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Department of Finance (IBF)

The Institute of Banking and Finance has been created in 1989 to foster research in finance and develop a complete offering of finance courses at the University of Lausanne, Switzerland. It belongs to the Business School (HEC) of the University of Lausanne, Switzerland. The IBF has a diverse group of researchers. The impact of our research is reflected in the large number of publications in prestigious academic journals (such as the Journal of Finance, the Journal of Financial Economics, The Review of Financial Studies, Econometrica, The Journal of Economic Theory, The American Economic Review, and the Quarterly Journal of Economics) and awards received by our faculty. Research carried out by faculty covers all aspects of finance including the determinants of security prices in speculative markets, the study of optimal portfolio rules, the management of corporations, the pricing and hedging of contingent claims, and the management of financial institutions. Our courses are designed to give students a solid working knowledge of fundamental financial techniques and tools that are difficult to master outside of the classroom. Our curriculum, which reflects many years of teaching experience, is integrated and constantly updated to incorporate the latest developments in finance. Whether you are interested in a bachelor's degree, one of our M.S. programs, the PhD program, or executive courses, we encourage you to consider the IBF at the University of Lausanne. Our emphasis on the importance of academic and professional achievement has contributed to making the IBF one of the most successful finance departments in Europe.


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100 last publications ordered by: publication type  -  year

: Peer Reviewed

  N.B.: Publications appears only after the authors have joined HEC Lausanne.
For the complete publications list of authors, please, see their personal websites.

In Press

Arnold S., Jijiie A., Jondeau E. ; Rockinger M. (in press). Periodic or Generational Actuarial Tables: Which One to Choose?. European Actuarial Journal. Peer Reviewed
Goyal A. , Jegadeesh N. (in press). Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?. The Review of Financial Studies. Peer Reviewed
Jardet C., Monfort A. ; Pegoraro F. (in press). No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. Journal of Banking and Finance. Peer Reviewed
Jondeau E. , Rockinger M. (in press). Predicting Long-term Financial Returns: VAR vs. DSGE Model – A Horse-Race . Journal of Money, Credit, and Banking. Peer Reviewed
Marfè R. (in press). Multivariate Lévy Processes with Dependent Jump Intensity. Quantitative Finance. Peer Reviewed


EISDORFER A., GOYAL A. ; ZHDANOV A. (2019). Equity Misvaluation and Default Options. The Journal of Finance, 74, 845-898. Peer Reviewed
Jondeau E., Zhang Q. ; Zhu X. (2019). Average skewness matters. Journal of Financial Economics. Peer Reviewed
Nikolov B., Schmid L. ; Steri R. (2019). Dynamic corporate liquidity. Journal of Financial Economics, 132, 76-102. Peer Reviewed


Eisdorfer A., Goyal A. ; Zhdanov A. (2018). Distress Anomaly and Shareholder Risk: International Evidence : Distress Anomaly and Shareholder Risk. Financial Management. Peer Reviewed
Morellec E., Nikolov B. ; Schürhoff N. (2018). Agency Conflicts around the World. The Review of Financial Studies, 31, 4232-4287. Peer Reviewed
Roger T., Roger P. ; Schatt A. (2018). Behavioral bias in number processing: Evidence from analysts' expectations. Journal of Economic Behavior & Organization, 149, 315-331. Peer Reviewed
Scheidegger S. , Treccani A. (2018). Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations. Journal Of Financial Econometrics. Peer Reviewed
Schuerhoff N., Li D., Cestau D. ; Hollifield B. (2018). Municipal Bond Markets . Centre for Economic Policy Research.


Chordia T., Goyal A., Nozawa Y., Subrahmanyam A. ; Tong Q. (2017). Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation. Journal of Financial and Quantitative Analysis, 52, 1301-1342. Peer Reviewed
Dimopoulos T. , Sacchetto S. (2017). Merger activity in industry equilibrium. Journal of Financial Economics, 126, 200-226.
Hollifield B., Neklyudov A. ; Spatt C. (2017). Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations. The Review of Financial Studies. Peer Reviewed
Jondeau E. , Khalilzadeh A. (2017). Collateralization, leverage, and stressed expected loss. Journal of Financial Stability, 1-18. Peer Reviewed
Jondeau E. , Rockinger M. (2017). Do Higher Realized Moments Predict Cross-sectional Returns? The Case of France. HEC Lausanne.
Jondeau E. , Rockinger M. (2017). Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race. Swiss Finance Institute.
Nikolov B., Schmid L. ; Steri R. (2017). Dynamic Financial Constraints: Which Frictions Matter for Corporate Policies?. Université de Lausanne.


Borisova A. , Rockinger M. (2016). Violating United Nations Global Compact Principles: An Event Study. Bankers, Markets & Investors, 4-19 . Peer Reviewed
Chordia T., Goyal A. ; Jegadeesh N. (2016). Buyers Versus Sellers: Who Initiates Trades And When?. Journal of Financial and Quantitative Analysis, 51, 1467-1490. Peer Reviewed
Dimopoulos T. , Sacchetto S. (2016). Technological Heterogeneity and Corporate Investment. Journal of Economic Dynamics and Control, 66, 20-35. Peer Reviewed
Dimopoulos T. , Wagner H. (2016). Corporate Governance and CEO Turnover Decisions. HEC Lausanne and SFI.
El Bernoussi R. , Rockinger M. (2016). Logements Etudiants en Suisse . Cronos Finance.
El Bernoussi R. , Rockinger M. (2016). Besoins en Logements pour Personnnes Agées en Suisse Horizon 2045. Cronos Finance.
Jondeau E. (2016). Asymmetry in tail dependence in equity portfolios. Computational Statistics & Data Analysis, 100, 351-368. Peer Reviewed
Jondeau E., Jurczenko E. ; Rockinger M. (2016). Moment Component Analysis: An Illustration with International Stock Markets. Journal of Business and Economic Statistics, 1-23. Peer Reviewed
Sato Y. (2016). Delegated portfolio management, optimal fee contracts, and asset prices. Journal of Economic Theory, 165, 360-389. Peer Reviewed
Sato Y. (2016). Fund tournaments and asset bubbles. Review of Finance, 20, 1383-1426. Peer Reviewed


Bacchetta P. , Benhima K. (2015). The demand for liquid assets, corporate saving, and international capital flows. Journal of the European Economic Association, 13, 1101-1135. Peer Reviewed
Engle R., Jondeau E. ; Rockinger M. (2015). Systemic Risk in Europe. Review of Finance, 19, 145-190. Peer Reviewed
Goyal A., Ilmanen A. ; Kabiller D. (2015). Bad Habits and Good Practices. Journal of Portfolio Management, 41, 97-107. Peer Reviewed
Goyal A. , Wahal S. (2015). Is Momentum an Echo?. Journal of Financial and Quantitative Analysis, 50, 1237-1267. Peer Reviewed
Hendershott T., Livdan D. ; Schuerhoff N. (2015). Are Institutions Informed About News?. Journal of Financial Economics, 117, 249-287. Peer Reviewed
Jondeau E. (2015). The dynamics of squared returns under contemporaneous aggregation of GARCH models. Journal of Empirical Finance, 32, 80-93. Peer Reviewed
Jondeau E., Lahaye J. ; Rockinger M. (2015). Estimating the price impact of trades in a high-frequency microstructure model with jumps. Journal of Banking and Finance, 61, S205–S224. Peer Reviewed
Jondeau E. , Rockinger M. (2015). Long-term Portfolio Allocation Based on Long-term Macro Forecasts. Bankers, Markets & Investors, 62-69.
Jondeau E. , Rockinger M. (2015). Backtesting Longevity Models: An International Perspective. Cronos Finance.
Pierret D. (2015). Systemic Risk and the Solvency-Liquidity Nexus of Banks. International Journal of Central Banking, 11, 193-227. Peer Reviewed


Ang A., Goyal A. ; Ilmanen A. S. (2014). Asset Allocation and Bad Habits. Rotman International Journal of Pension Management, 7, 16-27.
Busse J., Goyal A. ; Wahal S. (2014). Investing in a Global World. Review of Finance, 18, 561-590. Peer Reviewed
Chen Z., Lookman A. A., Schuerhoff N. ; Seppi D. J. (2014). Rating-Based Investment Practices and Bond Market Segmentation. Review of Asset Pricing Studies, 4, 162-205. Peer Reviewed
de Treville S., Schuerhoff N., Trigeorgis L. ; Avanzi B. (2014). Optimal Sourcing and Lead-Time Reduction under Evolutionary Demand Risk. Production and Operations Management, 23, 2103-2117. Peer Reviewed
de Treville S., Bicer I., Chavez-Demoulin V., Hagspiel V., Schuerhoff N., Tasserit C. ; Wager S. (2014). Valuing lead time. Journal of Operations Management, 32, 337-346. Peer Reviewed
Dimopoulos T. , Sacchetto S. (2014). Preemptive Bidding, Target Resistance, and Takeover Premiums. Journal of Financial Economics, 114, 444-470. Peer Reviewed
Jondeau E. , Pelgrin F. (2014). Estimating aggregate autoregressive processes when only macro data are available. Economics Letters, 124, 341-347. Peer Reviewed
Jondeau E. , Rockinger M. (2014). Optimal Long-Term Allocation for a Defined-Contributions Pension Fund. HEC Lausanne.
Sato Y. (2014). Opacity in financial markets. Review of Financial Studies, 27, 3502-3546. Peer Reviewed


Benhima K. (2013). Financial integration, capital misallocation and global imbalances. Journal of International Money and Finance, 32, 324-340. Peer Reviewed
Benhima K. (2013). A Reappraisal of the Allocation Puzzle through the Portfolio Approach. Journal of International Economics, 89, 331-346. Peer Reviewed
Benhima K. , Massenot B. (2013). Safety Traps. American Economic Journal. Macroeconomics, 5, 68-106. Peer Reviewed
Cestau D., Green R.C. ; Schuerhoff N. (2013). Tax-subsidized underpricing: The market for Build America Bonds. Journal of Monetary Economics, 60, 593-608. Peer Reviewed
Jondeau E. , Rockinger M. (2013). Systemic Risk in Europe. Global Credit Review, 3, 1-6. Peer Reviewed
Morellec E., Nikolov B. ; Zucchi F. (2013). Competition, Cash Holdings, and Financing Decisions. Université de Lausanne.
Poon S.-H., Rockinger M. ; Stathopoulos K. (2013). Market liquidity and institutional trading during the 2007–8 financial crisis. International Review of Financial Analysis, 30, 86–97. Peer Reviewed


Benhima K. (2012). Exchange Rate Volatility and Productivity Growth: The Role of Liability Dollarization. Open Economies Review, 23, 501-529. Peer Reviewed
Bernardo A., Chowdhry B. ; Goyal A. (2012). Assessing Project Risk. Journal of Applied Corporate Finance, 24, 94-100. Peer Reviewed
Bernile G., Lyandres E. ; Zhdanov A. (2012). A Theory of Strategic Mergers. Review of Finance, 16, 517-575. Peer Reviewed
Goyal A. (2012). Empirical Cross-Sectional Asset Pricing: A Survey. Financial Markets and Portfolio Management, 26, 3-38. Peer Reviewed
Jondeau E. , Rockinger M. (2012). On the Importance of Time Variability in Higher Moments for Asset Allocation. Journal of Financial Econometrics, 10, 84-123. Peer Reviewed
Li D. , Schuerhoff N. (2012). Dealer Networks. SSRN (Social Science Research Network).
Marfè R. (2012). A multivariate pure-jump model with multi-factorial dependence structure. International Journal of Theoretical and Applied Finance, 15. Peer Reviewed
Marfè R. (2012). A Generalized Variance Gamma Process for Financial Applications. Quantitative Finance, 12, 75-87. Peer Reviewed
Monfort A. , Pegoraro F. (2012). Asset Pricing with Second-Order Esscher Transforms. Journal of Banking and Finance, 36, 1678-1687. Peer Reviewed
Morellec E., Nikolov B. ; Schuerhoff N. (2012). Corporate Governance and Capital Structure Dynamics. The Journal of Finance, 67, 803-848. Peer Reviewed


Billio M., Calès L. ; Guégan D. (2011). A Cross-Sectional Score for the Relative Performance of an Allocation. International Review of Applied Financial Issues and Economics, 3, 700-710. Peer Reviewed
Billio M., Calès L. ; Guégan D. (2011). Portfolio Symmetry and Momentum. European Journal of Operational Research, 214, 759-767. Peer Reviewed
Imbs J., Jondeau E. ; Pelgrin F. (2011). Sectoral Phillips Curves and the Aggregate Phillips Curve. Journal of Monetary Economics, 58, 328-344. Peer Reviewed
Lyandres E., Zhdanov A. ; Hsieh J. (2011). A Theory of Merger-Driven IPOs. Journal of Financial and Quantitative Analysis, 46, 1367–1405. Peer Reviewed
Morellec E. , Schuerhoff N. (2011). Corporate Investment and Financing under Asymmetric Information. Journal of Financial Economics, 99, 262-288. Peer Reviewed
Schuerhoff N. , Ziegler A. (2011). Variance risk, financial intermediation, and the cross-section of expected option returns. CEPR - Centre for Economic Policy Research.


Benhima K. (2010). Financial Development, Technological Change in Emerging Countries and Global Imbalances. Université de Lausanne - HEC - DEEP.
Benhima K. , Havrylchyk O. (2010). When Do Long-term Imbalances Lead to Current Account Reversals?. World Economy, 33, 107-128. Peer Reviewed
Busse J., Goyal A. ; Wahal S. (2010). Performance Persistence in Institutional Investment Management. Journal of Finance, 65, 765-790. Peer Reviewed
Green R.C., Li D. ; Schuerhoff N. (2010). Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall ?. Journal of Finance, 65, 1669-1702. Peer Reviewed
Jondeau E. , Rockinger M. (2010). Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty. Swiss Finance Institute.
Lyandres E. , Zhdanov. A. (2010). Accelerated Investment Effect of Risky Debt. Journal of Banking and Finance, 34, 2587-2599. Peer Reviewed
Morellec E. , Schuerhoff N. (2010). Dynamic Investment and Financing under Personal Taxation. Review of Financial Studies, 23, 101-146. Peer Reviewed


Bustamante M. C. (2009). Three essays in dynamic corporate finance. Université de Lausanne, Faculté des hautes études commerciales. Danthine J.-P. (Dir.)
Chen Z., Lookman A., Schuerhoff N. ; Seppi D. (2009). Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change. EFA (European Finance Association) 2009 Bergen Meetings Papers.
Chen Z. H. (2009). Asset pricing in fixed income markets. Université de Lausanne, Faculté des hautes études commerciales. Schürhoff N. (Dir.)
Chordia T., Goyal A., Sadka G., Sadka R. ; Shivakumar L. (2009). Liquidity and the Post-Earnings-Announcement-Drift. Financial Analyst Journal, 65, 18-32. Peer Reviewed
Goyal A. , Saretto A. (2009). Cross-Section of Option Returns and Volatility. Journal of Financial Economics, 94, 310-326. Peer Reviewed
Jondeau E. , Pelgrin F. (2009). Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity. Swiss Finance Institute.
Jondeau E. , Rockinger M. (2009). The Impact of Shocks on Higher Moments. Journal of Financial Econometrics, 7, 77-105. Peer Reviewed
Osambela Zavala J. E. (2009). Essays in general equilibrium asset pricing. Université de Lausanne, Faculté des hautes études commerciales. Dumas B. (Dir.)
Puopolo G. W. (2009). Essays in equilibrium asset pricing. Université de Lausanne, Faculté des hautes études commerciales. Danthine J.-P. (Dir.)
Vulkán L. N. (2009). Structural macro factors and the affine term structure of interest rates. Université de Lausanne, Faculté des hautes études commerciales. Jondeau E. (Dir.)


Danthine J.-P. , Donaldson J.B. (2008). Executive Compensation and Stock Options: an Inconvenient Truth. CEPR - Centre for Economic Policy Research.
Danthine J.-P., Donaldson J.B. ; Siconolfi P. (2008). Distribution Risk and Equity Returns. The Equity Risk Premium. Elsevier, North Holland, Amsterdam.
Danthine J.-P. , Kurmann A. (2008). The Macroeconomic Consequences of Reciprocity in Labour Relations. Scandinavian Journal of Economics. Peer Reviewed
Goyal A., Pérignon C. ; Villa C. (2008). How Common are Common Return Factors Across Nyse and Nasdaq?. Journal of Financial Economics, 90, 252-271. Peer Reviewed
Goyal A. , Wahal S. (2008). The Selection and Termination of Investment Managers by Plan Sponsors. Journal of Finance, 63, 1805-1847. Peer Reviewed
Goyal A. , Welch I. (2008). A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. Review of Financial Studies, 21, 1455-1508. Peer Reviewed
Holly Alberto, Monfort Alain ; Rockinger Michael (2008). Fourth order pseudo maximum likelihood methods. IEMS.
Jalal A. , Rockinger M. (2008). Predicting tail-related risk measures: The consequences of using GARCH filters for non GARCH data. Journal of Empirical Finance, 15, 868-877. Peer Reviewed
Jondeau E. (2008). Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias. Swiss Finance Institute.
Jondeau E. , Le Bihan H. (2008). Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification. Journal of Econometrics, 143, 375 - 395. Peer Reviewed
Jondeau E. , Sahuc J.-G. (2008). Testing Heterogeneity within the Euro Area. Economics Letters, 99, 192-196. Peer Reviewed


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