Research Overview

GFRI is a research institute in Finance specialized in two areas: Portfolio Management and Corporate Governance. Moreover, we also undertake research in Finance in close cooperation with the Swiss Finance Institute and the National Centre of Competence in Research (NCCR) FINRISK (Financial Valuation and Risk Management).

Research Topics (a few examples):

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•      Can one detect managers who generate superior performance through their skills and not by pure luck ?
•      How does an investor’s time horizon affect his portfolio strategy ?
•      Do hedge funds generate superior performance once their multiple risk factors have been considered ?
•      What are the key determinants of stock price « momentum » ?
•      What are the limitations of existing risk managment models in light of the current financial crisis and how can we improve these models ?

•      Does managerial compensation based on stock and stock options produce externalities?
•      Can one measure managerial honesty and how does it affect firms’ corporate governance? Systemic risk: can one reduce it by implementing better
  
•      corporate governance?

REPRESENTATIVE PUBLICATIONS BY GFRI MEMBERS

Prof. Rajna Gibson Brandon:

- representative articles:

"Stochastic Convenience Yield and the Pricing of Oil Contingent Claims", Journal of Finance, Vol. 45, N°3, July 1990, pp. 949-976 (co.authored with E. Schwartz).

"Analytical Solution for the Pricing of American Bond and Yield Options" Mathematical Finance, Vol. 3, N°3, July 1993, pp. 277-294, (co-authored with M. Chesney and R.J. Elliott).

"A Theorectica Analysis of the Liquidity Risk Premium Embedded in the Prices of Voting and Non-Voting Stocks", Jounal of Corporate Finance, 1999, pp. 209-225, (co-authored with N. Beiner).

"The Pricing of Systematic Liquidity Risk, Empirical Evidence from the US Stock Market", Journal of Banking and Finance, 2003, pp.1.74, (co-authored with N. Mougeot).

"Stock Market Performance and the Term Structure of Credit Spreads", Journal of Financial and Quantitative Analysis, Vol.1, N°4, December 2006, (co-authored with A. Demchuk).

"Financial Integration, Economic Instability and Trade Structure in Emerging Markets", Journal of International Money and Finance, Vol.27, N°4,pp.654-675, 2008 (co-authored with A.Chambet).

- representative books:

Option Valuation: Analyzing and Pricing Standardized Option Contracts, McGraw-Hill, New York, 1991

Model Risk: Concepts, Calibration and Pricing, Risk Books, London, 2000

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Prof. Martin Hoesli:

- representative articles:

"House price changes and idiosyncratic risk: the impact of property characteristics", 2009, Real Estate Economics, 37, pp. 259-278, with Bourassa, S.C., Haurin, D.R., Haurin, J.L. and Sun, J.

"The inflation hedging characteristics of U.S. and U.K. investments: A multi-factor error correction approach", 2008, Journal of Real Estate Finance and Economics, 36, pp. 183-206, with Lizieri, C. and MacGregor, B.

"Spatial dependence, housing submarkets, and house price prediction", 2007, Journal of Real Estate Finance and Economics, 35, pp. 143-160, with Bourassa, S.C. and Cantoni, E.

"House prices, fundamentals and bubbles", 2006, Journal of Business Finance and Accounting, 33, pp. 1535-1555, with Black, A. and Fraser, P.

"What factors determine international real estate security returns?”, 2004, Real Estate Economics, 32, pp. 437-462, with Hamelink, F.

* * *

Prof. Heni Loubergé:

-representative articles:

“A portfolio model of international reinsurance operations”. The Journal of Risk and Insurance, Vol. 50,N. 1,March 1983, 44-60.

“Endogeneous risks and the risk premium”, (with E. Briys and L. Eeckhoudt). Theory and Decision, Vol. 26, N. 1, January 1989, 37-46.

“Reinsurance, taxes and efficiency: A contingent claims model of insurance market equilibrium”, (with J. Garven). Journal of Financial Intermediation, Vol. 5, N. 1, January 1996, 74-93.

"Long term risk management of nuclear waste: A real options approach," (with M. Chesney and S. Villeneuve). Journal of Economic Dynamics and Control, 27 (No 1, November 2002), 157-180.

"Hybrid cat bonds", (with P. Barrieu). Journal of Risk and Insurance, 76 (No 3, September 2009), 547-578.

-representative books:

Economie et Finance de l’Assurance et de la Réassurance. Dalloz, Paris, 1981, 316 p.

Les Options sur Indice, Economica, Paris, 1998, 112 p.

* * *

Prof. Olivier Scaillet:

-representative articles:

"Pricing American options under stochastic volatility and stochastic interest rates" 2010, Journal of Financial Economics 98 (2010) 145–159

"Instrumental models and indirect encompassing" with G. Dhaene and C. Gouriéroux, Econometrica, 66, (1998), 673-688

"False discoveries in mutual fund performance: Measuring luck in estimated alphas" with L. Barras and R. Wermers, Journal of Finance, 65, (2010), 179-216, Banque Privée Espirito Santo Award Prize 2008.

"Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility", with A. Medvedev, Review of Financial Studies, 20, (2007), 427-459.

"Linear-quadratic jump-diffusion modelling", with P. Cheng, Mathematical Finance, 17, (2007), 575-598.

-representative book:

- Econométrie de la Finance : Analyses Historiques, with C. Gouriéroux and A. Szafarz, Collection Economie et Statistiques Avancées, Editions Economica, Paris (1997). ISBN 2-7178-3502-4.

* * *

Prof. Tony Berrada:

-representative articles:

"Bounded Rationality and Asset Pricing with Intermediate Consumption", Review of Finance, 2009, vol.13, Nr 4.

"Heterogeneous Preferences and Trading Volume", with J. Hugonnier and M. Rindisbacher Journal of Financial Economics, 2007, vol. 83, Nr 3.

"Credit Migration and Derivatives Pricing Using Copulas", with D. Dupuis, E. Jacquier, N. Papageorgiou and B. Remillard, Journal of Computational Finance 2006, vol. 10, Nr 1.

"Incomplete Information, Heterogeneity and Asset Pricing", Journal of Financial Econometrics 2006, vol. 4, Nr 1.