Catégorie

Investment management

Publications associées (423)

Graph Chatbot

Chattez avec Graph Search

Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.

AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.

Connectez-vous pour utiliser Chat avec Graph Search

The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Andreas Fuster

We introduce a new measure of the price charged by ﬁnancial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...

2024

Portfolio Construction with Hierarchical Momentum

Urban Ulrych

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Pageant Media Ltd2024

Machine Learning for Modeling Stock Returns

Teng Andrea Xu

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024

Takeover Protections and Asset Prices

Erwan Morellec

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

Catonsville2024

Asset life, leverage, and debt maturity matching

Erwan Morellec, Jakub Hajda

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Lausanne2024

Distributional justice, effectiveness, and costs of current and alternative solar PV incentive schemes in Switzerland

Philippe Thalmann

Like many other countries, Switzerland offers various incentives to promote residential solar PV, but not all households have equal access to them. Using a microsimulation approach based on merged data from the Swiss Household Budget Survey and Household E ...

2024

Frihet, sikkerhet, forstaden: Brev fra Amerika

Nagy Makhlouf

Why have countries formerly leading public policies of housing – Norway, the U.K., France, etc. – shifted towards privatizing accommodation from the late 1970s? Have these States merely let go of housing and handed it over to private interests in the name ...

2024

Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment

Andreas Fuster

Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generate ...

2024

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Hoboken2024

Circularity by stock in Sri Lanka: Economic necessity meets urban fabric renovation

Paolo Tombesi, Milinda Pathiraja

Persistent fiscal and political mismanagement, together with the financial pressures of the COVID-19 pandemic, have driven Sri Lanka into a social and economic crisis triggering a decrease in national foreign exchange reserves, an inability to purchase vit ...

FRONTIERS MEDIA SA2023