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Publications associées (66)
Takeover Protections and Asset Prices
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 ...
Catonsville2024Palladium‐Based Dyotropic Rearrangement Enables A Triple Functionalization of Gem‐Disubstituted Alkenes: An Unusual Fluorolactonization Reaction
Qian Wang, Jieping Zhu, Chenxu Liu, Qiang Feng
We report in this paper a Pd(II)-catalyzed migratory gem-fluorolactonization of ene-carboxylic acids. Reaction of 4-methylenealkanoic acid derivatives with Selectfluor in the presence of Pd(OAc)2 (1.0 mol %) at room temperature affords fluorolactones in go ...
2024Reinforcement bond performance in 3D concrete printing: Explainable ensemble learning augmented by deep generative adversarial networks
Integrating various reinforcements into 3D concrete printing (3DCP) is an efficient method to satisfy critical requirements for structural applications. This paper explores an explainable ensemble machine learning (EML) method to predict the bond failure m ...
Amsterdam2023Mortgage-backed securities
This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...
Edward Elgar2023A driven tagged particle in asymmetric exclusion processes
We consider the asymmetric exclusion process with a driven tagged particle on Z which has different jump rates from other particles. When the non-tagged particles have non-nearest-neighbor jump rates , we show that the tagged particle can have a speed whic ...
INST MATHEMATICAL STATISTICS-IMS2022Are green bonds priced lower than their conventional peers?
The green bond market's rapid growth has alerted issuers and investors to this sustainable area of investment. This study ascertains whether green bonds are priced lower than conventional bonds-whether a negative green bond premium exists in both Chinese a ...
ELSEVIER2022Predicting the stressed expected loss of large US banks
Eric Jondeau, Amir Hossein Khalilzadeh Naghneh
We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...
ELSEVIER2022Essays in Monetary Policy and Asset Pricing
This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...
EPFL2022Informational frictions in financial markets
This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...
EPFL2021Dominant currency debt
We propose a “debt view” to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the “dominant currency” is the one that (1) depreciates in global downturns over horizons of ...
2021