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Inventories cycles in an augmented R.B.C. model

Collard, Fabrice; Jacques, Jean-François - Université Paris-Dauphine (Paris IX) - 1996

demand shocks. This hypothesis seems to be a good framework to account for inventories fluctuations. We find some evidence …

Persistent link: https://www.econbiz.de/10010707991

About the stability of the inventory-sales ratio : An empirical study with US sectoral data.

Jacques, Jean-François; Salem, Mélika Ben - Université Paris-Dauphine (Paris IX) - 1996

of inventories and production ; Methods used in measuring inventory ratios; Increasing ratio in trade sector. …

Persistent link: https://www.econbiz.de/10010708191

Contribution of aggregate and sectoral shocks to the dynamics of inventories : an empirical study with french and american data

Jacques, Jean-François; Salem, Mélika Ben - Université Paris-Dauphine (Paris IX) - 1999

The aim of this paper is the identification of structural shocks which affect the dynamics of sectoral inventories … French time series of aggregate production, sectoral production and sectoral inventories. The results are similar for both … become significant. Conversely, sectoral inventories are influenced in the short run by the idiosyncratic demand shock and in …

Persistent link: https://www.econbiz.de/10010708365

Book review : Financial Analysis and Corporate Strategy. M Grinblatt, S Titman

Chemla, Gilles - Université Paris-Dauphine (Paris IX) - 2000

Reviews the book 'Financial Analysis and Corporate Strategy,' by Mark Grinblatt and Sheridan Titman.

Persistent link: https://www.econbiz.de/10011166398

Explaining the Cross-Section of Stock Returns in France : Characteristics or Risk Factors?

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 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/10011166402

Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options

Féron, Olivier; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2012

We propose a joint modeling of spot electricity prices, forwards prices and other derivative prices, using recent developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of compound autoregressive (or affine) stochastic processes. We show that...

Persistent link: https://www.econbiz.de/10010861561

Heterogeneous Beliefs and Asset Pricing in Discrete Time : an Analysis of Pessimism and Doubt

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 2006

The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the...

Persistent link: https://www.econbiz.de/10010905234

Fundamental-driven and Tactical Asset Allocation: what really matters?

Hartpence, Maria; Boulier, Jean-François - Université Paris-Dauphine (Paris IX) - 2004

Asset allocation contribution to ex-post performance is of primary importance. Nobody denies its role, yet the subject of allocating assets remains controversial. To some contenders, the added value stems only from strategic asset allocation which aims at providing the long-term average exposure...

Persistent link: https://www.econbiz.de/10011071861

The capital asset pricing model and the three factor model of Fama and French revisited in the case of France

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2002

Size and book to market ratio are both highly correlated with the average returns of common stocks. Fama and French (1993) argue that these eﬀects are proxies for factors of risk. In this study, we try to test the three factor model of Fama and French and the Capital Asset Pricing Model on the...

Persistent link: https://www.econbiz.de/10011072671

Benefits and Risks of Alternative Investment Strategies

Vaissié, Mathieu; Amenc, Noël; Martellini, Lionel - Université Paris-Dauphine (Paris IX) - 2003

Persistent link: https://www.econbiz.de/10011073624