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Financial Markets Equilibrium with Heterogeneous Agents
Napp, Clotilde; Malamud, Semyon; Jouini, Elyès; … - Université Paris-Dauphine (Paris IX) - 2012
shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …
Persistent link: https://www.econbiz.de/10010708121
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Crisis-Robust Bond Portfolios
Szafarz, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2008
Persistent link: https://www.econbiz.de/10011166464
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Heurs et malheurs de l'investissement à long terme : l'exemple de Solvency II
Lorenzi, Jean-Hervé - Université Paris-Dauphine (Paris IX) - 2010
Persistent link: https://www.econbiz.de/10011073998
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Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)
Gresse, Carole; Gajewski, Jean-François - Université Paris-Dauphine (Paris IX) - 2007
This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading...
Persistent link: https://www.econbiz.de/10010905293
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The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads
Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2006
This article provides new insights into market competition between traditional exchanges and alternative trading systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity of a traditional dealer market (DM) by comparing data...
Persistent link: https://www.econbiz.de/10011093892
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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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Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model
de La Bruslerie, Hubert; Fouilloux, Jessica - Université Paris-Dauphine (Paris IX) - 2015
rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and …
Persistent link: https://www.econbiz.de/10011246084
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Is there value-added information in liquidity and risk premiums?
Hamon, Jacques; Jacquillat, Bertrand - Université Paris-Dauphine (Paris IX) - 1999
Size has become a significant factor in explaining returns. According to the size effect, smaller capitalization stocks on average outperform larger capitalization stocks over long periods of time. This paper first documents the traditional size effect on the French market for the 1986-1998...
Persistent link: https://www.econbiz.de/10010742285
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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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Volatility as an Asset Class for Long-Term Investors
Burgues, Alexander; Signori, Ombretta; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2009
This work shows how long-term investors can benefit from adding volatility as an asset class to their portfolio. Two … types of "structural" exposure – long implied volatility and long volatility risk premium – are now simple to implement …. Implied volatility exposure can be used to significantly reduce the risk profile of the portfolio, and especially extreme …
Persistent link: https://www.econbiz.de/10010706519