Search results for "finance"
showing 10 items of 4676 documents
Do Investors Care About Noise Trader Risk?
2011
International audience; The link between investor sentiment and asset valuation is at the center of a long-running debate in behavioral finance. Using a new composite sentiment indicator, we show that the conventional risk does not explain the abnormal returns of portfolios most sensitive to the sentiment factor. Our result supports the existence of a sentiment risk valued by financial markets. We also find that the firms more impacted by the sentiment risk correspond to difficult-to-arbitrage and hard-to-value stocks, e.g. small stocks, growth stocks, young stocks, unprofitable stocks, lower dividend-paying stocks, intangible stocks and high volatility stocks.
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.
Diffusions, frictions et inégalités spatiales - une introduction
2013
International audience; 2013 n° 38, p. 5‑10.
La hubris manageriale quale fonte della irresponsabilità d’impresa: uno studio esplorativo
2014
Obiettivo del paper: L’ondata di scandali etici che ha colpito intensamente il mondo delle imprese a partire dalla fine del XX secolo ha fatto emergere l’esigenza di esplorare i meccanismi istituzionali tesi a evitare nuovi casi di corporate social irresponsibility (CSI). S’intende contribuire a tale dibattito introducendo la trappola della hubris manageriale quale determinante della CSI. Metodologia: Esame qualitativo-longitudinale del caso Parmalat nel periodo in cui è stata sotto la guida del suo fondatore Calisto Tanzi (1961-2003). L’analisi del caso segue i criteri scientifici del campionamento teorico, della triangolazione dei fatti e della periodizzazione della narrazione. Risultati:…
Adopting sustainable irrigation technologies in Italy: a study on the determinants of inter- and intra-farm diffusion
2023
This paper analyses the drivers for adopting irrigation systems with water conservation and saving technologies (WCSTs) by Italian farmers. The agricultural sector in Italy, like in other Mediterranean countries, suffers from water scarcity and water endowment variability. Water resources play a decisive role in agricultural production and in implementing large-scale WCSTs capable of improving the resilience of the whole agricultural sector. This study uses a microeconomic panel data approach to estimate farmers' decisions in adopting (inter-farm) sustainable irrigation technologies and assesses the intensity of (intra-farm) water-saving practices. Our analysis identifies the main determina…
Les effets macroéconomiques sur la productivité et les prix de vastes réformes structurelles sur les marchés des biens et du travail
2015
La présente analyse vise à caractériser les effets « directs » et « indirects » des régulations sur le marché des biens ainsi que les effets des régulations sur le marché du travail, sur la productivité et sur les prix. L’analyse est empirique et réalisée via des estimations sur un panel de quatorze pays sur la période 1987-2007, et quand cela est possible sur des donnés sectorielles (treize secteurs manufacturiers et cinq secteurs des services et réseaux). Au terme de ces estimations, il est possible de caractériser les effets de la mise en oeuvre de réformes structurelles. Les réformes structurelles consistent ici en une baisse des indicateurs de régulations sur les marchés des biens et d…
''Dual'' gravity: Using spatial econometrics to control for multilateral resistance.
2007
We propose a quantity-based `dual' version of the gravity equation that yields an estimating equation with both cross-sectional interdependence and spatially lagged error terms. Such an equation can be concisely estimated using spatial econometric techniques. We illustrate this methodology by applying it to the Canada-U.S. data set used previously, among others, by Anderson and van Wincoop (2003) and Feenstra (2002, 2004). Our key result is to show that controlling directly for spatial interdependence across trade flows, as suggested by theory, significantly reduces border effects because it captures `multilateral resistance'. Using a spatial autoregressive moving average specification, we …
A strategic approach for the discounted Shapley values
2014
The family of discounted Shapley values is analyzed for cooperative games in coalitional form. We consider the bargaining protocol of the alternating random proposer introduced in Hart and Mas-Colell (Econometrica 64:357–380, 1996). We demonstrate that the discounted Shapley values arise as the expected payoffs associated with the bargaining equilibria when a time discount factor is considered. In a second model, we replace the time cost with the probability that the game ends without agreements. This model also implements these values in transferable utility games, moreover, the model implements the \(\alpha \)-consistent values in the nontransferable utility setting.
Effets de quartier, effet de département : discrimination liée au lieu de résidence et accès à l'emploi
2013
L’objet de cette étude est de mesurer la discrimination à l’embauche à l’encontre des jeunes en Ile-de-France en raison du lieu de résidence en considérant plusieurs échelles spatiales de façon à distinguer l’effet de la réputation du département (Paris et la Seine-Saint-Denis), celui de la localité et celui du quartier. L’évaluation est réalisée sur données expérimentales auto-construites de testing selon un protocole permettant d’examiner les effets propres à chacune de ces trois échelles sur l’accès à l’emploi ainsi que leurs effets cumulés. On s’intéresse aux discriminations pour deux professions en tension du secteur de la restauration pour laquelle les discriminations devraient a prio…
Reciprocity, matching and conditional cooperation in two public goods games
2005
Previous experimental and empirical evidence has identified social preferences in the voluntary provision of public goods. A number of competing models of such preferences have been proposed. We provide evidence for one model of behavior in these games, reciprocity (or matching, or conditional cooperation). Consistent with previous research, we find that participants in the voluntary contribution mechanism attempt to match the contributions of others in their group. We also examine participants in a related game with different equilibria, the weakest-link mechanism. Here, in contrast, participants contribute so as to match the minimum contribution of others in their group.