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Séminaires Finance

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Séminaires sur le site de l’Institut de Gestion de Rennes (IGR-IAE)
11 rue Jean Macé
CS 70803
35708 Rennes Cedex 7


Séminaires Finance
animés par Anh Ngoc LAI.



PROGRAMME 2016-2017




jeudi 30 mars 2017 - 10h00-12h30 - Salle du Conseil - IGR/IAE


Intervenant Bertrand Tavin - EM Lyon
Titre / Title Measuring Exposure to Dependence Risk with Random Bernstein Copula , scenarios
Résumé / Abstract This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio gathering an arbitrary number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios within a divergence restricted region. The set of dependence scenarios corresponds to Bernstein copulas obtained by simulating random doubly stochastic matrices. We then devise a method to compute hedging positions when a limited number of hedging instruments are available for trading. In an empirical study we show how the proposed method can be used to reveal an exposure to dependence risk where usual sensitivity methods fail to reveal it. We also illustrate the ability of the proposed method to generate parsimonious hedging strategies in order to reduce the exposure to dependence risk of a given portfolio.
Mots clés / Keywords Debt renegotiation, Debt pricing, Strategic contingent claim analysis
JEL Code G30, G32, G33, G13
Lien / Download 17-03-30_Tavin.pdf


Intervenant Matthieu Belarouci - Université de Lille
Titre / Title The Valuation Role of Technical Efficiency : Empirical Investigation of the US airlines
Résumé / Abstract The purpose of this article is to investigate the value relevance of technical efficiency, based on the publicly available reports of the US Department of Transportation, within the Linear Information Model (LIM) of Ohlson (1995). Referring to data envelopment analysis (DEA) and stochastic frontier analysis (SFA) we evaluate technical efficiency, which quantifies the productive competitive advantage of the firm. We investigate the value relevance of technical efficiency in tandem with information about technical characteristics of the US carriers’ operations and the accounting variables of the LIM. We provide evidence of a statistical relation between current technical efficiency and stock prices and returns. While the variables of the LIM explain the most part of stock returns, technical efficiency exhibits the highest incremental value relevance. Furthermore, the implementation of an accounting based proxy does not reach the value relevance of technical efficiency. The originality of this article lies in the investigation of theinformation dynamic of technical efficiency. Results indicate that the greatest value relevance of technical efficiency is associated with its greatest persistency relative to accounting numbers. We conclude that technical efficiency is an appropriate complement to accounting information for analysts and professional investors to perform estimates about the future value of the firm, especially when accounting is deteriorated by sector wide shocks.
Mots clés / Keywords Technical efficiency, Productivity, Earnings Surprise, Value relevance, US airline industry, Linear Information Model, Persistency




lundi 16 janvier 2017 - 14h00 - Salle du Conseil - IGR/IAE


Intervenant Sofiane Aboura - Université de Paris XIII, Sorbonne Paris Cité
Titre / Title Should employers pay their employees better ? An asset pricing approach
Résumé / Abstract We uncover a new anomaly in asset pricing that is linked to the remuneration : the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration policies share a common risk, which is comparable to that of the value premium. For this purpose, we set up an original methodology that uses firm financial characteristics to build factors that are less correlated than in the standard asset pricing methodology. We quantify the importance of these factors from an asset pricing perspective by introducing the factor correlation level as a directly accessible proxy of eigenvalues of the correlation matrix. A rational explanation of the remuneration anomaly involves the positive correlation between pay and employee performance.


Intervenant Michel Magnan - John Molson School of Business, Concordia University, CIRANO
Titre / Title Securities, valuations and closed-end fund discounts
Résumé / Abstract This paper examines the link between financial reporting uncertainty and discounts in closed-end funds. A discount in a closed-end fund exists when its unit share price is at a lower value than its net asset value. Prior research examining this phenomenon has uncovered factors that contribute to a portion of the discount. We use the disclosures required for fair value investments as proxies for different degrees of discretion and uncertainty in underlying valuations for financial reporting purposes. Results indicate that investments with higher discretion in their valuations contribute more to discounts than lower discretion valued investments. However, securities with intermediate discretion cause lower discounts than those with the least discretion in their valuations. Next, to explore this result further, we conduct a detailed examination of the investments to identify how different types of securities affect discounts in closed-end funds. We find that different investments with similar valuation techniques (i.e. similar managerial discretion) affect discounts differently, signifying that uncertainty towards the valuation method is investment specific rather than uniform across all investments. This evidence narrows the gap on the not fully explained phenomenon of closed-end fund discounts.




mercredi 14 décembre 2016 - 14h00 - Salle du Conseil - IGR/IAE
Intervenant Antoine Noel - PhD candidate, HEC Montreal
Titre / Title Sector-specific ETFs and the Reallocation of Informed Trading
Résumé / Abstract This paper decomposes the probability of informed trading (PIN) into a sector-specificic and a firm-specific component. The introduction of tradable indices on financial markets should trigger a decline in stock PINs because investors specializing in trading the sector-specific risk can migrate to index markets. The introduction of tradable indices should also generate an increase in stock PINs because investors specializing in trading the firm-specific risk can use indices as hedging instruments. We find that the first effect dominates the second effect.




mardi 25 octobre 2016 - 14h00 - Salle du Conseil - IGR/IAE
Intervenant Florina Raluca Silaghi - Université de l’Autonoma de Barcelona
Titre / Title The use of equity financing in debt renegotiation
Résumé / Abstract Debt renegotiation is often modeled as pure debt for equity or debt for debt swaps. In this paper we analyze the use of equity financing in addition to debt financing in debt repurchases. Firms with larger volatility, lower cash flow growth rates, or higher recovery rates are more likely to use equity financing in debt renegotiation. Flotation and renegotiation costs, the bargaining power of the creditors, and macroeconomic variables also influence this choice. When equity issuance is a possible source of financing in renegotiation, firms optimally choose larger debt reductions as compared to pure debt for debt swaps. The use of equity financing increases welfare. We provide closed-form solutions for the optimal use of funding and we derive novel testable empirical implications regarding the use of equity financing in debt repurchases.
Mots clés / Keywords Debt renegotiation, Debt pricing, Strategic contingent claim analysis
JEL Code G30, G32, G33, G13