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La structure du capital et la profitabilité : Une étude empirique sur données de panel françaises

Kebewar, Mazen - HAL - 2012

L'objectif de cet article est d'analyser l'impact de la structure du capital sur la profitabilité. Cet impact peut être expliqué par trois théories essentielles: la théorie du signal, l'influence de la fiscalité et la théorie de l'agence. Nous montrons, à partir d'un échantillon de 9136...

Persistent link: https://www.econbiz.de/10010618158

La structure du capital et la profitabilité : Une étude empirique sur données de panel françaises

Kebewar, Mazen - HAL - 2013

The objective of this article is to analyze the impact of capital structure on profitability. This impact can be … structure on profitability. The empirical analysis allowed us to distinguish three different groups of sectors: for the first … group (industry, energy and service), the capital structure has no impact on profitability. The second group, containing …

Persistent link: https://www.econbiz.de/10010821251

Arbitrage with fixed costs and interest rate models

Napp, Clotilde; Jouini, Elyès - HAL - 2006

We study securities market models with fixed costs. We first characterize the absence of arbitrage opportunities and provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing models that present arbitrage opportunities in the absence of fixed...

Persistent link: https://www.econbiz.de/10008792490

Category-based Tail Comovement

Charpentier, Arthur; Galariotis, Emilios; Villa, Christophe - HAL - 2009

Traditional financial theory predicts that comovement in asset returns is due to fundamentals. An alternative view is that of Barberis and Shleifer (2003) and Bar- beris, Shleifer and Wurgler (2005) who propose a sentiment based theory of comovement, delinking it from fundamentals. In their...

Persistent link: https://www.econbiz.de/10008793727

Discontinuous Initial Value Problems for Funtional Differential-Algebraic Equations of Mixed Type

D'Albis, Hippolyte; Augeraud-Véron, Emmanuelle; … - HAL - 2012

interest rates. In particular, we investigate under which circumstances the central bank can prevent runaway inflation by …

Persistent link: https://www.econbiz.de/10010635139

The impact of monetary policy signals on the intradaily euro-dollar volatility

Mokhtar, Darmoul - HAL - 2006

In this paper, we investigate the impact of monetary policy signals stemming from the ECB Council and the FOMC on the intradaily Euro-dollar volatility, using high-frequency data (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure...

Persistent link: https://www.econbiz.de/10010750789

Equilibrium on International Assets and Goods Markets

Fontaine, Patrice; Van, Cuong Le - HAL - 2010

Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but...

Persistent link: https://www.econbiz.de/10010603675

Switching Between Expectation Processes in the Foreign Exchange Market: A Probabilistic Approach Using Survey Data

Prat, Georges; Uctum, Remzi - HAL - 2007

This paper relaxes a fundamental hypothesis commonly accepted in the expectation formation literature: expectations are, unchangingly, either rational or generated by one of the three simple extrapolative, regressive or adaptive processes. Using expectations survey data provided by Consensus...

Persistent link: https://www.econbiz.de/10008789553

Fractional integration and cointegration in stock prices and exchange rates

Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - HAL - 2010

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...

Persistent link: https://www.econbiz.de/10008793955

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

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

Using methods from machine learning - adaptive sequential ridge regression with discount factors - that prevent overfitting in-sample for better and more stable forecasting performance out-of-sample we show that fundamentals from the PPP, UIRP and monetary models consistently improve the...

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