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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

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

The effect of asymmetric information and transaction costs on asset pricing: theory and tests

Bellalah, Makram; Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2003

This paper presents a capital asset pricing model in the presence of asymmetric information and transaction costs. The model is a generalized version of Merton's (1987) model and Black's (1974) model. Empirical tests show a negative relation between the expected rate of return and the shadow...

Persistent link: https://www.econbiz.de/10010707289

Size and book to market effects: further evidence from the French case

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2003

The objective of this paper is to study the market, SMB, HML and The leverage factors inexplaining cross-sectional returns.We provide the first empirical analysis of Ferguson and Shockley (2003) theoretical frame work on the French stock market. Book to market and size, variables which a...

Persistent link: https://www.econbiz.de/10010707328

Size and book to market effects vs co-skweness and co-kurtosis in explaining stock returns

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2005

In this study, we test the size and the book to market effects in explaining stock returns with co-skewness and co-kurtosis on the French Stock Market over July 1976 to June 2001 period. Results of time series regressions of monthly portfolio returns are consistent with the Fama and French...

Persistent link: https://www.econbiz.de/10010707540

Size and book to market effects: further evidence from the French case

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2004

Persistent link: https://www.econbiz.de/10010708283

On Real Options and Information Costs

Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine (Paris IX) - 2002

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton’s (1987) model of capital market...

Persistent link: https://www.econbiz.de/10010708647