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False news, informational efficiency, and price reversals

Dugast, Jérôme; Foucault, Thierry - 2015

Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff...

Persistent link: https://www.econbiz.de/10010499565

Une nouvelle formalisation de la dynamique du système des prix du marché action (A New Formalization of the Dynamics of the Market Price System of the Equity Market)

Parent, Léo - 2021

French abstract: Le présent papier formalise un nouveau modèle de dynamique du système des prix du marché action, capable de saisir un large spectre de phénomènes renseignés par la littérature académique financière. Le modèle s’attache particulièrement à rendre compte de trois...

Persistent link: https://www.econbiz.de/10013235445

Notations et écarts de rentabilité : le marché français avant l'euro.

Merli, Maxime; Alexandre, Hervé - Université Paris-Dauphine - 2003

L'objectif de cet article est de confronter deux mesures classiques du risque de défaillance de l'émetteur, la notation et l'écart de rentabilité. La première est attribuée par des agences spécialisées dans cette activité (Standard and Poor's et Moody's) alors que la seconde résulte du...

Persistent link: https://www.econbiz.de/10009002004

La persistance de la performance des fonds de pension individuels britanniques:une étude empirique sur des fonds investis en actions et des fonds obligataires

Hervé, Fabrice - In: Revue Finance Contrôle Stratégie 6 (2003) 3, pp. 41-77

leurs performances futures.(VA)This paper proposes to explore the consistency of performance of some UK defined … contributions pension funds:the Personal Pension Scheme. Our results show evidence of performance reversion for domestic equity … funds and performance persistence for fixed-income funds. Nonetheless, the best pension funds in both categories are …

Persistent link: https://www.econbiz.de/10005111132

Fair Value Accounting

Magnan, Michel; Thornton, Daniel B - Centre Interuniversitaire de Recherche en Analyse des … - 2009

The paper provides a genesis of fair value accounting (FVA) and reviews some research and empirical evidence that are relevant to the debate surrounding its use. We also comment on FVA's role in the financial crisis: was it just the messenger of bad news or was it procyclical, contributing to...

Persistent link: https://www.econbiz.de/10008550099

Liquidity, Moral Hazard and Inter-Bank Market Collapse.

Kharroubi, E.; Vidon E. - Banque de France - 2008

This paper proposes a framework to analyze the functioning of the inter-bank liquidity market and the occurrence of liquidity crises. The model relies on three key assumptions: (i) liquidity provisioning is not verifiable -it cannot be contracted upon-, (ii) banks face moral hazard when...

Persistent link: https://www.econbiz.de/10005036213

Évaluation du cadre de résolution des crises bancaires dans la Zone Monétaire de l'Afrique de l'Ouest

Egbuna, Ngozi Eunice; Barry, Abdoulaye; Adjapong, Eric; … - 2021

In this study, we benchmarked the crisis resolution frameworks of the Member States of the West African Monetary Zone (WAMZ) with the Financial Stability Board's Key Attributes (KAs) of effective resolution regime for financial institutions, using survey-based methodology. Questionnaires,...

Persistent link: https://www.econbiz.de/10014278427

A theoretical and empirical comparison of systemic risk measures

Benoit, Sylvain; Colletaz, Gilbert; Hurlin, Christophe; … - 2013

We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial...

Persistent link: https://www.econbiz.de/10010497204

Where the risks lie : a survey on systemic risk

Benoit, Sylvain; Colliard, Jean-Edouard; Hurlin, Christophe - 2015

We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take stock of the achievements of this rapidly growing field, we identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses...

Persistent link: https://www.econbiz.de/10010505159

Call me maybe? : the effects of exercising contingent capital

Vallee, Boris - 2013

This paper studies liability management exercises (LME) by banks, which have comparable regulatory capital effects than contingent capital triggers. LMEs are concentrated on low capitalization situations, both in the cross-section and in the time series and are frequently associated with equity...

Persistent link: https://www.econbiz.de/10010391944

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