François Cocquemas

François Cocquemas

Postdoctoral Research Scholar in Finance at Vanderbilt University, Owen Graduate School of Management

Nashville, TN

Hello! I am a Postdoctoral Scholar in Finance at Vanderbilt's Owen Graduate School of Management. I graduated from EDHEC Business School with a PhD in Finance in 2016. I do research on financial markets, with a focus on options and securities lending.

I have also been teaching Derivatives Markets to the MBA and MSF students at Owen. In my spare time, I develop .

research

Job Market Paper

The Term Structure of Securities Lending Fees

  • I jointly estimate the term structure of implied securities lending fees and implied volatility from options
  • The implied lending fees co-vary with the spot fee, but include a premium indicative of large, low-probability jump risk
  • Median lending fee risk premium of 2% per annum, but much higher for hard-to-borrow stocks and shorter maturities
  • Close to two-thirds of the risk premium can be predicted using the term structure of implied lending fees
  • Evidence that the lending fee term structure might be more useful to model than the volatility term structure

Working Papers

Does Market Incompleteness Matter for Market Microstructure?

with Ekkehart Boehmer and Abraham Lioui | Revision coming soon

Passive Investing: The Potential Profitability of Securities Lending

with Jesse Blocher and Robert E. Whaley | Revision coming soon

Snakes and Ladders: Asset Pricing with Household Disaster

Asset Prices and the Probability of Collective Action on Climate Change

with Martina K. Linnenluecke, Tom Smith and Robert E. Whaley | Revision coming soon

Work in Progress

Option Pricing with Shorting Costs

with Robert E. Whaley

Money and Asset Prices: A Household Perspective

with Abraham Lioui and Olesya V. Grishchenko

teaching

Courses at Vanderbilt

Derivatives Markets (MGT 6533)

2016-2017 | Mod 1 and 2
2017-2018 | Mod 1, 2 and 4
Introduction to futures, options and other derivatives with a focus on fundamental arbitrage equations, binomial and Black-Scholes pricing, and Monte-Carlo simulations.

International Financial Markets and Instruments (MGT 6433)

2017-2018 | Mod 4
Overview of international finance topics, highlighting how to think about currency and hedging in a corporate setting.

Older courses

Sciences Po Paris (Euro-Asia campus)

2009-2010 | Fall and Spring semesters

education