Cet article examine empiriquement les déterminants de l’utilisation des produits dérivés par un échantillon de sociétés non financières françaises. Les résultats des tests font apparaître le levier (le proxy des coûts de la détresse financière), le rendement des dividendes, la...

In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We establish that Abel's result on the impact of doubt on the risk premium is not correct in general; see Abel [2002. An exploration of the effects of pessimism and doubt on asset...

In this note, we consider an economy with heterogeneous agents, differing by their time preference rate and by their beliefs. We show that at the Pareto optimum, the representative agent exhibits interesting behavioral properties. More precisely, starting from a standard model with expected...

In this paper, we show that behavioral features can be obtained at a group level when the individuals of the group are heterogeneous enough. More precisely, starting from a standard model of Pareto optimal allocations, with expected utility maximizers and exponential dis- counting, but allowing...

The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds, and equities, in the USA and Europe. Using a...

The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework,...

Many empirical and behavioral studies underline the idea of a non-flat term structure of subjective interest rates with a decreasing slope. Using an empirical test, this paper aims at identifying in individual behaviors whether agents see their psychological value of time decreasing or not. We...

This paper explores the relationship between dynamic consistency and existing notions of unambiguous events for Choquet expected utility preferences. A decision maker is faced with an information structure represented by a filtration. We show that the decision maker’s preferences respect...

In this paper, we want to characterize the optimal health insurance contract with adverse selection and moral hazard. We assume that policyholders differ by the permanent health status loss and choose an unobservable preventive effort in order to reduce the probability of illness which is...

Since the seminal paper of Ghirardato, it is known that Fubini Theorem for non-additive measures can be available only for functions defined as “slice-comonotonic”. We give different assumptions that provide such Fubini Theorems in the framework of product σ-algebras.