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Unexpected Media Coverage and Stock Market Outcomes : Evidence from Chemical Disasters.
Laguna, Marie-Aude - Université Paris-Dauphine
Using the event-study methodology and multivariate regressions, this paper examines the intensity of media coverage, its determinants and its marginal effect on stock returns following chemical disasters. To do this, we build an original dataset of chemical explosions that occurred worldwide...
Persistent link: https://www.econbiz.de/10008924644
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Comonotonic Measures of Multivariate Risks.
Henry, Marc; Galichon, Alfred; Ekeland, Ivar - Université Paris-Dauphine - 2012
We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors through generalized quantile functions. Moreover, we propose...
Persistent link: https://www.econbiz.de/10008924659
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Numerical Schemes for Variational Inequalities Arising in International Asset Pricing.
Hodder, James E.; Tourin, Agnès; Zariphopoulou, Thaleia - Université Paris-Dauphine - 2001
This paper introduces a valuation model of international pricing in the presence of political risk. Shipments between …
Persistent link: https://www.econbiz.de/10009018423
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Crisis-Robust Bond Portfolios.
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine - 2008
Persistent link: https://www.econbiz.de/10009364875
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Do Inflation-Linked Bonds Still Diversify ?.
Brière, Marie; Signori, Ombretta - Université Paris-Dauphine - 2009
The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds, and equities, in the USA and Europe. Using a...
Persistent link: https://www.econbiz.de/10009364876
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Volatility Exposure for Strategic Asset Allocation.
Brière, Marie; Burgues, Alexandre; Signori, Ombretta - Université Paris-Dauphine - 2010
The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework,...
Persistent link: https://www.econbiz.de/10009364880
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How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?.
Platten, Isabelle; Gresse, Carole; De Winne, Rudy - Université Paris-Dauphine
This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...
Persistent link: https://www.econbiz.de/10009370244
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The freight market and its interactions with the energy system.
Raynaud, Franck; Lautier, Delphine - Université Paris-Dauphine
Persistent link: https://www.econbiz.de/10009370255
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Corporate Finance: The Role of the Private Equity Funds in Restructuring of the Economic Productive Tissue.
Benslimane, Sonia; Poix, Michel - Université Paris-Dauphine
The question of financing innovative small business is determinant in the current context. Giving the share that they represent in the market, they contribute to increase productivity of the economy. The problems of financing the SME’s are related to the almost intangible specificity of their...
Persistent link: https://www.econbiz.de/10009291999
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Viability and equilibrium in securities markets with frictions.
Jouini, Elyès; Kallal, Hedi - Université Paris-Dauphine - 1999
In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market … frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which … is equivalent to the existence of a positive lineaar pricing rule on the entirespace of contingent claims—an underlying …
Persistent link: https://www.econbiz.de/10008800242