Département de finance, assurance et immobilier
Les unités de
recherche
Chaires de recherche
Chaire iA Groupe financier en assurance et services financiers
Mise sur pied en 1975, la Chaire a été créée afin de promouvoir et de soutenir la recherche, la formation et le transfert dans les domaines émergents reliés à l’industrie de l’assurance. Elle centre ses actions prioritairement sur la distribution des produits et des services financiers, sur la gestion financière des sociétés d’assurance de personnes et de dommages, sur les multiples dimensions de l’organisation industrielle propres au secteur des services financiers et sur l’incidence du vieillissement sur la sécurité financière des Québécois. En plus de profiter de l’expertise d’un important corps professoral qui lui est associé, la Chaire tire avantage de l’investissement et de l’implication de nombreux partenaires externes dans le domaine de l’assurance.
Chaire IG Gestion de patrimoine en planification financière
Créée en 1998, la chaire a pour mission de promouvoir et soutenir la formation, la recherche et la diffusion des connaissances dans le domaine de la planification financière grâce à un regroupement multidisciplinaire de professeurs, de chercheurs et de praticiens. Elle vise l’offre d’une formation générale en planification financière, le développement de la carrière, l’évaluation et l’amélioration des connaissances financières des individus, la stimulation de la recherche multidisciplinaire et la diffusion des connaissances dans le domaine.
Chaire RBC en innovations financières
Créée en 2006 à la suite d’un engagement de la Banque Royale qui permit la bonification du Fonds Banque Royale en finance, la Chaire RBC en innovations financières a pour but de promouvoir davantage la recherche, l’enseignement, le transfert des connaissances, la formation sur le terrain ainsi que les relations avec le milieu des affaires dans le domaine de la finance.
Fonds, laboratoire et centre de recherche
Fonds Conrad-Leblanc
Le Fonds Conrad-Leblanc perpétue l’œuvre entreprise par la Fondation Conrad-Leblanc afin de promouvoir le professionnalisme dans le domaine des assurances par le soutien financier à la formation, à la recherche et au perfectionnement universitaire. Le Fonds contribue directement à la création d’un milieu de travail stimulant, susceptible d’attirer et de retenir des professeurs, des chercheurs et des étudiants de grande qualité.
Fonds de recherche AMF
Le Fonds de recherche AMF sur la gestion intégrée des risques des institutions financières est un véritable pôle structurant destiné à chapeauter les activités en gestion des risques dans une vision intégrée. Il favorise le déploiement d’activités d’apprentissage en gestion des risques à la fois pertinentes et novatrices qui permettront de former une relève prospective et influente. Par le biais de travaux de recherche multidisciplinaires, le Fonds vise le développement de connaissances de pointe en gestion des risques intégrée et leur transmission.
Laboratoire d’ingénierie financière de l’Université Laval (LABIFUL)
Le LABIFUL est un centre d’excellence de recherche et de formation pour la promotion et la vulgarisation des techniques et méthodes d’ingénierie financière. Le laboratoire soutient l’excellence de la recherche et l’application des méthodes quantitatives à la finance. Il contribue à l’avancement des connaissances et au développement des compétences de pointe. Il vulgarise les instruments financiers de gestion et de transfert alternatif des risques auprès des acteurs de l’industrie financière, et établit et maintient des collaborations étroites entre les chercheurs, étudiants et professionnels de l’industrie financière.
Centre de recherche sur les risques, les enjeux économiques et politiques publiques (CRREP)
Le CRREP a pour double mission de contribuer à l’analyse des principaux enjeux économiques et financiers du Québec et d’ailleurs, et d’évaluer la capacité des politiques publiques et de la réglementation à répondre de manière efficace à ces enjeux.
Encore plus pour la recherche
Revue Assurances et gestion des risques
Nous sommes fiers de nous impliquer auprès de la communauté par l’édition de la revue Assurances et gestion des risques. Celle-ci bénéficie d’un réseau de collaborateurs reconnus en Amérique du Nord et en Europe qui contribue à la qualité de ses publications. Elle cherche ainsi à mieux faire connaître les principes et les applications de l’assurance et de la gestion des risques en matière d’assurance de personnes ou d’assurance de dommage, d’un point de vue théorique ou pratique. Elle s’intéresse au marché canadien et à l’environnement international de l’assurance, à ses aspects légaux et à l’histoire des produits de l’assurance et des marchés.
Salles des marchés
Les 3 salles des marchés de FSA ULaval, les salles des marchés Carmand-Normand, Jean-Turmel et Deloitte, figurent parmi les plus équipées au Canada.
Ces salles disposent de 53 postes de travail et offrent un environnement de travail idéal pour vous initier à la négociation et à l’analyse financière. Vous serez en mesure d’y consulter les données financières de 200 pays, disponibles par de nombreuses bases de données incluant Bloomberg, CRSP, Datastream et OptionMetrics.Projets de recherche en finance
Consultez la liste des projets de recherche subventionnés des membres du Département de finance, assurance et immobilier sur le site Web de l’Université Laval.
Conférenciers invités
Voici la liste des conférenciers qui ont participé à divers événements tenus au Département de FAI.
M. Evan Jo, McGill University (13 janvier 2021)
Sharper Alpha New testable implications for asset pricing
M. Jean-Gabriel Lauzier, Bocconi University (15 janvier 2021)
Ex-post moral hazard and manipulation-proof contracts
M. Andrey Pankratov, Swiss Finance Institute (22 janvier 2021)
Securities lending and information transmission: a model of endogenous short-sale constraints
M. Elyas Fermand, University of North Carolina Chapel Hill (29 janvier 2021)
Investment with Social Impact: Evidence from Public Pension Fund Commercial Real Estate Investment
M. Dalibor Stevanovic, UQAM (5 février 2021)
How is Machine Learning Useful for Macroeconomic Forecasting?
M. Vincent Tena, Université Toulouse I (8 février 2021)
Will Asset Managers Survive the Advent of Robots? An Optimal Contracting Approach
Mme Christina Atanasova, Simon Fraser University (12 mars 2021)
Stranded Fossil Fuel Reserves and Firm Value
M. Alessandro Barattieri, UQAM (19 mars 2021)
Self‑Harming Trade Policy?
M. Olivier Dessaint, Institut européen d’administration des affaires (INSEAD) (26 mars 2021)
Does Alternative Data Improve Financial Forecasting? The Horizon Effect
M. Ilias Tsiakas, University of Guelph (9 avril 2021)
The Dividend Yield and the Cross-Section of Expected Stock Returns
M. Alessandro Sbuelz, Universita Cattolica del Sacro Cuore (16 avril 2021)
Bail-in vs bail-out: Bank resolution and liability structure
Samuel Gingras, Département de sciences économiques, Université de Montréal (10 janvier)
A Flexible Stochastic Conditional Duration Model
Julien Ling, PSL Université Paris-Dauphine (17 janvier)
Untangling Systemic Risk in Financialized Commodity Markets
Helmi Jedidi, Department of Finance, HEC Montréal (31 janvier)
Nonparametric Testing for Information Asymmetry in the Mortgage Servicing Market
Nadya Malenko, Boston College (7 février)
Trading and Shareholder Democracy
Alexandre Jeanneret, HEC Montréal (11 septembre)
Equity Prices in a Granular Economy
Kyle Welch, George Washington University (18 septembre)
Corporate Sustainability and Stock Returns: Evidence from Employee Buy-in to Senior Management
David Rapach, Saint Louis University (25 septembre)
Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio
Nicolas Crouzet, Northwestern University (2 octobre)
Can the cure kill the patient? Corporate credit interventions and debt overhang
Katrin Tinn, McGill University (9 octobre)
Rational Quantitative Trading in Efficient Markets
Catherine Tucker, Massachusetts Institute of Technology (MIT) (16 octobre)
Apparent Algorithmic Discrimination and Algorithmic Learning
Michelle Lowry, Drexel University (13 novembre)
ES Risks and Shareholder Voice
Jillian Grennan, Duke University (20 novembre)
Artificial Intelligence and High-Skilled Work: Evidence from Analysts
Kiana Basiri, Ryerson University (27 novembre)
Possible Income Misstatement on Mortgage Loan Applications: Evidence from the Canadian Housing Market
Nga Nguyen, University of Calgary (3 décembre)
Does Limited Liability Matter? Evidence from a Quasi-Natural Experiment
Filipe Pecas Correia, University of Illinois (11 décembre)
Is Corporate Credit Risk Propagated to Employees?
Mario Milone, Université Paris Dauphine (8 janvier)
Smart Lending
Hsuan Fu, Imperial College Business School (18 janvier)
Risk Premia and Monetary Policy Coordination in a Two-country World
Irem Erten, London Business School (25 janvier)
The shadow disintermediation of risk-sensitive capital
Nathalie Moyen, Leeds School of Business, University of Colorado Boulder (19 février )
Why Did the q Theory of Investment Start Working?
Paul Anglin, College of Business and Economics, University of Guelph (15 mars)
Selling Price Discount (and Premium)
Steve Karolyi, Tepper School of Business, Carnegie Mellon University (22 mars)
Competition, Risk-Taking, and the Demise of Old-School Banking
Aida Sijamic Wahid, Rotman, University of Toronto (5 avril)
The Effectiveness of SEC monitoring of Foreign Firm Disclosures
Jean-Marie Dufour, McGill University (12 avril)
Simple estimators for higher-order stochastic volatility models and forecasting
Vincent Bogousslavsky, Boston College, Carroll School of Management (26 avril)
Liquidity, Volume, and Volatility
Jean St-Gelais, président du conseil et chef de la direction, La Capitale Assurance et services financiers (10 septembre)
L’importance du secteur de l’assurance pour l’économie du Québec
Lawrence Kryzanowski, John Molson School of Business, Concordia University (20 septembre)
Political Corruption and Corporate Payouts
Julien Sauvagnat, Bocconi University (4 octobre)
Employment Effects of Alleviating Financing Frictions: Worker-level Evidence from a Loan Guarantee Program
François Brochet, Boston University (11 octobre)
CEO tenure and firm value
Lu Han, Rotman School of Management, University of Toronto (8 novembre)
The Microgeography of Housing Supply
Lars Stentoft, Western University (15 novembre)
Option Pricing with Conditional GARCH Models
Victor Lyonnet, Ohio State University Fisher, College of Business (22 novembre)
Can Risk Be Shared Across Investor Cohorts? Evidence from a Popular Savings Product
Fulvio Ortu, Bocconi University (29 novembre)
A persistence-based Wold-type decomposition for stationary time series
Olga Kanj, Wilfrid Laurier University (5 décembre)
Board Ethnic Diversity and Risk Strategies
Kwangmin Jung, University of St. Gallen (13 décembre)
Cyber Dragon King: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk
Adelphe Ekponon, HEC Montréal (11 janvier)
What Drives Corporate Asset Prices: Short- or Long-Run Risk?
Olivier Schoeni, University of Bern & Center for Regional Economic Development (15 janvier)
The Economic Impacts of Constraining Second Home Investments
Thomas Lanzi, Skema et Université Paris Dauphine (19 janvier)L’impact du regret et de la réjouissance sur l’allocation d’actifs risqués
François Cocquemas, Edhec Business School and Vanderbilt University, Owen GSM (22 janvier)
The Term Structure of Securities Lending Fees
Serge Nyawa, Toulouse School of Economics (1er février)
A Factor Model for Systemic Risk Using Mutually Exciting Jump Processes
Sébastien Plante, Wharton, University of Pennsylvania (2 février)
Should Corporate Bond Trading Be Centralized?
Jeffrey Wurgler, NYU, Leonard N. Stern School of Business, Nomura professor of Finance (16 mars)
Financing the Response to Climate Change: The Pricing and Ownership of Green Bonds
Vlad-Andrei Porumb, University of Groningen (22 mars)
Spend Money to Make Money? Voluntary Audit Reviews and Firms’ Cost of Debt
Hamdi Driss, Sobey School of Business (23 mars)
Does Competition Affect Ratings Quality? Evidence from Canadian Corporate Bonds
Frédéric Godin, Concordia University, Department of Mathematics & Statistics (5 avril)
Assessing the effectiveness of local and global quadratic hedging under GARCH models
Amine Ouazad, NYU, HEC Montréal, dpt applied economics (20 avril)
Market Frictions, Arbitrage, and the Capitalization of Amenities
Konstantin W. Milbradt, Kellogg School of Management, NBER (27 avril)
A Theory of the Mortgage Rate Pass-Through
Fousseni Chabi-Yo, Isenberg School of Management, University of Massachusetts (4 mai)
The Conditional Expected Market Return
Georges Hubner, University of Liege (ULg), HEC Management School, Department of Finance, Maastricht University (10 mai)
Gamma Trading Skills in Hedge Funds
Brent Ambrose, Smeal College of Business, PennState University (14 septembre)
Preferential Treatment in Financial Contracts: Does borrower and broker race affect mortgage prices?
Louis Morisset, président-directeur général, Autorité des marchés financiers (19 septembre)
L’Autorité des marchés financiers dans une industrie en pleine effervescence
Brent Glover, Tepper School of Business, Carnegie Mellon (21 septembre)
The decline in US public firms
Marc Franke, Amsterdam Business School, University of Amsterdam (1er octobre)
Dealing with Unobserved Heterogeneity in Hedonic Price Models
Claire Célérier, Rotman School of Management, University of Toronto (5 octobre)
Taxing Bank Leverage: The Effects on Bank Capital Structure, Credit Supply and Risk-Taking
Kristian Behrens, Département des sciences économiques, UQAM (19 octobre)
Prime Locations
Alain Guay, Département des sciences économiques, UQAM (9 novembre)
Identification of Structural Vector Autoregressions Through Higher Unconditional Moments
Haibo Jiang, Tulane University (14 décembre)
Oil and Equity Return Predictability: The Importance of Dissecting Oil Price Changes
Federico Severino, USI Lugano and Università Bocconi (18 décembre)
Long-term risk with stochastic interest rates
Stéphanie Heck, University of Liège (11 janvier)
Repeat-sales indices for the US corporate bond market: Index quality and asset pricing tests
Sheng Jun Xu, UBC Sauder Business School (13 janvier)
Politics and Hidden Borrowing: Electoral Cycles and State Defined Benefit Pension Plans
Thomas David, Université Paris Dauphine (20 janvier)
Customer Risk and The Choice Between Cash and Bank Credit Lines
Nettey Boevi Gilles Koumou, Université Laval (10 février)
Rao’s Quadratic Entropy and Maximum Diversification Indexation
Udi Hoitash, Northeastern University, Boston (17 février)
Recruiting the CEO from the Board: Determinants and Consequences
Jerchern Lin, School of Management, University at Buffalo (31 mars)
Fund Characteristics, Governance, And Mechanisms Of Extreme Decisions puis beyond manipulation: Extreme risk and the smart money effect
Christian Brownlees, Department of Economics and Business, Universitat Pompeu Fabra (4 avril)
S/O
Daniel Aobdia, Kellogg School of Management, Northwestern University (21 avril)
Does Engagement Partner Perceived Expertise Matter? Evidence from the U.S. Operations of the Big 4 Audit Firms
Stanimira Milcheva, Henley Business School, University of Reading (8 septembre)
Location of Firm’s Income-Producing Assets and Stock Returns
Alain Bélanger, sous-ministre adjoint, Financement et gestion de la dette, ministère des Finances du Québec (20 septembre)
Les défis du financement et de la gestion de la dette
Vincent Glode, Wharton (22 septembre)
Voluntary Disclosure in Bilateral Transactions
Patrick Augustin, Desautel School of Business, McGill (29 septembre)
Ambiguity, Volatility, and Credit Risk
Timothy Loughran, Notre Dame University (6 octobre)
Dissemination of Oil News into Prices
Olaf Korn, University of Gottingen (10 octobre)
Stock Illiquidity and Option Returns
Simon Gervais, Fuqua School of Business, Duke University (13 octobre)
Transparency and Talent Allocation in Money Management
Arthur Charpentier, Faculté des sciences économiques, Université de Rennes 1 (20 octobre)
Insurance: Risk Pooling vs. Price Segmentation
John Maheu, DeGroote School of Business, McMaster University (10 novembre)
Improving Markov Switching Models using Realized Variance
Marie-Louise Leroux, UQAM (20 novembre)
Long-Term Care Insurance: Knowledge Barriers, Risk Perception and Adverse Selection
Serge Darolles, Université Dauphine, DRM Finance (24 novembre)
Managing Hedge Fund Liquidity Risks
Diego Pulido Lema, McGill University (28 novembre)
An Experimental Test of Portfolio Choice with Non-Tradable Risk
Anastasia Ivantsova, University of Wisconsin-Madison (5 décembre)
Underwriting Discipline of Financial Institutions: Evidence from the Insurance Industry
Ming Dong, Schulich School of Business, York University (15 décembre)
Stock Market Overvaluation, Moon Shots, and Corporate Innovation
Stéphanie Heck, University of Liège (11 janvier)
Repeat-sales indices for the US corporate bond market: Index quality and asset pricing tests
Sheng Jun Xu, UBC Sauder Business School (13 janvier)
Politics and Hidden Borrowing: Electoral Cycles and State Defined Benefit Pension Plans
Thomas David, Université Paris Dauphine (20 janvier)
Customer Risk and The Choice Between Cash and Bank Credit Lines
Nettey Boevi Gilles Koumou, Université Laval (10 février)
Rao’s Quadratic Entropy and Maximum Diversification Indexation
Udi Hoitash, Northeastern University, Boston (17 février)
Recruiting the CEO from the Board: Determinants and Consequences
Jerchern Lin, School of Management, University at Buffalo (31 mars)
Fund Characteristics, Governance, And Mechanisms Of Extreme Decisions puis beyond manipulation: Extreme risk and the smart money effect
Christian Brownlees, Department of Economics and Business, Universitat Pompeu Fabra (4 avril)
S/O
Daniel Aobdia, Kellogg School of Management, Northwestern University (21 avril)
Does Engagement Partner Perceived Expertise Matter? Evidence from the U.S. Operations of the Big 4 Audit Firms
Stanimira Milcheva, Henley Business School, University of Reading (8 septembre)
Location of Firm’s Income-Producing Assets and Stock Returns
Alain Bélanger, sous-ministre adjoint, Financement et gestion de la dette, ministère des Finances du Québec (20 septembre)
Les défis du financement et de la gestion de la dette
Vincent Glode, Wharton (22 septembre)
Voluntary Disclosure in Bilateral Transactions
Patrick Augustin, Desautel School of Business, McGill (29 septembre)
Ambiguity, Volatility, and Credit Risk
Timothy Loughran, Notre Dame University (6 octobre)
Dissemination of Oil News into Prices
Olaf Korn, University of Gottingen (10 octobre)
Stock Illiquidity and Option Returns
Simon Gervais, Fuqua School of Business, Duke University (13 octobre)
Transparency and Talent Allocation in Money Management
Arthur Charpentier, Faculté des sciences économiques, Université de Rennes 1 (20 octobre)
Insurance: Risk Pooling vs. Price Segmentation
John Maheu, DeGroote School of Business, McMaster University (10 novembre)
Improving Markov Switching Models using Realized Variance
Marie-Louise Leroux, UQAM (20 novembre)
Long-Term Care Insurance: Knowledge Barriers, Risk Perception and Adverse Selection
Serge Darolles, Université Dauphine, DRM Finance (24 novembre)
Managing Hedge Fund Liquidity Risks
Diego Pulido Lema, McGill University (28 novembre)
An Experimental Test of Portfolio Choice with Non-Tradable Risk
Anastasia Ivantsova, University of Wisconsin-Madison (5 décembre)
Underwriting Discipline of Financial Institutions: Evidence from the Insurance Industry
Ming Dong, Schulich School of Business, York University (15 décembre)
Stock Market Overvaluation, Moon Shots, and Corporate Innovation
Stefano Colonnello, École polytechnique fédérale de Lausanne et SFI (7 janvier)
The Impact of Credit Default Swaps on Creditor Governance
Aurélien Philippot, UCLA – Anderson School (9 janvier)
Analysts’ reinitiations of coverage and market underreaction
Florina Silaghi, Université de Rennes 1 (12 janvier)
A Simple model of foreclosure and renegociation: The negative externality of foreclosure
Roberto Marfe, Université de Lausanne et SFI (16 janvier)
Income Insurance and the Equilibrium Term-Structure of Equity
Thomas Lambert, Université Catholique de Louvain (26 janvier)
Lobbying on Regulatory Enforcement Actions: Evidence from Banking
Mai Daher, Imperial College London Business School (6 février)
Creditor Control Rights, Capital Structure and Legal Enforcement
Paul H. Kupiec, American Enterprise Institute (10 avril)
Systemic Risk versus Financial Regulation: Is more Better?
Thomas Lanzi, SKEMA Business School (24 avril)
Why are star analysts performing so poorly in stocks recommendations
Donald Keenan, THEMA – Université de Cergy-Pontoise (1er mai)
Contagion in Subprime Mortgage Defaults: a Composite Likelihood Approach
Alexis Akira Toda, University of California at San Diego (7 mai)
Fat Tails and Spurious GMM Estimation of Consumption-Based Asset Pricing Models
Kris Boudt, KU Leuven (11 septembre)
The peer performance of hedge funds
Norm Miller, University of San Diego (18 septembre)
Does Design Matter? An Analysis of the Economics of Design and Design Rankings
Christian Dubé, Caisse de dépôt et placement du Québec (23 septembre)
S/O
Matthew Spiegel, Yale University (25 septembre)
An IPO’s Impact on Rival Firms
Thomas Lagoarde-Segot, Kedge Business School et GREQAM (13 novembre)
Informational efficiency in the Tokyo Stock Exchange, 1931-1940
Joshua Teitelbaum, Georgetown Law School (20 novembre)
Inference under Stability of Risk Preferences
Iwan Meier, HEC Montréal (24 novembre)
The Impact of Liquidity Crises on Cash Flow Sensitivities
David Schumacher, Université McGill (27 novembre)
Who is afraid of BlackRock
Philippe d’Astous, Georgia State University, Robinson College of Business (1er décembre)
Consumption, Debt, and Delinquency Responses to Anticipated Increases in Cash-on-Hand
Lisa Kramer, Rotman, University of Toronto (4 décembre)
Does Risk Aversion Vary During the Year? Evidence from Bid-Ask Spreads
Remy Praz, Swiss Finance Institute, Swiss Federal Institute of Technology (7 janvier)
Equilibrium Asset Pricing in the Presence of both Liquid and Illiquid Markets
James Thewissen, KULeuven University (10 janvier)
All words are not equal: Sentiment dynamics and information content within CEO letters
Cecil Wang, Yale School of Management, Yale University (17 janvier)
Subjective Home Valuations and the Cross-Section of Housing Returns
Ding Ding, University of Toronto (24 janvier)
Belief Dispersion and Investment Composition
Dennis Ng, Asper School of Business, University of Manitoba (27 janvier)
Financing Conditions, Control Considerations and Going Private Decision: Leveraged Buyouts (LBOs) versus Management Buyouts (MBOs)
Richard Luger, Georgia State University (31 janvier)
Unfolding GARCH models
David Musto, Wharton School, University of Pennsylvania (14 février)
Notes on Bonds: Liquidity at all Costs in the Great Recession
Mary Hardy, Université de Waterloo, et Phelim Boyle, School of Business & Economics, Université Wilfrid-Laurier (14 mars)
Risks and Rewards in Hybrid Pension Design / Modelling Mortgage Insurance
Jorge Chan-Lau, International Monetary Fund (4 avril)
From measuring and understanding systematic risk to the new financial stability agenda
Jean-Luc Prigent, THEMA, Université de Cergy-Pontoise (30 mai)
On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
Martin Wallmeier, Université de Fribourg (5 juin)
Portfolio Overlapping Bias in Tests of the Fama and French Three-Factor Model
Piet Sercu, KU Leuven (11 septembre )
Orthogonalized Regressors and Spurious Precision, with an Application to Currency Exposures
Michel Dallaire, COMINAR (17 septembre)
Cominar, une histoire de croissance
Jérôme Taillard, Boston College (19 septembre)
Does Hedging Affect Firm Value? Evidence from a Natural Experiment
Matthieu Bouvard, McGill University (26 septembre)
Risk Management Failures
Hank Bessembinder, Utah (8 octobre)Predictable Corporate Distributions and Stock Returns
Ronnie Sadka, Boston College (17 octobre)
Fund Structure and the Long-Run Performance of Activism
Elise Gourier, Princeton et SFI (7 novembre)Pricing of Idiosyncratic Equity and Variance Risks
Manel Kammoun, Université Laval (14 novembre)
Mutual Fund Performance Evaluation and Best Clienteles
Thorsten Beck, Cass Business School London (20 novembre)
Lending Concentration, Bank Performance and Systemic Risk: Exploring Cross-Country Variation
Ann Gaeremynck, KU Leuven (28 novembre)
Beyond diversity: A tale of faultlines and frictions in the board of directors
Chieh Ou-Yang, Wharton School, University of Pennsylvania (11 janvier)
Parimutuel Insurance for Hedging against Catastrophic Risk
Patrick Lecomte, Essec Business School, University of Paris X-Nanterre (18 janvier)
Tiptoe Past the Dragon: Replicating and Hedging Chinese Direct Real Estate
Charles-Olivier Amédée-Manesme, University of Cergy-Pontoise (25 janvier)
Value at Risk: a Specific Real Estate Model
Jean-Marie Gagnon et Nabil Khoury, Université Laval (22 mars)
Savings in Canada, A Balance Sheet Approach
Morton N. Lane, Lane Financial LLC (5 avril)
Implications and Opportunities Presented by the Securitization of Catastrophe (Re)insurance
Randall Morck, University of Alberta (12 avril)
Powerful Independent Directors
Claude Fluet, Université du Québec à Montréal (19 avril)
Uncertain Bequest Needs and Long-Term Insurance Contracts
Tarun Chordia, Emory University (20 septembre)
Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics
Thomas A. Kloet, Chef de la direction, Groupe TMX (25 septembre)
N/D
Laurent Barras, McGill University (4 octobre)
Revisiting the Value Premium using Micro Portfolios as Test Assets
Vikas Agarwal, Georgia State University (11 octobre)
Institutional Investment and Intermediation in the Hedge Fund Industry
Kevin Markle, Université de Waterloo (18 octobre)
The Effect of Financial Constraints on Tax-motivated Income Shifting by U.S. Multinationals
Alexandre Jeanneret, HEC Montréal (8 novembre)
Sovereign Credit Risk and Government Effectiveness
Habiba Mrissa Bouden, Université Laval (22 novembre)
Risk impact on issuing firm’s valuation in pre- and post-IPO market: What risk component matters?
Roberto Steri, Bocconi University (13 décembre)
Collateral-Based Asset Pricing
Alexander Schandlbauer, Vienna Graduate School of Finance (16 décembre)
How do financial institutions react to a tax increase?
Yan Wang, McGill University (19 décembre)
Who Are Informed? The Evidence from Institutional Trades
Peter Pontuch, Paris Dauphine (11 janvier)
Financing Constraints, Product Market Competition, and Business Cycle Sensitivity
Benjamin Holcblat, Carnegie-Mellon (13 janvier)
Estimating Consumption-Based Asset Pricing Models. The ESP Approach
Hugues Langlois, McGill (20 janvier)
The Joint Dynamics of Equity Market Factors
Andrew Karolyi, Cornell University (24 février)
The Role of Investability Restrictions on Size, Value, and Momentum in International Stock Returns
Cedric Okou, HEC Montréal (2 mars)
Segragating Continuous Volatility from Jumps in Long-Run Risk-Return Trade-Offs
Egor Matveyev, University of Rochester (14 mars)
How Do Firms and Directors Choose Each Other? Evidence from a Two-sided Matching Model of the Director Labor Market
Xinli Wang, Cornell University (16 mars)
Foreign Portfolio Investment and Informativeness of Foreign Direct Investment
Fulbert Tchana Tchana, Ministère des Finances du Québec (23 mars)
The Implication of VaR and Short-Selling Restrictions on the Portfolio Manager Performance
Kenneth A. Froot, Harvard Business School (19 avril)
Catastrophes and the Agency Limits of Diversification
David Ardia, Université de Fribourg (7 juin)
Integrating « views » in Asset Allocation: From Black-Litterman to Entropy Pooling
Stephen Brown, New York University (7 septembre)
Quantitative Measures of Operational Risk: An application to Funds Management
Warren Bailey, Cornell University (21 septembre)
What Makes the VIX Tick?
Ike Mathur, Southern Illinois University Carbondale (5 octobre)
Product Market Advertising and Corporate Bonds
Tom McCurdy, University of Toronto (12 octobre)
Do Jumps Contribute to the Dynamics of the Equity Premium?
Pamela Hurley, Utica College, New York (9 novembre)
N/D
Richard Green, University of Southern California (16 novembre)
Measuring the Benefits of Homeowning: Effects on Children Redux
Arman Eshraghi, University of Edinburgh Business School (23 novembre)
Fund Manager Overconfidence and Investment Performance: Evidence from Mutual Funds
Mathieu Fournier, Rotman School, University of Toronto (30 novembre)
Understanding Equity Option Prices
Javier Vidal-Garcia, Universidad Complutense de Madrid (11 décembre)
Seasonality and Idiosyncratic Risk in Mutual Fund Performance
Martijn Boons, Tilburg University (14 décembre)
State Variable Hedging and Individual Stocks: New Evidence for the ICAPM
Moussa Diop, Pennsylvania State University, Smeal College of Business (17 décembre)
Product Market Competition
Josh Schwartzstein, Darmouth College (11 février)
Insuring the Health of Behavioral Consumers
Evan Dudley, University of Florida (18 février)
Strategic default, mortgage pricing, and the foreclosure process
Tim Simin, Penn State University (18 mars)
Manipulating the balance sheet? Implications of off-balance-sheet lease financing
Mary A Weiss et David J. Cummins, Fox School of Business, Temple University (1er avril)
Insurance and risk management
Antony Landry, Federal Reserve Dallas (23 septembre)
Accounting for Real Exchange Rates using Micro-Data
Michel Normandin, HEC Montréal (14 octobre)
Equity Premia and State-Dependent Risks
Bruce Lucey, Trinity College, Dublin (18 octobre)
The Irish Economy : Three Strikes and You’re Out?
Jan Ericsson, Université McGill (18 novembre)
Time-varying asset volatility and the credit spread
Clarence Simard, HEC Montréal (9 décembre)
Modélisation de la liquidité et stratégies de couverture
Sarah Draus, Université Paris‐Dauphine (15 janvier)
Does inter‐market competition lead to less regulation ?
Jean Dubé, Université Laval (12 février)
Évaluer l’impact économique d’un changement dans l’offre de transport en commun
Marcin Kacperczyk, New York University (19 février)
Attention Allocation Over the business Cycle
Yingchun Liu, Texas Tech University (26 février)
The Real Estate Risk Premium Puzzle : A Solution
Jeffrey Pontiff, Boston College (12 mars)
Do Fund Managers Try to Mislead Investors ? Evidence from Year‐End Trades
Philippe Thalmann, École Polytechnique fédérale de Lausanne (31 mars)
Taux d’inoccupation et pénurie de logements en Suisse
Richard D. Phillips, Georgia State University (9 avril)
The Value of Investing in Enterprise Risk Management
Emma Dong, University of Hong Kong (23 avril)
Winner’s Curse : New Evidence from Bank Cross‐border M&As
Agatha Murgoci, Stockholm School of Economics (7 janvier)
Pricing Counterparty Risk Using Good Deal Bounds
Yuriy Fedyk, Olin School of Business, Washington University (23 janvier)
On the Extinction Rate of Irrational Investors in Financial Markets
Marie-Hélène Gagnon, Université Laval (13 février)
The Impact of Political Convergence on Tests of Financial Integration
Michael Czerwonko, University Université Concordia (16 février)
Can the Black-Scholes-Merton Model Survive Under Transaction Costs ? An Affirmative Answer
Vincent Grégoire, University of British Columbia (20 février)
Do Shareholders Gain by Suing their Firm ?
Stephen R. Foerster, University of Western Ontario (27 février)
Double Then Nothing : Why Individual Stock Investments Disappoint
Volkan Kayacetin, University of Alberta School of Business (9 mars)
Forecasting Economic Fundamentals and Stock Returns with Equity Market Order Flows : Macro Information in a Micro Measure
Denis Moffet, Université Laval (2 octobre)
Les leçons à tirer des sept années de gestion virtuelle de portefeuilles
Artyom Durnev, Université McGill (23 octobre)
The Resource Curse : A Corporate Transparency Channel
Gabriel Power, Texas A & M. University (6 novembre)
Évaluation d’options stratégiques pour des ententes de partenariat privé‐public
Marie‐Claude Beaulieu et Jean Bédard, Université Laval (13 novembre)
Performance and Governance : the International Evidence
Aurelio Vasquez, Université McGill (20 novembre)
Volatility Mean Reversion and the Cross‐Section of Option Returns
Jean‐Sébastien Michel, York University (27 novembre)
Does Managerial Optimism Lead to Long‐Run Underperformance ? Evidence from Venture Capital‐Backed IPOs
Grigori Erenburg, Chapman University (11 décembre)
The Paradox of « Fraud‐on‐the‐Market Theory »: Who Relies on the Efficiency of Market Prices? Electronic Limit Order Book and Other Submission Choice Around Macroeconomic News
Sean Finucane, University of Exeter (25 janvier)
Pensions and Corporate Performance: Effects of the Shift from Defined Benefit to Defined Contribution Pension Plans
Jeremy Bertomeu, Carnegie Mellon University (1er février)
Risk Management, Executive Compensation and the Cross-Section of Corporate Earnings
William R. Sodjahin, étudiant de doctorat en finance, Université Laval (7 mars)
Reverse Split Announcements, Effective Dates and Survival
David F. Babbel, University of Pennsylvania, Wharton (4 avril)
A Closer Look at Stable Value Funds Performance
William R. Sodjahin, étudiant de doctorat en finance, Université Laval (10 avril)
To wait or not to wait: When are Announced Initial Public Offerings Completed?
Jean-François Outreville, UNCTAD (6 juin)
Internationalization, Performance and Volatility: The World Largest Financial Groups
Edwin Elton, New York University (17 octobre)
Holdings Data, Security Returns and the Selection of Superior Mutual Funds
Jennifer Conrad, University of North Carolina at Chapel Hill (21 novembre)
Ex Ante Skewness and Expected Stock Returns
Vincent Glode, Carnegie Mellon University (18 décembre)
Information Spillovers and Performance Persistence in Private Equity Partnerships
Caroline Sasseville, Northwestern University (10 janvier)
Prices of Storable Commodities with Irreversible Investment and Liquidity Constraints
Carole Bernard, Université de Lyon 1, France (12 janvier)
A study of Mutual Insurance for Bank Deposits
William R. Sodjahin, Étudiant de doctorat en finance, Université Laval (16 mars)
Politique du fractionnement d’actions : facteur de fractionnement, annonce et timing de réalisation
James Eaves, Rutgers University (12 avril)
Do traders pledge strategically during the Walrasian auctions on the Tokyo Grain Exchange?
Kevin Wang, Université de Toronto (13 avril)
Mean-Reversion and Momentum
Benjamin Croitoru, Université McGill (21 septembre)
Asset Pricing in a Monetary Economy with Heterogeneous Beliefs
Patrick Lecomte, étudiant au doctorat, University of Cincinnati (5 octobre)
Beyond Index-Based Hedging: Can Real Estate Trigger a New Breed of Derivatives Market?
Anjan Thakor, Washington University (9 novembre)
Intrinsically-Motivated CEOS, Overbearing Boards, and Diversity in Corporate Governance
Lemma Senbet, University of Maryland (14 novembre)
Bank Incentives, Economic Specialization, and Financial Crises in Emerging Economies
Jean-Sébastien Fontaine, Université de Montréal (13 décembre)
Bond Liquidity Premia
Bruno Feunou, Université de Montréal (17 décembre)
Generalized Affine Models
Carmen Stefanescu, University of Alberta (19 décembre)
Do Stock Exchanges Corral Investors into Herding?
Vincent Glode, Carnegie Mellon University (27 janvier)
How do Short-Sale Constraints Affect Mutual Fund Performance?
Bang Nguyen Dang, HEC Paris (27 février)
Is More News Good News? Media Coverage of CEOs, Firm Value, and Rent Extraction
Benjamin Esty, Harvard Business School (3 mars)
When Do Foreign Banks Finance Domestic Projects? New Evidence on the Importance of Legal and Financial Systems
Issouf Soumaré, Université Laval (24 mars)
Financial Guarantee as Innovation Tool in Islamic Project Finance
Stephen Figlewski, New York University (29 septembre)
Credit Risk and Macroeconomic Factors
Usha Mittoo, Université du Manitoba (20 octobre)
The Valuation Effects of Capital versus Non-Capital Raising ADRs: Revisiting European Evidence
Vincent Glode, Carnegie Mellon University (10 novembre)
Why Mutual Funds Underperform
Jean-François Guimond, Université Laval (1er décembre)
Do Mutual Fund Managers have Superior Skills? An Analysis of the Portfolio Deviations from a Benchmark
Claudia Champagne, Concordia University (7 décembre)
The Impact of past Syndicate Alliances on the Consolidation of Financial Institutions
Jennifer Carpenter, New York University (13 décembre)
Optimal Exercise of Executive Stock Options and Implications for Valuation
Nathalie Moyen, University of Colorado (14 décembre)
On the Strategic Use of Debt and Capacity in Imperfectly Competitive Product Markets
Patrice Guaillardetz, Toronto University (27 janvier)
Structure de prix consistante pour évaluer les produits d’assurance liés au marché financier
Érick Rengifo, Université Catholique de Louvain (4 février)
Dynamic Optimal Portfolio Selection in a VaR Framework
Marie-Claude Beaulieu, Université Laval (18 mars)
Testing the Three-moments CAPM : an Exact Multivariate Regression Approach
Lilia Rekik, Université Laval (15 avril)
Stock Options, décisions managériales et organisation des entreprises : une étude empirique sur le marché français
Van Son Lai, Université Laval (21 avril)
Effects of Maturity Choices on Vulnerable Loan Guarantee Portfolios
Burton Malkiel, Princeton University (1er septembre)
The Outlook for Security Returns Indexing and Asset Allocation
Linda Allen, Baruch College (8 septembre)
The Informational Efficiency of the Equity Market As Compared to the Syndicated Bank Loan Market
Don Chance, Louisiana State University (7 octobre)
Microsoft’s Employee Option Buyback
Jayant Kale, Georgia State University (21 octobre)
Capital Structure and Characteristics of Supplier and Customer Markets
Richard MacMinn, Illinois State University (28 octobre)
Hedging Brevity Risk with Mortality Based Securities
George Pennachi, University of Illinois at Urbana Champaign (4 novembre)
Deposit Insurance, Bank Regulation, and Financial System Risks
Mirela Predescu, University of Toronto (25 novembre)
The Performance of Structural Models of Default for Firms with Liquid CDS Spreads
Pierre Yourougou, Banque Mondiale (30 novembre)
Risk Modeling of a Public Debt Portfolio: An Overview of Asset and Liability Management Approach
Philippe Grégoire, University of Western Ontario (9 décembre)
Informed Trading, Noise Trading and the Cost of Equity
Joindre le Département
de finance, assurance et immobilier
Faculté des sciences de l’administration
Pavillon Palasis-Prince
2325, rue de la Terrasse
Bureau 3620
Université Laval
Québec (Québec) G1V 0A6
CANADA
Téléphone: 418 656-2584
Télécopieur: 418 656-2624
Direction
Charles-Olivier Amédée-Manesme