This paper applies real options and mean–variance portfolio theories to analyze the electricity generation planning into presence of nuclear power plant for the Tunisian case. First, we analyze the choice between fossil fuel and nuclear production. A dynamic model is presented to illustrate...

Les actifs financiers sûrs sont au cœur de la finance de marché aujourd'hui. L'aptitude de tels actifs à protéger la valeur de l'épargne et des avoirs financiers, à servir de garantie à des prêteurs, à permettre aux entités souveraines de se financer ou encore aux banques centrales de...

Les entreprises présentant des titres liquides créent-elles davantage de valeur ? En apparence, la liquidité semble appelée à ne jouer qu’un rôle secondaire dans la valorisation des firmes. Cependant, différentes théories économiques, corroborées par de nombreuses études empiriques...

This paper presents a study of intra-day patterns of stock market activity and introduces duration based activity measures for single stocks and multiple assets. The proposed measures involve weighted durations, i.e. times necessary to sell (buy) a predetermined volume or value of stocks. As...

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting. Many have proposed the use of historical cost accounting, promoting its ability to avoid the amplification of systemic risk. We caution against...

Berkshire Hathaway has realized a Sharpe ratio of 0.76, higher than any other stock or mutual fund with a history of more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha becomes insignificant when controlling for exposures to...

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

This paper provides empirical evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, corporate...

Several studies have focused on the relationship between the R2 and the firm value. They have tried to explain how different values of R2 affect the firm value. In this paper we examine this relationship for the Greek companies listed on the Greek Stock Exchange, analyzing a sample of 135 listed...