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Financial market

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Does protectionist anti-takeover legislation lead to managerial entrenchment?

Marc André Frattaroli

I study a protectionist anti takeover law introduced in 2014 that covers a subset of all firms in the economy. The law decreased affected firms' likelihood of becoming the target of a merger or acquisition and had a negative impact on shareholder value. Th ...

ELSEVIER SCIENCE SA2020

Essays in Financial Economics

Marc André Frattaroli

This thesis consists of three chapters that study separate subjects in the area of corporate governance and financial intermediation. In the first chapter, I study a protectionist anti-takeover law introduced in 2014 in France that covers a subset of all ...

EPFL2020

Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch

Pierre Collin Dufresne, Vincent Jean Bogousslavsky

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

2020

Design choices for Central Bank Digital Currency

Bryan Alexander Ford, Fan Zhang, Srdan Capkun, Ari Juels

Central banks around the world are exploring and in some cases even piloting central bank digital currencies (CBDCs). CBDCs promise to realize a broad range of new capabilities, including direct government disbursements to citizens, frictionless consumer p ...

Brookings Institution2020

Essays in Financial Economics

Julien Arsène Blatt

I started my PhD studies in August 2014 with a strong desire to push my own limits without knowing precisely the areas I wanted to cover in detail. To me, it was clear that I was interested by many different fields, however, I was particularly concerned wi ...

EPFL2019

Urban Planning Against Poverty. How to Think and Do Better Cities in the Global South

Jean-Claude Bolay

This open access book revisits the theoretical foundations of urban planning and the application of these concepts and methods in the context of Southern countries by examining several case studies from different regions of the world. For instance, the cas ...

Springer International Publishing2019

Exact Smooth Term Structure Estimation

Damir Filipovic, Sander Félix M Willems

We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is eas ...

2018

Exact Smooth Term-Structure Estimation

Damir Filipovic, Sander Félix M Willems

We present a nonparametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy ...

SIAM PUBLICATIONS2018

Acquirers and Financial Constraints - Theory and Evidence from Emerging Markets

How does the presence of financial constraints influence which firms become acquirers, and average ownership structures and divestiture rates of acquisitions? To address these questions, we develop a tractable model of M&As in financially underdeveloped ma ...

2018

Replicating portfolio approach to capital calculation

Damir Filipovic, Mathieu Jacques David Cambou

The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...

2018