Concept

Théorie de la préférence pour la liquidité

Publications associées (12)

Informational 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 ...

EPFL2021

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

Essays in Financial Economics

Kornelia Fabisik

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. ...

EPFL2020

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

This thesis develops models for three problems of liquidity under asymmetric information. In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt runs without perfect information in order to understand the impact of asset ...

EPFL2019

Activism, Strategic Trading, and Liquidity

Pierre Collin Dufresne, Tao Li

We analyze dynamic trading by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. Variation in parameters can pro ...

2018

Essays in Dynamic Corporate Finance

Francesca Maria Zucchi

This thesis examines the effects of financing frictions on corporate decisions using dynamic models. Accounting for financing frictions helps reconcile a number of regularities that are hard to explain within the Modigliani-Miller framework. For instance, ...

EPFL2015

Do Prices Reveal the Presence of Informed Trading?

Pierre Collin Dufresne

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stoc ...

Wiley-Blackwell2015

The term structure of interbank risk

Damir Filipovic

We infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We develop a tractable model of interbank risk to decompose the term structure i ...

Elsevier2013

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Loriano Mancini, Angelo Ranaldo

We provide the first systematic study of liquidity in the foreign exchange market. We find significant variation in liquidity across exchange rates, substantial illiquidity costs, and strong commonality in liquidity across currencies and with equity and bo ...

Wiley-Blackwell2013

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