networks

Daniel Seifert

Supply chain management is widely accepted as a means for companies to gain competitive advantage. While product and information flows have been widely covered in the literature, relatively little attention has been paid to the management of a supply chain ...

EPFL2010

Increasing storm damage to forests in Switzerland from 1858 to 2007

Martine Rebetez

The most severe damage to forests in Central Europe occurs during winter storms caused by Northern Hemispheric mid-latitude cyclones. Storm events in the winter semesters of the past 150 years were investigated to quantify changes and evaluate whether dama ...

Elsevier2010

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange econ- omy when investors have three possible sources of heterogeneity. In- vestors may di§er in their beliefs, in their level of risk aversion and in their time preference rate. We study the impac ...

2009

Promoting Intellectual Discovery: Patents Versus Markets

Because they provide exclusive property rights, patents are generally considered to be an effective way to promote intellectual discovery. Here, we propose a different compensation scheme, in which everyone holds shares in the components of potential disco ...

2009