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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
This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...
Persistent link: https://www.econbiz.de/10010861453
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Endogenous money and shareholders' funds in the classical theory of banking
de Boyer des Roches, Jérôme - Université Paris-Dauphine (Paris IX) - 1998
By its nature, bank money is endogenous, but its issuing is risky and presupposes the presence of banks' shareholders' funds. Shareholders' funds give banks the means of dealing with the difficulties involved in the process of money creation and which are inherent to the banking activity:...
Persistent link: https://www.econbiz.de/10010861568
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Retraites et épargne
Morin, François; Davanne, Olivier; Lorenzi, Jean-Hervé - Université Paris-Dauphine (Paris IX) - 1998
Ce document étudie le système de retraite français et son évolution dans un contexte de vieillissement de la population. Le premier rapport présente le contexte démographique et propose des éléments d'analyse sur le système de retraite actuel. Le second rapport étudie les relations...
Persistent link: https://www.econbiz.de/10010905154
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Regulatory Environment and Pension Investment Performance
Boon, Ling-Ni; Brière, Marie; Gresse, Carole; Werker, … - Université Paris-Dauphine (Paris IX) - 2013
regulation (namely quantitative investment restrictions, minimum return or benefit guarantee, and the type of supervising … investment return depends on a country’s level of economic development. In emerging market economies, existence of quantitative … investment limits are imposed on equities and foreign assets, as opposed to on bonds. Having a minimum benefit or return …
Persistent link: https://www.econbiz.de/10010790032
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Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
Gresse, Carole; Deville, Laurent; De Séverac, Béatrice - Université Paris-Dauphine (Paris IX) - 2014
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...
Persistent link: https://www.econbiz.de/10010799319
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Comportements financiers des fonds de pension dans les pays de l'OCDE
El Mekkaoui de Freitas, Najat - Université Paris-Dauphine (Paris IX) - 1997
Private savings for retirement, in the form of pensions, play an important role in most OECD countries. Given the scale of assets managed, these funds constitute a major institutional investor. The aim of this article is to present the financial behaviour of pension funds in these countries. A...
Persistent link: https://www.econbiz.de/10010764090
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Managing commodity price volatility
Brière, Marie - Université Paris-Dauphine (Paris IX) - 2011
Persistent link: https://www.econbiz.de/10010706369
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Life cycle options and preferences
Legros, Florence - Université Paris-Dauphine (Paris IX) - 2006
Persistent link: https://www.econbiz.de/10010706738
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Conflits d'agence au sein des fonds de pension privés. L'exemple américain
Lavigne, Anne; El Mekkaoui de Freitas, Najat - Université Paris-Dauphine (Paris IX) - 2000
This paper deals with the principal-agent relationships involved by the management of pension funds. The focus is made on private defined benefit pension funds in the US. We first underline the main characteristics of management and financial pension policy. We then identify the principal-agent...
Persistent link: https://www.econbiz.de/10010707017
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Do private pension funds increase household consumption ? An empirical study
El Mekkaoui de Freitas, Najat; Mourougane, Annabelle; … - Université Paris-Dauphine (Paris IX) - 2002
Private pension plans are now an important source of retirement income, especially in the United Kingdom and in the United States. They play an increasing role in the economy of most of the OECD countries. Therefore, we analyse the effect of pensions on private consumption. We focus on the...
Persistent link: https://www.econbiz.de/10010707074