A5110741158- Financial Markets and Investment Strategies
- Risk Management in Financial Firms
- Corporate Finance and Governance
- Corporate Taxation and Avoidance
- Insurance and Financial Risk Management
- Financial Risk and Volatility Modeling
- Auditing, Earnings Management, Governance
- Taxation and Compliance Studies
- Market Dynamics and Volatility
- Fiscal Policy and Economic Growth
- Social Sciences and Governance
- Credit Risk and Financial Regulations
- Explainable Artificial Intelligence (XAI)
- Local Government Finance and Decentralization
- Forecasting Techniques and Applications
- Stochastic processes and financial applications
- Regulation and Compliance Studies
- Data Analysis with R
- Cooperative Studies and Economics
- Economic Policies and Impacts
- Education, sociology, and vocational training
- Sports Analytics and Performance
- Aging, Elder Care, and Social Issues
- Diverse Scientific and Economic Studies
- French Urban and Social Studies
HEC Paris
2006-2024
Seattle University
2009
Bridge University
2009
Simon Fraser University
2007
Abstract We analyze the computational reproducibility of more than 1,000 empirical answers to 6 research questions in finance provided by 168 teams. Running researchers’ code on same raw data regenerates exactly results only 52% time. Reproducibility is higher for researchers with better coding skills and those exerting effort. It lower technical questions, complex code, lying tails distribution. Researchers exhibit overconfidence when assessing their own research. provide guidelines discuss...
We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market (e.g., beta). also conditions under which the different lead to similar rankings systemically important financial institutions (SIFIs). In an empirical analysis US institutions, we (1) identify SIFIs (2) firm based on estimates mirror obtained by sorting firms or liabilities. One-factor linear models explain most variability estimates, indicates fall short...
We investigate the development of an innovative and high-risk type borrowing for local governments, known as structured loans. Using transaction data more than 2,700 governments in France, we show that adoption these instruments is frequent politicians from highly indebted politically contested areas, during political campaigns. Taking on loans helps incumbents win a reelection, initially allows them to maintain lower taxes. Our findings illustrate how financial innovation can amplify...
In credit markets, screening algorithms aim to discriminate between good-type and bad-type borrowers. However, when doing so, they can also individuals sharing a protected attribute (e.g., gender, age, racial origin) the rest of population. This be unintentional originate from training data set or model itself. We show how formally test algorithmic fairness scoring models identify variables responsible for any lack fairness. then use these optimize fairness-performance tradeoff. Our...
This paper studies a unique buyback method allowing firms to reacquire their own shares on separate trading line where only the firm is allowed buy shares. share repurchase called Second Trading Line and has been extensively used by Swiss companies since 1997. type of for two reasons. First, unlike open market programs, repurchasing company does not trade anonymously. Second, all transactions made are publicly available in real time every participant. case instantaneous disclosure which...
Abstract We study the effect of dividend taxes on payout and investment policies publicly listed firms. exploit a unique setting in Switzerland where, following corporate tax reform 2011, some but not all firms were suddenly able to pay tax-exempt dividends. show that treated increase their by around 30$\%$ after cut. The is less pronounced for prone agency conflicts. find significant positive abnormal stock return announcement payment dividend. However, reducing does boost investment.
This paper studies a unique buyback method allowing firms to reacquire their own shares on separate trading line where only the firm is allowed buy shares. temporary platform opened concurrently with original stock exchange. share repurchase called Second Trading Line and has been extensively used by Swiss companies since 1997. type of for two reasons. First, unlike open market programs, repurchasing company does not trade under cover anonymity. Second, all transactions made are publicly...
This paper presents a validation framework for collateral requirements or margins on derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of margining system. The statistical tests presented in this study are based either number, frequency, magnitude, timing margin exceedances, which de.ned as situations trading loss market participant exceeds his her margin. We also propose an original way validate globally system aggregating individual...
The term structure of interest rates is often summarized using a handful yield factors that capture shifts in the shape curve. In this paper, we develop comprehensive model for volatility dynamics level, slope, and curvature curve simultaneously includes level GARCH effects along with regime shifts. We show short rate useful modeling three there are significant present even after including effect. Further, find allowing factor volatilities dramatically improves model's fit strengthens also...
In this paper, recent techniques of estimating implied information from derivatives markets are presented and applied empirically to the French market. We determine nonparametric volatility functions, state-price densities historical a high-frequency stock index option dataset. Moreover, we construct an estimator risk-aversion function by joint observation cross-section prices time-series underlying asset value. report decreasing curve with respect moneyness option, which holds true whatever...
In this paper, we present a new collateral system, called CoMargin, for derivatives exchanges. CoMargin depends on both the tail risk of given market participant and its interdependence with other participants. This system aims at internalizing interdependencies enhancing stability financial system. can be estimated using model-free scenario-based methodology, validated formal statistical tests, generalized to any number We assess illustrate our methodology proprietary data from Canadian...
In this paper, we present a new collateral system, called CoMargin, for derivatives exchanges. CoMargin depends on both the tail risk of given market participant and its interdependence with others participants. This system aims at internalizing interdependencies enhancing stability resiliency financial system. can be estimated by model-free scenario-based methodology, backtested using formal statistical tests, generalized to any number members. We show that outperforms existing margining...
We study the effect of dividend taxes on payout and investment policies publicly listed firms. To do so, we exploit a unique setting in Switzerland where, following corporate tax reform 2011, some but not all firms were suddenly able to pay tax-exempt dividends their shareholders. Using difference-in-differences specification, show that treated swiftly permanently increase by around 30% compared control after cut. When studying agency conflicts, impact is less pronounced for which...