Empirically, we show that the proportion of stocks exhibiting conditional heteroscedastic residuals, is high. We suggested to use the market model with GARCH(1,1) residuals in order to describe daily stock returns and derived a test statistics for the null hypothesis of no abnormal returns,...

The aim of this study is to test whether the relation between the informational content of equity offering announcements and their impact on the firm value depends on the motive of the offering. The use of the proceeds allows differentiating the equity issues according to the theories that...

In this research we study the specification and the power of classic test statistics used in long-term event studies analysis. Using simulations in random samples, we show that test statistics based on an arbitrary benchmark are well specified and as powerful as the ones based on the size and...

This study examines the issue of detecting permanent shifts in the volatility of emerging stock market indexes returns. We show that standard tests have no power in disentangling conditional heteroscedasticity versus jumps in the variance of stock returns. We propose two methods to detect jumps...

The apparent predictability of stock prices and the related profitability of investment strategies based on it has generated a great deal of research. Since the late eighties, momentum strategies have attracted a lot of the attention and have been found to be very profitable mainly for US stock...

The aim of this paper is to study the profits of a contrarian strategy on the French Stock market. The profits of the standard contrarian strategy (sell winners and buy losers in all states of the nature) lead to smaller but still significant profits in France. These profits are bigger for those...

The goal of this paper is to assess, for the first time, the empirical impact of "Kaynes' beauty contest", or "higher order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and that heterogeneous expectation asset pricing models...

We consider a two-sided buyers & sellers' market with indiviseble goods. Agents may trade many units of any of the items available. Previous research, documenting the case ofunit-flow trades, showed that the existence of substitutability or complementarity colligations between goods. These...

These research addressess whether geographic diserfication provides benefits over industry diversification in a sample of European country and industry indexes.The methodology allows performance comparison with short-slling constraints, upper and lower bounds, and many bechmarks. In the absence...

This paper provides a stylized choice-thoretic model to analyze optimal monetary policies among interdependent economies. In response to marcoeconomic shocks, policymakers strike a balance between two objectives. The first is to stabilize marginal costs and markups to offset the distortions...