This paper investigates the nature of observed deviations from the unbiased expectations hypothesis in the forward foreign exchange market. If these deviations are due to risk premia then the same premia should be observed in nominal bonds denominated in different currencies. This condition...

This paper develops a theory and econometric method of portfolio performance measurement using a competitive equilibrium version of the Arbitrage Pricing Theory. We show that the Jensen coefficient and the appraisal ratio of Treynor and Black are theoretically compatible with the Arbitrage...

In the paper we introduce an empirical approximation of the log-optimal investment strategy that guarantees an almost optimal growth rate of investments. The proposed strategy also considers the effects of portfolio rearrangement costs on growth optimality and advises a suboptimal portfolio for...

Les krachs boursiers sont décisifs car ils représentent une part importante de la valeur finale d'un indice boursier. Mais, une variation d'un pourcentage identique n'a pas le même impact dans un environnement financier préalablement stable ou hautement volatile. Pour appréhender les krachs...

La volatilité des actions françaises montre une forte instabilité depuis 150 ans. Très faible avant la Première Guerre mondiale, elle augmente de façon continue durant l'entre-deux-guerres. Malgré la paix et la stabilité économique, la volatilité n'a jamais retrouvé ses niveaux...

The paper argues that bond investors (and, implicitly large creditors in general), may not necessarily demonstrate the “Investors' Smartness” that some previous studies attributed to large institutional holders, when it comes to pricing-in for economic shocks likely to occur in future. This...

This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher...

Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became “toxic” in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows...

In pricing real estate with indifference pricing approach, market incompleteness is shown to significantly alter the conventional pricing relationships between real estate and financial asset. Specifically, we focus on the pricing implication of market comovement because comovement tends to be...

We can only estimate the distribution of stock returns but from option prices we observe the distribution of state prices. State prices are the product of risk aversion – the pricing kernel – and the natural probability distribution. The Recovery Theorem enables us to separate these so as to...