Search results for "FINANCIAL ECONOMICS"
showing 7 items of 277 documents
Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS
2010
The topic of this article is the analysis of the interplay between daily carbon, electricity and gas price data with the European Union Emission Trading System (EU ETS) for CO2 emissions. In a first step we have performed Granger causality tests for Phase I of the EU ETS (January 2005 until December 2007) and the first year of Phase II of the EU ETS (2008). The analysis includes both spot and forward markets—given the close interactions between the two sets of markets. The results show that during Phase I coal and gas prices, through the clean dark and spark spread, impacted CO2 futures prices, which in return Granger caused electricity prices. During the first year of the Phase II, the sho…
Volatility transmission in the CO<inf>2</inf> and energy markets
2009
The main consequence of the launch, in 2005, of the European Union Emission Trading Scheme (EU ETS) has been the establishment of a price for carbon emissions. Thus, major energy producers in Europe are now aware of the impact of their polluting activities. The interest in analysing the carbon markets from a financial point of view has exponentially increased since the launch of the EU ETS. However, no research articles have focused their attention on the volatility transmission between CO 2 and energy markets. The aim of this paper is to fill this gap in the literature. Specifically, our particular interest is to examine whether or not conditional volatility is transmitted across those mar…
Notations et écarts de rentabilité : le marché français avant l'euro
2003
The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.
The notion of Investment : New controversies
2008
International audience
Behind the curtain of international diversification: An agency theory perspective
2018
This paper dissects the antecedents of international diversification through the lens of the agency cost of free cash flow arguments. It explores whether the partial convergence of interests among managers, majority shareholders, and minority shareholders affects a firm's choice to diversify internationally. Using a sample panel of 60 Italian firms evaluated longitudinally from 2004 to 2014, the study tests whether a firm's international diversification is affected by its free cash flow (as the ultimate source of managerial discretion) and debt (as the main constraint to managerial discretion), especially in firm contexts that exacerbate agency problems. We find that the effects on internat…
Is Sentiment Risk Priced By Stock Market?
2012
International audience; This study tests if the financial markets price the investors sentiment risk. We construct portfolios based upon the stock returns exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists of buying stocks with the highest exposure to sentiment and selling stocks with the lowest exposure to sentiment generates a significant raw profit. Exploring the sources of profit, we find that neither the traditional risk factors nor the momentum factor can account for the profit. However, we find that the addition of the sentiment risk premium contributes to explain the profit.
Peer interaction and pioneering organizational form adoption : A tale of the first two for-profit stock exchanges
2021
Building on a historical case study on the first two stock exchanges to adopt the now globally dominant for-profit organizational form, the Stockholm Stock Exchange in 1993 and the Helsinki Stock Exchange in 1995, we argue that interaction among socially proximate peers contributes to pioneering organizational form adoption within an industry, particularly when such forms are introduced by established organizations. Peer interaction can induce a search for technically efficient organizational forms through the sharing of collective experiences, the establishment of collective assumptions, and a joint search for solutions. Together, these factors contribute to the legitimization of novel or…