This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating...

We measure the impact of negative environmental, social and governance news on corporate bond prices and credit default swap premiums for the Eurozone market. Each firm is affected at least by one piece of news related to its environmental, social and governance practices. Each news is then...

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of...

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...

We examine how ownership concentration and the separation of ownership and control affect market liquidity in France. We find that firms with a large insider blockholder exhibit significantly lower liquidity. Different methods of concentrating control affect liquidity in different ways. Pyramid...

We examine how ownership concentration and the separation of ownership and control affect secondary-market liquidity in France. We find that firms with a large insider blockholder exhibit significantly lower liquidity. However, different methods of enhancing control affect liquidity in different...

Are mergers and acquisitions significant events that develop informativeness? Is the informativeness process the same in different countries? Looking only at cumulative abnormal returns (CARs) is insufficient and the results are sometimes contradictory. To answer to these questions we use the...

The cost of equity capital is traditionally considered as an increasing function of the estimation risk – the risk of error regarding the distribution of a firm’s future cash flows (FCF). Under international GAAPs, IAS 36 “Impairment of assets” -based information disclosure conveys...

This article is concerned with modeling the dynamic and distributional properties of daily spot and forward electricity prices across European wholesale markets. Prices for forward contracts are extracted from a unique database from a major energy trader in Europe. Spot and forward returns are...

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...