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Herding in French stock markets: Empirical evidence from equity mutual funds
Arouri, Mohamed El Hedi; Bellando, Raphaëlle; … - HAL - 2013
Using the traditional herding measure of Lakonishok, Shleifer and Vishny (1992) (LSV) and the more recent measure of … Frey, Herbst and Walter (2007) (FHW), we assess herding by French equity mutual funds between 1999 and 2005. We show that … LSV herding amounts to 6.5%, while FHW herding is approximately 2.5 times stronger. We find that herding is stronger in …
Persistent link: https://www.econbiz.de/10010930102
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Measuring herding intensity: a hard task
Bellando, Raphaëlle - HAL - 2010
This paper addresses the traditional Lakonishok, Shleifer and Vishny (LSV) herding measure and points out its lack of … formal explanation of this bias and propose a more appropriate measure of herding. We then turn to the properties of the new … propose a corrected version of their indicator. We also show that the real herding value is within an interval bounded by LSV …
Persistent link: https://www.econbiz.de/10008793516
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Implied Risk Exposures
Benoit, Sylvain; Hurlin, Christophe; Pérignon, Christophe - HAL - 2013
We show how to reverse-engineer banks' risk disclosures, such as Value-at-Risk, to obtain an implied measure of their exposures to equity, interest rate, foreign exchange, and commodity risks. Factor Implied Risk Exposures (FIRE) are obtained by breaking down a change in risk disclosure into a...
Persistent link: https://www.econbiz.de/10010899552
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Paisaje Del Desarrollo. La ecología de las tecnologías andinas
Alexander, Herrera; Alì, Maurizio - HAL - 2009
communities in the fields of agriculture, herding and agroforestry. …
Persistent link: https://www.econbiz.de/10010891259
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The Transmission of the Subprime Crisis
Chihi-Bouaziz, Meriam; Boujelbène, Younes; Bazin, Damien - HAL - 2012
This paper aims to study the contagion effects of the subprime financial crisis on the real economy of the USA. The contagion of this crisis is measured by increased linkages between markets after a shock has taken place (the stock market shocks, the interbank spread). The VAR model is utilized...
Persistent link: https://www.econbiz.de/10010933785
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A multi-horizon scale for volatility
Subbotin, Alexander - HAL - 2008
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic indicator for valatilities, analogous to the Richter scale in geophysics. The peak-over-threshold method is used to fit the generalized Pareto probability distribution for the...
Persistent link: https://www.econbiz.de/10010750636
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Why and how to measure stock market fluctuations? The early history of stock market indices, with special reference to the French case
Hautcoeur, Pierre-Cyrille - HAL - 2006
Stock market indices are today a vital and daily tool for both economists and actors in the financial world. The multiplication and the very importance given to these indices raise the question of their accuracy and of the reliability of the methods that are used to construct them. We begin an...
Persistent link: https://www.econbiz.de/10010738778
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A discussion of stock market speculation by Pierre-Joseph Proudhon
Juhel, Jean-Claude; Dufour, Dominique - HAL - 2008
The object of this contribution is to present the ideas behind the thinking of the French economist Pierre-Joseph Proudhon (1809-1865) in relation to the causes and effects of Stock market speculation. It is based upon the works of this author but particularly on his “Manuel du spéculateur à...
Persistent link: https://www.econbiz.de/10008791994
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Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level
Abou, Alain; Prat, Georges - HAL - 1986
Semi-annual surveys carried out by J. Livingston on a panel of experts has enabled us to compute the expected returns on a portfolio made up of US industrial stocks. Having calculated the difference between these expected returns and the risk free rate given by zero coupon bonds, we generated...
Persistent link: https://www.econbiz.de/10008792181
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Mesoscopic modelling of financial markets
Cordier, Stéphane; Pareschi, Lorenzo; Piatecki, Cyrille - HAL - 2008
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investments alternatives: a stock and a bond. The model is derived starting from the Levy-Levy-Solomon microscopic model using the methods of kinetic theory...
Persistent link: https://www.econbiz.de/10008794299