31/05/2023 Asset Pricing & Behavioural Finance Institutional Ownership and the Resolution of Financial Distress We analyze the distressed firm’s decision between Chapter 11 and an exchange offer.
17/06/2019 Asset Pricing & Behavioural Finance International Stock Market Co-Movements and Politics-Related Risks We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors.
16/10/2017 Asset Pricing & Behavioural Finance Understanding the Momentum Risk Premium Momentum risk premium is one of the most important alternative risk premia. Since it is considered a market anomaly, it is not always well understood....
14/01/2015 Asset Pricing & Behavioural Finance Option Pricing under Skewness and Kurtosis using a Cornish Fisher Expansion This paper revisits the pricing of options, in a context of financial stress, when the underlying asset’s returns displays skewness and excess kurtosis.