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Archives 2015-2016

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Séminaires Finance
animés par Jessica Fouilloux.


PROGRAMME 2015-2016


jeudi 23 juin 2016 - 14h30 - Salle du Conseil - IGR/IAE

Intervenant Fabrice Riva - Université Paris-Dauphine, PSL Research University, DRM (UMR CNRS 7088)
Titre / Title The provision of liquidity in ETFs : Theory and evidence from European markets
Résumé / Abstract We develop a model of ETF market making that accounts for the illiquidity costs borne by a risk averse market maker upon liquidating her inventory. The resulting implications are that ETF spreads are not just determined by the liquidity of constituents stocks ; they are also increasing in the underlying index volatility, and decreasing in ETF trading activity and size. We test these implications on the European equity ETF markets. Consistent with our model, spreads are affected by inventory risk-related variables while, in general, the stock basket spread has no significant impact. However, a positive relationship between the ETF and the index liquidity emerges in situations where trading conditions do not allow for efficient inventory management, as suggested by our findings regarding low trading volume ETFs and the 2008 financial crisis episode.
co-écrit avec / Co-authored with Anna Calamia and Laurent Deville
Mots clés / Keywords asset pricing, history of finance, consumption risk




mercredi 4 mai 2016 - 14h30 - Amphi 2 - IGR/IAE

Intervenant Sébastien Pouget - Toulouse School of Economics (IAE, CRM, University of Toulouse)
Titre / Title Testing asset pricing theory on six hundred years of stock returns : Prices and dividends for the Bazacle company from 1372 to 1946
Résumé / Abstract We test asset pricing theory using the Bazacle company of Toulouse, the earliest documented shareholding corporation. We collect share prices and net dividends from its foundation in 1372 to its nationalization in 1946. We find a real average dividend yield of 5% per annum and no long-term price growth. Both dividends and stock prices are found stationary. This enables us to directly study how prices relate to expected cash flows, without relying on rates of return. An asset pricing model with persistent dividends and a time-varying risk correction is not rejected by the data. Variations in expected future dividends explain between one-sixth and one-third of variations in prices. Moreover, we find a downward-slopping term structure of the risk premium. Finally, some macroeconomic factors such as summer coldness, that does not affect future dividends, are negatively associated with stock prices, suggesting that they impact the risk correction.
co-écrit avec / Co-authored with David le Bris, William N. Goetzmann
Mots clés / Keywords asset pricing, history of finance, consumption risk




mercredi 23 mars 2016 - de 14h30 à 16h30 - Salle du Conseil - IGR/IAE
Intervenant Nadia Saghi-Zedek - CREM, Université de Rennes 1
Titre / Title Focus versus diversification and bank performance : does ownership depth matter ?
Résumé / Abstract Using detailed data on control chains of 670 European commercial banks, we test whether the presence of some categories of controlling shareholders affects product diversification performance. We find that when banks have no controlling shareholder or have only family and state shareholders activity diversification yields diseconomies. However, as long as the control chain involves banking institutions, institutional investors, industrial companies or any other combination of these shareholder categories, banks benefit from diversification economies : they display higher profitability, lower earnings volatility and lower default risk. This is potentially because such categories of shareholders bring additional skills to manage diverse activities. A further exploration shows that such mitigating roles are greater for domestic and diversified shareholders. Our findings provide insights on why banks suffer from greater activity diversification and have several policy implications. 


Intervenant Souleyman Laminou-Abdou - CREM, Université de Rennes 1
Titre / Title American Step Options
Résumé / Abstract This paper examines the valuation of American knock-out and knock-in step options. The structures of the immediate exercise regions of the various contracts is identified. Typical properties of American vanilla calls, such as up-connectedness of the exercise region, convexity of its t-section or uniqueness of the optimal exercise boundary, are shown to fail in some cases. Early exercise premium representations of step option prices, involving the Laplace transforms of the joint laws of Brownian motion and its occupation times, are derived. Systems of coupled integral equations for the components of the exercise boundary are deduced.




jeudi 4 février 2016 - de 14h à 16h - Salle du Conseil - IGR/IAE

Intervenant Jérôme Héricourt - Université de Bretagne Occidentale
Titre / Title Relative Real Exchange-Rate Volatility, Multi-Destination Firms and Trade : Micro Evidence and Aggregate Implications
Résumé / Abstract How can be explained the lack of reaction of aggregate exports to Real Exchange Rate (RER) volatility ? Using a French firm-level database that combines balance-sheet and product-destination-specific export information over the period 1995-2009, we propose a micro-founded explanation to this macro puzzle, by investigating how firms reallocate exports across destinations following RER volatility shocks. We show that firm-level bilateral exports to a considered destination also react to external volatility, represented by several indicators we build. Firms tend to reallocate exports away from destinations with unfavourable dynamics in terms of RER volatility, and this effect grows with the scope of possible reallocations. Efficient diversification of destinations served appear therefore as another way to handle exchange rate risks, and may provide an explanation to the small aggregate trade response to RER volatility : if big multi-destination firms, who account for the bulk of aggregate exports, can react to an adverse shock of RER volatility somewhere by transferring trade to other, less volatile destinations, this leaves exports mainly unchanged at the macro level.
co-écrit avec / Co-authored with Clément Nedoncelle - USTL
Lien / Download 16-02-04_Hericourt_Nedoncelle_wp_v3.pdf



mardi 19 janvier 2016 - de 14h30 à 16h - Salle 13 - IGR/IAE

Intervenant Michel Magnan - Department of Accountancy, John Molson School of Business, Concordia University
Titre / Title Do Foreign Cash Holdings Generate Uncertainty for Market Participants ?
Résumé / Abstract We test the hypothesis that foreign cash holdings generate information uncertainty among market participants. Using a large sample of U.S. multinational firms during the 1993– 2012 period and an array of proxies for information uncertainty, we find evidence consistent with our hypothesis. Specifically, we document that, controlling for the effect of worldwide cash, higher foreign cash holdings lead to : (i) lower analysts’ forecasts accuracy, (ii) higher analysts’ forecasts dispersion, and (iii) higher differential belief revisions among investors. In addition, we document that this result is mainly explained by foreign cash held in countries with low economic growth and high tax difference with respect to the US. These findings help to shed light on the implications and on the economic consequences of foreign cash and offer support to the SEC’s recent effort to encourage companies to increase disclosure about their cash holdings. Keywords : Cash, Taxes, Repatriation, Uncertainty
co-écrit avec / Co-authored with Michele Fabrizi - University of Padova
co-écrit avec / Co-authored with Elisabetta Ipino - Concordia University
co-écrit avec / Co-authored with Antonio Parbonetti - University of Padova
JEL classifications G30, G38, H25



mercredi 9 décembre 2015 - de 14h à 16h - Salle du Conseil - IGR/IAE

Intervenant Neelam Jain - City University London, UK
Titre / Title « Identification and Estimation of Differentiated Products Models using Market Size and Cost Data »
Résumé / Abstract We propose a new methodology for estimating the demand and cost functions of differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity of outputs to cost shocks, by using variation in market size that does not need to be exogenous, and cost data. We establish nonparametric identification, consistency and asymptotic normality of our estimator. Using Monte Carlo experiments, we show our method works well in contexts where instruments are correlated with demand and cost shocks, and where commonly-used instrumental variables estimators are biased and numerically unstable.
co-écrit avec / Co-authored with S. Imai, D. Byrne, V. Sarafidis and M. Hirukawa