Mathieu Bouvard wins SFI Outstanding Paper Award 2017
The Swiss Finance Institute (SFI) has attributed its Outstanding Paper Award to "The Blockchain Folk Theorem," a research paper by Bruno Biais, Toulouse School of Economics, Christophe Bisière, Toulouse School of Economics, Matthieu Bouvard, McGill University, and Catherine Casamatta, Toulouse School of Economics, that investigates the stability of the blockchain protocol in a game-theoretic approach.
Home Bias Abroad: Domestic Industries and Foreign Portfolio Choice
Authors: David Schumacher
Publication: Review of Financial Studies, Forthcoming
Abstract:
Scenario generation for long run interest rate risk assessment
Authors: Robert Engle, Guillaume Roussellet, Emil Siriwardane
Publication: Journal of Econometrics, Vol. 201, No. 2, December 2017
Abstract:
Staying at zero with affine processes: An application to term structure modelling
Authors: Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
Publication: Journal of Econometrics, Vol. 201, No. 2, 2017, pp. 348-366.
Abstract:
Stock overreaction to extreme market events
Authors: Pedro Piccolia, Mo Chaudhury, Alceu Souza and Wesley Vieirada Silvaa
Publication: The North American Journal of Economics and Finance, Vol. 41, July 2017
Abstract:
The paper investigates the behavior of individual US stocks during the 21 trading days following the event of extreme movement in the market index on a day.
Leverage and asymmetric volatility: The firm-level evidence
Authors: Jan Ericsson, Xiao Huang, Stefano Mazzotta
Publication: Journal of Empirical Finance, Volume 38, Part A, September 2016, Pages 1-21
Abstract:
Overreaction to extreme market events and investor sentiment
Authors: Piccoli, P., Chaudhury, M.
Publication: Applied Economics Letters
Abstract:
Exotic Interest Rate Swaps: Snowballs in Portugal
Authors: Vallee, B., Augustin, P., Rich, P.
Publications: Harvard Business Publishing
Abstract:
Who Are the Value and Growth Investors?
Authors: Betermier, S., Calvet, L.E., Sodini, P.
Publication: The Journal of Finance, Vol. 72, No. 1, 2017
Abstract:
To Group or Not to Group? Evidence from Mutual Fund Databases
Authors: Saurin Patel and Sergei Sarkissian
Publication: Journal of Financial and Quantitative Analysis, Vol. 52, No. 5, 2017, pp. 1989-2021.
Abstract:
Congratulations to Assistant Professor David Schumacher of Finance on receiving NFA 2016 Best Paper Award on ETFs in Asset Management
Congratulations to Assistant Professor David Schumacher of Finance on receiving NFA 2016 Best Paper Award on ETFs in Asset Management for "Who is afraid of BlackRock?".
Authors: Schumacher, D., Wang, Y., Massa, M.
Publication: Social Science Research Network
Real Economic Shocks and Sovereign Credit Risk
Authors: Augustin, P., Tédongap, R.
Publication: Journal of Financial and Quantitative Analysis, Vol. 51, No. 2, 2016
Abstract:
Debt, labor markets, and the creation and destruction of firms
Authors: Almazan, A., De Motta, A., and Titman, S.ac
Corporate venture capital portfolios and firm innovation
Authors: Wadhwa, A., Phelps, C. and Kotha, S.c
Publication: Journal of Business Venturing
Credit Default Swaps: Past, Present, and Future
Authors: Augustin, P., Subrahmanyam, M. G., Tang, D. Y., and Wang, S. Q.
Publications: Annual Review of Financial Economics
