Les actifs financiers sûrs sont au cœur de la finance de marché aujourd'hui. L'aptitude de tels actifs à protéger la valeur de l'épargne et des avoirs financiers, à servir de garantie à des prêteurs, à permettre aux entités souveraines de se financer ou encore aux banques centrales de...

The purpose of this paper is to study the effect of operational, and market risks disclosures on investors’ disagreements about French firms’ value. The paper provides evidence on risks reporting efficiency in reducing investors’ disagreements about the implication for firm’s value of...

Selon les travaux de Hamada (1972), Ryan (1997) et Pae (2002), l’incertitude des investisseurs sur la valeur est liée aux sources de risques sectoriels et inhérents. Depuis, peu de travaux se sont intéressées à la relation entre les informations liées aux sources de risques et le marché...

This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In these studies, we built graphs in order to investigate integration and systemic risk in derivative markets. Several classes of underlying assets (i.e. energy products, metals,...

This paper empirically tests the determinants of derivatives use using a sample of French nonfinancial firms- a relatively under investigated area in the risk management literature. It shows that several factors related to maximizing the firm's value significantly affect the decision to use...

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...

The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for investors who wish to invest in the global minimum...

In this thesis we explore two recent topics in behavioral finance, namely portfolio optimization by non-expected utility insiders and existence of equilibria in financial markets populated by heterogeneous agents. Firstly, we review a number of theories which have been used to model behavioral...