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Accueil > Séminaires réguliers > Séminaires Rennes IGR-IAE > Archives > Archives Finance

Archives 2012-2013

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	ARCHIVES 2012-2013

	Séminaire Finance

Organisateur : Waël Louhichi


	vendredi 12 avril 2013 à 14h30 - Amphi 2, IGR/IAE

Intervenant Carole Bernard - University of Waterloo, Canada
Titre / title « All investors are risk averse expected utiliy maximizers »
Résumé / Abstract Assuming that agents’ preferences satisfy first-order stochastic dominance, we show that the Expected Utility Paradigm can explain all rational investment choices. In particular, the optimal investment strategy in any behavioral law-invariant setting corresponds to the optimum for some risk averse expected utility maximizer whose concave utility function we derive explicitly. This result enables us to infer agents’ utility and risk aversion from their investment choice in a non-parametric way. We also show that decreasing absolute risk aversion (DARA) is equivalent to a demand for terminal wealth that has more spread than the opposite of the log pricing kernel at the investment horizon.

Intervenant Souleymane Laminou Abdou - Université de Rennes 1 - IGR/IAE et CREM
Titre / title « Pricing and Hedging American Strangles with Finite Maturity »
Co-auteur/co-authored with Franck Moraux - Université de Rennes 1 - IGR/IAE et CREM
Résumé / Abstract This paper reconsiders the American Strangles pricing of Chiarella and Ziogas (2005). We investigate how the choice of the numerical quadrature significantly affect the global numerical scheme for computing integral equations involved in the pricing of finite-lived American Strangles. For this purpose we provide a novel one-step numerical method and compare both algorithms and present their advantages and inconvenient. We then consider hedging of such contracts. We derive new expressions for hedging parameters (with Kim’s representation) and stress how Greek parameters of American strangles differ from their European equivalents.
Keywords American Strangles, early exercise boundaries, Kim representation, numerical integration, Greek parameters

	vendredi 8 février 2013 à 14h30 - Amphi 1 IGR/IAE

Intervenant Elisa Luciano Université de Turin, Italie
Titre / title « Default risk in business groups »
Résumé / Abstract This paper analyzes how combining firms into either groups or conglomerates affects their credit standing, as measured by their default probabilities, recovery rates and credit spreads. Each combination offers protection against default to its affiliates, and issues debt to optimize the trade-off between tax gains and default costs. In a group, the probability of joint default turns out to be lower than that of both stand-alone firms and conglomerates. This is the bright side of credit risk in groups. The dark side is that affiliation depletes the credit worthiness of the subsidiary. Such results hold irrespective of cash-flow correlation, if affiliates are equal in size, but fade if the parent is larger.
JEL classification G32, G33, G34
Keywords credit risk, structural models, groups, mergers, parent-subsidiary

	mardi 8 janvier 2013 à 14h30 - Salle du Conseil IGR/IAE

Intervenant Michel Magnan Université de Concordia, Canada
Titre / title « Fair Value Accounting : Information or confusion for financial Markets ? »
Résumé / Abstract We investigate whether multiple large shareholders (MLS) affect corporate risk-taking. Using hand-collected data on French publicly-listed companies over the period 2003-2007, we show that the presence, number and voting power of MLS, other than the largest controlling shareholder (LCS), are associated with greater variability in operating performance (ROA), market value (Tobin’s Q) and stock returns. In contrast, the presence of a single LCS is associated with less variability in firm performance, especially when the divergence between the LCS’s control and cash flow rights is large. This result suggests that MLS are able to prevent the LCS from dictating its preference for low-risk projects in order to protect its future consumption of private benefits. As a consequence, firms undertake better investments regardless of their intrinsic risks, and this eventually leads them to achieve higher performance. MLS are thus confirmed to play a critical role in corporate governance.

	mardi 27 novembre 2012 à 14h30 - Salle 15 IGR/IAE (rez-de chaussée)

Intervenant Silaghi Florina - Université de Rennes 1 - IGR/IAE et CREM
Titre / title « Debt Renegotiation »
Intervenant Alexandre Mignot - Université de Rennes 1 - IGR/IAE et CREM
Titre / title « The Impacts of Forced Turnovers and CEO Paycuts on Firm Value »

	mercredi 7 novembre 2012 à 14h30 - Salle 317 - IGR/IAE

Séminaire doctoral

	mardi 23 octobre 2012 à 14h30 - Salle du Conseil IGR/IAE

Intervenant Sabri Boubaker - ESC Troyes
Titre / title Large Shareholders and Firm Risk-Taking Behavior
Co-auteur/co-authored with Pascal Nguyen - University of Technology, Sydney
Co-auteur/co-authored with Wael Rouatbi - IRG, Université de Paris Est
Résumé / Abstract We investigate whether multiple large shareholders (MLS) affect corporate risk-taking. Using hand-collected data on French publicly-listed companies over the period 2003-2007, we show that the presence, number and voting power of MLS, other than the largest controlling shareholder (LCS), are associated with greater variability in operating performance (ROA), market value (Tobin’s Q) and stock returns. In contrast, the presence of a single LCS is associated with less variability in firm performance, especially when the divergence between the LCS’s control and cash flow rights is large. This result suggests that MLS are able to prevent the LCS from dictating its preference for low-risk projects in order to protect its future consumption of private benefits. As a consequence, firms undertake better investments regardless of their intrinsic risks, and this eventually leads them to achieve higher performance. MLS are thus confirmed to play a critical role in corporate governance.
JEL classification G30 ; G32 ; G34
Keywords risk-taking, ownership structure, benefit of control, contestability, corporate governance

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