Search results for "FINANCIAL ECONOMICS"
showing 10 items of 277 documents
Is the EUA a new asset class?
2022
The listing of a new asset requires knowledge of its statistical properties prior to its use for hedging, speculative or risk management purposes. In this paper, the authors study the stylised facts of European Union Allowances (EUAs) returns. The majority of the phenomena observed, such as heavy tails, volatility clustering, asymmetric volatility and the presence of a high number of outliers are similar to those observed in both commodity futures and financial assets. However, properties such as negative asymmetry, positive correlation with stocks indexes and higher volatility levels during the trading session, typical of financial assets, and the existence of inflation hedge and positive …
Information processing in the stock market around anticipated accounting information: earnings release
2012
Earnings announcements are anticipated events with significant price impacts. This fact can motivate informed traders to trade on private information and liquidity providers to reduce liquidity in order to be careful about insider trading. In this paper, we examine the effect of earnings announcements on information asymmetry. Specifically, we investigate whether liquidity suppliers value the possibility of trading with informed agents and whether market behaviour reflects this. To achieve this objective, we take into account the sign of the surprise, the quarter of the announcement, the quantity of previous information and the quality of the information released. One of the main results of…
Efficiency in the eurobond market: application of nonparametric techniques
2007
The aim of this article is to analyse the efficiency of eurobond issuers within the primary market, from 1995 to 2000. The study includes a reference to theoretical discussion and to the methodology used; detailed explanation of the variables considered which, in order to supplement those strictly financial, include others such as spread from Interest Rate Risk (IRR) and respective swap; rating, duration and size; and macroeconomic fundamentals of the issuer country. Results and conclusions obtained from the static and dynamic efficiency analyses are then illustrated and discussed.
Impact of interest rate risk on the Spanish banking sector
2010
This paper examines the exposure of the Spanish banking sector to interest rate risk. With that aim, a univariate GARCH-M model, which takes into account not only the impact of interest rate changes but also the effect of their volatility on the distribution of bank stock returns, is used. The results show that both changes and volatility of interest rates have a negative and significant impact on the stock returns of the Spanish banking industry. Moreover, there seems to be a direct relationship between the size of banking firms and their degree of interest rate sensitivity.
Linear and Nonlinear Interest Rate Exposure of Spanish Firms
2006
This paper carries out a comprehensive analysis of the interest rate risk borne by the Spanish firms on a sector basis. The traditional linear interest rate exposure model has been extended to allow for the possibility of a nonlinear exposure component as well as the presence of asymmetric behaviour in the exposure pattern. The obtained results show a significant interest rate exposure for some sectors, especially with regard to changes in the long-term interest rates. Moreover, it is documented that the linear exposure profile prevails over the asymmetric and nonlinear exposure patterns. In particular, the Construction sector is the sector that shows the highest incidence of interest rate …
Price Convergence in the European Union
2004
This study investigates the relationship between market integration and price convergence in international markets. Using a panel data set of consumer price indices (general and by groups and classes), it examines how European market integration has affected cross-country dispersion in the European Union.
Determinants of Individual Investment Decisions in Investment-Based Crowdfunding
2017
We investigate determinants of investment decisions in investment-based (equity and real estate) crowdfunding, using a novel investment-, investor- and campaign-level database. We find that this market is a man's world, with nearly 93% of investments made by men. Consistent with behavioral and finance theories, we find that women invest less in the riskiest investments but more in safer ones. Further analyses show that these findings are better explained by differences in risk aversion than differences in overconfidence between men and women. Investors located in an area considered more "sociable" (socially friendly) also invest more, but only if the investor is a woman. Overall, the findin…
La convergence des systèmes nationaux de gouvernance: une perspective contingente
2009
The objective of this paper is to show that the answer to the question of convergence of national systems of governance is contingent on a number of assumptions. The first assumption bears on the functions and the formal mechanisms characterizing the systems of governance. The second concerns the possibility to define a unique national system of governance for all the firms of a nation. The third focuses on the process of homogenization of national systems of governance attributed to globalization.
L’actionnariat des salariés influencet-il la rémunération des dirigeants ?
2017
International audience; Cet article étudie la relation entre les composantes variables de la rémunération en actions de l’entreprise des dirigeants et des actionnaires salariés. En utilisant un échantillon de données issu du SBF 120 sur la période 2004-2009, nous étudions en particulier : (i) la relation entre le montant des stock-options attribuées aux dirigeants et l’actionnariat salarié ; (ii) la relation entre le rapport du montant des stock-options sur la rémunération totale des dirigeants et l’actionnariat salarié. La relation est significativement négative dans les deux cas montrant que l’actionnariat salarié tend à limiter la composante stok-options de la rémunération des dirigeants…
Wine - investment: a profitable alternative investment or a simple long term pleasure?
2014
International audience; The purpose of this work is twofold: - to make a first historic analysis of performance through an investment in wine by comparing its performance with those that would have been possible to obtain at the same time by providing financial term investments; - to introduce the regional diversity of performance by considering the situation in the three selected geographic areas.