This paper studies the excess returns on stocks, associated to various company fundamentals on a panel of US stocks from 1979 to 2008. The returns premia are measured using a random coefficient panel data model on the individual stock level. We show that the HML and SMB factors in the Fama and...

Many papers claim that value and size fundamentals (book-to-price ratios and market capitalization) yield positive expected return premia because they are proxies for systematic risk factors in conditional and/or multi-factor CAPM. Much of empirical evidence to support this idea comes from...

We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different...

We analyze the implications of the introduction of disappointment averse agents on the financial markets. The underlying intuition is that agents take account for the potential disappointment of their decisions, in particular when they invest on the stock market. After having defined the...

Recent literature on the takeover process widely emphasizes the extent to which the capital market acts as a disciplinary device by inciting firms to behave in a profit-maximizing fashion. However, existing theoretical work does not consider the probability of takeover to increase with the...

En matière de système de retraite, plus peut-être que dans tout autre domaine d'intervention de la puissance publique, l'évaluation des options en présence exige la prise en compte d'effets économiques à un horizon temporel lointain. L'interaction entre les évolutions démographiques et...

If an investor does care for utilities -and not for monetary outcomes- stochastic dominances should be expressed in terms of utility units ("utils"). If so, any "rational" investor may be characterized by an elementary utility function -called canonical utility function- which is such that the...