In this paper, we test for linear and nonlinear Granger causality between the French, German, Japanese, UK and US daily stock index returns from 1973 to 2003. To avoid spurious nonlinear causality, we filter out heteroskedasticity using a FIGARCH model and control for multiple structural breaks....

According to the dividend discount model (DDM), a long run relationship should exist between stock prices and dividends. In this paper, in order to test the validity of the DDM on the French, German, Japanese, UK and US stock markets from 1973 to 2002, we implement cointegration tests corrected...

In this study, we examine whether the financial performances of socially responsible investment (SRI) mutual funds are related to the features of the screening process. Based on a sample of French SRI funds, we find evidence that a greater screening intensity slightly reduces financial...