Standard sector classification frameworks present drawbacks that might hinder portfolio manager. This paper introduces a new non-parametric approach to equity classification. Returns are decomposed into their fundamental drivers through Independent Component Analysis (ICA). Stocks are then...

Pyramids, cross-ownership, rings and other complex features inducing control tunnelling are frequent in the European and Asian industrial world. Based on the matrix methodology, this paper offers a model for measuring integrated ownership and threshold-based control, applicable to any group of...

In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities,...

This paper starts from the observation that 23% of the world’s microfinance institutions (MFIs) manage without subsidies. We examine how unsubsidized institutions cope with their social mission. Overall, the lack of subsidies worsens social performances. However, our results show that...

This paper offers a new representation of discrimination on the job market based on the most recent findings in the socio-psychological academic literature about human behaviour. Put it simply, it is assumed that the agents prefer working with people like themselves. This "affinity" principle is...

When a financial crisis breaks out, speculators typically get the blame whereas fundamentalists are presented as the safeguard against excessive volatility. This paper proposes an asset pricing model where two types of rational traders coexist: short-term speculators and long-term...

Most of the customers of microfinance institutions are female. But do men and women benefit from the same credit conditions? We investigate this issue by presenting an original model and testing its predictions on an exceptional database comprising 34,000 loan applications from a Brazilian...