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Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

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...

Persistent link: https://www.econbiz.de/10005100629

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

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...

Persistent link: https://www.econbiz.de/10005100677

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including … dans le contexte du modèle du CAPM (Capital Asset Pricing Model), permettent de considérer diverses classes de …

Persistent link: https://www.econbiz.de/10005100885

Un MEDAF à plusieurs moments réalisés.

Hurlin, Christophe; Kouontchou, Patrick; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

This paper generalizes the Bollerslev and Zhang (2003) approach for the estimation of loadings of asset pricing models using "realized" measures and co-measures of risk. We propose here to extend this approach by including higher-moments in asset pricing models. Estimations are conducted using...

Persistent link: https://www.econbiz.de/10008635797

Effet du ROP, RIP, et R sur RSP: Symétrie ou Asymétrie? Cas des pays exportateurs et importateurs de pétrole.

NEIFAR, MALIKA; HarzAllah, AMIRA - 2024

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 :...

Persistent link: https://www.econbiz.de/10015213468

Analyser la performance financière des indices boursiers environnementaux

Barda, Kelly - 2020

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...

Persistent link: https://www.econbiz.de/10015216218

Information security breaches and financial market reaction: the French case

Mendiela, Pauline - 2021

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...

Persistent link: https://www.econbiz.de/10015229368

Corruption, secteur bancaire et développement du marché boursier : cas des pays de la zone EURO

Missaoui, Ibtissem; Ben Rejeb, Jaleleddine - 2017

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...

Persistent link: https://www.econbiz.de/10015258781

Désinvestissement des combustibles fossiles: quelles conséquences pour la gestion de portefeuille ?

Delâtre, Chloë - 2022

Individual investors and financial institutions are increasingly seeking to divest from fossil fuel producers. This article investigates the financial implications of such a move by comparing two types of stock indices: (1) a traditional stock index that includes companies producing fossil fuels...

Persistent link: https://www.econbiz.de/10015268612

Réaction des investisseurs à la création de fonds éthiques

Peillex, Jonathan - 2023

In this study, we examine investors’ reactions to the creation of ethical funds. To do this, we measure the short-term impact of launching an ethical fund on the stock price of the financial company that created it. We contribute to the literature by quantifying the financial consequences of...

Persistent link: https://www.econbiz.de/10015270863