Pierre Collin-Dufresne
Affiliations: | Carnegie Mellon University, Pittsburgh, PA |
Area:
Finance, Industrial EngineeringGoogle:
"Pierre Collin-Dufresne"
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Publications
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| Collin-Dufresne P, Fos V, Muravyev D. (2020) Informed Trading in the Stock Market and Option Price Discovery Journal of Financial and Quantitative Analysis. 1-97 |
| Collin-Dufresne P, Junge B, Trolle AB. (2020) Market Structure and Transaction Costs of Index CDSs Journal of Finance. 75: 2719-2763 |
| Bogousslavsky V, Collin-Dufresne P, Sağlam M. (2020) Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch Journal of Financial Economics |
| Collin-Dufresne P, Daniel KD, Sağlam M. (2020) Liquidity Regimes and Optimal Dynamic Asset Allocation Journal of Financial Economics. 136: 379-406 |
| Bai J, Collin-Dufresne P. (2019) The CDS-Bond Basis Financial Management. 48: 417-439 |
| Back KE, Collin-Dufresne P, Fos V, et al. (2018) Activism, Strategic Trading, and Liquidity Econometrica. 86: 1431-1463 |
| Casassus J, Collin-Dufresne P, Routledge BR. (2018) Equilibrium commodity prices with irreversible investment and non-linear technologies Journal of Banking and Finance. 95: 128-147 |
| Collin-Dufresne P, Johannes M, Lochstoer LA. (2017) Asset Pricing When 'This Time is Different' Review of Financial Studies. 30: 505-535 |
| Collin-Dufresne P, Fos V. (2016) Insider Trading, Stochastic Liquidity and Equilibrium Prices Econometrica. 84: 1441-1475 |
| Collin-Dufresne P, Johannes M, Lochstoer LA. (2016) Parameter learning in general equilibrium: The asset pricing implications American Economic Review. 106: 664-698 |