Gunnar Grass

HEC Montréal

3000, Chemin de la Côte-Sainte-Catherine

Montreal, Quebec H3T2A7

Canada

  • HEC Montréal

SCHOLARLY PAPERS

10

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2,837

TOTAL CITATIONS
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Top 49,789

in Total Papers Citations

14

Scholarly Papers (10)

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1.

Informed Options Strategies before Corporate Events

CFS Working Paper, No. 541, Journal of Financial Markets, Forthcoming
Number of pages: 71 Posted: 09 Oct 2016 Last Revised: 30 Jan 2023
Patrick Augustin, Menachem Brenner, Gunnar Grass, Piotr Orłowski and Marti G. Subrahmanyam
McGill University, New York University (NYU) - Department of Finance, HEC Montréal, HEC Montréal and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,239 (33,902)
Citation 4

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corporate announcements, derivatives, event studies, insider trading, market microstructure

2.

Using Structural Models for Default Prediction

Downloads 577 (95,290)
Citation 1

Using Structural Models for Default Prediction

Number of pages: 61 Posted: 26 Nov 2008
Gunnar Grass
HEC Montréal
Downloads 247 (245,121)
Citation 1

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Structural Credit Risk Models, Bankruptcy Prediction, Risk-Neutral Pricing

Using Structural Models for Default Prediction

Number of pages: 62 Posted: 22 Mar 2009
Gunnar Grass
HEC Montréal
Downloads 200 (300,097)

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Structural Credit Risk Models, Bankruptcy Prediction, Risk-Neutral Pricing

Using Structural Models for Default Prediction

Number of pages: 52 Posted: 14 Feb 2009
Gunnar Grass
HEC Montréal
Downloads 130 (434,850)

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Structural Credit Risk Models, Bankruptcy Prediction, Risk-Neutral Pricing

3.

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance, (24) 2014
Number of pages: 43 Posted: 10 Oct 2012 Last Revised: 19 Nov 2018
Christian Dorion, Pascal Francois, Gunnar Grass and Alexandre Jeanneret
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and UNSW Business School
Downloads 420 (140,317)

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Convertible bonds, Risk-shifting, Asset substitution, Agency conflict, Financial distress, Asset volatility, Contingent claims

4.

The Impact of Corporate Diversification on the Option Value of Equity

Number of pages: 53 Posted: 18 Mar 2009
Gunnar Grass
HEC Montréal
Downloads 137 (416,042)
Citation 2

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Contingent-claims analysis, Corporate Diversification, Risk-Shifting

5.

Model Implied Credit Spreads

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 50 Posted: 14 Oct 2011
Gunnar Grass
HEC Montréal
Downloads 122 (455,022)

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Structural Credit Risk Models, Bankruptcy Prediction, Risk-Neutral Pricing

6.

The Impact of the Corporate Diversification on the Option Value of Equity

Number of pages: 46 Posted: 25 Mar 2008 Last Revised: 15 Feb 2009
Gunnar Grass
HEC Montréal
Downloads 120 (460,761)
Citation 2

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Contingent-claims analysis, Corporate Diversification, Risk-Shifting

7.

Extracting Credit Spreads from Structural Models Via the Payout Ratio

Number of pages: 54 Posted: 02 Jul 2013
Gunnar Grass
HEC Montréal
Downloads 113 (482,223)

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Credit Risk, Structural Model, Bond Spread, Credit Default Swap

8.

On the (Market Microstructure) Origins of the Return Distribution 

Number of pages: 80 Posted: 01 Nov 2024
Tolga Cenesizoglu and Gunnar Grass
HEC Montreal - Department of Finance and HEC Montréal
Downloads 64 (679,989)

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Limit Order Book, Imbalance, Convexity, Skewness, Kurtosis, Quantiles, Market Order Distribution

9.

Bid- and Ask-Side Liquidity in the NYSE Limit Order Book

Number of pages: 60 Posted: 02 Jun 2016 Last Revised: 30 Jul 2019
Tolga Cenesizoglu and Gunnar Grass
HEC Montreal - Department of Finance and HEC Montréal
Downloads 45 (794,618)
Citation 5

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Market Liquidity, Limit Order Book, Financial Crisis, Short Selling Ban, Asset Pricing

10.

Business Value and Risk in the Presence of Price Controls: An Option-Based Analysis of Margin Squeeze Rules in the Telecommunications Industry

Annals of Operation Research, Vol. 176, No. 1, pp. 311-332, April 2010
Posted: 07 Apr 2008 Last Revised: 13 Apr 2010
Philipp N. Baecker, Gunnar Grass and Ulrich Hommel
Bain & Company, HEC Montréal and EBS Business School

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telecommunications, real options, access pricing, margin squeezes, option games

Other Papers (1)

Total Downloads: 0
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contingent-claims analysis, diversification, conglomerate discount, reverse asset substitution