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Liens UNIL

Faculty of Business and Economics (HEC Lausanne)

Department of Finance

Publications

Publications | Masters and Phd thesis

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Publications

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In preparation | In Press | 2024 | 2023 | 2022 | 2021 | ...

In preparation

Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes

Goyal Amit, Saretto Alessio Review of Financial Studies.

[serval:BIB_32006C8C5E94]

In Press

Choosing Investment Managers

Goyal Amit, Wahal Sunil, Yavuz M. Deniz Journal of Financial and Quantitative Analysis pp. 1-65. Peer-reviewed.

[DOI][serval:BIB_D826647BCCD4]

A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction

Goyal Amit, Welch Ivo, Zafirov Athanasse Review of Financial Studies. Peer-reviewed.

[DOI][WoS][serval:BIB_17D2C9A6AA39]

No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

Jardet C., Monfort A., Pegoraro F. Journal of Banking and Finance, 37 pp. 389-402. Peer-reviewed.

[serval:BIB_A0B0998DBBC0]

Multivariate Lévy Processes with Dependent Jump Intensity

Marfè R. Quantitative Finance. Peer-reviewed.

[serval:BIB_554F111DB659]

Non-Standard Errors

Mihet Roxana, Rudolf Nicolas, Schürhoff Norman The Journal of Finance. Peer-reviewed.

[DOI][serval:BIB_54943F7B8B57]

2024

Empirical Determinants of Momentum: A Perspective Using International Data

Goyal Amit, Jegadeesh Narasimhan, Subrahmanyam Avanidhar, 2024/09/24. Review of Finance. Peer-reviewed.

[DOI][serval:BIB_69D249F7CFAC]

When failure is an option: Fragile liquidity in over-the-counter markets

Hendershott Terrence, Li Dan, Livdan Dmitry, Schürhoff Norman, 2024/07. Journal of Financial Economics, 157 p. 103859. Peer-reviewed.

[DOI][serval:BIB_2BD168CF5E0F]

Options Trading and Stock Price Informativeness

Cao Jie, Goyal Amit, Ke Sai, Zhan Xintong, 2024/06/01. Journal of Financial and Quantitative Analysis, 59 (4) pp. 1516-1540. Peer-reviewed.

[DOI][serval:BIB_69CDDE2FD259]

Nonstandard Errors

MENKVELD ALBERT J., DREBER ANNA, HOLZMEISTER FELIX, HUBER JUERGEN, JOHANNESSON MAGNUS, KIRCHLER MICHAEL, NEUSÜß SEBASTIAN, RAZEN MICHAEL, WEITZEL UTZ, ABAD-DÍAZ DAVID et al., 2024/06. The Journal of Finance, 79 (3) pp. 2339-2390. Peer-reviewed.

[DOI][WoS][serval:BIB_B83AFD3F9184]

preview resource BIB_D9B493AB4816.P001

Unfolding the Transitions in Sustainability Reporting

Li Yao, Rockinger Michael, 2024/01/17. Sustainability, 16 (2) p. 809. Peer-reviewed.

[URN][DOI][WoS][serval:BIB_D9B493AB4816]

2023

Illiquidity and the cost of equity capital: Evidence from actual estimates of capital cost for U.S. data

Goyal Amit, Subrahmanyam Avanidhar, Swaminathan Bhaskaran, 2023/10. Review of Financial Economics, 41 (4) pp. 364-391. Peer-reviewed.

[DOI][WoS][serval:BIB_065DA13EC51E]

Forbearance in Institutional Investment Management: Evidence from Survey Data

Goyal Amit, Tol Ramon, Wahal Sunil, 2023/04/03. Financial Analysts Journal, 79 (2) pp. 7-20. Peer-reviewed.

[DOI][WoS][serval:BIB_54D20E9BF45D]

Implied Volatility Changes and Corporate Bond Returns

Cao Jie, Goyal Amit, Xiao Xiao, Zhan Xintong, 2023/03. Management Science, 69 (3) pp. 1375-1397. Peer-reviewed.

[DOI][WoS][serval:BIB_229800962AAB]

2022

Consumer Privacy and the Value of Consumer Data

Canayaz Mehmet, Kantorovitch Ilja, Mihet Roxana, 2022/08/18.FOUNDATION_SANDOZ//Monique de Meuron Programme UNIL//HEC Lausanne Research Granttrue, SSRN Working Paper SFI Working Paper RePEC Working Paper.

[serval:BIB_95FCD8FD2CEC]

Identifiability and Generalizability from Multiple Experts in Inverse Reinforcement Learning

Rolland Paul Thierry Yves, Viano Luca, Schürhoff Norman, Nikolov Boris, Cevher Volkan, 2022. p. 28 dans [Proceedings of NEURIPS 2022]. Peer-reviewed.

[serval:BIB_4D9800A239E4]

2021

When are Stocks Less Volatile in the Long Run?

Jondeau Eric, Zhang Qunzi, Zhu Xiaoneng, 2021/06. Journal of Financial and Quantitative Analysis, 56 (4) pp. 1228 - 1258.

[URN][DOI][serval:BIB_21A3D761DFAC]

preview resource BIB_D61369B7407F.P001

Self-Inflicted Debt Crises

Dimopoulos Theodosios, Schürhoff Norman, 2021/02/12., Working Paper.

[URN][serval:BIB_D61369B7407F]

The Sources of Financing Constraints

Nikolov Boris, Schmid Lukas, Steri Roberto, 2021/02. Journal of Financial Economics, 139 (2) pp. 478-501. Peer-reviewed.

[DOI][serval:BIB_834BD06F2807]

preview resource BIB_B73611D3D7E4.P001

Swiss Startup Radar 2021 / 2022

Rockinger Michael, Kyora Stefan, 2021., HEC Lausanne.

[URN][serval:BIB_B73611D3D7E4]

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Phd thesis

In preparation (1)

preview resource BIB_FD06920B2194.P002

From Microstructure to Macro Implications: Three Essays on Corporate Bond Pricing and Liquidity

Ivashchenko Alexey, Université de Lausanne, Faculté des hautes études commerciales, Rockinger Michael (dir.).

[URN][serval:BIB_FD06920B2194]

Publications (52)

preview resource BIB_B27F2BC035E0.P001

Bears, Bulls and Monkeys

Bachelard Cyril, 2024., Université de Lausanne, Faculté des hautes études commerciales, Gallay Olivier (dir.).

[URN][serval:BIB_B27F2BC035E0]

THREE ESSAYS IN FINANCE

CHEN Zhimin, 2024., Université de Lausanne, Faculté des hautes études commerciales, Nikolov Boris (dir.).

[serval:BIB_87EDCB89820D]

THREE ESSAYS ON COMMON OWNERSHIP

Eilert Max Daniel, 2024., Université de Lausanne, Faculté des hautes études commerciales, Nikolov Boris (dir.).

[serval:BIB_81539CE51794]

Three Essays in Finance

Wagner Sam, 2024., Université de Lausanne, Faculté des hautes études commerciales, Schuerhoff Norman (dir.).

[serval:BIB_A0213310D6F5]

Essays on the Roles of Firm-Level Network Interactions

Wang Zepeng, 2024., Université de Lausanne, Faculté des hautes études commerciales, Nikolov Boris (dir.).

[serval:BIB_1EDBB2D1CDBB]

preview resource BIB_6E72B730A7C8.P002

Three essays in information finance

Nielsen Mads Bibow Busborg, 2023/06/27., Université de Lausanne, Faculté des hautes études commerciales, Schürhoff Norman (dir.).

[URN][serval:BIB_6E72B730A7C8]

preview resource BIB_E053F2484518.P001

Three Essays on Financial Social Media

GOUTTE Maud Rose, 2023., Université de Lausanne, Faculté des hautes études commerciales, Rockinger Michael (dir.).

[URN][serval:BIB_E053F2484518]

Three Essays in Finance

JAUNIN Coralie, 2023., Université de Lausanne, Faculté des hautes études commerciales, Jondeau Eric (dir.).

[serval:BIB_8CFA69DE842F]

THREE ESSAYS IN CORPORATE FINANCE

Rötzer Sebastian, 2023., Université de Lausanne, Faculté des hautes études commerciales, Dimopoulos Theodosios (dir.).

[serval:BIB_CF731D4B9AFC]

THREE ESSAYS ON INNOVATION IN FINANCE

SOMOZA Luciano Alfredo, 2023., Université de Lausanne, Faculté des hautes études commerciales, ROCKINGER Michael (dir.).

[serval:BIB_DEF891470A90]

preview resource BIB_E9C82159AF5C.P001

THREE ESSAYS IN EMPIRICAL ASSET PRICING

BASHCHENKO Oksana, 2022., Université de Lausanne, Faculté des hautes études commerciales, Jondeau Eric (dir.).

[URN][serval:BIB_E9C82159AF5C]

Three Essays on Disasters

PAULI Alexandre, 2022., Université de Lausanne, Faculté des hautes études commerciales, Jondeau Eric (dir.).

[serval:BIB_600069C74C7B]

preview resource BIB_93E1F829981A.P001

THREE ESSAYS IN EMPIRICAL CORPORATE FINANCE

ABUZOV Rustam, 2021., Université de Lausanne, Faculté des hautes études commerciales, Nikolov Boris (dir.).

[URN][serval:BIB_93E1F829981A]

preview resource BIB_AB02A844A795.P002

Three Essays in Dynamic Corporate Finance

HAJDA Jakub, 2020., Université de Lausanne, Faculté des hautes études commerciales, Nikolov Boris (dir.).

[URN][serval:BIB_AB02A844A795]

preview resource BIB_DE776A62431A.P001

THREE ESSAYS ON MARKET FRICTIONS AND FINANCIAL INTERMEDIATION

BIALOVA Ina, 2019., Université de Lausanne, Faculté des hautes études commerciales, Schurhoff Norman (dir.).

[URN][serval:BIB_DE776A62431A]

ESSAYS ON PREDICTABILITY IN THE CROSS-SECTION OF STOCK AND OPTION RETURNS THÈSE DE DOCTORAT

CARNEMOLLA Eugenio, 2019., Université de Lausanne, Faculté des hautes études commerciales, Goyal Amit (dir.).

[serval:BIB_3DA3E0E076F0]

Asset pricing in fixed income markets

Chen Z. H., 2009/10., Université de Lausanne, Faculté des hautes études commerciales, Schürhoff N. (dir.).

[serval:BIB_62AF61A4D225]

Essays in equilibrium asset pricing

Puopolo G. W., 2009/07., Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_D5131DB20FEA]

Essays in general equilibrium asset pricing

Osambela Zavala J. E., 2009/02., Université de Lausanne, Faculté des hautes études commerciales, Dumas B. (dir.).

[serval:BIB_9075CDB4B949]

Structural macro factors and the affine term structure of interest rates

Vulkán L. N., 2009. 141, Université de Lausanne, Faculté des hautes études commerciales, Jondeau E. (dir.).

[serval:BIB_E73B0E6796CB]

Three essays in dynamic corporate finance

Nikolov Boris, 2008. 172, Université de Lausanne, Faculté des hautes études commerciales, Morellec Erwan (dir.).

[URN][serval:BIB_R_9761]

Financing frictions and the cross section of returns

Schmid L., 2007/10. 183, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_04680F119788]

Three essays on the psychology of investment and financial markets

Jalal A., 2007/09. 118, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M. (dir.).

[serval:BIB_031B6288A92A]

Essays in banking and corporate finance

Niu J., 2007/07. 93, Université de Lausanne, Faculté des hautes études commerciales, Morellec E. (dir.).

[serval:BIB_56E115F4A054]

Three essays on the determinants of output, inflation and interest rates

Mertens E., 2007. 190, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[URN][serval:BIB_R_8626]

Employment risk, unemployment insurance and search strategies: a disaggregated equilibrium approach with application to the Swiss labour market in the 1990-ies

Kozamernik D., 2006/11. 171, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_A814040E0174]

Essays on risk management with focus on credit risk

Aunon-Nerin D., 2006/09. 194, Université de Lausanne, Faculté des hautes études commerciales, Cossin D. (dir.).

[serval:BIB_FF8A19C5365B]

Levy processes: theory and financial applications

Raccuglia B., 2006/09. 148, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M. (dir.).

[serval:BIB_B0CB81C3EE8A]

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Georgiev A., 2006/06. 146, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_A0E6420D85B2]

Estimation of jump-diffusion processes via empirical characteristic functions

Semenova M., 2006/03. 135, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M. (dir.).

[serval:BIB_A97AE83DF150]

Three essays on liquidity risk

Perilla A., 2006. PhD Thesis supervision, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M (dir.).

[serval:BIB_82BD730BE91F]

Essays on asset pricing and asset allocation

Jin X., 2005/06. 128, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_AF0130F691A2]

Three essays on hedge funds and asset allocation with higher moments

Chen K., 2004. 89, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M. (dir.).

[serval:BIB_7D73AE47EA8F]

Cash or cows? household saving and portfolio choices in developing countries : a case study of Nicaragua

Dauner Gardiol I., 2004., Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_43033]

Analyst forecasts, corporate governance and firm performance

Kast M., 2004., Université de Lausanne, Faculté des hautes études commerciales, Von Thadden E.-L. (dir.).

[serval:BIB_43037]

Three essays in portfolio management and credit risk.

Demshuk A, 2003., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41834]

Asset Pricing and International Finance

Ehling P., 2003., Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_A8206CA7F4BD]

Essays on venture equity contracts and asset allocation under default risk.

Entela S, 2003., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41836]

Essays on stock market integration.

Ramos S, 2003., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41837]

Essays in interest rates and risk management.

Xhaja A, 2003., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41838]

Three Essays on Default and Model Risk.

Akgun A, 2001., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41829]

Three Essays in Asset Pricing and Continuous Time Finance.

Berrada T, 2001., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41830]

Three Essays on Credit Risk.

Hricko T, 2001., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41831]

Managing Non-Standard Sources of Risk in Financial Markets.

Mougeot N, 2001., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41832]

Time varying unitary market price of risk and intertemporal asset allocation.

Clerc N, 2000., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41827]

Essays on the role of financial transparancy, analyst follow-up and other firm attributes in explaining stock returns: the swiss stock market case.

Cötelli-Caramanolis B, 2000., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41828]

Essays on Real Options.

Botteron P, 1999., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41824]

Theoretical and Empirical Issues in Credit-Sensitive Assets' Pricing.

Pirotte H, 1999., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41825]

The Role of Firms' Disclosure Policy and the Influence of Financial Analysts on Performance, Liquidity and Transparency of the Stock Market.

Tamburini P, 1999., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41826]

Price, Volatility and Interest Rate Risk Premia : Estimation in an Option Pricing Framework.

Bruand M., 1998., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41822]

Portfolio Management and Models Performance Evaluation with Contingent Claims.

Lhabitant F., 1998., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41823]

An Investigation into the Modeling of Foreign Exchange Risk Premia, the Pricing of European Currency Options Under Stochastic Interest Rates

Adjaoute Kpate, 1996., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41821]

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