Articles de journaux
|
P. Fontaine; S. Jimenez; M. Seasholes Common Factors, Information, and Holdings Dispersion Article de journal Forthcoming Review of Finance, Forthcoming. BibTeX @article{fontaine2017bb,
title = {Common Factors, Information, and Holdings Dispersion},
author = {P. Fontaine and S. Jimenez and M. Seasholes},
year = {2017},
date = {2017-12-30},
journal = {Review of Finance},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
P. Fontaine; S. Zhao The supply-side effect on the use of debt with very short and very long maturities Article de journal Finance Bulletin, 1 (1), p. 10-28, 2017. BibTeX @article{fontaineZhao,
title = {The supply-side effect on the use of debt with very short and very long maturities},
author = {P. Fontaine and S. Zhao},
year = {2017},
date = {2017-09-15},
journal = {Finance Bulletin},
volume = {1},
number = {1},
pages = {10-28},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Bosi, S.; Fontaine P.; Le Van C. How to determine exchange rates under risk neutrality: A note Article de journal Economic Letters, 157 , p. 92-96, 2017. BibTeX @article{Fontaine2017a,
title = {How to determine exchange rates under risk neutrality: A note},
author = {Bosi, S. and Fontaine P. and Le Van C.},
year = {2017},
date = {2017-08-10},
journal = {Economic Letters},
volume = {157},
pages = {92-96},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
A. Cissé; Patrice Fontaine Why do companies transfer the trading compartment of their common stocks Article de journal Research In International Business and Finance, (36), p. 624-640, 2016. BibTeX @article{FontaineCissé,
title = {Why do companies transfer the trading compartment of their common stocks},
author = {A. Cissé and Patrice Fontaine},
year = {2016},
date = {2016-07-12},
journal = {Research In International Business and Finance},
number = {36},
pages = {624-640},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Stefano Bosi; Patrice Fontaine; Cuong LeVan Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets Article de journal Mathematical Social Sciences, 82 , p. 26-36, 2016. Résumé | BibTeX @article{Bosi2016,
title = {Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets},
author = {Stefano Bosi and Patrice Fontaine and Cuong LeVan},
editor = {Elsiever},
year = {2016},
date = {2016-05-01},
journal = {Mathematical Social Sciences},
volume = {82},
pages = {26-36},
abstract = {In this paper, we consider a two-period consumption model with
many financial assets. In the spirit of Hart [5], consumers purchase
financial assets in period 0 and consume in period 1. We differ from Hart
by considering that each agent is a country. We provide conditions for
the existence of an equilibrium in both international financial assets
and goods markets.
First, we introduce a weaker notion of Uncovered Interest (rate) Parity
(UIP) called Weak Uncovered Interest (rate) Parity (WUIP), and we show
its equivalence to the no-arbitrage condition in the inter- national
financial markets.
Second, we introduce the concept of common no arbitrage and we show its
equivalence to the UIP.
These results bridge concepts of no arbitrage in general equilibrium
theory and financial microeconomics, and of interest parity in international
financial macroeconomics. In a multi-country model with many
currencies and only one good, we introduce a country-specific conversion
rate which transforms the returns on assets valued in local currency
into units of physical good. We define also the exchange rates between
currencies of different countries. The UIP is required for the existence
of an equilibrium in both international financial assets and goods
markets and for the existence of the Law of One Price.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper, we consider a two-period consumption model with
many financial assets. In the spirit of Hart [5], consumers purchase
financial assets in period 0 and consume in period 1. We differ from Hart
by considering that each agent is a country. We provide conditions for
the existence of an equilibrium in both international financial assets
and goods markets.
First, we introduce a weaker notion of Uncovered Interest (rate) Parity
(UIP) called Weak Uncovered Interest (rate) Parity (WUIP), and we show
its equivalence to the no-arbitrage condition in the inter- national
financial markets.
Second, we introduce the concept of common no arbitrage and we show its
equivalence to the UIP.
These results bridge concepts of no arbitrage in general equilibrium
theory and financial microeconomics, and of interest parity in international
financial macroeconomics. In a multi-country model with many
currencies and only one good, we introduce a country-specific conversion
rate which transforms the returns on assets valued in local currency
into units of physical good. We define also the exchange rates between
currencies of different countries. The UIP is required for the existence
of an equilibrium in both international financial assets and goods
markets and for the existence of the Law of One Price. |
Abdoul Cisse; Patrice Fontaine Why Do Companies Switch the Listing Section of Their Common Stocks Article de journal Research in International Business and Finance, on line , 2015. Résumé | Liens | BibTeX @article{Cisse2015b,
title = {Why Do Companies Switch the Listing Section of Their Common Stocks},
author = {Abdoul Cisse and Patrice Fontaine},
editor = {Elsiever},
url = {http://www.sciencedirect.com/science/article/pii/S0275531915300052},
year = {2015},
date = {2015-08-15},
journal = {Research in International Business and Finance},
volume = {on line},
abstract = {We analyze the motives and determinants of voluntarily stock exchange section switching on the NYSE Euronext. By strategically deciding trading-section transfer when it is beneficial, managers expect to reduce their liquidity and invisibility costs, cost of capital, or their listing costs. We show that managers decide to change the trading compartment of their common stocks based on various factors including firm's size, liquidity level, debt ratio, and expected growth opportunities. Firms that move voluntarily from a less or non regulated compartments to a more regulated one are likely to have transferred to increase their credibility, improve their stocks’ liquidity, re-balance their leverage, and to finance their growth opportunities. Whereas those that move their common stocks toward a less-regulated compartments do it mainly for costs saving reasons.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We analyze the motives and determinants of voluntarily stock exchange section switching on the NYSE Euronext. By strategically deciding trading-section transfer when it is beneficial, managers expect to reduce their liquidity and invisibility costs, cost of capital, or their listing costs. We show that managers decide to change the trading compartment of their common stocks based on various factors including firm's size, liquidity level, debt ratio, and expected growth opportunities. Firms that move voluntarily from a less or non regulated compartments to a more regulated one are likely to have transferred to increase their credibility, improve their stocks’ liquidity, re-balance their leverage, and to finance their growth opportunities. Whereas those that move their common stocks toward a less-regulated compartments do it mainly for costs saving reasons. |
Abdoul Cissé; Patrice Fontaine Consequences of Voluntary Stock Exchange Section Switching on Stocks Price, Liquidity and Volatility Article de journal Bankers, Markets & Investors, (136), p. 42-62, 2015. Résumé | Liens | BibTeX @article{Cissé2015,
title = {Consequences of Voluntary Stock Exchange Section Switching on Stocks Price, Liquidity and Volatility},
author = { Abdoul Cissé and Patrice Fontaine},
url = {http://www.revue-banque.fr/article/consequences-voluntary-stock-exchange-section-swit},
year = {2015},
date = {2015-05-07},
journal = {Bankers, Markets & Investors},
number = {136},
pages = {42-62},
abstract = {The decision to switch stock exchange section is an important, but one of the least studied questions in the litterature. especially for voluntary transfer decisions. Managers believe that switching the trading compartment of their common stocks to a more important one creates value for their firms by improving visibility, stocks’ liquidity and raising capital at lower cost. In this article, we examine market reactions around trading compartment switchings. The results, in general, indicate a positive market reaction around the transfer announcement and an improvement of stock liquidity after that date. However, the market reaction weakens significantly after admission to the new stock exchange section. Our findings also reveal a link between stock price reaction to a compartment transfer and the pre-transfer liquidity level. Finally, we highlight that compartment transfer reduces volatility of switching stocks, owing to the decrease in the firm-specific risk rather than the systematic risk.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
The decision to switch stock exchange section is an important, but one of the least studied questions in the litterature. especially for voluntary transfer decisions. Managers believe that switching the trading compartment of their common stocks to a more important one creates value for their firms by improving visibility, stocks’ liquidity and raising capital at lower cost. In this article, we examine market reactions around trading compartment switchings. The results, in general, indicate a positive market reaction around the transfer announcement and an improvement of stock liquidity after that date. However, the market reaction weakens significantly after admission to the new stock exchange section. Our findings also reveal a link between stock price reaction to a compartment transfer and the pre-transfer liquidity level. Finally, we highlight that compartment transfer reduces volatility of switching stocks, owing to the decrease in the firm-specific risk rather than the systematic risk. |
Radu Burlacu; Patrice Fontaine; Sonia Jimenez Why are mutual fund alphas systematically negative? Article de journal Bankers, Markets and Investors, 125 , p. 11-22, 2013. Résumé | BibTeX @article{Burlacu2013b,
title = {Why are mutual fund alphas systematically negative? },
author = {Radu Burlacu and Patrice Fontaine and Sonia Jimenez},
editor = {Revue Banque },
year = {2013},
date = {2013-09-01},
journal = {Bankers, Markets and Investors},
volume = {125},
pages = {11-22},
abstract = {We study the performance of actively managed US equity mutual funds using traditional models and, as in previous studies, find that they perform negatively. At the same time, we note that the investments in mutual funds increase each year. It thus doesn’t seem realistic to admit that mutual fund clients would continually accept negative performances. We put forth the idea that traditional measures of performance are misleading from a client’s point of view. Expenses are justified by managers as part of their information acquisition activity. If managers are successful, clients believe to be protected (at least partially) against information risk. It follows that, from the client’s point of view, the performance should be calculated as the mutual fund net realized return minus an expected return which only accounts for traditional risk premia factors (like systematic, size, book to market and momentum factors) and not for any information risk factor. We show in this paper that traditional mutual fund performance models are not in line with this idea because the traditional factors used in these models (market, size, book-to-market, momentum) embed an information risk premium. Based on the Merton (1987) model and on the Firm Specific Return Variation variable of Durnev et al. (2004), we compute an information risk factor. We then show that the traditional mutual funds performance models undervalue the funds
alpha since they control the fund net realized return for an information risk premium when they shouldn’t from the client’s point of view. Finally, we propose a new methodology for measuring the mutual funds performance from the client’s perspective. We conclude with this new methodology that the performance of the US equity mutual funds is well explained.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We study the performance of actively managed US equity mutual funds using traditional models and, as in previous studies, find that they perform negatively. At the same time, we note that the investments in mutual funds increase each year. It thus doesn’t seem realistic to admit that mutual fund clients would continually accept negative performances. We put forth the idea that traditional measures of performance are misleading from a client’s point of view. Expenses are justified by managers as part of their information acquisition activity. If managers are successful, clients believe to be protected (at least partially) against information risk. It follows that, from the client’s point of view, the performance should be calculated as the mutual fund net realized return minus an expected return which only accounts for traditional risk premia factors (like systematic, size, book to market and momentum factors) and not for any information risk factor. We show in this paper that traditional mutual fund performance models are not in line with this idea because the traditional factors used in these models (market, size, book-to-market, momentum) embed an information risk premium. Based on the Merton (1987) model and on the Firm Specific Return Variation variable of Durnev et al. (2004), we compute an information risk factor. We then show that the traditional mutual funds performance models undervalue the funds
alpha since they control the fund net realized return for an information risk premium when they shouldn’t from the client’s point of view. Finally, we propose a new methodology for measuring the mutual funds performance from the client’s perspective. We conclude with this new methodology that the performance of the US equity mutual funds is well explained. |
Radu Burlacu; Patrice Fontaine; Sonia Jimenez; Mark Seasholes Risk and The Cross Section of Stock Returns Article de journal Journal of Financial economics, 105 , p. 511-522, 2012. BibTeX @article{Burlacu2012,
title = {Risk and The Cross Section of Stock Returns},
author = {Radu Burlacu and Patrice Fontaine and Sonia Jimenez and Mark Seasholes},
editor = {Elsiever},
year = {2012},
date = {2012-09-01},
journal = {Journal of Financial economics},
volume = {105},
pages = {511-522},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Conférences
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P. Anagnostidis; P. Fontaine Information, learning and High-Frequency Trading in electronic call auction markets 5500 - 5599 Conférence AFFI May 2017, Valence, France, 2017. BibTeX @conference{FontAgno2017b,
title = {Information, learning and High-Frequency Trading in electronic call auction markets},
author = {P. Anagnostidis and P. Fontaine },
year = {2017},
date = {2017-05-15},
booktitle = {AFFI May 2017, Valence, France},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Hyungseok Yoon, Namil Kim, Patrice Fontaine Role of Knowledge and Techno-Nationalism in Emerging Market Firms’ Cross-border M&A 5500 - 5599 Conférence The DRUID 16 20th Anniversary Conference, Copenhagen, June 13-15, 2016. BibTeX @conference{Yoon2016,
title = {Role of Knowledge and Techno-Nationalism in Emerging Market Firms’ Cross-border M&A},
author = {Hyungseok Yoon, Namil Kim, Patrice Fontaine},
editor = {The DRUID 16 20th Anniversary Conference, Copenhagen, June 13-15, 2016 },
year = {2016},
date = {2016-06-13},
publisher = {The DRUID 16 20th Anniversary Conference, Copenhagen, June 13-15},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Patrice Fontaine; Dany Gu Do Market and Creditworthiness Timings Drive Debt Maturity Decisions of Firms? 5500 - 5599 Conférence conférence de la Financial Management Association, Orlando (Etats-Unis), october 16., 2015. BibTeX @conference{Fontaine2015b,
title = {Do Market and Creditworthiness Timings Drive Debt Maturity Decisions of Firms?},
author = {Patrice Fontaine and Dany Gu},
year = {2015},
date = {2015-10-16},
booktitle = {conférence de la Financial Management Association, Orlando (Etats-Unis), october 16.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Patrice Fontaine Revisited Role of Industrial Specialization in Cross-border Mergers and Acquisitions from developed countries (European Union) to Emerging Countries” 5500 - 5599 Conférence IFABS 2015 Corporate Finance Conference, 2015, September 12 and 13, 2015. BibTeX @conference{FontaineIndustrial2015b,
title = {Revisited Role of Industrial Specialization in Cross-border Mergers and Acquisitions from developed countries (European Union) to Emerging Countries”},
author = {Patrice Fontaine},
year = {2015},
date = {2015-09-12},
booktitle = {IFABS 2015 Corporate Finance Conference, 2015, September 12 and 13},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Patrice Fontaine; Sujiao Zhao Do Market And Creditworthiness Timings Drive Debt Maturity Decisions Of Firms? 5500 - 5599 Conférence Vietnam International Conference in Finance « VICIF » June 4-5, Ho Chi Minh City (Vietnam), 2015. BibTeX @conference{Fontaine2015b,
title = {Do Market And Creditworthiness Timings Drive Debt Maturity Decisions Of Firms?},
author = {Patrice Fontaine and Sujiao Zhao},
year = {2015},
date = {2015-08-04},
booktitle = { Vietnam International Conference in Finance « VICIF » June 4-5, Ho Chi Minh City (Vietnam)},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Patrice Fontaine; Xuehua Gu Cross-border Mergers And Acquisitions From European Union To Emerging Countries: Industry Diversification Or Industry Specialization? 5500 - 5599 Conférence 32ème congrès de l’AFFI, 1-3 juin 2015, ESSEC, Paris, 2015. BibTeX @conference{Fontaine2015b,
title = {Cross-border Mergers And Acquisitions From European Union To Emerging Countries: Industry Diversification Or Industry Specialization?},
author = {Patrice Fontaine and Xuehua Gu},
year = {2015},
date = {2015-06-01},
publisher = {32ème congrès de l’AFFI, 1-3 juin 2015, ESSEC, Paris},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Patrice Fontaine Do Market And Creditworthiness Timings Drive Debt Maturity Decisions Of Firms? 5500 - 5599 Conférence 32ème congrès de l’AFFI, 2015. BibTeX @conference{Fontaineessec2015,
title = {Do Market And Creditworthiness Timings Drive Debt Maturity Decisions Of Firms?},
author = {Patrice Fontaine},
year = {2015},
date = {2015-06-01},
booktitle = {32ème congrès de l’AFFI},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Patrice Fontaine “Impacts of Introducing Short Maturity Options” 5500 - 5599 Conférence Conférencier invité, The Stevanovich Center for Financial Mathematics (The University of Chicago) – Market Microstructure and High-Frequency Data - Chicago, May 14-16., 2015. BibTeX @conference{FontaineImpact2015,
title = {“Impacts of Introducing Short Maturity Options”},
author = {Patrice Fontaine},
year = {2015},
date = {2015-05-14},
booktitle = {Conférencier invité, The Stevanovich Center for Financial Mathematics (The University of Chicago) – Market Microstructure and High-Frequency Data - Chicago, May 14-16.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Book Chapters
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P. Fontaine; S. Ross Le principe d’arbitrage au coeur de l’évaluation des actifs financiers Book Chapter in “Les grands auteurs en finance”, éditions EMS (Ed.): p. 167-185, 2017. BibTeX @inbook{fontaineross,
title = {Le principe d’arbitrage au coeur de l’évaluation des actifs financiers },
author = {P. Fontaine and S. Ross},
editor = {in “Les grands auteurs en finance”, éditions EMS},
year = {2017},
date = {2017-07-15},
pages = {167-185},
keywords = {},
pubstate = {published},
tppubtype = {inbook}
}
|
inproceedings
|
P; Anagnostidis; P. Fontaine, Liquidity provision, Commonality and High-Frequency Trading inproceedings Department of Economics - Bendheim Center for Finance, Princeton University, USA, May
Department of Finance, Arizona State University, W. P. Carey School of Business, USA, May , 2017. BibTeX @inproceedings{FontAgno2017a,
title = { Liquidity provision, Commonality and High-Frequency Trading },
author = {P; Anagnostidis and P. Fontaine, },
year = {2017},
date = {2017-05-15},
booktitle = {Department of Economics - Bendheim Center for Finance, Princeton University, USA, May
Department of Finance, Arizona State University, W. P. Carey School of Business, USA, May },
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Fontaine, P.; Zhao S. Do Industry Peers Matter? Evidence on Corporate Debt Maturity Policy? inproceedings Banco de Portugal 2017 seminar, Portugal, may and the FMA Lisbon Meeting, Portugal June, 2017. BibTeX @inproceedings{fontaineZhaob,
title = {Do Industry Peers Matter? Evidence on Corporate Debt Maturity Policy?},
author = {Fontaine, P. and Zhao S. },
year = {2017},
date = {2017-05-15},
booktitle = {Banco de Portugal 2017 seminar, Portugal, may and the FMA Lisbon Meeting, Portugal June},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Fontaine, P.; Zhao S. Market Undervaluation and Inter-Company Borrowings inproceedings FEP Eco Seminar, Universidade de Porto, Portugal, march and
the FMA Lisbon Meeting, Lisbon, Portugal, June and
the World Finance Conference, Sardinia, Italy, July, 2017. BibTeX @inproceedings{fontaine2017c,
title = {Market Undervaluation and Inter-Company Borrowings },
author = {Fontaine, P. and Zhao S. },
year = {2017},
date = {2017-03-15},
booktitle = {FEP Eco Seminar, Universidade de Porto, Portugal, march and
the FMA Lisbon Meeting, Lisbon, Portugal, June and
the World Finance Conference, Sardinia, Italy, July},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
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