Les critiques de la finance contemporaine portent en grande partie sur le comportement de nouveaux acteurs financiers comme les hedge funds, les fonds de private equity et les fonds souverains. Jean-Hervé Lorenzi et Philippe Trainar nous aident ici à discerner les fantasmes de la réalité en...

The aim of this pH-D thesis is to answer the following question : Is it possible to use the information offered by the commodity futures markets and the hedging instruments they propose to value a petroleum field and decide when it is suitable to invest ? A term structure model for commodity...

Mutual funds industry has been sought by French politicians as mediation between the popular savings and company’s investments through the financial markets. Questioning the link between finance and industry requires analyzing the effectiveness of this mediation. This article intends firstly...

We present two results concerning soybean prices. First, we exhibit a simple relationship between stocks and price volatility. The observation of an increasing price volatility with decreasing inventory is often mentioned in the literature, but has so far been documented using a proxy for...

Hedge fund replication based on factor models is encountering growing interest. In this paper, we investigate the implications of substituting standard rolling windows regressions, which appear ad-hoc, with more effcient methodologies like the Kalman flter. We show that the copycats constructed...

Pour certains, les prouesses macro-économiques auxquelles les Etats-Unis nous habituent ne sont pas le produit d'une politique habile, encore moins celui d'un hasard heureux : ils sont la preuve d'une profonde transformation industrielle et institutionnelle. Une double révolution,...

This paper takes full advantage of daily quoted prices of microfinance stocks from their issuance, and draws a global picture of worldwide microfinance equity from the viewpoint of a profit-oriented investor. We construct microfinance country equity indices and an international global...

Although many developing countries have experienced an increase in the relative demand for skilled workers leading to a rise in wage inequality, the role played by trade in this trend remains a matter of debate. Using a firm-level database covering manufacturing and non-manufacturing sectors in...