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 ...
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
Bootstrapping parameters for the approximate homomorphic-encryption scheme of Cheon et al., CKKS (Asiacrypt 17), are usually instantiated using sparse secrets to be efficient. However, using sparse secrets constrains the range of practical parameters withi ...
This thesis consists of three parts that study separate subjects in corporate finance and corporate governance. The overarching theme is ownership by CEOs and other insiders.In the first part, which is co-authored work with Rüdiger Fahlenbrach, René M. ...
We build a dynamic agency model in which the agent controls both current earnings via short-term investment and firm growth via long-term investment. Under the optimal contract, agency conflicts can induce short- and long-term investment levels beyond firs ...
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 ...
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
Switzerland is considering implementing a strategic energy reserve, a novel policy instrument that remunerates power plant operators for storing a minimum amount of energy in reservoirs to convert into electricity when called upon. The policy is envisioned ...
