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Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky
Szafarz, Ariane; Oosterlinck, Kim; Mignon, Valérie; … - Université Paris-Dauphine (Paris IX) - 2013
The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo...
Persistent link: https://www.econbiz.de/10011166426
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Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index
De Winne, Rudy; Gresse, Carole; Platten, Isabelle - Université Paris-Dauphine (Paris IX) - 2014
processing and order imbalance costs. This most probably results from additional risk sharing capacities provided by increased …
Persistent link: https://www.econbiz.de/10010861453
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Is there value-added information in liquidity and risk premiums?
Hamon, Jacques; Jacquillat, Bertrand - Université Paris-Dauphine (Paris IX) - 1999
`ex-ante' basis, with an empirical study of the link between expected return, risk, and liquidity in a sample consisting … for portfolios from both a univariate and a multivariate perspective. The paper shows how risk and liquidity premiums can … liquidity premiums together with risk premiums are useful in active asset management. …
Persistent link: https://www.econbiz.de/10010742285
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Publication d’informations sur le capital immatériel et attentes des investisseurs : une étude exploratoire par la méthode Delphi
Bejar, Yosra - Université Paris-Dauphine (Paris IX) - 2009
Following an opinion study developed with financial analysts and portfolio managers, we have identified a list of information most likely used by investors in order to make investment decisions. Through their answers to the Delphi methodology, the existence of a consensus about 19 pieces...
Persistent link: https://www.econbiz.de/10010706631
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The effect of asymmetric information and transaction costs on asset pricing: theory and tests
Bellalah, Makram; Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2003
between the expected rate of return and the shadow costs of incomplete information. The results in this paper have the …
Persistent link: https://www.econbiz.de/10010707289
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How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?
Platten, Isabelle; Gresse, Carole; De Winne, Rudy - Université Paris-Dauphine (Paris IX) - 2009
This article examines how the inception of an ETF market impacts several dimensions of the liquidity of the ETF-underlying-index stocks. In contrast with previous research, our evidence is based on an ETF market where liquidity providers (LPs) act as market makers. We find that: (1) the market...
Persistent link: https://www.econbiz.de/10010707479
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Creative Accounting and Market Efficiency
Bianchi, Milo; Jehiel, Philippe - Université Paris-Dauphine (Paris IX) - 2012
Persistent link: https://www.econbiz.de/10010707648
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Inflation and Individual Equities
Brière, Marie; Ang, Andrew; Signori, Ombretta - Université Paris-Dauphine (Paris IX) - 2012
We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities...
Persistent link: https://www.econbiz.de/10010707935
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Efficient portfolios in financial markets with proportional transaction costs
Campi, Luciano; Jouini, Elyès; Porte, Vincent - Université Paris-Dauphine (Paris IX) - 2013
In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model with proportional transaction costs. In our setting, transaction costs may be random, time-dependent, have jumps and the preferences...
Persistent link: https://www.econbiz.de/10010708373
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Le marché des blocs hors-CAC : un supplément de liquidité pour la Bourse de Paris ?
Riva, Fabrice - Université Paris-Dauphine (Paris IX) - 2000
Depuis 1994, la Bourse de Paris s'est dotée d'un marché de blocs destiné à faciliter l'exécution des ordres de grande taille en provenance des investisseurs institutionnels. En 1996 cependant, seuls 10% des blocs échangés à la Bourse de Paris ont été négociés sur ce marché, le reste...
Persistent link: https://www.econbiz.de/10011072120