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How Does the Stock Market Respond to Chemical Disasters?

Laguna, Marie-Aude; Capelle-Blancard, Gunther - HAL - 2010

In this paper, we examine the stock market reaction to industrial disasters. We consider an original sample of 64 explosions in chemical plants and refineries worldwide over the period 1990-2005. A quarter of the accidents resulted in a toxic release, and half of them caused at least one death...

Persistent link: https://www.econbiz.de/10010635087

Opening the "black box" How internal reporting systems contribute to the quality of financial disclosure

Cavelius, Florence - HAL - 2011

investments. The purpose of this paper is to open the "black box" of the construction of financial disclosure by analyzing the …, the quality of the financial disclosure and the internal reporting systems are measured, and analyzed with a view to … finding some links between them. It is expected that the quality of disclosure is dependent on the quality of the internal …

Persistent link: https://www.econbiz.de/10010820808

An Experiment in the Economic Consequences of Additional Disclosure: The Case of the Fair Value of Unlisted Equity Investments

Ding, Yuan; Jeanjean, Thomas; Lesage, Cédric; Stolowy, … - HAL - 2009

We investigate the economic consequences of additional disclosure about assets with no active market in terms of … value 24 investments. We manipulate the level of disclosure on the fair value of assets (Limited versus Full), the …. Full) disclosure, participants are given a point estimate for the fair value of the investment (resp. plus a range of …

Persistent link: https://www.econbiz.de/10008791819

Cultural diversity at the top: Does it increase innovation and firm performance?

Bozionelos, Nikos; Hoyland, Thomas - HAL - 2014

The article focuses on cultural diversity and whether it has economic value. Though it is undisputed that cultural diversity within a country increases entrepreneurial behaviour the question that remains is whether this heightened entrepreneurial activity results in greater economic...

Persistent link: https://www.econbiz.de/10010899281

Towards a practical approach to responsible innovation in finance: New Product Committees revisited

Armstrong, Margaret; Cornut, Guillaume; Delacôte, Stéphane - HAL - 2012

Purpose - The purpose of this paper is to highlight the potentials offered by New Product Committees for the development of responsible innovation in the financial services industry; and to provide grounds for policy recommendations. Design/methodology/approach - The paper takes the form of...

Persistent link: https://www.econbiz.de/10010820476

Long Memory Process in Asset Returns with Multivariate GARCH innovations

Mootamri, Imene - HAL - 2011

The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a multivariate process exhibiting long term dependence in stock returns. More precisely, the long term dependence is examined in the first conditional moment of US stock returns...

Persistent link: https://www.econbiz.de/10009644795

Detrending Persistent Predictors

Boucher, Christophe; Maillet, Bertrand - HAL - 2011

Researchers in finance very often rely on highly persistent - nearly integrated - explanatory variables to predict returns. This paper proposes to stand up to the usual problem of persistent regressor bias, by detrending the highly auto-correlated predictors. We find that the statistical...

Persistent link: https://www.econbiz.de/10010605314

Changing-regime volatility: A fractionally integrated SETAR model

Dufrenot, Gilles; Guegan, Dominique; Peguin-Feissolle, Anne - HAL - 2008

This paper presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison with simple...

Persistent link: https://www.econbiz.de/10010750892

Forecasting exchange rates better than the random walk thanks to machine learning techniques

Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - HAL - 2014

overfitting in-sample for better and more stable forecasting performance out-of-sample we show that fundamentals from the PPP … forecasting horizons. …

Persistent link: https://www.econbiz.de/10010899931

Is Hosting the Games Enough to Win? A predictive economic model of medal wins at 2014 Winter Olympics

Andreff, Wladimir - HAL - 2012

An econometric model which has first been estimated on medal wins at Summer Olympics and has predicted 88% of medal distribution at Beijing Games 2008, is revisited for Winter Olympics. After changing some variables to take into account the winter sports specificity, the model is estimated again...

Persistent link: https://www.econbiz.de/10011025665