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...

Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is one factor of destabilization in the financial markets, as illustrated recently...

We consider a non necessarily complete financial market with one bond and one risky asset, whose price process is modelled by a suitably integrable, strictly positive, càdlàg process $S$ over $[0, T]$. Every option price is defined as the conditional expectation under a given equivalent (true)...

Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with a minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is viewed as one factor of destabilization in the financial markets, as...

Market liquidity risk refers to the degree to which large size transactions can be carried out in a timely fashion with a minimal impact on prices. Emphasized by the G10 report in 1993 and the BIS report in 1997, it is viewed as one factor of destabilization in the financial markets, as...

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

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...

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...

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...

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...