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This dissertation consists of three chapters. The first chapter empirically investigates how the intensity of product market competition affects the cost of debt. Using a large sample of loans to publicly traded US manufacturing firms, the chapter provides ...
We introduce a hybrid discrete choice framework to model the decisions of investors in stock markets. More specifically, we model the decision to buy or sell stocks using a binary logit model with latent classes, characterizing the perception of risk. The ...
Are some banks prone to perform poorly during crises? If yes, why? In this paper, we show that a bank's stock return performance during the 1998 crisis predicts its stock return performance and probability of failure during the recent financial crisis. Thi ...
Let {X(t), t is an element of R-N} be a fractional Brownian motion in R-d of index H. If L(0,I) is the local time of X at 0 on the interval I subset of R-N, then there exists a positive finite constant c(=c(N,d,H)) such that ...
Outside directors have incentives to resign to protect their reputation or to avoid an increase in their workload when they anticipate that the firm on whose board they sit will perform poorly or disclose adverse news. We call these incentives the dark sid ...
Efficiency and energy consumption reduction are becoming a key issue in elevation applications. Energy Storage Systems (ESS) can play a significant role on this field, together with their associated Energy Management System (EMS) in order to optimize the o ...
When these lines are written, it is January 21, 2008, a further `Black Monday' on the international markets. Stock indices have fallen between 5 and 10%. Which statistical tools help in describing such events and may help in understanding the consequences? ...
This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...
This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...
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 ...
