Dans cet article, nous proposons des tests sur la forme de la distribution des erreurs dans un modèle de régression linéaire multivarié (RLM). Les tests que nous développons sont fonction des résidus obtenus par moindres carrés multivariés, lesquels sont standardisés de façon à ce que...

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...

This paper proposes a new nonparametric test for conditional independence, which is based on the comparison of Bernstein copula densities using the Hellinger distance. The test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in...

This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that over the life-cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and...

This paper seeks to explore the impact of oil price shocks, real industrial production and interest rate on stock prices for six oil exporting countries and five oil importing countries using nonlinear autoregressive distributed lags (NARDL)model using monthly data for the period 1993 :...

This study aims to compare the financial performance of several green stock market indices with their conventional counterparts. Several time periods are analyzed, and several financial indicators are considered. It appears that the StoxxGlobal ESG Environnemental Leader outperforms its...

This study examines the impact of information security breaches on the stock returns on French companies. Using the event study methodology, we provide insights on the effect of cyberattack announcements on the market value of French companies from 2009 to 2019. We show that following...

Through this study we have tried to assess the effects of corruption and the development of the banking system on the development of the stock market of a group of 11 countries in the EURO zone over the period 2006-2015, using a dynamic panel data model.The key findings of this empirical trial...