0000 |
Articles de journaux |
Marie Brière, Jonathan Peillex, Loredana Ureche-Rangau Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? Article de journal Dans: Financial Analysts Journal, 73 (3), p. 1-14, 0000. Résumé | Liens | BibTeX @article{Brière2017,
title = {Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?},
author = {Marie Brière, Jonathan Peillex, Loredana Ureche-Rangau},
editor = {CFA Institute},
url = {http://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n3.2},
doi = {http://dx.doi.org/10.2469/faj.v73.n3.2},
journal = {Financial Analysts Journal},
volume = {73},
number = {3},
pages = {1-14},
abstract = {Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. },
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. |
grasselli The 4/2 stochastic volatility model Article de journal Dans: Mathematical Finance, 27 (4), p. 1013-1034, 0000. BibTeX @article{Grassellinov2017,
title = {The 4/2 stochastic volatility model},
author = {grasselli},
journal = {Mathematical Finance},
volume = {27},
number = {4},
pages = {1013-1034},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Sabrina Khemiri, 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, 0000. BibTeX @article{Khemiri2018,
title = {Order of preference of debts under asymmetric information.},
author = {Sabrina Khemiri, Brinette Souad, Benkraiem Ramzi, Miloudi Anthony},
journal = {Journal of Governance & Regulation},
volume = {7},
number = {2},
pages = {49-56},
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, (130), p. 243-263, 0000. BibTeX @article{Peillex2019b,
title = {Revisiter la question "Does it pay to be good ?" dans le contexte européen},
author = {Mohammed Benlemlih; Jonathan Peillex},
journal = {Recherches en Sciences de Gestion},
number = {130},
pages = {243-263},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Renaud Redien-Collot et Catherine Léger-Jarniou Retard de la RSE des PME françaises ? La prudence et le discours éthique hybride des dirigeantes de PME de forte croissance Article de journal Dans: Revue de l’Entrepreneuriat et de l'Innovation , 17 (2), p. 7-34, 0000, ISBN: 978-2-8073-9244-1. Résumé | BibTeX @article{Redien-Collot2018,
title = {Retard de la RSE des PME françaises ? La prudence et le discours éthique hybride des dirigeantes de PME de forte croissance},
author = {Renaud Redien-Collot et Catherine Léger-Jarniou},
isbn = {978-2-8073-9244-1},
journal = {Revue de l’Entrepreneuriat et de l'Innovation },
volume = {17},
number = {2},
pages = {7-34},
abstract = {The literature on Corporate Social Responsibility (CSR) in European small and
medium enterprises (SMEs) seems to be focused on the strategic benefits of
CSR, which is still an emerging trend. Articles on female leadership highlight that
this instrumentalist vision of CSR can be attributed to the triumph of masculine
culture in SMEs. We therefore examine a sample of thirteen female heads of
high-growth SMEs (ranked in the Women Equity for Growth Index) 2 with effective managerial
processes to determine whether they see and enact CSR as a strategic panacea. In
order to capture the respondents’ motivations, our study looks at their practices and their
discourse. We find that they are cautious about formalizing and instrumentalizing their
CSR practice. Their deployment of CSR is nurtured by an ethical discourse that is equally
instrumental and normative, with their employees as their priority stakeholders. As they
are convinced that CSR offers a powerful prospective launch pad, respondents are very
skilled in their ability to preserve CSR’s “revelatory power” in their companies. Through
their expressions of self-doubt and resistance, they reveal distinct points of view that are
informed by strong reflection. Their hybrid ethical discourse is not the result of a compromise.
Instead, it informs a very active sense-making process.
—— Keywords: CSR, high-growth SME, female entrepreneurial leaders, gender},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
The literature on Corporate Social Responsibility (CSR) in European small and
medium enterprises (SMEs) seems to be focused on the strategic benefits of
CSR, which is still an emerging trend. Articles on female leadership highlight that
this instrumentalist vision of CSR can be attributed to the triumph of masculine
culture in SMEs. We therefore examine a sample of thirteen female heads of
high-growth SMEs (ranked in the Women Equity for Growth Index) 2 with effective managerial
processes to determine whether they see and enact CSR as a strategic panacea. In
order to capture the respondents’ motivations, our study looks at their practices and their
discourse. We find that they are cautious about formalizing and instrumentalizing their
CSR practice. Their deployment of CSR is nurtured by an ethical discourse that is equally
instrumental and normative, with their employees as their priority stakeholders. As they
are convinced that CSR offers a powerful prospective launch pad, respondents are very
skilled in their ability to preserve CSR’s “revelatory power” in their companies. Through
their expressions of self-doubt and resistance, they reveal distinct points of view that are
informed by strong reflection. Their hybrid ethical discourse is not the result of a compromise.
Instead, it informs a very active sense-making process.
—— Keywords: CSR, high-growth SME, female entrepreneurial leaders, gender |
Imane El Ouadghiri; R. Uctum Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets Article de journal Dans: Economic Modeling, 54 , p. 218-234, 0000. Résumé | Liens | BibTeX @article{Ouadghiri2016,
title = {Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets},
author = {Imane El Ouadghiri and R. Uctum},
url = {https://www.sciencedirect.com/science/article/pii/S0264999315004216},
journal = {Economic Modeling},
volume = {54},
pages = {218-234},
abstract = {In this paper we examine the intraday effects of surprises from scheduled macroeconomic announcements and unscheduled event news on six major exchange rate excess returns (jumps) using a Tobit model with conditionally heteroskedastic errors that we extend so as to account for asymmetries. Besides this novel model, our approach embodies several important features: we perform Lee and Mykland's (2012) non-parametric test procedure to filter out microstructure noise from observed exchange rates and extract jumps as the significant “equilibrium” returns; various categories of information news from different geographical regions are exploited; the hypothesis of a leverage effect on foreign exchange jumps due to asymmetric volatility shocks is examined. We found that the most influential scheduled macroeconomic news are globally related to the US job markets, output growth indicators and public debt, whereas significant event news include announcements of bank failures and government rescue plans. Surprises impact Forex jumps for about one third as a result of rather pessimistic forecasts due to the crisis period analyzed. For most of the currencies the hypothesis that negative volatility shocks have a greater impact on volatility than positive shocks of the same magnitude is validated, reflecting markets' concern about the costs implied by central bank's stabilization policies. Our findings provide evidence that the major foreign exchange markets are not efficient.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we examine the intraday effects of surprises from scheduled macroeconomic announcements and unscheduled event news on six major exchange rate excess returns (jumps) using a Tobit model with conditionally heteroskedastic errors that we extend so as to account for asymmetries. Besides this novel model, our approach embodies several important features: we perform Lee and Mykland's (2012) non-parametric test procedure to filter out microstructure noise from observed exchange rates and extract jumps as the significant “equilibrium” returns; various categories of information news from different geographical regions are exploited; the hypothesis of a leverage effect on foreign exchange jumps due to asymmetric volatility shocks is examined. We found that the most influential scheduled macroeconomic news are globally related to the US job markets, output growth indicators and public debt, whereas significant event news include announcements of bank failures and government rescue plans. Surprises impact Forex jumps for about one third as a result of rather pessimistic forecasts due to the crisis period analyzed. For most of the currencies the hypothesis that negative volatility shocks have a greater impact on volatility than positive shocks of the same magnitude is validated, reflecting markets' concern about the costs implied by central bank's stabilization policies. Our findings provide evidence that the major foreign exchange markets are not efficient. |
Livres |
Sergio Focardi Money: What it is, how it’s created, who gets it, and why it matters, Livre Routledge, 0000. BibTeX @book{focardi2017a,
title = {Money: What it is, how it’s created, who gets it, and why it matters,},
author = {Sergio Focardi},
publisher = {Routledge},
series = {208 p.},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
|
F. Fabozzi,; Sergio Focardi,; C. Jonas Equity Valuation: Science, Art, or Craft? Livre Forthcoming Forthcoming. BibTeX @book{focardi2017b,
title = {Equity Valuation: Science, Art, or Craft?},
author = {F. Fabozzi, and Sergio Focardi, and C. Jonas},
editor = {CFA Institute},
keywords = {},
pubstate = {forthcoming},
tppubtype = {book}
}
|
Dépubli |
Sergio Focardi; Frank Fabozzi The Integrated Factor Structure of Equity Prices Dépubli 0000. BibTeX @unpublished{Focardibb,
title = {The Integrated Factor Structure of Equity Prices},
author = { Sergio Focardi and Frank Fabozzi},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
Sergio Focardi Modelling a Multi-Agent Economy with Multiple Inflation Rates And Segregated Financial Flows Dépubli 0000. BibTeX @unpublished{Focardibb,
title = {Modelling a Multi-Agent Economy with Multiple Inflation Rates And Segregated Financial Flows},
author = { Sergio Focardi},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
Sergio Focardi Predicting Financial Crises: an Approach Based on Multiple Inflation Rates and Segregated Financial Flows Dépubli 0000. BibTeX @unpublished{Focardibb,
title = {Predicting Financial Crises: an Approach Based on Multiple Inflation Rates and Segregated Financial Flows},
author = { Sergio Focardi},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
Sébastien Nouet L’impact de Solvency II sur le bilan des sociétés d’assurance Dépubli 0000. BibTeX @unpublished{Nouet,
title = {L’impact de Solvency II sur le bilan des sociétés d’assurance},
author = { Sébastien Nouet},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
Sébastien Nouet Equilibre et gestion d’un régime de retraite par points Dépubli 0000. BibTeX @unpublished{Nouetbb,
title = {Equilibre et gestion d’un régime de retraite par points},
author = { Sébastien Nouet},
keywords = {},
pubstate = {published},
tppubtype = {unpublished}
}
|
