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Liquidity Effects of Listing Requirements
Draus, Sarah - Université Paris-Dauphine (Paris IX) - 2009
I propose a model in which a stock exchange can improve its liquidity by tightening its listing requirements. Because … depends on the sensitivity of the utility of investors to changes in liquidity and varies with the organization of listing and … trading. A monopolist exchange always under-regulates if regulation is costly. Under- regulation is exacerbated if other …
Persistent link: https://www.econbiz.de/10010706435
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Systematic equity-based credit risk: A CEV model with jump to default
Campi, Luciano; Polbennikov, Simon; Sbuelz, Alessandro - Université Paris-Dauphine (Paris IX) - 2009
We use equity as the traded primitive for a detailed analysis of systematic default risk. Default is parsimoniously represented by equity value hitting the zero barrier so that, unlike in reduced-form models, the explicit linkage to the firm's capital structure is preserved, but, unlike in...
Persistent link: https://www.econbiz.de/10010707444
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Do corporate bond and credit default swap markets value environmental, social or corporate governance events?
Berg, Florian; Le Pen, Yannick - Université Paris-Dauphine (Paris IX) - 2013
swap premiums for the Eurozone market. Each firm is affected at least by one piece of news related to its environmental … swap return is calculated with a regression of the observed bond return on an equiweighted index that is constructed to … transpose our bond universe on the credit default swap market. Several parametric and non parametric tests do not show any …
Persistent link: https://www.econbiz.de/10010706465
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On the Efficiency of Risks Disclosures: New Evidence from French-Listed Firms
Ghozzi, Mohamed Khaled - Université Paris-Dauphine (Paris IX) - 2005
The purpose of this paper is to study the effect of operational, market and accounting 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...
Persistent link: https://www.econbiz.de/10010861407
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The Impact of Overconfidence Bias and Disposition Effect on the Volume of Transaction and the Volatility of the French Stock Market
Siwar, Ellouz - Université Paris-Dauphine (Paris IX) - 2011
The volume of transaction varies according to several factors. Of a point of view of the behavioural finance, a high level of this last can be assigned to a phenomenon of overconfidence or a disposition effect. This paper studies these two phenomena as well as the one of the asymmetry of the...
Persistent link: https://www.econbiz.de/10010707933
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On the Efficiency of Risks Disclosures: New Evidence from French-Listed Firms
Ghozzi, Mohamed Khaled - Université Paris-Dauphine (Paris IX)
The purpose of this paper is to study the effect of operational, marketand accounting risks disclosures on investors’ disagreements aboutFrench firms’ value. The paper provides evidence on risks reportingefficiency in reducing investors’ disagreements about the implicationfor firm’s...
Persistent link: https://www.econbiz.de/10010708338
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Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs
Hua, Cheng - Université Paris-Dauphine (Paris IX) - 2006
We develop a dynamic model in which traders have differential information about the payoff of the risky asset and trade the risky asset with proportional transaction costs. Firstly, trading volume provides useful information on the asset fundamental value which cannot be inferred from the...
Persistent link: https://www.econbiz.de/10010708652
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The Diversion of Order Flow on French Stocks from CAC to SEAQ International : A field Study
Gresse, Carole; Jacquillat, Bertrand - Université Paris-Dauphine (Paris IX) - 1998
The competition between SEAQ International and Continental European equity markets to attract transactions in the most actively traded European stocks has intensified since the late 1980s. Because their transactions are organised in a different manner, and because reporting standards are not the...
Persistent link: https://www.econbiz.de/10010708701
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On the volatility-volume relationship in energy futures markets using intraday data
Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2012
This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...
Persistent link: https://www.econbiz.de/10011072230
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Analyse financière : Groupes et IFRS
Thuelin, Elisabeth - Université Paris-Dauphine (Paris IX) - 2014
Une approche de l'analyse financière qui aborde la démarche générale, les principaux outils utilisés, les problématiques propres aux états financiers des groupes et le référentiel international, les techniques de consolidation des comptes et les conséquences des IFRS (International...
Persistent link: https://www.econbiz.de/10011073287