Concept
Rentabilité des capitaux propres
Publications associées (10)
Technology Strategy in Dynamic Environments: A Computational Analysis of the Automation of Routines, the Organization of AI, and the Evaluation of Technology Risk
In this dissertation, I develop theory and evidence to argue that new technologies are central to how firms organize to create and capture value. I use computational methods such as reinforcement learning and probabilistic topic modeling to investigate thr ...
EPFL2022Pricing interest rate, dividend, and equity risk
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 ...
EPFL2019Hedge or Rebalance: Optimal Risk Management with Transaction Costs
We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...
2018Why Does Fast Loan Growth Predict Poor Performance for Banks?
From 1973 to 2014, the common stock of U.S. banks with loan growth in the top quartile of banks over a three-year period significantly underperformed the common stock of banks with loan growth in the bottom quartile over the next three years. After the per ...
2018Essays in Bank Financing
This thesis examines the optimal mode of financing for banks and financial institutions. The first chapter, which is a joint work with Prof. Jean-Charles Rochet, investigates how Systemically Important Financial Institutions (SIFIs) should be financed. The ...
EPFL2017Credit market frictions and capital structure dynamics
Semyon Malamud, Erwan Morellec, Julien Hugonnier
We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...
2015Credit Market Frictions and Capital Structure Dynamics
Semyon Malamud, Erwan Morellec, Julien Hugonnier
We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...
2012Natural Expectations, Macroeconomic Dynamics, and Asset Pricing
How does an economy behave if (1) fundamentals are truly hump-shaped, exhibiting momentum in the short run and partial mean reversion in the long run, and (2) agents do not know that fundamentals are hump-shaped and base their beliefs on parsimonious model ...
University of Chicago Press2012Dynamic 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 ...
2010Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
A daily return reversal measure of liquidity is developed and estimated using a new comprehensive ultra-high frequency data set of foreign exchange rates during the financial crisis period of 2007--2008. The measure captures market participants' perception ...
2009