We analyze earnings forecasting errors made by financial analysts for 13 European countries over the 1990-2006 period. We use the Heston-Rouwenhorst approach to unravel country-, industry-, and firm-specific effects as a source of variation in financial analysts’ earnings forecast errors. We...

This paper revisits Fama and French [Fama, Eugene F., French, Kenneth R., (1993) Common risk factors in the returns on stock and bonds. Journal of Financial Economics 33 (1), 3-56] and Carhart [Carhart, Mark M., 1997. On persistence in mutual fund performance. Journal of Finance 52 (1), 57-82]...

This paper revisits the performance of hedge funds in the presence of errors in variables. To reduce the bias induced by measurement error, we introduce an estimator based on cross sample moments of orders three and four. This Higher Moment Estimation (HME) technique has significant consequences...

This paper studies the implications for international portfolio diversification of a simple OLG model of the world economy with transaction costs. Our main result shows that the introduction of very small transaction costs is sufficient to reproduce the large home bias observed in the...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We revisit the traditional return-based style analysis in the presence of time-varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their...

Despite the fact that it is easy to see intuitively why skewness and coskewness should matter for asset pricing, it is difficult to build a model that links analytically skewness premia to deep structural parameters governing preferences and the distribution of shocks. This paper takes up the...

The presence of nearby public facility contributes to real-estate’s value, that’s why the market may expect impact of public project on house’s price. But undesirable and semi-desirable facility location choices can be contested by close inhabitants, because they are source of negative...

This study examines the impact of real estate brokers on the price of residential properties sold in 2005 in twelve French cities. The results indicate that brokers increase the prices of properties they sell even though they appear to have heterogeneous behaviours across cities. The impact of...