Recent Publications

Journal Articles

1. Clausse, Emilien; Herr, Donovan; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. In: Revue Bancaire et Financière, (2022). (Accepté/Sous presse).

2. Lassance, Nathan; DeMiguel, Victor; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. In: Operations Research, Vol. 70, no. 1, p. 55-72 (2022). doi:10.1287/opre.2021.2140.

3. Gambetti, Paolo; Roccazzella, Francesco; Vrins, Frédéric. Optimal and robust combination of forecasts via constrained optimization and shrinkage. In: International Journal of Forecasting, Vol. 38, no. 1, p. 97-116 (2022). doi:10.1016/j.ijforecast.2021.04.002.

4. Lajaunie, Quentin; Hasse, Jean-Baptiste. Does the yield curve signal recessions? New evidence from an international panel data analysis. In: The Quarterly Review of Economics and Finance, Vol. 84, p. 9-22 (2022). doi:10.1016/j.qref.2022.01.001.

5. Torsin, Wouter; Thewissen, James; Özgür Arslan-Ayaydin. Earnings Management Methods and CEO Political Affiliation. In: Comptabilite Contrôle Audit, (2022). (Accepté/Sous presse).

6. Lassance, Nathan. Reconciling mean-variance portfolio theory with non-Gaussian returns. In: European Journal of Operational Research, Vol. 297, no. 2, p. 729-740 (2022). doi:10.1016/j.ejor.2021.06.016 (Accepté/Sous presse).

7. Luisi, Angelo; Roccazzella, Francesco; Candelon, Bertrand. Fragmentation in the European Monetary Union: Is it really over?. In: Journal of International Money and Finance : theoretical and empirical research in international economics and finance, Vol. 122, p. 102545 (2022). doi:10.1016/j.jimonfin.2021.102545 (Accepté/Sous presse).

8. Henry, Elaine; Thewissen, James; Torsin, Wouter. International Earnings Announcements: Tone, Forward-looking Statements, and Informativeness. In: The European Accounting Review, (2022). (Accepté/Sous presse).

9. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. In: Econometrics and Statistics, (2022). doi:10.1016/j.ecosta.2022.01.001 (Accepté/Sous presse).

10. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. In: Journal of Econometrics, (2022). doi:10.1016/j.jeconom.2021.09.004 (Accepté/Sous presse).

11. Thewissen, James. Unpacking the black box of ICO white papers: A topic modeling approach. In: Journal of Corporate Finance, (2022). (Accepté/Sous presse).

12. Vrins, Frédéric; Mbaye, Cheikh. Affine term structure models: a time-change approach with perfect fit to market curves. In: Mathematical Finance, Vol. 32, no. 2, p. 678-724 (2022). doi:10.1111/mafi.12342.

13. Vrins, Frédéric; Sagna, Abass; Mbaye, Cheikh. A general firm-value model under partial information. In: The Journal of Computational Finance, (2022). (Accepté/Sous presse).

14. Chen, Shimin; Thewissen, James; Ni, Serene Xu; Arslan-Ayaydin, Özgür. Is cross-listing a panacea for improving earnings quality? The case of H- and B-share firms in China. In: International Review of Financial Analysis, Vol. 81, p. 102113 (2022). doi:10.1016/j.irfa.2022.102113 (Accepté/Sous presse).

15. Duterme, Tom. La fuite des capitaux : menace économique ou ressource rhétorique ?. In:, Vol. /, no.125, p. 4 (2022).

16. Gambetti , Paolo; Roccazzella, Francesco; Vrins, Frédéric. Meta-Learning Approaches for Recovery Rate Prediction. In: Risks, Vol. 10, no.6, p. 124 (2022). doi:10.3390/risks10060124.

17. D'Hondt, Catherine; Roger, Tristan; Merli, Maxime. What drives retail portfolio exposure to ESG factors?. In: Finance Research Letters, Vol. 46, no. Part B, p. 102470 (2022). doi:10.1016/ (Accepté/Sous presse).

18. Duterme, Tom. Ira Oscar Glick: At the crossroads of the sociologies of financial markets. In: Finance and Society, Vol. 8, no.1, p. 78-84 (2022). doi:10.2218/finsoc.7128.

19. Duterme, Tom. Dow Jones, CAC 40, BEL 20… D’où viennent les indices boursiers ?. In:, Vol. /, no.124, p. 5 (2022).

20. D'Hondt, Catherine; Hoffmann, Arvid; Plotkina, Daria; Roger, Patrick. Superstitious beliefs, locus of control, and feeling at risk in the face of Covid-19. In: Personality and Individual Differences, Vol. 196, p. 111718 (2022). doi:10.1016/j.paid.2022.111718 (Accepté/Sous presse).

21. Duterme, Tom. Do modern stock exchanges emerge from competition? Evidence from the “Belgian Big Bang”. In: Review of Evolutionary Political Economy, Vol. 3, no. 2, p. 351–371 (2022). doi:10.1007/s43253-022-00069-4.

22. D'Hondt, Catherine; Hoffmann, Arvid; Plotkina, Daria; Roger, Patrick. Number 19: Another Victim of the COVID‐19 Pandemic?. In: Journal of Gambling Studies (Online), (2022). doi:10.1007/s10899-022-10145-3 (Accepté/Sous presse).

23. D'Hondt, Catherine; Roger, Patrick; McGowan, Richard. Trading leveraged Exchange-Traded products is hazardous to your wealth. In: The Quarterly Review of Economics and Finance, Vol. 80, p. 287-302 (2021). doi:10.1016/j.qref.2021.02.012.

24. Candelon, Bertrand; Fuerst, Franz; Hasse, Jean-Baptiste. Diversification potential in real estate portfolios. In: International Economics, Vol. 166, p. 126-139 (2021). doi:10.1016/j.inteco.2021.04.001.

25. Lassance, Nathan; Vrins, Frédéric. Minimum Rényi entropy portfolios. In: Annals of Operations Research, Vol. 299, p. 23–46 (2021). doi:10.1007/s10479-019-03364-2.

26. Torsin, Wouter; Thewissen, James; Arslan-Ayaydin, Özgür; Yan, Beibei. Does managerial ability affect disclosure? Evidence from earnings press releases. In: Asian Review of Accounting, Vol. 29, no. 2, p. 192-226 (2021).

27. Ferrara, Laurent; Candelon, Bertrand; Joëts, Marc. Global financial interconnectedness: a non-linear assessment of the uncertainty channel. In: Applied Economics, (2021). doi:10.1080/00036846.2020.1870651.

28. Ghysels, Eric; Striaukas, Jonas; Babii, Andrii. Machine Learning Time Series Regressions With an Application to Nowcasting. In: Journal of Business and Economic Statistics, (2021). doi:10.1080/07350015.2021.1899933 (Accepté/Sous presse).

29. Lassance, Nathan; Vrins, Frédéric. Portfolio selection with parsimonious higher comoments estimation. In: Journal of Banking & Finance, Vol. 126, no. 9, p. 106-115 (2021). doi:10.1016/j.jbankfin.2021.106115.

30. Lajaunie, Quentin; Candelon, Bertrand; Hasse, Jean-Baptiste. ESG-Washing in the Mutual Funds Industry? From Information Asymmetry to Regulation. In: Risks, Vol. 9, no.11, p. 199 (2021). doi:10.3390/risks9110199.

31. Duterme, Tom. Comment émerge un indice boursier ? Histoire du BEL 20. In: Revue Française de Socio-Économie, Vol. 2, no.27, p. 174 (2021). doi:10.3917/rfse.027.0157.

32. Marco Lyrio; Guimaraes Togeiro De Moura, Rubens; Iania, Leonardo. Bond risk premia in emerging markets: evidence from Brazil, China, Mexico, and Russia. In: Applied economics, Vol. 53, no.58, p. 6721-6738 (2021). doi:10.1080/00036846.2021.1937505.

33. De Winne, Rudy; Corneille, Olivier; Efendic, Emir; D'Hondt, Catherine. How risk-prone are people when facing a sure loss? Negative interest rates as a convenient conceptual framework. In: Psychonomic Bulletin & Review, Vol. 28, p. 1715–1725 (2021). doi:10.3758/s13423-021-01921-0 (Accepté/Sous presse).

34. Iania, Leonardo; Dewachter, Hans; De Backer, Bruno. Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?. In: Finance Research Letters, Vol. 43, p. 101978 (2021). doi:10.1016/ (Accepté/Sous presse).

35. D'Hondt, Catherine; Desagre, Christophe. Googlization and retail trading activity. In: Journal of Behavioral and Experimental Finance, no. 29 (2021) 100453 (2021). doi:10.1016/j.jbef.2020.100453 (Accepté/Sous presse).

36. Thewissen, James. Disclosure tone management and labor unions. In: Journal of Business Finance & Accounting, Vol. 48, no. 1-2, p. 102-147 (2021). doi:10.1111/jbfa.12483.

37. Petitjean, Mikael. Judging the functioning of equity markets in 2020: A bird's-eye (re)view. In: Bankers, Markets, and Investors, (2021). (Accepté/Sous presse).

38. Erdemlioglu, Deniz; Vargas, Nicolas; Petitjean, Mikael. Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks. In: Economic Modelling, Vol. 102, p. 105592 (2021). doi:10.1016/j.econmod.2021.105592 (Accepté/Sous presse).

39. D'Hondt, Catherine; Petitjean, Mikael; Desagre, Christophe. The rise of fast trading: Curse or blessing for liquidity?. In: Finance : revue de l'Association française de finance, (2021). (Accepté/Sous presse).

40. De Winne, Rudy; D'Hondt, Catherine; Merli, Maxime. Do retail investors bite off more than they can chew? A close look at their return objectives. In: Journal of Economic Behavior & Organization, Vol. 188, p. 879-902 (2021). doi:10.1016/j.jebo.2021.06.009.

41. De Winne, Rudy. Measuring the disposition effect. In: Journal of Behavioral and Experimental Finance, Vol. 29, no. 100468 (2021). doi:10.1016/j.jbef.2021.100468 (Accepté/Sous presse).

42. Binder, Harald; Striaukas, Jonas; Schumacher, Martin; Weber, Matthias. Regularized regression when covariates are linked on a network: the 3CoSE algorithm. In: Journal of Applied Statistics, (2021). doi:10.1080/02664763.2021.1982878 (Accepté/Sous presse).

43. De Winne, Rudy; Corneille, Olivier; Todorovic, Aleksandar; Efendic, Emir; D'Hondt, Catherine. What leads people to tolerate negative interest rates on their savings. In: Journal of Behavioral and Experimental Economics, Vol. 93, p. 101714 (2021). doi:10.1016/j.socec.2021.101714 (Accepté/Sous presse).

44. Prabal Shrestha; Thewissen, James; Özgür Arslan-Ayaydin; Wouter Torsin. Institutions, regulations and initial coin offerings: An international perspective. In: International Review of Economics & Finance, Vol. 72, p. 102-120 (2021). doi:10.1016/j.iref.2020.10.014.

Book Chapters

1. Lecourt, Christelle; Laly, Floris; Aloy, Marcel; Laurent, Sébastien. Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs. In: Recent Econometric Techniques for Macroeconomic and Financial Data (Dynamic Modeling and Econometrics in Economics and Finance; xxx), Springer, 2021, p. 229-264. 978-3-030-54254-2. xxx xxx.