This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...

This article deals with the motivations and the different sources of value from Public to Private Transactions in Europe, USA and Asia from 2000 to 2007. We determine eight main motivations (Tax savings, Incentive realignment, Control, Free Cash Flow, Growth of Prospects, Transaction Costs,...

This article deals with the motivations and the different sources of value from Public to Private Transactions in Europe, USA and Asia from 2000 to 2007. We determine eight main motivations (Tax savings, Incentive realignment, Control, Free Cash Flow, Growth of Prospects, Transaction Costs,...

This article deals with the motivations and the different sources of value from Public to Private Transactions in Europe, USA and Asia from 2000 to 2007. We determine eight main motivations (Tax savings, Incentive realignment, Control, Free Cash Flow, Growth of Prospects, Transaction Costs,...

This paper aims to study the impact of macroeconomic announcements on stock returns. More specifically, it intends to measure the average response of the French stock market and to provide some theoretical explanations regarding the sources of this reaction. Using intraday data, the study shows...

Recent empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on real stock prices: a 25-basis point increase in the nominal interest rate is associated with an immediate decrease in broad real stock indices that may range from 0.6 to 2.2...

The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative agent's risk aversion increases. If the income effect, which implies enhanced saving as a result of an increase in...

The bargaining power of international banks is currently still very high as compared to what it was at the time of the Bretton Woods conference. As a consequence, systemic financial crises are likely to remain recurrent phenomena with large effects on macroeconomic aggregates. Mainstream...

This paper proposes a Near Explosive Random-Coefficient autoregressive model for asset pricing which accommodates both the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be stationary with or without fat tails, unit-root nonstationary...