2020
|
Articles de journaux
|
Patrice Fontaine; Tristan Roger A re-examination of analysts’differential target price forecasting ability Article de journal Dans: FINANCE, 2020. BibTeX @article{Fontaine2020a,
title = {A re-examination of analysts’differential target price forecasting ability},
author = {Patrice Fontaine and Tristan Roger},
editor = {PUG},
year = {2020},
date = {2020-01-01},
journal = {FINANCE},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
R. Benkraiem, F. Lakhal, C. Zopounidis International diversification and corporate cash holding behavior: What happens during economic downturns? Article de journal Forthcoming Dans: Journal of Economic Behavior & Organization, Forthcoming. BibTeX @article{Lakhal2019,
title = {International diversification and corporate cash holding behavior: What happens during economic downturns?},
author = {R. Benkraiem, F. Lakhal, C. Zopounidis},
editor = {ELSEVIER },
year = {2020},
date = {2020-01-01},
journal = {Journal of Economic Behavior & Organization},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
2019
|
Articles de journaux
|
J. Peillex; S. Boubaker; B. Comyns Does It Pay to Invest in Japanese Women? Evidence from the MSCI Japan Empowering Women Index Article de journal Forthcoming Dans: Journal of Business Ethics, Forthcoming. Liens | BibTeX @article{Comyns2019,
title = {Does It Pay to Invest in Japanese Women? Evidence from the MSCI Japan Empowering Women Index},
author = {J. Peillex; S. Boubaker; B. Comyns},
url = {https://link.springer.com/article/10.1007/s10551-019-04373-8#citeas},
doi = {https://doi.org/10.1007/s10551-019-04373-8},
year = {2019},
date = {2019-12-30},
journal = {Journal of Business Ethics},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Jonathan Peillex; B. Comyns Pourquoi les sociétés financières décident-elles d’adopter les Principes des Nations Unies pour l’Investissement Responsable ? Article de journal Forthcoming Dans: Comptabilité-Contrôle-Audit, Forthcoming. Résumé | BibTeX @article{Peillex2019d,
title = {Pourquoi les sociétés financières décident-elles d’adopter les Principes des Nations Unies pour l’Investissement Responsable ?},
author = {Jonathan Peillex and B. Comyns},
year = {2019},
date = {2019-12-27},
journal = {Comptabilité-Contrôle-Audit},
abstract = {Cette étude propose d’étudier l’influence de trois catégories de facteurs sur la décision des entreprises financières d’adopter les Principes pour l’Investissement Responsable (PRI). Ces facteurs sont liés : (i) aux ressources disponibles des entreprises (ii) à la recherche de légitimité et (iii) à la gouvernance. Des analyses à la fois univariées et multivariées sont appliquées à un échantillon composé de 198 entreprises financières de 2006 à 2015. Les résultats indiquent que les entreprises financières qui adhèrent aux PRI disposent de ressources disponibles moins conséquentes, sont davantage scrutées par le grand public, de plus grande taille et dotées d’un conseil d’administration caractérisé par une plus grande diversité de genre et par une plus forte indépendance que les entreprises non signataires.},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
Cette étude propose d’étudier l’influence de trois catégories de facteurs sur la décision des entreprises financières d’adopter les Principes pour l’Investissement Responsable (PRI). Ces facteurs sont liés : (i) aux ressources disponibles des entreprises (ii) à la recherche de légitimité et (iii) à la gouvernance. Des analyses à la fois univariées et multivariées sont appliquées à un échantillon composé de 198 entreprises financières de 2006 à 2015. Les résultats indiquent que les entreprises financières qui adhèrent aux PRI disposent de ressources disponibles moins conséquentes, sont davantage scrutées par le grand public, de plus grande taille et dotées d’un conseil d’administration caractérisé par une plus grande diversité de genre et par une plus forte indépendance que les entreprises non signataires. |
I. Zorgati; F. Lakhal Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches Article de journal Forthcoming Dans: Economic Modelling, Forthcoming. Liens | BibTeX @article{Lakhal2019,
title = {Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches},
author = {I. Zorgati; F. Lakhal},
editor = {ELSEVIER},
doi = {https://doi.org/10.1016/j.econmod.2019.12.015},
year = {2019},
date = {2019-12-27},
journal = {Economic Modelling},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Imane El Ouadghiri et Jonathan Peillex Attention des investisseurs institutionnels et liquidité des titres boursiers français Article de journal Forthcoming Dans: Revue Economique, Forthcoming. Résumé | BibTeX @article{Peillex2019e,
title = {Attention des investisseurs institutionnels et liquidité des titres boursiers français},
author = {Imane El Ouadghiri et Jonathan Peillex},
year = {2019},
date = {2019-12-26},
journal = {Revue Economique},
abstract = {Cet article est le premier qui propose d’examiner l’influence journalière de l’Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l’AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l’AII exerce un effet fortement positif sur le degré de liquidité des actions françaises. },
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
Cet article est le premier qui propose d’examiner l’influence journalière de l’Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l’AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l’AII exerce un effet fortement positif sur le degré de liquidité des actions françaises. |
Jonathan Peillex; D. Yoon; I. Rouine Affinité politique et choix du mode de propriété lors d’acquisitions transfrontalières Article de journal Forthcoming Dans: Management International, Forthcoming. Résumé | BibTeX @article{Yoon2019,
title = { Affinité politique et choix du mode de propriété lors d’acquisitions transfrontalières},
author = {Jonathan Peillex and D. Yoon and I. Rouine},
year = {2019},
date = {2019-12-24},
journal = {Management International},
abstract = {Cet article propose d’étudier l’effet de l’affinité politique entre le pays hôte et le pays d’origine sur le choix du mode de propriété (partiel ou total). L’analyse empirique est fondée sur un échantillon de 1 219 opérations d’acquisitions transfrontalières réalisées par des entreprises provenant de pays émergents entre 2000 et 2013. Les résultats indiquent que la probabilité de l’acquisition totale de la société cible est liée négativement à l’affinité politique entre le pays hôte et le pays d’origine.},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
Cet article propose d’étudier l’effet de l’affinité politique entre le pays hôte et le pays d’origine sur le choix du mode de propriété (partiel ou total). L’analyse empirique est fondée sur un échantillon de 1 219 opérations d’acquisitions transfrontalières réalisées par des entreprises provenant de pays émergents entre 2000 et 2013. Les résultats indiquent que la probabilité de l’acquisition totale de la société cible est liée négativement à l’affinité politique entre le pays hôte et le pays d’origine. |
Jonathan Peillex; Elias Erragragui; Mohammad Bitar; Mohammed Benlemlih The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance Article de journal Dans: The Quarterly Review of Economics and Finance, 74 , p. 32-38, 2019. Liens | BibTeX @article{Peillex2018,
title = {The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance},
author = {Jonathan Peillex and Elias Erragragui and Mohammad Bitar and Mohammed Benlemlih},
url = {https://doi.org/10.1016/j.qref.2018.03.013},
doi = {10.1016/j.qref.2018.03.013},
year = {2019},
date = {2019-11-30},
journal = {The Quarterly Review of Economics and Finance},
volume = {74},
pages = {32-38},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Mohammed Benlemlih; Jonathan Peillex Revisiter la question "Does it pay to be good?" dans le contexte européen Article de journal Dans: Recherches en Sciences de Gestion, 1 (130), p. 243-263, 2019. Liens | BibTeX @article{Peillex2019c,
title = {Revisiter la question "Does it pay to be good?" dans le contexte européen},
author = {Mohammed Benlemlih and Jonathan Peillex},
doi = {https://doi.org/10.3917/resg.130.0243},
year = {2019},
date = {2019-11-05},
journal = {Recherches en Sciences de Gestion},
volume = {1},
number = {130},
pages = {243-263},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
A. Ajina; F. Lakhal; S. Ayed Does Corporate Social Responsibility Reduce Earnings Management? The Moderating Role of Corporate Governance and Ownership Article de journal Dans: Management International, 23 (2), p. 45-55, 2019. BibTeX @article{Lakhal2019,
title = {Does Corporate Social Responsibility Reduce Earnings Management? The Moderating Role of Corporate Governance and Ownership},
author = {A. Ajina and F. Lakhal and S. Ayed},
editor = {HEC Montréal},
year = {2019},
date = {2019-09-01},
journal = {Management International},
volume = {23},
number = {2},
pages = {45-55},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Jonathan Peillex; Mohammad Bitar Performance des banques islamiques vs. banques conventionnelles: quelles exigences en matière de fonds propres réglementaires? Article de journal Dans: Revue Economique, 70 (4), p. 495-537, 2019. Résumé | Liens | BibTeX @article{Peillex0101,
title = {Performance des banques islamiques vs. banques conventionnelles: quelles exigences en matière de fonds propres réglementaires?},
author = { Jonathan Peillex and Mohammad Bitar},
url = {https://www.cairn.info/revue-economique-2019-4-page-495.htm},
year = {2019},
date = {2019-07-18},
journal = {Revue Economique},
volume = {70},
number = {4},
pages = {495-537},
abstract = {Cet article propose de comparer les effets de divers ratios de fonds propres règlementaires fondés ou non sur la pondération des actifs par le risque sur la profitabilité et l’efficience de banques à la fois islamiques et conventionnelles. Pour ce faire, un échantillon composé de 656 banques de 1999 à 2013 est mobilisé. Les résultats indiquent que les ratios de fonds propres améliorent la profitabilité et l’efficience des deux modèles de banques. Par ailleurs, les ratios de fonds propres ont un effet plus favorable sur la performance des banques islamiques qui relèvent de la règlementation proposée par le Conseil des Services Financiers Islamiques (IFSB) que celles qui dépendent du comité de Bâle sur le contrôle bancaire. Indépendamment du choix de la période, de la zone géographique, de la technique d’estimation ou encore de la méthode pour rendre compte de la profitabilité et de l’efficience des banques, ces résultats demeurent inchangés.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Cet article propose de comparer les effets de divers ratios de fonds propres règlementaires fondés ou non sur la pondération des actifs par le risque sur la profitabilité et l’efficience de banques à la fois islamiques et conventionnelles. Pour ce faire, un échantillon composé de 656 banques de 1999 à 2013 est mobilisé. Les résultats indiquent que les ratios de fonds propres améliorent la profitabilité et l’efficience des deux modèles de banques. Par ailleurs, les ratios de fonds propres ont un effet plus favorable sur la performance des banques islamiques qui relèvent de la règlementation proposée par le Conseil des Services Financiers Islamiques (IFSB) que celles qui dépendent du comité de Bâle sur le contrôle bancaire. Indépendamment du choix de la période, de la zone géographique, de la technique d’estimation ou encore de la méthode pour rendre compte de la profitabilité et de l’efficience des banques, ces résultats demeurent inchangés. |
Manuel Moreno; Alfonso Novales; Federico Platania Long-term swings and seasonality in energy markets Article de journal Dans: European Journal of Operational Research, 279 (3), p. 1011-1023, 2019. Résumé | Liens | BibTeX @article{Platania2019b,
title = {Long-term swings and seasonality in energy markets},
author = {Manuel Moreno and Alfonso Novales and Federico Platania},
url = {https://doi.org/10.1016/j.ejor.2019.05.042},
doi = {10.1016/j.ejor.2019.05.042},
year = {2019},
date = {2019-06-07},
journal = {European Journal of Operational Research},
volume = {279},
number = {3},
pages = {1011-1023},
abstract = {This paper introduces a two-factor continuous-time model for commodity pricing under the assumption that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean reversion price by a Fourier series with a stochastic component. We also consider a seasonal component in the price level, an essential characteristic of many commodity prices, which we represent again by a Fourier series. We obtain analytical pricing expressions for futures contracts. Using futures price data on Natural Gas, we provide evidence on the presence of long-term fluctuations and show how to estimate the long-term component simultaneously with a seasonal component using the Kalman filter. We analyse the in-sample and out-of-sample empirical performance of our pricing model with and without a seasonal component and compare it with Schwartz and Smith (2000) model. Our findings show the in-sample and out-of-sample superiority of our model with seasonal fluctuations, thereby providing a simple and powerful tool for portfolio management, risk management, and derivative pricing.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This paper introduces a two-factor continuous-time model for commodity pricing under the assumption that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean reversion price by a Fourier series with a stochastic component. We also consider a seasonal component in the price level, an essential characteristic of many commodity prices, which we represent again by a Fourier series. We obtain analytical pricing expressions for futures contracts. Using futures price data on Natural Gas, we provide evidence on the presence of long-term fluctuations and show how to estimate the long-term component simultaneously with a seasonal component using the Kalman filter. We analyse the in-sample and out-of-sample empirical performance of our pricing model with and without a seasonal component and compare it with Schwartz and Smith (2000) model. Our findings show the in-sample and out-of-sample superiority of our model with seasonal fluctuations, thereby providing a simple and powerful tool for portfolio management, risk management, and derivative pricing. |
Souad Brinette; Sabrina Khemiri Identifying the determinants of corporate venture capital strategy: evidence from French firms Article de journal Dans: International Journal of entrepreneurship and Small business, 37 (1), p. 152-166, 2019. BibTeX @article{Brinette2019,
title = {Identifying the determinants of corporate venture capital strategy: evidence from French firms},
author = {Souad Brinette and Sabrina Khemiri},
year = {2019},
date = {2019-05-17},
journal = {International Journal of entrepreneurship and Small business},
volume = {37},
number = {1},
pages = {152-166},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Gabriela Contreras AND Federico Platania Economic and policy uncertainty in climate change mitigation: The London Smart City case scenario Article de journal Dans: Technological Forecasting & Social Change, 142 , p. 384-393, 2019. Résumé | Liens | BibTeX @article{Platania2018c,
title = {Economic and policy uncertainty in climate change mitigation: The London Smart City case scenario},
author = {Gabriela Contreras AND Federico Platania},
url = {https://doi.org/10.1016/j.techfore.2018.07.018},
doi = {10.1016/j.techfore.2018.07.018},
year = {2019},
date = {2019-05-01},
journal = {Technological Forecasting & Social Change},
volume = {142},
pages = {384-393},
abstract = {Despite the overwhelming consensus within the scientific community concerning the causes and effects of climate change, decision-making processes often do not point out in the same direction. In order to effectively and satisfactorily tackle climate change, a legally and politically binding long-term policy architecture is needed. In practice, however, central governments and international policymakers have been unable to provide a successful policy architecture. Yet, city-level initiatives within the Smart City framework are a promising way to tackle climate change. An example of such a Smart City framework is the London Environment Strategy (LES). In this paper, we propose a zero mean reverting model for greenhouse gas emissions to quantitatively analyze its consistency with the 2050 Zero Carbon objectives. We consider different policy scenarios proposed in the LES and the forward-looking policy uncertainty embedded in different economic sectors, primarily domestic, industrial and commercial and transport. We find that, on average, only transport improves the historical greenhouse gas emissions trend, and most of this reduction comes from Smart Mobility and/or Smart Regulation programs focusing on the environment.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Despite the overwhelming consensus within the scientific community concerning the causes and effects of climate change, decision-making processes often do not point out in the same direction. In order to effectively and satisfactorily tackle climate change, a legally and politically binding long-term policy architecture is needed. In practice, however, central governments and international policymakers have been unable to provide a successful policy architecture. Yet, city-level initiatives within the Smart City framework are a promising way to tackle climate change. An example of such a Smart City framework is the London Environment Strategy (LES). In this paper, we propose a zero mean reverting model for greenhouse gas emissions to quantitatively analyze its consistency with the 2050 Zero Carbon objectives. We consider different policy scenarios proposed in the LES and the forward-looking policy uncertainty embedded in different economic sectors, primarily domestic, industrial and commercial and transport. We find that, on average, only transport improves the historical greenhouse gas emissions trend, and most of this reduction comes from Smart Mobility and/or Smart Regulation programs focusing on the environment. |
Matthieu Garcin Hurst exponents and delampertized fractional Brownian motions Article de journal Dans: International journal of theoretical and applied finance, 22 (5), p. 1950024, 2019. Liens | BibTeX @article{Garcin2019,
title = {Hurst exponents and delampertized fractional Brownian motions},
author = {Matthieu Garcin},
url = {https://www.researchgate.net/publication/329152995_Hurst_exponents_and_delampertized_fractional_Brownian_motions},
year = {2019},
date = {2019-02-02},
journal = {International journal of theoretical and applied finance},
volume = {22},
number = {5},
pages = {1950024},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Imane El Ouadghiri; Jonathan Peillex Public attention to “Islamic terrorism” and stock market returns Article de journal Forthcoming Dans: Journal of Comparative Economics, Forthcoming. Résumé | Liens | BibTeX @article{Peillex2019,
title = {Public attention to “Islamic terrorism” and stock market returns },
author = {Imane El Ouadghiri and Jonathan Peillex},
url = {https://www.sciencedirect.com/science/article/pii/S0147596718302506},
doi = {doi:10.1016/j.jce.2018.07.014},
year = {2019},
date = {2019-01-01},
journal = {Journal of Comparative Economics},
abstract = {Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products.},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products. |
Kramarić K., Šapina M., Garcin M., Milas K., Pirić M., Brdarić D., Lukić G., Milas V., Pušeljić S. Heart rate asymmetry as a new marker for neonatal stress Article de journal Dans: Biomedical signal processing & control, 47 , p. 219-223, 2019. Liens | BibTeX @article{Kramaric2019,
title = {Heart rate asymmetry as a new marker for neonatal stress},
author = {Kramarić K., Šapina M., Garcin M., Milas K., Pirić M., Brdarić D., Lukić G., Milas V., Pušeljić S.},
url = {https://www.researchgate.net/publication/330045708_Heart_rate_asymmetry_as_a_new_marker_for_neonatal_stress},
year = {2019},
date = {2019-01-01},
journal = {Biomedical signal processing & control},
volume = {47},
pages = {219-223},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
I. El Ouadghiri; Jonathan Peillex Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français Article de journal Forthcoming Dans: Revue Economique, Forthcoming. Résumé | BibTeX @article{Ouadghiri2019,
title = {Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français},
author = {I. El Ouadghiri and Jonathan Peillex},
year = {2019},
date = {2019-01-01},
journal = {Revue Economique},
abstract = {@article{Peillex2019e,
title = {Attention des investisseurs institutionnels et liquidité des titres boursiers français},
author = {I. El Ouadghiri; J. Peillex},
year = {2019},
date = {2019-12-26},
journal = {Revue Economique},
abstract = {Cet article est le premier qui propose d’examiner l’influence journalière de l’Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l’AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l’AII exerce un effet fortement positif sur le degré de liquidité des actions françaises. },
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
@article{Peillex2019e,
title = {Attention des investisseurs institutionnels et liquidité des titres boursiers français},
author = {I. El Ouadghiri; J. Peillex},
year = {2019},
date = {2019-12-26},
journal = {Revue Economique},
abstract = {Cet article est le premier qui propose d’examiner l’influence journalière de l’Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l’AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l’AII exerce un effet fortement positif sur le degré de liquidité des actions françaises. },
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
} |
I. El Ouadghiri, R. Uctum Macroeconomic Expectations and Time Varying Heterogeneity: Evidence from Individual Survey Data Article de journal Forthcoming Dans: Applied Economics, Forthcoming. Résumé | Liens | BibTeX @article{Ouadghiri2019b,
title = {Macroeconomic Expectations and Time Varying Heterogeneity: Evidence from Individual Survey Data},
author = {I. El Ouadghiri, R. Uctum},
url = {https://www.tandfonline.com/doi/full/10.1080/00036846.2019.1691713},
doi = {10.1080/00036846.2019.1691713},
year = {2019},
date = {2019-01-01},
journal = {Applied Economics},
abstract = {The goal of this paper is to investigate forecast heterogeneity and time variability
in the formation of expectations using disaggregated monthly survey data on macroeconomic
indicators provided by Bloomberg from June 1998 to August 2017. We show
that our panel of forecasters are not rational and are moderately heterogeneous and
thus confirm that previously well-established results on asset prices hold for macroeconomic
indicators. The estimation of our flexible hybrid forecast model – defined at
any time as a combination of the extrapolative, regressive, adaptive and interactive
heuristics – using the Bai and Perron (1998) methodology reveals a significant timedependence
in the structural model with some inertia in extrapolative and adaptive
profiles. Changes in the formation of expectations are triggered mostly by financial
shocks, and uncertainty is dealt with by using complex processes in which the fundamentalist
component overweighs chartist activity. Forecasters whose models combine
different relevant rules and display high temporal flexibility provide the most accurate
forecasts. Authorities can then stabilize the domestic markets by encouraging
fundamentalists’ forecasts through increased transparency policy.},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
The goal of this paper is to investigate forecast heterogeneity and time variability
in the formation of expectations using disaggregated monthly survey data on macroeconomic
indicators provided by Bloomberg from June 1998 to August 2017. We show
that our panel of forecasters are not rational and are moderately heterogeneous and
thus confirm that previously well-established results on asset prices hold for macroeconomic
indicators. The estimation of our flexible hybrid forecast model – defined at
any time as a combination of the extrapolative, regressive, adaptive and interactive
heuristics – using the Bai and Perron (1998) methodology reveals a significant timedependence
in the structural model with some inertia in extrapolative and adaptive
profiles. Changes in the formation of expectations are triggered mostly by financial
shocks, and uncertainty is dealt with by using complex processes in which the fundamentalist
component overweighs chartist activity. Forecasters whose models combine
different relevant rules and display high temporal flexibility provide the most accurate
forecasts. Authorities can then stabilize the domestic markets by encouraging
fundamentalists’ forecasts through increased transparency policy. |
Livres
|
Philippe DUPUY AND Patrice FONTAINE AND Joanne HAMET Les Marchés des Capitaux Français Livre EMS, 2019. BibTeX @book{Fontaine2019a,
title = {Les Marchés des Capitaux Français},
author = {Philippe DUPUY AND Patrice FONTAINE AND Joanne HAMET},
editor = {EMS},
year = {2019},
date = {2019-01-08},
publisher = {EMS},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
|
inproceedings
|
Laurence Carassus; Miklos Rasonyi From small markets to big markets Inproceedings Dans: 2019. Résumé | BibTeX @inproceedings{Carassus2019bb,
title = {From small markets to big markets},
author = {Laurence Carassus and Miklos Rasonyi},
year = {2019},
date = {2019-07-12},
abstract = {We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising expected utility in this setting. Besides establishing the existence of optimizers under weaker assumptions than previous papers, we go on studying the relationship between optimal investments in finite market segments and those in the whole market. We show that certain natural (but nontrivial) continuity rules hold: maximal satisfaction, reservation prices and (convex combinations of) optimizers computed in small markets converge to their respective counterparts in the big market.},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising expected utility in this setting. Besides establishing the existence of optimizers under weaker assumptions than previous papers, we go on studying the relationship between optimal investments in finite market segments and those in the whole market. We show that certain natural (but nontrivial) continuity rules hold: maximal satisfaction, reservation prices and (convex combinations of) optimizers computed in small markets converge to their respective counterparts in the big market. |
Laurence Carassus; Julien Baptiste; Emmanuel Lépinette Pricing Without Martingale Measure Inproceedings Dans: Springer-Verlag, (Ed.): 2019. Résumé | Liens | BibTeX @inproceedings{Carassus2018db,
title = {Pricing Without Martingale Measure},
author = {Laurence Carassus and Julien Baptiste and Emmanuel Lépinette},
editor = {Springer-Verlag},
url = {https://arxiv.org/abs/1807.04612},
doi = {10.2139/ssrn.3190878},
year = {2019},
date = {2019-05-10},
abstract = {For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. Here, we propose a new approach based on convex duality instead of martingale measures duality: our prices will be expressed using Fenchel conjugate and bi-conjugate. This naturally leads to a weak condition of absence of arbitrage opportunity, called Absence of Immediate Profit (AIP), which asserts that the price of the zero claim should be zero. We study the link between (AIP), (NA) and the no-free lunch condition. We show in a one step model that, under (AIP), the super-hedging cost is just the payoff's concave envelop and that (AIP) is equivalent to the non-negativity of the super-hedging prices of some call option. In the multiple-period case, for a particular, but still general setup, we propose a recursive scheme for the computation of a the super-hedging cost of a convex option. We also give some numerical illustrations.},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. Here, we propose a new approach based on convex duality instead of martingale measures duality: our prices will be expressed using Fenchel conjugate and bi-conjugate. This naturally leads to a weak condition of absence of arbitrage opportunity, called Absence of Immediate Profit (AIP), which asserts that the price of the zero claim should be zero. We study the link between (AIP), (NA) and the no-free lunch condition. We show in a one step model that, under (AIP), the super-hedging cost is just the payoff's concave envelop and that (AIP) is equivalent to the non-negativity of the super-hedging prices of some call option. In the multiple-period case, for a particular, but still general setup, we propose a recursive scheme for the computation of a the super-hedging cost of a convex option. We also give some numerical illustrations. |
Laurence Carassus; Miklos Rasonyi Risk-neutral pricing for APT Inproceedings Dans: 2019. Résumé | BibTeX @inproceedings{Carassus2019g,
title = {Risk-neutral pricing for APT},
author = {Laurence Carassus and Miklos Rasonyi},
year = {2019},
date = {2019-04-25},
abstract = {We consider the problem of super-replication (hedging without risk) for the Arbitrage Pricing Theory. The dual characterization of super-replication cost is provided. It is shown that the reservation prices of investors converge to this cost as their respective risk-aversion tends to infinity.},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
We consider the problem of super-replication (hedging without risk) for the Arbitrage Pricing Theory. The dual characterization of super-replication cost is provided. It is shown that the reservation prices of investors converge to this cost as their respective risk-aversion tends to infinity. |
2018
|
Articles de journaux
|
Laurence Carassus; Miklos Rasonyi Risk-averse asymptotics for reservation prices Article de journal Dans: Annals of Finance, 7 (3), p. 375–387, 2018. Résumé | Liens | BibTeX @article{Carassus2018cb,
title = {Risk-averse asymptotics for reservation prices},
author = {Laurence Carassus and Miklos Rasonyi},
editor = {Springer-Verlag …},
doi = {10.1007/s10436-010-0167-1},
year = {2018},
date = {2018-11-01},
journal = {Annals of Finance},
volume = {7},
number = {3},
pages = {375–387},
abstract = {In this article we investigate the effect of increasing risk aversion onutility-based prices. We are dealing with the utility indifference price (or reservationprice), defined in [12] for the first time. This is the minimal amount added toan option seller’s initial capital which allows her to attain the same utilitythatshe would have attained from her initial capital without selling the option, seeDefinition 4.2 below. Intuitively, when risk aversion tends to infinity, reservationprice should tend to the superreplication price (i.e. the price of hedging theoption without any risk).This result was shown in [19] for Brownian models and in [9] in a semi-martingale setting when the agent has constant absolute risk aversion (i.e. forexponential utility functions). Certain other classes of utility functions weretreated in [4], models with transaction costs were considered in [5].However, an extension of this result to general utility functions was lacking.In [6] and [7] the case of discrete-time markets was treated for utilities on thepositive axis as well as on the real line. Now we prove this result in a continuous-time semimartingale framework, under suitable hypotheses . In section 2 we model the agent’s preferences and introduce a growth condi-tion (related to the elasticity of utility functions), in section 3 the market modeland a compactness assumption are discussed. In section 4 the concept of utilityindifference price is formally defined and the two main theorems are proved.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this article we investigate the effect of increasing risk aversion onutility-based prices. We are dealing with the utility indifference price (or reservationprice), defined in [12] for the first time. This is the minimal amount added toan option seller’s initial capital which allows her to attain the same utilitythatshe would have attained from her initial capital without selling the option, seeDefinition 4.2 below. Intuitively, when risk aversion tends to infinity, reservationprice should tend to the superreplication price (i.e. the price of hedging theoption without any risk).This result was shown in [19] for Brownian models and in [9] in a semi-martingale setting when the agent has constant absolute risk aversion (i.e. forexponential utility functions). Certain other classes of utility functions weretreated in [4], models with transaction costs were considered in [5].However, an extension of this result to general utility functions was lacking.In [6] and [7] the case of discrete-time markets was treated for utilities on thepositive axis as well as on the real line. Now we prove this result in a continuous-time semimartingale framework, under suitable hypotheses . In section 2 we model the agent’s preferences and introduce a growth condi-tion (related to the elasticity of utility functions), in section 3 the market modeland a compactness assumption are discussed. In section 4 the concept of utilityindifference price is formally defined and the two main theorems are proved. |
Laurence Carassus; Huyen Pham; Nizar Touzi No Arbitrage in Discrete Time Under Portfolio Constraints Article de journal Dans: 2018. Résumé | Liens | BibTeX @article{carassus2017b,
title = {No Arbitrage in Discrete Time Under Portfolio Constraints},
author = {Laurence Carassus and Huyen Pham and Nizar Touzi},
editor = {Alfred Rényi Institute of Mathematics, Hungarian Academy of Sciences},
url = {https://arxiv.org/abs/1904.08780v2},
year = {2018},
date = {2018-10-08},
abstract = {In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and allowing the proof of important results in mathematical finance. We also revisit the so-called geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and allowing the proof of important results in mathematical finance. We also revisit the so-called geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated |
Laurence Carrassus AND Tiziano Vargiolu SUPER-REPLICATION PRICE: IT CAN BE OK. Article de journal Dans: 64 , p. 54-64, 2018. Résumé | Liens | BibTeX @article{Carrassus2018,
title = {SUPER-REPLICATION PRICE: IT CAN BE OK.},
author = {Laurence Carrassus AND Tiziano Vargiolu},
doi = {10.1051/proc/201864054 },
year = {2018},
date = {2018-10-02},
volume = {64},
pages = {54-64},
abstract = {Abstract.We consider a discrete time financial model where the support of the conditional law ofthe risky asset is bounded. For convex options we show that the super-replication problem reduces tothe replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.Thus the super-replication price can be of practical use if this support is not to large. We also makethe link with the recent literature on multiple-priors models.R ́esum ́e.
Nous consid ́erons un mod`ele financier `a temps discret, o`u le support de la loi conditionnellede l’actif risqu ́e est born ́e. Nous montrons, pour une option dont la fonction de paiement est convexe,que le probl`eme de surr ́eplication se r ́eduit `a un probl`eme de r ́eplication parfaite dans un mod`eleCox-Ross-Rubinstein, dont les param`etres sont les bornes du support de la loi. Ainsi, le prix desurr ́eplication peut ˆetre utilis ́e en pratique, si ce support n’est pas trop grand. Nous faisons aussi lelien avec la litt ́erature r ́ecente portant sur les mod`eles `a croyances multiples},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Abstract.We consider a discrete time financial model where the support of the conditional law ofthe risky asset is bounded. For convex options we show that the super-replication problem reduces tothe replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.Thus the super-replication price can be of practical use if this support is not to large. We also makethe link with the recent literature on multiple-priors models.R ́esum ́e.
Nous consid ́erons un mod`ele financier `a temps discret, o`u le support de la loi conditionnellede l’actif risqu ́e est born ́e. Nous montrons, pour une option dont la fonction de paiement est convexe,que le probl`eme de surr ́eplication se r ́eduit `a un probl`eme de r ́eplication parfaite dans un mod`eleCox-Ross-Rubinstein, dont les param`etres sont les bornes du support de la loi. Ainsi, le prix desurr ́eplication peut ˆetre utilis ́e en pratique, si ce support n’est pas trop grand. Nous faisons aussi lelien avec la litt ́erature r ́ecente portant sur les mod`eles `a croyances multiples |
Laurence Carassus; Tiziano Vargiolu Super-Replication Price : It can be Ok Article de journal Dans: 64 , p. 54-64, 2018. Résumé | Liens | BibTeX @article{Carassus2018b,
title = {Super-Replication Price : It can be Ok},
author = {Laurence Carassus and Tiziano Vargiolu},
doi = {10.1051/proc/201864054 },
year = {2018},
date = {2018-10-02},
volume = {64},
pages = {54-64},
abstract = {Abstract.We consider a discrete time financial model where the support of the conditional law ofthe risky asset is bounded. For convex options we show that the super-replication problem reduces tothe replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.Thus the super-replication price can be of practical use if this support is not to large. We also makethe link with the recent literature on multiple-priors models.R ́esum ́e.Nous consid ́erons un mod`ele financier `a temps discret, o`u le support de la loi conditionnellede l’actif risqu ́e est born ́e.
Nous montrons, pour une option dont la fonction de paiement est convexe,que le probl`eme de surr ́eplication se r ́eduit `a un probl`eme de r ́eplication parfaite dans un mod`eleCox-Ross-Rubinstein, dont les param`etres sont les bornes du support de la loi. Ainsi, le prix desurr ́eplication peut ˆetre utilis ́e en pratique, si ce support n’est pas trop grand. Nous faisons aussi lelien avec la litt ́erature r ́ecente portant sur les mod`eles `a croyances multiples},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Abstract.We consider a discrete time financial model where the support of the conditional law ofthe risky asset is bounded. For convex options we show that the super-replication problem reduces tothe replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.Thus the super-replication price can be of practical use if this support is not to large. We also makethe link with the recent literature on multiple-priors models.R ́esum ́e.Nous consid ́erons un mod`ele financier `a temps discret, o`u le support de la loi conditionnellede l’actif risqu ́e est born ́e.
Nous montrons, pour une option dont la fonction de paiement est convexe,que le probl`eme de surr ́eplication se r ́eduit `a un probl`eme de r ́eplication parfaite dans un mod`eleCox-Ross-Rubinstein, dont les param`etres sont les bornes du support de la loi. Ainsi, le prix desurr ́eplication peut ˆetre utilis ́e en pratique, si ce support n’est pas trop grand. Nous faisons aussi lelien avec la litt ́erature r ́ecente portant sur les mod`eles `a croyances multiples |
Sahli, A.; KHEMIRI, S. Financial crisis and private equity performance in France Article de journal Forthcoming Dans: International Journal of Entrepreneurship and Small Business, Forthcoming. BibTeX @article{Sahli2018,
title = {Financial crisis and private equity performance in France},
author = {Sahli, A. and KHEMIRI, S.},
editor = {International Journal of Entrepreneurship and Small Business},
year = {2018},
date = {2018-09-30},
journal = {International Journal of Entrepreneurship and Small Business},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Elias Erragragui; Kabir Hassan; Jonathan Peillex; Faisal Khan Does ethics improve stock market resilience in times of instability? Article de journal Dans: Economic Systems, 42 (3), p. 450-469, 2018. Liens | BibTeX @article{Erragragui2017,
title = {Does ethics improve stock market resilience in times of instability?},
author = {Elias Erragragui and Kabir Hassan and Jonathan Peillex and Faisal Khan},
url = {https://doi.org/10.1016/j.ecosys.2017.09.003},
doi = {doi.org/10.1016/j.ecosys.2017.09.003},
year = {2018},
date = {2018-09-10},
journal = {Economic Systems},
volume = {42},
number = {3},
pages = {450-469},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Mohammed Benlemlih; Jamil Jaballah; Jonathan Peillex Does It Really Pay to Do Better? Exploring the Financial Effects of Changes in CSR Ratings Article de journal Dans: Applied Economics, 50 (51), p. 5464-5482, 2018. Liens | BibTeX @article{Peillex1703,
title = {Does It Really Pay to Do Better? Exploring the Financial Effects of Changes in CSR Ratings},
author = {Mohammed Benlemlih and Jamil Jaballah and Jonathan Peillex},
url = {https://www.tandfonline.com/doi/abs/10.1080/00036846.2018.1486997},
doi = {10.1080/00036846.2018.1486997},
year = {2018},
date = {2018-07-11},
journal = {Applied Economics},
volume = {50},
number = {51},
pages = {5464-5482},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
P. Fontaine; S. Jimenez; M. Seasholes Common Factors, Information, and Holdings Dispersion Article de journal Dans: Review of Finance, 22 (4), p. 1441-1467, 2018. Liens | BibTeX @article{fontaine2017bb,
title = {Common Factors, Information, and Holdings Dispersion},
author = {P. Fontaine and S. Jimenez and M. Seasholes},
doi = {https://doi.org/10.1093/rof/rfx030},
year = {2018},
date = {2018-07-01},
journal = {Review of Finance},
volume = {22},
number = {4},
pages = {1441-1467},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Khemiri Sabrina, Brinette Souad, Benkraiem Ramzi., Miloudi Anthony. Order of preference of debts under asymmetric information. Article de journal Dans: Journal of Governance & Regulation, 7 (2), p. 49-56, 2018. BibTeX @article{Sabrina2018,
title = {Order of preference of debts under asymmetric information.},
author = {Khemiri Sabrina, Brinette Souad, Benkraiem Ramzi., Miloudi Anthony. },
year = {2018},
date = {2018-06-01},
journal = {Journal of Governance & Regulation},
volume = {7},
number = {2},
pages = {49-56},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Laurence Carassus Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time Article de journal Dans: 28 (3), p. 1856-1892., 2018. Résumé | BibTeX @article{carassus2017db,
title = {Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time},
author = {Laurence Carassus},
year = {2018},
date = {2018-06-01},
booktitle = {AMAMEF, Amsterdam, juin 2017},
volume = {28},
number = {3},
pages = {1856-1892.},
abstract = {This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under nondominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under nondominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line. |
Laurence Carassus No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach Article de journal Dans: Mathematical Methods of Operations Research, 88 (2), p. 241-281, 2018, ISBN: 1432-5217. Résumé | Liens | BibTeX @article{Carassus2018h,
title = {No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach},
author = {Laurence Carassus},
editor = {Springer Berlin Heidelberg},
doi = {10.1007/s00186-018-0635-3},
isbn = {1432-5217},
year = {2018},
date = {2018-03-18},
journal = {Mathematical Methods of Operations Research},
volume = {88},
number = {2},
pages = {241-281},
abstract = {We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors. |
Federico Platania AND Pedro Serrano AND Mikel Tapia Modelling the shape of the limit order book Article de journal Dans: Quantitative Finance, 18 (9), p. 1575-1597, 2018. Résumé | Liens | BibTeX @article{Tapia2018,
title = {Modelling the shape of the limit order book},
author = {Federico Platania AND Pedro Serrano AND Mikel Tapia},
doi = {10.1080/14697688.2018.1433312},
year = {2018},
date = {2018-02-23},
journal = {Quantitative Finance},
volume = {18},
number = {9},
pages = {1575-1597},
abstract = {This article develops a parsimonious way to use the shape of the limit order book to produce an estimate of the asset price. The posited model captures and describes the evolution of the distribution of limit orders on the bid and ask sides of the LOB during the trading session and provides estimates of the execution asset price over time. The performance of the model is evaluated against some existing standards from the market microstructure literature during the trading session. Empirical evidence on listed companies confirm a strong contribution of our methodology to the innovation in asset prices, according to the information share coefficients. We also document a significant improvement relative to the Hasbrouck [J. Finance, 1991, 46, 179–207] model when our model estimates are included as regressors.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This article develops a parsimonious way to use the shape of the limit order book to produce an estimate of the asset price. The posited model captures and describes the evolution of the distribution of limit orders on the bid and ask sides of the LOB during the trading session and provides estimates of the execution asset price over time. The performance of the model is evaluated against some existing standards from the market microstructure literature during the trading session. Empirical evidence on listed companies confirm a strong contribution of our methodology to the innovation in asset prices, according to the information share coefficients. We also document a significant improvement relative to the Hasbrouck [J. Finance, 1991, 46, 179–207] model when our model estimates are included as regressors. |
Manuel Moreno AND Alfonso Novales AND Federico Platania A term structure model under cyclical fluctuations in interest rates Article de journal Dans: Economic Modelling, 72 , p. 140-150, 2018. Résumé | BibTeX @article{Platania2018,
title = {A term structure model under cyclical fluctuations in interest rates},
author = {Manuel Moreno AND Alfonso Novales AND Federico Platania},
year = {2018},
date = {2018-02-07},
journal = {Economic Modelling},
volume = {72},
pages = {140-150},
abstract = {We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models. |
Manuel Moreno AND Alfonso Novales AND Federico Platania A term structure model under cyclical fluctuations in interest rates Article de journal Dans: Economic Modelling, 72 , p. 140-150, 2018. Résumé | Liens | BibTeX @article{Platania2018b,
title = {A term structure model under cyclical fluctuations in interest rates},
author = {Manuel Moreno AND Alfonso Novales AND Federico Platania},
doi = { https://doi.org/10.1016/j.econmod.2018.01.015},
year = {2018},
date = {2018-02-07},
journal = {Economic Modelling},
volume = {72},
pages = {140-150},
abstract = {We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models. |
Šapina M., Karmakar C.K., Kramarić K., Garcin M., Adelson P., Milas K., Pirić M., Brdarić D., Yearwood J. Multi-lag tone-entropy in neonatal stress Article de journal Dans: Journal of the royal society interface, 15 (146), p. 0420, 2018. Liens | BibTeX @article{Sapina2018b,
title = {Multi-lag tone-entropy in neonatal stress},
author = {Šapina M., Karmakar C.K., Kramarić K., Garcin M., Adelson P., Milas K., Pirić M., Brdarić D., Yearwood J.},
url = {https://www.researchgate.net/publication/325876951_Multi-lag_tone-entropy_in_neonatal_stress},
year = {2018},
date = {2018-02-02},
journal = {Journal of the royal society interface},
volume = {15},
number = {146},
pages = {0420},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Moez ESSID et Nicolas BERLAND Adoption of environmental management tools: the dynamic capabilities contributions Article de journal Dans: Sustainability Accounting Management and Policy Journal, 9 (3), p. 229-252, 2018. BibTeX @article{ESSIDe,
title = {Adoption of environmental management tools: the dynamic capabilities contributions },
author = {Moez ESSID et Nicolas BERLAND},
editor = {Emerald Publishing Limited},
year = {2018},
date = {2018-01-07},
journal = {Sustainability Accounting Management and Policy Journal},
volume = {9},
number = {3},
pages = {229-252},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Philippe Desbrières; Elias Erragragui; Jonathan Peillex L'investissement conforme à la Charia est-il socialement responsable? Article de journal Dans: Management International, 22 (3), p. 51-64, 2018. Résumé | Liens | BibTeX @article{Desbrières2017,
title = {L'investissement conforme à la Charia est-il socialement responsable?},
author = {Philippe Desbrières and Elias Erragragui and Jonathan Peillex},
url = {http://www.managementinternational.ca/catalog/volumes/l-investissement-conforme-a-la-charia-est-il-socialement-responsable.html},
year = {2018},
date = {2018-01-06},
journal = {Management International},
volume = {22},
number = {3},
pages = {51-64},
abstract = {This study proposes a new approach on the suitability of including the SCI in the sphere of SRI. We compare these two investment styles both qualitatively and quantitatively in order to understand whether and how the SCI differs from the SRI. The results show that SCI financially outperforms SRI and conventional investment during economic downturn and it is characterized by social under-performance. We conclude that even if SCI may be considered as a particular concept of SRI, the non-inclusion of ESG considerations may lead the academic and professional communities to deal with SCI as a full investment style.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This study proposes a new approach on the suitability of including the SCI in the sphere of SRI. We compare these two investment styles both qualitatively and quantitatively in order to understand whether and how the SCI differs from the SRI. The results show that SCI financially outperforms SRI and conventional investment during economic downturn and it is characterized by social under-performance. We conclude that even if SCI may be considered as a particular concept of SRI, the non-inclusion of ESG considerations may lead the academic and professional communities to deal with SCI as a full investment style. |
Laurence Carassus; Romain Blanchard Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function Article de journal Dans: Annals of Applied Probability, 28 (3), p. 1856-1892, 2018. Résumé | BibTeX @article{Carassus2018e,
title = {Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function},
author = {Laurence Carassus and Romain Blanchard},
year = {2018},
date = {2018-01-02},
journal = {Annals of Applied Probability},
volume = {28},
number = {3},
pages = {1856-1892},
abstract = {Abstract
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under nondominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Abstract
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under nondominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line. |
Jamil Jaballah; Jonathan Peillex; Laurent Weill Is Being Sharia Compliant Worth It? Article de journal Dans: Economic Modelling, 72 , p. 353-362, 2018. Liens | BibTeX @article{Weill2018,
title = {Is Being Sharia Compliant Worth It?},
author = {Jamil Jaballah; Jonathan Peillex; Laurent Weill},
url = {https://doi.org/10.1016/j.econmod.2018.02.011},
doi = {10.1016/j.econmod.2018.02.011},
year = {2018},
date = {2018-01-01},
journal = {Economic Modelling},
volume = {72},
pages = {353-362},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Šapina M., Kośmider M., Kramarić K., Garcin M., Pirić M., Milas K., Brdarić D. Asymmetric detrended fluctuation analysis in neonatal stress Article de journal Dans: Physiological measurement, 39 (8), p. 085006, 2018. Liens | BibTeX @article{Sapina2018,
title = {Asymmetric detrended fluctuation analysis in neonatal stress},
author = {Šapina M., Kośmider M., Kramarić K., Garcin M., Pirić M., Milas K., Brdarić D.},
url = {https://www.researchgate.net/publication/324389550_Asymmetric_detrended_fluctuation_analysis_in_neonatal_stress},
year = {2018},
date = {2018-01-01},
journal = {Physiological measurement},
volume = {39},
number = {8},
pages = {085006},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Imane El Ouadghiri; Jonathan Peillex Public attention to “Islamic terrorism” and stock market returns Article de journal Forthcoming Dans: Journal of Comparative Economics, Forthcoming. Résumé | Liens | BibTeX @article{Peillex2019g,
title = {Public attention to “Islamic terrorism” and stock market returns},
author = {Imane El Ouadghiri and Jonathan Peillex},
url = {https://www.sciencedirect.com/science/article/pii/S0147596718302506},
year = {2018},
date = {2018-01-01},
journal = {Journal of Comparative Economics},
abstract = {Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products.},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products. |
Conférences
|
S. BRINETTE, S. KHEMIRI, R. BENKRAIEM et A. MILOUDI L’effet du système de gouvernance sur la stratégie de capital risque industriel des groupes français 5500 - 5599 Conférence 17ème Conférence Internationale de Gouvernance,, le 4 et 5 Juin 2018, Nice., 2018. BibTeX @conference{BRINETTE2018,
title = {L’effet du système de gouvernance sur la stratégie de capital risque industriel des groupes français},
author = {S. BRINETTE, S. KHEMIRI, R. BENKRAIEM et A. MILOUDI},
year = {2018},
date = {2018-06-04},
publisher = {17ème Conférence Internationale de Gouvernance,},
address = { le 4 et 5 Juin 2018, Nice.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
ELOUAER-MRIZAK, S., KHEMIRI, S., et SIYAHHAN, B., L'impact du capital social de l'entrepreneur sur la réussite de sa campagne de financement participatif. 5500 - 5599 Conférence 7èmes Journées Georges Doriot - Entrepreneuriat et Société, , 16 et 17 mai 2018, Montréal., 2018. BibTeX @conference{ELOUAER-MRIZAK2018,
title = {L'impact du capital social de l'entrepreneur sur la réussite de sa campagne de financement participatif.},
author = {ELOUAER-MRIZAK, S., KHEMIRI, S., et SIYAHHAN, B., },
year = {2018},
date = {2018-05-16},
publisher = {7èmes Journées Georges Doriot - Entrepreneuriat et Société, },
address = {16 et 17 mai 2018, Montréal.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
2017
|
Articles de journaux
|
Tarik Bazgour; Laurent Bodson; Danielle Sougné What Style Liquidity Timing Skills Do Mutual Fund Managers Possess? Article de journal Dans: The Financial Review, 52 , p. 597–626, 2017. Résumé | Liens | BibTeX @article{Bazgour2017,
title = {What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?},
author = {Tarik Bazgour; Laurent Bodson; Danielle Sougné},
doi = {10.1111/fire.12117},
year = {2017},
date = {2017-11-01},
journal = {The Financial Review},
volume = {52},
pages = {597–626},
abstract = {Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four-factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four-factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing. |
Giorgia Callegaro; Lucio Fiorin; Martino Grasselli Pricing via Quantization in Stochastic Volatility Models Article de journal Dans: Quantitative Finance, 17 (6), p. 855-872, 2017. Résumé | Liens | BibTeX @article{Callegaro2017,
title = {Pricing via Quantization in Stochastic Volatility Models},
author = {Giorgia Callegaro and Lucio Fiorin and Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2669734},
year = {2017},
date = {2017-10-22},
journal = {Quantitative Finance},
volume = {17},
number = {6},
pages = {855-872},
abstract = {In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the knowledge of the transition probabilities for the discretized stock process. We apply the methodology to some celebrated stochastic volatility models, including the Stein and Stein (1991) model and the SABR model introduced in Hagan and Woodward (2002). A numerical exercise shows that the pricing of vanillas turns out to be accurate; in addition, when applied to some exotics like equity-volatility options, the quantization-based method overperforms by far the Monte Carlo simulation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the knowledge of the transition probabilities for the discretized stock process. We apply the methodology to some celebrated stochastic volatility models, including the Stein and Stein (1991) model and the SABR model introduced in Hagan and Woodward (2002). A numerical exercise shows that the pricing of vanillas turns out to be accurate; in addition, when applied to some exotics like equity-volatility options, the quantization-based method overperforms by far the Monte Carlo simulation. |
Martino Grasselli The 4/2 stochastic volatility model Article de journal Dans: Mathematical Finance, 27 (4), p. 1013-1034, 2017. Résumé | Liens | BibTeX @article{Grassellibb,
title = {The 4/2 stochastic volatility model},
author = { Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2523635},
doi = {DOI: 10.1111/mafi.12124},
year = {2017},
date = {2017-10-15},
journal = {Mathematical Finance},
volume = {27},
number = {4},
pages = {1013-1034},
abstract = {We introduce a new stochastic volatility model that includes as special cases the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). The new model displays new features, namely the instantaneous volatility can be uniformly bounded away from zero, and it is highly tractable, meaning that the pricing procedure can be performed efficiently. This required the application of the Lie symmetries theory for PDEs, which allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation and a second order discretization scheme for the model, which is useful in view of the numerical applications.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We introduce a new stochastic volatility model that includes as special cases the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). The new model displays new features, namely the instantaneous volatility can be uniformly bounded away from zero, and it is highly tractable, meaning that the pricing procedure can be performed efficiently. This required the application of the Lie symmetries theory for PDEs, which allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation and a second order discretization scheme for the model, which is useful in view of the numerical applications. |
Laurence Carassus; Romain Blanchard Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Article de journal Dans: 2017. Résumé | BibTeX @article{Carassus2017gb,
title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},
author = {Laurence Carassus and Romain Blanchard},
year = {2017},
date = {2017-09-27},
abstract = {This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defined on the positive axis. We prove that under suitable conditions the multiple-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price.
We also revisit the notion of certainty equivalent for random utility functions and establish its relation with the absolute risk aversion.
)},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defined on the positive axis. We prove that under suitable conditions the multiple-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price.
We also revisit the notion of certainty equivalent for random utility functions and establish its relation with the absolute risk aversion.
) |
La 4e édition des « 6h de Natation » organisée par le Cercle du Marais a eu lieu cette année la veille de la journée mo…
Une première dans l’histoire des associations du Pôle Léonard de Vinci, et peut-être même une première à l’échelle de…
Pendant une semaine, les deux associations du Pôle Léonard de Vinci ont proposé différentes animations pour récolter des fonds à destination de la lutte contre l…
Devinci Durable, c’est l’association étudiante du Pôle Léonard de Vinci dédiée au Développement Durable. Leur objectif ? Promouvoir un mode de vie…
