2021 |
Articles de journaux |
Imane El Ouadghiri, Khaled Guesmi, Jonathan Peillex, Andreas Ziegler Public Attention to Environmental Issues and Stock Market Returns Article de journal Dans: Ecological Economics, 180 (106836), 2021. Résumé | Liens | BibTeX @article{Ouadghiri2021,
title = {Public Attention to Environmental Issues and Stock Market Returns},
author = {Imane El Ouadghiri, Khaled Guesmi, Jonathan Peillex, Andreas Ziegler},
url = {https://www.sciencedirect.com/science/article/pii/S0921800919315617},
doi = {10.1016/j.ecolecon.2020.106836},
year = {2021},
date = {2021-02-01},
journal = {Ecological Economics},
volume = {180},
number = {106836},
abstract = {This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional parent indices (i.e. the S&P 500 Index and the FTSE USA). In addition to unexpected global climate-related natural weather disasters, we consider two complementary measures of continuous public attention to these environmental issues: (i) US media attention to climate change and pollution and (ii) the US Google Search Volume Index for these two keywords. Robust to several sensitivity analyses, our econometric analysis for the period from 2004 to 2018 reveals that public attention to environmental issues has a significantly positive (negative) effect on the returns on US sustainability (conventional) stock indices. A possible explanation of this result is that high public attention to environmental issues may drive traditionally sustainable investors, neosustainable, and opportunistic self-interested investors to favor stocks of sustainable firms. The insights from our empirical study are important for private and institutional investors as well as public policy.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This paper empirically examines the effect of public attention to climate change and pollution on the weekly returns on US sustainability stock indices (i.e. the DJSI US and the FTSE4Good USA Index) in comparison to their conventional parent indices (i.e. the S&P 500 Index and the FTSE USA). In addition to unexpected global climate-related natural weather disasters, we consider two complementary measures of continuous public attention to these environmental issues: (i) US media attention to climate change and pollution and (ii) the US Google Search Volume Index for these two keywords. Robust to several sensitivity analyses, our econometric analysis for the period from 2004 to 2018 reveals that public attention to environmental issues has a significantly positive (negative) effect on the returns on US sustainability (conventional) stock indices. A possible explanation of this result is that high public attention to environmental issues may drive traditionally sustainable investors, neosustainable, and opportunistic self-interested investors to favor stocks of sustainable firms. The insights from our empirical study are important for private and institutional investors as well as public policy. |
Callegaro, G.; Grasselli, M.; Pagès, G. Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Article de journal Forthcoming Dans: Mathematics of Operations Research, Forthcoming. BibTeX @article{grassellicallegaro20,
title = {Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)},
author = {Callegaro, G. and Grasselli, M. and Pagès, G.},
year = {2021},
date = {2021-01-06},
journal = {Mathematics of Operations Research},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Lakhal, F., Francoeur C., Gaaya S., BenSaad I. How do powerful CEOs influence corporate environmental performance? Article de journal Dans: Economic Modelling, 94 , p. 121-129, 2021. Liens | BibTeX @article{Lakhal2021,
title = {How do powerful CEOs influence corporate environmental performance?},
author = {Lakhal, F., Francoeur C., Gaaya S., BenSaad I.},
editor = {ELSEVIER },
doi = {https://doi.org/10.1016/j.econmod.2020.09.024},
year = {2021},
date = {2021-01-01},
journal = {Economic Modelling},
volume = {94},
pages = {121-129},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Jonathan Peillex, Imane El Ouadghiri, Mathieu Gomes, Jamil Jaballah Extreme heat and stock market activity Article de journal Dans: Ecological Economics, 179 (106810), 2021. Résumé | Liens | BibTeX @article{Peillex2021,
title = {Extreme heat and stock market activity},
author = {Jonathan Peillex, Imane El Ouadghiri, Mathieu Gomes, Jamil Jaballah},
url = {https://www.sciencedirect.com/science/article/pii/S092180092030015X},
doi = {10.1016/j.ecolecon.2020.106810},
year = {2021},
date = {2021-01-01},
journal = {Ecological Economics},
volume = {179},
number = {106810},
abstract = {We aim to advance our understanding of the adverse effects of extreme temperatures by examining the extent to which high temperatures affect stock market activity. We address this question by analyzing the trading volumes on the French stock market on days when the weather in Paris is excessively hot over the period 1995–2019. Our empirical analyses show that, on average, trading volumes fall significantly (between 4% and 10%) when maximum daily temperatures exceed 30 °C (86 °F). The observed negative association is remarkably robust to a battery of alternative analyses such as bin tests, event studies, and time-series regressions controlling for any seasonal effects and financial market conditions. From a theoretical perspective, this study contributes to the literature on behavioral finance by demonstrating the existence of a “hot weather” effect on financial markets. It also offers important managerial and public policy implications.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We aim to advance our understanding of the adverse effects of extreme temperatures by examining the extent to which high temperatures affect stock market activity. We address this question by analyzing the trading volumes on the French stock market on days when the weather in Paris is excessively hot over the period 1995–2019. Our empirical analyses show that, on average, trading volumes fall significantly (between 4% and 10%) when maximum daily temperatures exceed 30 °C (86 °F). The observed negative association is remarkably robust to a battery of alternative analyses such as bin tests, event studies, and time-series regressions controlling for any seasonal effects and financial market conditions. From a theoretical perspective, this study contributes to the literature on behavioral finance by demonstrating the existence of a “hot weather” effect on financial markets. It also offers important managerial and public policy implications. |
Patrice FONTAINE; Sujiao ZHAO Suppliers as Financial Intermediaries: Trade Credit for Undervalued Firms Article de journal Forthcoming Dans: Journal of Banking & Finance, Forthcoming. Liens | BibTeX @article{FONTAINE2021,
title = {Suppliers as Financial Intermediaries: Trade Credit for Undervalued Firms},
author = {Patrice FONTAINE and Sujiao ZHAO
},
editor = {ELSEVIER},
doi = {https://doi.org/10.1016/j.jbankfin.2021.106043},
year = {2021},
date = {2021-01-01},
journal = {Journal of Banking & Finance},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
2020 |
Articles de journaux |
F. Lakhal, N. Jedda, R. Ghenima Family Control and Investment Efficiency: Does Financial Analyst Coverage Matter? Article de journal Forthcoming Dans: Management International, Forthcoming. BibTeX @article{Lakhal0000,
title = {Family Control and Investment Efficiency: Does Financial Analyst Coverage Matter?},
author = { F. Lakhal, N. Jedda, R. Ghenima},
year = {2020},
date = {2020-12-31},
journal = {Management International},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
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 Dans: Journal of Business Ethics, 2020. 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 = {2020},
date = {2020-12-30},
journal = {Journal of Business Ethics},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
I. Zorgati; F. Lakhal Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches Article de journal Dans: Economic Modelling, 92 , p. 162-169, 2020. 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 = {2020},
date = {2020-11-01},
journal = {Economic Modelling},
volume = {92},
pages = {162-169},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Matthieu Garcin Fractal analysis of the multifractality of foreign exchange rates Article de journal Dans: Mathematical methods in economics and finance, 13-14 (1), p. 49-73, 2020. Liens | BibTeX @article{MMEF2020,
title = {Fractal analysis of the multifractality of foreign exchange rates},
author = {Matthieu Garcin},
url = {https://www.researchgate.net/publication/335758275_Fractal_analysis_of_the_multifractality_of_foreign_exchange_rates},
year = {2020},
date = {2020-11-01},
journal = {Mathematical methods in economics and finance},
volume = {13-14},
number = {1},
pages = {49-73},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Anagnostidis PANAGIOTIS et Patrice FONTAINE et Christos VARSAKELIS Are high–frequency traders informed? Article de journal Dans: Economic Modelling, 93 , p. 365-383, 2020. Liens | BibTeX @article{etetVARSAKELIS2020,
title = {Are high–frequency traders informed?},
author = {Anagnostidis PANAGIOTIS et Patrice FONTAINE et Christos VARSAKELIS},
editor = {ELSEVIER},
doi = {https://doi.org/10.1016/j.econmod.2020.08.013},
year = {2020},
date = {2020-10-01},
journal = {Economic Modelling},
volume = {93},
pages = {365-383},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Lakhal, F., Boubaker, S., Guizani, A. Does corporate innovation strategy influence stock price crash risk? French market evidence Article de journal Dans: Bankers, Markets and Investors, (126), p. 35-52, 2020, ISSN: 2101-9304. BibTeX @article{Lakhal2020c,
title = {Does corporate innovation strategy influence stock price crash risk? French market evidence},
author = {Lakhal, F., Boubaker, S., Guizani, A.},
issn = {2101-9304},
year = {2020},
date = {2020-09-30},
journal = {Bankers, Markets and Investors},
number = {126},
pages = {35-52},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Focardi, Sergio, Fabozzi Frank, Mazza Davide Quantum Option Pricing and Quantum Finance Article de journal Dans: 2020. BibTeX @article{sfcj202110,
title = {Quantum Option Pricing and Quantum Finance},
author = {Focardi, Sergio, Fabozzi Frank, Mazza Davide},
editor = {The Journal of Derivatives, The Journal of Derivatives },
year = {2020},
date = {2020-09-15},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Šapina M., Garcin M., Kramarić K., Milas K., Brdarić D., Pirić M. The Hurst exponent of heart rate variability in neonatal stress, based on a mean-reverting fractional Lévy stable motion Article de journal Dans: Fluctuation and noise letters, 19 (3), p. 2050026, 2020. Liens | BibTeX @article{M.2020,
title = {The Hurst exponent of heart rate variability in neonatal stress, based on a mean-reverting fractional Lévy stable motion},
author = {Šapina M., Garcin M., Kramarić K., Milas K., Brdarić D., Pirić M. },
url = {https://www.researchgate.net/publication/344177504_The_Hurst_Exponent_of_Heart_Rate_Variability_in_Neonatal_Stress_Based_on_a_Mean-Reverting_Fractional_Levy_Stable_Motion},
year = {2020},
date = {2020-09-01},
journal = {Fluctuation and noise letters},
volume = {19},
number = {3},
pages = {2050026},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Marie Lambert AND Federico Platania The macroeconomic drivers in hedge fund beta management Article de journal Dans: Economic Modelling, 91 , p. 65-80, 2020. Résumé | Liens | BibTeX @article{PlataniaEM2020,
title = {The macroeconomic drivers in hedge fund beta management},
author = {Marie Lambert AND Federico Platania},
doi = {https://doi.org/10.1016/j.econmod.2020.04.016},
year = {2020},
date = {2020-09-01},
journal = {Economic Modelling},
volume = {91},
pages = {65-80},
abstract = {We investigate how macroeconomic indicators alter the dynamic risk exposure of different hedge fund style strategies. We implement a multifactor model to estimate the unobservable time-varying risk exposure conditional on macroeconomic information and a VAR to measure the impact of macroeconomic predictors on different time horizons. Using monthly returns on a cross-section of 10 different style indices from February 1997 to August 2019, we find that, on average, macroeconomic indicators explain approximately 30%, 55%, and 75% of the variability of betas at 1-, 6-, and 36-month horizons, respectively. Although macroeconomic predictors play a critical role at every horizon, at 1 month, the dominating effect comes from idiosyncratic shocks, which indicates that in the short run, hedge fund managers rely mostly on their own reallocation signals. Moreover, consistent with the fundamental drivers of the smart beta factors, we find that the interest rate level and GDP growth similarly impact hedge fund exposures across styles.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We investigate how macroeconomic indicators alter the dynamic risk exposure of different hedge fund style strategies. We implement a multifactor model to estimate the unobservable time-varying risk exposure conditional on macroeconomic information and a VAR to measure the impact of macroeconomic predictors on different time horizons. Using monthly returns on a cross-section of 10 different style indices from February 1997 to August 2019, we find that, on average, macroeconomic indicators explain approximately 30%, 55%, and 75% of the variability of betas at 1-, 6-, and 36-month horizons, respectively. Although macroeconomic predictors play a critical role at every horizon, at 1 month, the dominating effect comes from idiosyncratic shocks, which indicates that in the short run, hedge fund managers rely mostly on their own reallocation signals. Moreover, consistent with the fundamental drivers of the smart beta factors, we find that the interest rate level and GDP growth similarly impact hedge fund exposures across styles. |
Francesco Paolo Appio AND Daniele Leone AND Federico Platania AND Francesco Schiavone Why are rewards not delivered on time in rewards-based crowdfunding campaigns? An empirical exploration Article de journal Dans: Technological Forecasting & Social Change, 157 , 2020. Résumé | Liens | BibTeX @article{FPlat2020,
title = {Why are rewards not delivered on time in rewards-based crowdfunding campaigns? An empirical exploration},
author = {Francesco Paolo Appio AND Daniele Leone AND Federico Platania AND Francesco Schiavone},
doi = {https://doi.org/10.1016/j.techfore.2020.120069},
year = {2020},
date = {2020-08-01},
journal = {Technological Forecasting & Social Change},
volume = {157},
abstract = {Crowdfunding is an alternative way to seek capital for new projects. However, it can also be a danger for entrepreneurs facing the post-campaign phase delays in the delivery of the promised rewards. Crowdfunding campaigns require months of preparation and meeting delivery deadlines seems to be a real problem. With this study, we try to explain why this is the case. By drawing on a dataset of 1,567 successfully funded new technological projects in the period 2009–2017, and by means of a text mining routine, this study presents a comprehensive description of the causes of delay in rewards delivery in crowdfunding campaigns. Our findings reveal that perceived incompetence, fraud, and funding cancellation, are the main causes of delay in rewards delivery. Furthermore, controlling for the presence of serial project creators, project appeal (% of new backers), project complexity (number of FAQs, days of funding, number of updates, number of comments), project financial size (% funded, amount raised, financial goal, average pledge per backer), as well as time, mitigate but does not eliminate the problem. Results provide a thorough contribution and implications for both the agents of the crowdfunding industry (e.g., creators, backers), platform managers, and the academic community.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Crowdfunding is an alternative way to seek capital for new projects. However, it can also be a danger for entrepreneurs facing the post-campaign phase delays in the delivery of the promised rewards. Crowdfunding campaigns require months of preparation and meeting delivery deadlines seems to be a real problem. With this study, we try to explain why this is the case. By drawing on a dataset of 1,567 successfully funded new technological projects in the period 2009–2017, and by means of a text mining routine, this study presents a comprehensive description of the causes of delay in rewards delivery in crowdfunding campaigns. Our findings reveal that perceived incompetence, fraud, and funding cancellation, are the main causes of delay in rewards delivery. Furthermore, controlling for the presence of serial project creators, project appeal (% of new backers), project complexity (number of FAQs, days of funding, number of updates, number of comments), project financial size (% funded, amount raised, financial goal, average pledge per backer), as well as time, mitigate but does not eliminate the problem. Results provide a thorough contribution and implications for both the agents of the crowdfunding industry (e.g., creators, backers), platform managers, and the academic community. |
Laurence Carassus; Jan Obł ́oj; Johannes Wiesel The robust superreplication problem: a dynamic approach Article de journal Dans: financial mathematics, 10 (4), p. 907 - 941, 2020. Résumé | Liens | BibTeX @article{Carassus2020b,
title = {The robust superreplication problem: a dynamic approach},
author = {Laurence Carassus and Jan Obł ́oj and Johannes Wiesel},
url = { https://www.researchgate.net/publication/330034750},
year = {2020},
date = {2020-07-16},
journal = {financial mathematics},
volume = {10},
number = {4},
pages = {907 - 941},
abstract = {In the frictionless discrete time financial market of Bouchard et al.(2015) weconsider a trader who, due to regulatory requirements or internal risk manage-ment reasons, is required to hedge a claimξin a risk-conservative way relativeto a family of probability measuresP. We first describe the evolution ofπt(ξ)-the superhedging price at timetof the liabilityξat maturityT- via a dynamicprogramming principle and show thatπt(ξ)can be seen as a concave envelopeofπt+1(ξ)evaluated at today’s prices. Then we consider an optimal investmentproblem for the trader who is rolling over her robust superhedge and phrase thisas a robust maximisation problem, where the expected utility of inter-temporalconsumption is optimised subject to a robust superhedging constraint. This util-ity maximisation is carrried out under a new family of measuresPu, which nolonger have to capture regulatory or institutional risk views but rather repre-sent trader’s subjective views on market dynamics. Under suitable assumptionson the trader’s utility functions, we show that optimal investment and consump-tion strategies exist and further specify when, and in what sense, these may beunique.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In the frictionless discrete time financial market of Bouchard et al.(2015) weconsider a trader who, due to regulatory requirements or internal risk manage-ment reasons, is required to hedge a claimξin a risk-conservative way relativeto a family of probability measuresP. We first describe the evolution ofπt(ξ)-the superhedging price at timetof the liabilityξat maturityT- via a dynamicprogramming principle and show thatπt(ξ)can be seen as a concave envelopeofπt+1(ξ)evaluated at today’s prices. Then we consider an optimal investmentproblem for the trader who is rolling over her robust superhedge and phrase thisas a robust maximisation problem, where the expected utility of inter-temporalconsumption is optimised subject to a robust superhedging constraint. This util-ity maximisation is carrried out under a new family of measuresPu, which nolonger have to capture regulatory or institutional risk views but rather repre-sent trader’s subjective views on market dynamics. Under suitable assumptionson the trader’s utility functions, we show that optimal investment and consump-tion strategies exist and further specify when, and in what sense, these may beunique. |
Depoers, F; Guizani, A.; LAKHAL, F. Contrôle familial, conseil d’administration et risque de chute du cours d’action : le cas des entreprises françaises Article de journal Forthcoming Dans: Management & Avenir, Forthcoming. BibTeX @article{Lakhal2020b,
title = {Contrôle familial, conseil d’administration et risque de chute du cours d’action : le cas des entreprises françaises},
author = {Depoers, F; Guizani, A.; LAKHAL, F. },
editor = {Cairn},
year = {2020},
date = {2020-07-07},
journal = {Management & Avenir},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Romain Blanchard; Laurence Carassus No-arbitrage with multiple-priors in discrete time Article de journal Dans: Stochastic Processes and their Applications, 2020. Résumé | Liens | BibTeX @article{Blanchard2020b,
title = {No-arbitrage with multiple-priors in discrete time},
author = {Romain Blanchard and Laurence Carassus},
url = {https://doi.org/10.1016/j.spa.2020.06.006},
doi = { 10.1016/j.spa.2020.06.006},
year = {2020},
date = {2020-06-30},
journal = {Stochastic Processes and their Applications},
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. We show that it is equivalent to the existence of a subclass of priors having the same polar sets as the initial class and such that the uni-prior no-arbitrage holds true for all priors in this subset. 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 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. We show that it is equivalent to the existence of a subclass of priors having the same polar sets as the initial class and such that the uni-prior no-arbitrage holds true for all priors in this subset. 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 geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated. |
Laurence Carassus; Miklós Rásonyi Risk-Neutral Pricing for Arbitrage Pricing Theory Article de journal Dans: Journal of Optimization Theory and Application, 186 , p. 248 - 263, 2020. Résumé | Liens | BibTeX @article{Carassus2020,
title = {Risk-Neutral Pricing for Arbitrage Pricing Theory},
author = {Laurence Carassus and Miklós Rásonyi},
url = {https://link.springer.com/article/10.1007/s10957-020-01699-6},
doi = {10.1007/s10957-020-01699-6 },
year = {2020},
date = {2020-06-23},
journal = {Journal of Optimization Theory and Application},
volume = {186},
pages = {248 - 263},
abstract = {We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the existence of optimal strategies for investors maximizing their expected utility and the convergence of their reservation prices to the super-replication cost as their risk-aversion tends to infinity.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the existence of optimal strategies for investors maximizing their expected utility and the convergence of their reservation prices to the super-replication cost as their risk-aversion tends to infinity. |
BenKraiem, R., LAKHAL, F., Gaaya, S. Cross-Country Evidence on Earnings Quality and Corporate Tax Avoidance:The Moderating Role of Legal Institutions Article de journal Dans: Economics Bulletin, 40 (2), p. 1714-1726, 2020. BibTeX @article{Lakhal2020,
title = {Cross-Country Evidence on Earnings Quality and Corporate Tax Avoidance:The Moderating Role of Legal Institutions},
author = {BenKraiem, R., LAKHAL, F., Gaaya, S.},
year = {2020},
date = {2020-06-18},
journal = {Economics Bulletin},
volume = {40},
number = {2},
pages = { 1714-1726},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Focardi Sergio et Fabozzi Frank Climate Change and Asset Management Article de journal Dans: 2020. BibTeX @article{sfcj20218,
title = {Climate Change and Asset Management},
author = {Focardi Sergio et Fabozzi Frank},
editor = {The Journal of Portfolio Management 46 (3), 95-107 2020},
year = {2020},
date = {2020-06-18},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Matthieu Garcin, Clément Goulet Non-parametric news impact curve: a variational approach Article de journal Dans: Soft computing, 24 (18), p. 13797-13812, 2020. Liens | BibTeX @article{etGoulet2020,
title = {Non-parametric news impact curve: a variational approach},
author = {Matthieu Garcin, Clément Goulet},
url = {https://www.researchgate.net/publication/305659516_Non-parametric_news_impact_curve_a_variational_approach},
year = {2020},
date = {2020-06-01},
journal = {Soft computing},
volume = {24},
number = {18},
pages = {13797-13812},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Anagnostidis PANAGIOTIS; Patrice FONTAINE Liquidity commonality and high frequency trading: Evidence from the French stock market Article de journal Dans: International Review of Financial Analysis, 69 , 2020. Liens | BibTeX @article{PANAGIOTIS2020,
title = {Liquidity commonality and high frequency trading: Evidence from the French stock market},
author = {Anagnostidis PANAGIOTIS and Patrice FONTAINE},
editor = {Elsiever},
doi = {https://doi.org/10.1016/j.irfa.2019.101428},
year = {2020},
date = {2020-05-01},
journal = {International Review of Financial Analysis},
volume = {69},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Romain Blanchard; Laurence Carassus Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Article de journal Dans: Mathematical Finance, 2020. Résumé | Liens | BibTeX @article{Blanchard2020,
title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},
author = {Romain Blanchard and Laurence Carassus },
url = {https://arxiv.org/pdf/1709.09465v1.pdf},
year = {2020},
date = {2020-03-17},
journal = {Mathematical Finance},
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. |
Brinette, S., Khemiri, S., Benkraiem, R., Miloudi, A Système de gouvernance et stratégie de capital risque industriel des groupes français Article de journal Dans: Management International, 2020. BibTeX @article{Brinette2020,
title = {Système de gouvernance et stratégie de capital risque industriel des groupes français},
author = {Brinette, S., Khemiri, S., Benkraiem, R., Miloudi, A},
year = {2020},
date = {2020-01-09},
journal = {Management International},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Sahli, A.; KHEMIRI, S. Financial crisis and private equity performance in France Article de journal Dans: International Journal of Entrepreneurship and Small Business, 39 (1-2), p. 279–294, 2020. Liens | 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},
url = {https://www.inderscience.com/info/inarticle.php?artid=104254},
doi = {10.1504/IJESB.2020.104254},
year = {2020},
date = {2020-01-02},
journal = {International Journal of Entrepreneurship and Small Business},
volume = {39},
number = {1-2},
pages = {279–294},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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}
}
|
Jonathan Peillex; B. Comyns Pourquoi les sociétés financières décident-elles d’adopter les Principes des Nations Unies pour l’Investissement Responsable ? Article de journal Dans: Comptabilité-Contrôle-Audit, 26 , p. 79-117, 2020. Résumé | Liens | 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},
url = {https://www.cairn.info/revue-comptabilite-controle-audit-2020-1-page-79.htm},
doi = {https://doi.org/10.3917/cca.261.0079},
year = {2020},
date = {2020-01-01},
journal = {Comptabilité-Contrôle-Audit},
volume = {26},
pages = {79-117},
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 = {published},
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. |
inproceedings |
Calesso, A.; Conti, M.; Grasselli, M. CyberWolf: assessing vulnerabilities of ITC-intensive financial markets Inproceedings Dans: ARES '20: Proceedings of the 15th International Conference on Availability, Reliability and Security, p. 1-7, 2020. Liens | BibTeX @inproceedings{grassellicalessoconti20,
title = {CyberWolf: assessing vulnerabilities of ITC-intensive financial markets},
author = {Calesso, A. and Conti, M. and Grasselli, M. },
doi = {https://doi.org/10.1145/3407023.3409191},
year = {2020},
date = {2020-08-04},
booktitle = {ARES '20: Proceedings of the 15th International Conference on Availability, Reliability and Security},
volume = {86},
pages = {1-7},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
2019 |
Articles de journaux |
J.Peillex, D.Yoon, I. Rouine Affinité politique et choix du mode de propriété lors d’acquisitions transfrontalières Article de journal Dans: Management International, 24 (4), p. 1-44, 2019. Liens | BibTeX @article{J.Peillex2019,
title = {Affinité politique et choix du mode de propriété lors d’acquisitions transfrontalières},
author = {J.Peillex, D.Yoon, I. Rouine},
url = {http://www.managementinternational.ca/catalog/affinite-politique-et-choix-du-mode-de-propriete-lors-d-acquisitions-transfrontalieres.html},
year = {2019},
date = {2019-12-02},
journal = {Management International},
volume = {24},
number = {4},
pages = {1-44},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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}
}
|
Focardi Sergio et Davide Mazza Quantum computing, the new frontier of finance Article de journal Dans: 2019. BibTeX @article{sfcj20216b,
title = {Quantum computing, the new frontier of finance},
author = {Focardi Sergio et Davide Mazza},
editor = {The Conversation. 24 November. https://theconversation.com/quantum-computing-the-new-frontier-of-finance-127255). French version appeared 8 May (L’informatique quantique, nouvelle frontière de la finance.)},
year = {2019},
date = {2019-11-24},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Grasselli, M.; Fiorin, L.; Callegaro, G. Quantization meets Fourier: A New methodology for pricing options Article de journal Dans: Annals of Operations Research, 282 (1), p. 59-86, 2019. BibTeX @article{grasselli2019,
title = {Quantization meets Fourier: A New methodology for pricing options},
author = {Grasselli, M. and Fiorin, L. and Callegaro, G. },
year = {2019},
date = {2019-11-10},
booktitle = {Mathematics in Finance 2017 International Conference, Cape Town, South Africa, 2-3 november},
journal = {Annals of Operations Research},
volume = {282},
number = {1},
pages = {59-86},
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. |
Focardi, Sergio, Fabozzi Frank, Mazza Davide Mazza, Modeling local trends with regime shifting models with time-varying probabilities Article de journal Dans: 2019. BibTeX @article{sfcj20217,
title = {Modeling local trends with regime shifting models with time-varying probabilities},
author = {Focardi, Sergio, Fabozzi Frank, Mazza Davide Mazza, },
editor = {International Review of Financial Analysis 66, 101368, 2019},
year = {2019},
date = {2019-04-18},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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}
}
|
Imane El Ouadghiri, Remzi Uctum Macroeconomic Expectations and Time Varying Heterogeneity: Evidence from Individual Survey Data Article de journal Dans: Applied Economics, 52 , p. 2443-2459, 2019. Résumé | Liens | BibTeX @article{Ouadghiri2019b,
title = {Macroeconomic Expectations and Time Varying Heterogeneity: Evidence from Individual Survey Data},
author = {Imane El Ouadghiri, Remzi 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},
volume = {52},
pages = {2443-2459},
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 = {published},
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}
}
|
Book Chapters |
Laurence Carassus Apprendre de Léonard - Léonard De Vinci : L'art de la formule Book Chapter Dans: 2019, ISBN: 978-2-9570634-0-6. Liens | BibTeX @inbook{Carassus2019c,
title = {Apprendre de Léonard - Léonard De Vinci : L'art de la formule},
author = {Laurence Carassus },
url = {https://www.esilv.fr/leonard-de-vinci%E2%80%AF-lart-de-la-formule/},
isbn = {978-2-9570634-0-6},
year = {2019},
date = {2019-11-07},
keywords = {},
pubstate = {published},
tppubtype = {inbook}
}
|
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 |
Imane El Ouadghiri, Jonathan Peillex Public attention to “Islamic terrorism” and stock market returns Article de journal Dans: Journal of Comparative Economics, 46 (4), p. 936-946, 2018. Liens | BibTeX @article{Ouadghiri0101,
title = {Public attention to “Islamic terrorism” and stock market returns},
author = {Imane El Ouadghiri, Jonathan Peillex},
url = {https://www.sciencedirect.com/science/article/pii/S0147596718302506},
doi = {10.1016/j.jce.2018.07.014},
year = {2018},
date = {2018-12-28},
journal = {Journal of Comparative Economics},
volume = {46},
number = {4},
pages = {936-946},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
