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How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?.
Platten, Isabelle; Gresse, Carole; De Winne, Rudy - Université Paris-Dauphine
This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF …-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as … because some large liquidity traders exit the underlying stocks’ market for the ETF market. Some statistics suggest that those …
Persistent link: https://www.econbiz.de/10009370244
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Crisis-Robust Bond Portfolios.
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine - 2008
Persistent link: https://www.econbiz.de/10009364875
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Do Inflation-Linked Bonds Still Diversify ?.
Brière, Marie; Signori, Ombretta - Université Paris-Dauphine - 2009
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...
Persistent link: https://www.econbiz.de/10009364876
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Volatility Exposure for Strategic Asset Allocation.
Brière, Marie; Burgues, Alexandre; Signori, Ombretta - Université Paris-Dauphine - 2010
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,...
Persistent link: https://www.econbiz.de/10009364880
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Explaining the Cross-Section Returns in France : Characteristics or Risk Factors?.
Lajili, Souad - Université Paris-Dauphine - 2007
In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...
Persistent link: https://www.econbiz.de/10008498113
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Valuation of default sensitive claims under imperfect information.
Jeanblanc, Monique; Geman, Hélyette; Coculescu, Délia - Université Paris-Dauphine
We propose an evaluation method for financial assets subject to default risk, when investors face imperfect information about the state variable triggering the default. The model we propose generalizes the one by Duffie and Lando (2001) in the following way:(i)it incorporates informational noise...
Persistent link: https://www.econbiz.de/10008532557
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Arbitrage and viability in securities markets with fixed trading costs.
Jouini, Elyès; Napp, Clotilde; Kallal, Hedi - Université Paris-Dauphine - 2001
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational, and processing costs or opportunity costs. We show that the...
Persistent link: https://www.econbiz.de/10008800247
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Multivariate Utility Maximization with Proportional Transaction Costs.
Owen, Mark; Campi, Luciano - Université Paris-Dauphine - 2011
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the...
Persistent link: https://www.econbiz.de/10008492130
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Mean square error for the Leland-Lott hedging strategy: convex pay-offs.
Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine - 2010
Leland’s approach to the hedging of derivatives under proportional transaction costs is based on an approximate replication of the European-type contingent claim V T using the classical Black–Scholes formula with a suitably enlarged volatility. The formal mathematical framework is a scheme...
Persistent link: https://www.econbiz.de/10008460925
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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs.
Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine - 2012
In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial...
Persistent link: https://www.econbiz.de/10008460930