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Asymmetric information and adverse selection in Mauritian slave auctions

Dionne, Georges; St.-Amour, Pascal; Vencatachellum, Désiré - 2008

tests to Mauritian slave auctions. Dynamic auction theory with private value highlights more aggressive bidding by …

Persistent link: https://www.econbiz.de/10003966182

Separating moral hazard from adverse selection in automobile insurance : longitudinal evidence from France

Dionne, Georges (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002263456

First-Order (Conditional) Risk Aversion, Background Risk and Risk Diversification

Dionne, Georges - 2011

Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent...

Persistent link: https://www.econbiz.de/10013127810

Point-Record Incentives, Asymmetric Information and Dynamic Data

Pinquet, Jean L. - 2007

Road safety policies often use incentive mechanisms based on traffic violations to promote safe driving. These mechanisms are both monetary (fines, insurance premiums) and non-monetary (point-record driving licenses). We use Quebec data collected between 1983 and 1996 to analyze the efficiency...

Persistent link: https://www.econbiz.de/10012729438

Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle

Dionne, Georges - 2006

necessarily mean a contradiction of modern portfolio-choice theory and does not cast doubt on the rationality of investors. From …

Persistent link: https://www.econbiz.de/10012732728

Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse Investors

Dachraoui, Kais - 2006

We explore how the demand for a risky asset can be decomposed into an investment effect and a hedging effect by all risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework. We restrict dependence among returns on the risky assets...

Persistent link: https://www.econbiz.de/10012735459

Coherent Diversification Measures in Portfolio Theory : An Axiomatic Foundation

Koumou, Gilles Boevi - 2019

This paper provides an axiomatic foundation of the measurement of diversification in a one-period portfolio theory … measures. We offer the first step towards a rigorous theory of correlation diversification measures. We propose a set of nine … theories under risk: the expected utility theory and Yaari's dual theory. We explore whether useful methods of measuring …

Persistent link: https://www.econbiz.de/10012890804

Forecasting Expected Shortfall : Should We Use a Multivariate Model for Stock Market Factors?

Fortin, Alain-Philippe - 2019

Is univariate or multivariate modelling more effective when forecasting the market risk of stock portfolios? We examine this question in the context of forecasting the one-week-ahead Expected Shortfall of a portfolio invested in the Fama-French and momentum factors. Apply ingextensive tests and...

Persistent link: https://www.econbiz.de/10012898954

Asymmetric Effects of the Limit Order Book on Price Dynamics

Cenesizoglu, Tolga - 2016

We analyze whether the information in different parts of the limit order book affect prices differently. We distinguish between slopes of lower and higher levels of the bid and ask sides and include these four slope measures as well as midquote return and trade direction in a vector...

Persistent link: https://www.econbiz.de/10012978268

Corporate Risk Management and Dividend Signaling Theory

Dionne, Georges - 2010

This paper investigates the effect of corporate risk management on dividend policy. We extend the signaling framework of Bhattacharya (1979) by including the possibility of hedging the future cash flow. We find that the higher the hedging level, the lower the incremental dividend. This result is...

Persistent link: https://www.econbiz.de/10013148283