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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

On Real Options and Information Costs

Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine (Paris IX) - 2002

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several real options in the presence of shadow costs of incomplete information. Information costs can be viewed as sunk costs in the spirit of Merton’s (1987) model of capital market...

Persistent link: https://www.econbiz.de/10010708647

Volatility Exposure for Strategic Asset Allocation

Brière, Marie; Burgues, Alexandre; Signori, Ombretta - Université Paris-Dauphine (Paris IX) - 2010

volatility risk premium strategies. An analytical framework, which offers pragmatic solutions for long-term investors who seek … exposure to volatility, is used to calibrate and assess the risk-return profiles of portfolios. The benefit of volatility … exposure for a conventional portfolio is shown through a mean-modified value at risk portfolio optimization. A pure volatility …

Persistent link: https://www.econbiz.de/10010708814

Martingales and arbitrage in securities markets with transaction costs

Kallal, Hedi; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 1995

We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded...

Persistent link: https://www.econbiz.de/10010706980

Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Russo, Francesco; Oudjane, Nadia; Goutte, Stéphane - Université Paris-Dauphine (Paris IX) - 2013

We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...

Persistent link: https://www.econbiz.de/10011082464

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

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

The effect of asymmetric information and transaction costs on asset pricing: theory and tests

Bellalah, Makram; Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2003

This paper presents a capital asset pricing model in the presence of asymmetric information and transaction costs. The model is a generalized version of Merton's (1987) model and Black's (1974) model. Empirical tests show a negative relation between the expected rate of return and the shadow...

Persistent link: https://www.econbiz.de/10010707289

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

The Role of Nuclear Power in Reducing Risk of the Fossil Fuel Prices and Diversity of Electricity Generation in Tunisia: A Portfolio Approach

Souissi, Jomâa; Chaton, Corinne; Aloui, Chaker; … - Université Paris-Dauphine (Paris IX) - 2010

from gas to nuclear. Next, we use the portfolio theory to manage risk of the electricity generation portfolio and to … optimal mix than the mix fixed for the Tunisian mix for the horizon 2010–2020, with lower cost for the same risk degree. In …

Persistent link: https://www.econbiz.de/10011072771