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This paper focuses on the consequences on asset allocation of an empirical fact outlined in a recent survey of the literature about risk aversion (Meyer and Meyer, 2005): Investors are more risk averse toward consumption than they are toward wealth. We demonstrate that this empirical fact can be assessed with the study of a single financial variable. This variable measures the share of wealth that investors set aside to satisfy their future consumption. We show that this variable depends on wealth only when the empirical case is considered. Our findings build on some methodological results developed by Karatzas et al. (1987) as well as insights provided by Wachter (2002) and Munk and Sørensen (2007) for the restricted setting in which risk aversions are equal., Cet article analyse l'impact sur l'allocation d'actifs d'un comportement des investisseurs révélé dans une étude empirique récente (Meyer and Meyer, 2005) : les investisseurs ont une aversion pour le risque de la consommation supérieure à celle pour le risque de la richesse. Nous démontrons que ce phénomène s'apprécie simplement à l'aide d'une seule variable financière. Cette variable mesure la part de la richesse que l'investisseur met de côté pour satisfaire sa consommation future par opposition à la richesse dont il souhaite disposer à la fin de l'investissement. Elle ne dépend de la richesse de l'investisseur que lorsque ce phénomène est pris en compte. Pour parvenir à ces résultats, nous nous sommes servis de techniques développées par Karatzas et al. (1987), ainsi que des apports de Wachter (2002) et de Munk et Sørensen (2007) réalisés dans le cadre restreint où l'investisseur a la même aversion pour le risque de la consommation que pour celui de la richesse.

International audience; Our approach involves the use of switching regime models, to take account of the structural asymmetry and time instability of Okun's coefficient. More precisely, we apply the non-dynamic panel transition regression model introduced by Hansen (1999) to a panel of 20 OECD countries over the last three decades. With all specifications applied, the tests lead to the rejection of the null hypothesis of a linear relationship between cyclical output and cyclical unemployment. The asymmetry implies the existence of four regimes. For lower or higher values of cyclical unemployment, it follows that there is a relatively strong negative correlation between unemployment rate and output. However, when unemployment stands at intermediate levels, this relationship tends to weaken.

L’objectif de ce papier est de decrire les strategies permettant de garantir une partie du capital investi. Nous considerons les strategies d’assurance de portefeuille a base d’option (OBPI) et a proportion constante (CPPI) avec des caracteristiques europeenne et americaine. Premierement, nous fournissons des formules explicites pour toutes les strategies. En particulier, notre premiere contribution a la litterature consiste a donner la valeur du CPPI americain. Deuxiemement, nous montrons, en nous basant sur des donnees historiques et des simulations de trajectoires, que les comportement des strategies different significativement lorsque le marche est baissier. Nous mettons egalement l’accent sur les valeurs liquidatives lorsque le marche se retablit suite a une baisse severe, ce qui correspond a la situation recente des marches. Nos resultats indiquent que le CPPI americain realise une meilleure performance que l’OBPI americain en raison de la composante asiatique du premier et malgre la composante lookback du second. Pour completer notre analyse, nous soulignons les comportements des deltas et des gammas de nos strategies.

International audience

PurposeThe purpose of this article is to study the impact of the related parties' transactions (RPTs) on firm value, and to identify the ownership and governance characteristics of companies that engage in this type of transactions.Design/methodology/approachThe paper uses 3SLS simultaneous model carried out on a sample of 85 companies listed on the Paris Stock Exchange during the period 2002‐2005.FindingsThe results show that RPTs are mainly influenced by the voting rights held by the main shareholder, the size of the board of directors, the degree of independence enjoyed by the audit committee and the board of directors, the choice of external auditor, the debt ratio and the fact of being listed in the USA. Mainly the transactions carried out directly with the main shareholders, directors and/or managers that have a negative influence on firm value.Research limitations/implicationsIn future studies, it will be interesting to test the impact of the level of expertise as well as the level of qualification in the field of accounting and finance of the members of the French audit committees on the frequency of RPTs.Originality/valueThe current research complements prior studies on the RPT by showing that the frequency of RPTs can be damaging to companies and can destroy their market value.

The existing empirical models fail to explain the surge in the foreign exchange reserves accumulation by emerging countries during the last decade. In this paper we estimate the demand for international reserves on a panel of emerging countries with a Time-Varying Panel Smooth Threshold Regression model (TV-PSTR) to relax the assumption of coefficients stability in the relationship. First, we find evidence of non-constancy of the parameters. Second, the coefficients are relatively stable until 2000 and have increased gradually and strongly afterwards. Therefore our specification accounts for the acceleration that the linear specifications fail to explain. Third, we find that the mercantilist motives are the major driver of this acceleration.

International audience; R&D disclosure is a strategic decision directed at investors. However, voluntary R&D disclosure can lead to a higher proprietary cost and may benefit competitors. The main purpose of the present paper is to examine whether voluntary R&D disclosure impacts the firm's market value, and whether it is influenced by ownership structure. Using a sample of 84 French listed firms over the 2000-2004 period, we develop an R&D disclosure index composed of 32 hand-collected items from annual reports. The obtained findings provide some important insights. First, we show that voluntary R&D disclosure improves the market value of equity, suggesting that the benefits from disclosures of R&D activities exceed the disclosure costs. Second, we find that family- and institutional investor-firms are more prone to retain R&D information. Finally, we document that the more French firms invest in R&D, the larger the amount of R&D-related information they disclose. Also, R&D capitalization provides incentives for companies to disseminate more R&D-related information.

National audience

La question relative a la protection des actionnaires minoritaires est au cœur du debat sur le gouvernement d’entreprise. Si le droit en vigueur dans un pays donne n’offre pas une reelle protection aux petits porteurs, la cotation sur une place etrangere peut constituer un mecanisme de substitution. Un nouveau courant s’est developpe autour de cette problematique souscrivant a l’hypothese dite de « dedouanement ». A travers la cotation a la bourse d’un pays, comme celui des Etats-Unis, ou la surveillance est plus etroite et le cadre de conformite plus rigoureux, l’entreprise signale son souhait de respecter les regles de bonne gouvernance en general et les droits des actionnaires minoritaires en particulier. Cet avantage en termes de protection des actionnaires n’est toutefois pas sans equivoque et le debat est loin d’etre clos. Bien qu’il ne soit le premier, le cas de l’entreprise francaise Vivendi Universal nous montre les limites de la cotation a l’etranger dans la protection des minoritaires.

International audience; It is a paradox that the 2007 credit and liquidity crisis has amplified during 2008 up to an almost systemic crisis, transmitted to all economy, when the regulators had integrated financial stabilization as a major goal and promoted a better appraisal and monitoring of risks by banks, implying standardization of valuation methods and risk management practices. We wish to address this issue and from a microanalysis of a significant European actor's situation, we intend to show that a dynamic process of assets and liabilities management must generate the liquidity supply needed to fuel the bank's operations, since the crisis has demonstrated that banks can no more rely on markets to restore their liquidity in adverse cycle. In a fist section we will analyze the liquidity aspect of the crisis which we consider as the major transmission factor from the US mortgage market to the whole financial system in USA and Europe. In the second one we shall focus on the role of securitization and financial innovation in this liquidity crisis. In the third section, we will consider how this crisis has changed liquidity management for a bank, present the new liquidity ratii and finally discuss their adequacy for monitoring liquidity risk in the future.

International audience; This paper studies calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts. These strategies reveal a calendar spread effect through the positive correlation between the two futures contracts. These strategies can easily be computed and analyzed under the Samuelson hypothesis.

International audience

International audience; This papers develops a partial equilibrium model of the convenience yield risk premium. Contrary to the previous literature, the risk premium is computed explicitely and endogenously. We provide a decomposition of the convenience yield risk premium in terms of the volatility of the convenience yield as well as in terms of the sensitivity of the marginal utility of investors to the movements of the convenience yield. This decomposition enables us to assess the impact of the risk aversion and investment horizon of investors on the futures contracts' basis and on the term structure of volatility for our illustration carried out in the case of the copper market.

International audience

International audience; This paper assesses the potential influence of the growing CDS market on the borrowing cost of sovereign states during the European sovereign crisis. We analyze the sovereign debt market to ascertain the pattern of information transmission between the CDS and corresponding bond markets. Our methodological innovation is the use of a non-linear specification rather than the linear VECM specification customarily employed. Using a panel smooth transition model during the 2008-2010 period, we find that: 1) linearity tests clearly reject the null hypothesis of a linear transmission mechanisms between the bond and the CDS markets; 2) market distress alters the mutual influence and 3) the higher the distress the more the CDS market dominates the information transmission between CDS and bond markets.

International audience; We study a defaultable firm's debt priority structure in a simple structural model where the firm issues senior and junior bonds and is subject to both liquidity and solvency risks. Assuming that the absolute priority rule prevails and that liquidation is immediate upon default, we determine the firm's interior optimal priority structure along with its optimal capital structure. We also obtain closed-form solutions for the market values of the firm's debt and equity. We find that the magnitude of the spread differential between junior and senior bond yields is positively, but not linearly related to the total debt level and the riskiness of assets. Finally, we provide an in-depth analysis of probabilities of default and the term structure of credit spreads.

International audience; Tailor-made to fit investors' specific needs, exotic options are more efficient than traditional ones to the extent that they allow a better risk reallocation between economic agents. However, due to the increasing complexity of exotic options, it is necessary to have a well specified classification structure for these products for better use and control. This article proposes a new approach to classify and design exotic options. Using traditional option characteristics as benchmark, options are classified according to their associated degrees of exoticism, which depend on the violation of any combinations of 5 traditional option characteristics. Accordingly, options are classified in the same group if they do not meet the same traditional conditions. In our methodology, 64 most frequently traded exotic options can be classified and 26 new exotic options can be created. This would help regulators and small investors to have a better understanding on complicated exotic options, so that they can assess precisely the riskiness related to these products.

International audience; This papers develops a partial equilibrium model of the convenience yield risk premium. Contrary to the previous literature, the risk premium is computed explicitely and endogenously. We provide a decomposition of the convenience yield risk premium in terms of the volatility of the convenience yield as well as in terms of the sensitivity of the marginal utility of investors to the movements of the convenience yield. This decomposition enables us to assess the impact of the risk aversion and investment horizon of investors on the futures contracts' basis and on the term structure of volatility for our illustration carried out in the case of the copper market.

This paper focuses on asset allocation. We show how any shapes of risk aversion can be modeled to incorporate the mixed evidence suggested by the empirical studies about this important subjective variable (e.g., Holt and Laury, 2002; Meyer and Meyer, 2005; Guiso and Paiella, 2008). Our setting builds on and can be compared to the well-known Constant Relative Risk Aversion (CRRA) framework. Our empirical results exhibit a mean-reverting pattern of optimal assets demands even for the case of the constant opportunity set (Merton, 1969). This feature stands against the mean-reverting pattern of assets demands usually linked to the mean-reversion behavior of stock prices (Poterba and Summers, 1988; Wachter, 2002). We demonstrate that this mean-reverting pattern is amplified by the volatility of the market and diminished by investment horizon.

L'objectif de cet article est de faire un point sur les dernières évolutions de la doctrine comptable en matière de dé-comptabilisation des actifs financiers en partant du montage " repo 105 " utilisé en toute légalité par la banque Lehman Brothers. La première partie est consacrée à la description et aux enjeux du montage. Dans une deuxième partie, nous montrons son ineffectivité en application des normes IFRS. Dans une troisième partie, nous constatons que les récents amendements aux normes américaines, avec notamment l'entrée en application de la SFAS 166, rendent ce type de transaction inefficace au regard de l'objectif de dé-comptabilisation.

International audience; Sharpe ratio has been widely used in the portfolio management industry as well as fund industry (Robertson, 2001; Scholz and Wilkens, 2005). Users often forget the main core assumption describing the appropriateness of such a riskadjusted performance measure, namely asset return normality. This concern is of huge significance insofar as performanceindicators drive the asset allocation policy, performance forecasts and cost of capital assessment among others (Farinelli et al., 2008; Lien, 2002; Christensen and Platen, 2007). We employ a brief simulation study to assess the impact of deviations from normality on the performance measures and rankings inferred from Sharpe ratio's estimates. Our analysis allows for assessing the possible bias in both performance measurement and ranking, which results from the existence and the magnitude of skewness and kurtosis patterns in asset returns. This study proposes a method to extract an unbiased performance measure (i.e. unbiased Sharpe ratios) from observed classic Sharpe ratios after accounting for the returns' skewness bias. The resulting unbiased Sharpe ratio outperforms its classic counterpart at the stock picking level.

National audience

International audience; Section 2 introduces the Kalman filter and related EM estimation. Section 3 introduces the data under consideration as well as their statistical properties while section 4 employs Kalman econometric method under our financial network (i.e systematic risk level). Specifically, we consider both US and French data samples. Further investigation is undertaken in section 5 while investigating a common component in both French and US common latent factors (i.e systematic risk level). The impact of systemic return component on French and U.S asset returns is also analyzed. Finally, section 6 draws some concludind remarks and open points for future research.

International audience

This article analyzes the state variables Merton-Breeden hedging demand for an investor endowed with a utility function over both intermediate consumption and terminal wealth. Based on the three-factor model of Babbs and Nowman (1999), we show that this demand can be simply expressed as weighted average zero-coupon bonds sensitivities to these factors. The weighting parameter is actually the proportion of wealth our investor sets aside for future consumption rather than for terminal wealth.

International audience; Using linearity tests proposed by Choi and Saikkonen (2004), this paper finds evidence of a non-linear cointegrating money demand relationship in China during the 1987-2008 period and identifies potential explanations for this nonlinearity.

The subprime crisis triggered a series of bankruptcies and bank runs at a level never experienced since the Great Depression. The banking environment radically changed since the 1930's, in particular the development of information technology decreases considerably the cost of information. Furthermore internet banking increases severely the speed at which the demand for withdrawals are addressed to troubled banks. In the past demand for withdrawals could be slow down by fact that depositors had to physically " queue " and by the existence of opening hours of banks branches. Given these new circumstances a liquidity shortage may have an even more severe consequence on a bank since the delay between the " bad news " and the bank run can shorten dramatically. Indeed the Northern Rock Bank case in Great Britain illustrates that situation where a bank unable to borrow from its peers in the interbank market is within few hours ran by its depositors. The aim of the paper is to analyze the consequences of the major instability introduced by internet banking on the bank's ability to manage a liquidity crisis and an opportunity to discuss further the so-called "endemic instability" of the fractional reserve banking system.

International audience; Les récents scandales financiers (Enron aux USA, Batam en Tunisie) ont montré l'incapacité des approches classiques et leurs indicateurs de mesure à évaluer la pertinence des travaux d'audit menés. Nous estimons que le contrôle de la qualité de l'audit doit désormais se situer au niveau de sa mise en oeuvre, c'est-à-dire au niveau du processus d'audit. Cette position est adoptée par la loi sur la sécurité financière en Tunisie qui favorise une évaluation de la qualité d'audit, par le comité d'audit, vu son accès privilégié à l'information et la place centrale qu'il occupe dans le processus de contrôle. L'objectif principal de cet article a été la construction d'une grille d'évaluation de la qualité du processus d'audit au profit des comités d'audit ou de tout autre organe de gouvernance soucieux de la qualité d'audit. La conception et la validation de cette grille d'évaluation ont été réalisées sur le terrain tunisien en s'appuyant sur la démarche de Churchill (1979). Articulant des phases qualitatives (entretiens avec 10 membres des comités d'audit) et des phases quantitatives basées sur deux questionnaires de recherche (137 répondants), cette démarche a abouti à une échelle de mesure mettant en évidence 27 indicateurs de qualité répartis sur 3 étapes du processus.

We focus here on the specific management style of a French insurance company SMA BTP. The employed management style allows the management team to improve its diversified portfolio's return. Indeed, the stock sub-portfolio of this insurance company outperforms some known benchmarks such as Euro Stoxx index, CAC 40 French stock index or Euro Stoxx 50 index. We show that SMA BTP's specific management style is optimal in the lens of two basic important criteria, namely the portfolio's excess return and its performance persistence. Such a persistence profile is driven by the trade-off between portfolio diversification and performance concentration.

International audience; Stock markets and bond markets are known to interact. Specifically, the common stock market trend (i.e., business cycle also termed market/ systematic risk) impacts the common corporate bond market trend (i.e.,credit cycle). First, we disentangle the common latent component from total stock returns, namely the common systematic/unobserved stock market component. Second, we extract the common latent component from total bond returns, namely the common unobserved/systematic corporate bond component.Then, we estimate the dynamic relationship between systematic total stock returns and systematic total bond returns over time (i.e., co- and antimonotonicity risk). We characterize therefore the time-varying correlation risk (i.e., correlation risk structure) between stock performance and corporate bond performance. Results are instructive in a dynamic risk management prospect with regard to equity- and corporate bond-based portfolios. . .

International audience; Les récents scandales financiers ont montré l'incapacité des approches classiques et leurs indicateurs de mesure à évaluer la pertinence des travaux d'audit menés. Celle-ci débouche sur la nécessité de développement de nouvelles approches plutôt directes d'évaluation de la qualité d'audit et sur la mobilisation de nouvelles méthodologies empiriques permettant de mieux capter la complexité des travaux d'audit réalisés. L'objectif de ce papier est de mener une étude critique des différentes approches d'évaluation et des indicateurs de mesure de la qualité d'audit. Nous proposons à ce titre de faire le tour d'horizon des différents travaux effectués en la matière en les structurant selon une typologie appropriée

International audience; Le conseil d'administration doit arrêter les comptes de l'entreprise. Pour ce faire, il s'appuie sur les résultats des travaux d'audit externe. Comme l'ont montré les nombreux scandales comptables intervenus depuis 2001, l'audit par lui-même ne garantit pas nécessairement la qualité des comptes. Il faut s'assurer de la qualité du processus d'audit. A partir d'un travail effectué avec 33 commissaires aux comptes tunisiens, nous avons développé une grille d'analyse de la qualité du processus d'audit. Celle-ci a été soumise pour évaluation à 156 administrateurs de sociétés cotées tunisiennes. Suite à un protocole expérimental se basant sur la démarche de Churchill (1979) et l'adaptant au contexte de la recherche, nous avons aboutis à une échelle de mesure mettant en évidence 49 indicateurs de qualité répartis sur 6 étapes du processus. Mais aussi à d'autres éléments se rapportant essentiellement à la nature de la relation administrateurs-auditeurs, aux modalités d'évaluation de la mission d'audit et aux types de rapports d'avancement à communiquer aux comités d'audit.

International audience; This paper discusses the Treatment of Credit Risk in the new Basel Accord that aims at improving financial stability in the world. It addresses the issue of the procyclicity effect of the new framework and the consequences on corporate financing. It then specially focuses on the treatment of maturity in the credit risk measurement and shows that it has a perverse effect leading banks to lend short for industrial assets and takeovers, which might be a factor of unstability. The choice of the Value-at-Risk as a measure of credit risk and linked liquidity aspects are discussed to conclude that the new Basel Accord should encourage A-rated banks to act as liquidity providers in economic slowdown phases.

We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a general setting for valuing risky debt in the light of systematic risk and idiosyncratic risk, which are known to affect each risky asset in the financial market. The option nature of corporate debt allows then to account for the well-known volatility smile along with two documented determinants, namely stochastic volatility and market risk. Under some regularity conditions, we specify diffusion functionals leading to an asymptotically (relative to time) mean reverting volatility process. The behavior of such a specification is studied along with simulation techniques since debt is valued via a call on the firm assets value. Specifically, our examination resorts to Monte Carlo accelerators to realize related simulations. First, we consider the evolution of stochastic volatility for given parameter values. Then, we assess its impact on both risky debt and the related credit spread.

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems’ failure. The goal is to establish the chain of events leading to any system’s failure, namely the top event. Looking for the minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is composed of a static approach (see Ngom et al. [1999] for example) as well as a dynamic approach (see Reory & Andrews [2003] for example). In this paper, we extend the framework stated by Gatfaoui (2003) allowing for the application of fault tree theory to credit risk assessment. The author explains that fault tree is one alternative approach of reliability, which matches default risk analysis in a simple framework. Our extension includes other distributions of probability to model the lifetimes of French firms while studying the related empirical default probabilities. We use mainly, but not exclusively, continuous distributions for which the exponential law used by Gatfaoui (2003) constitutes a particular case. Our results exhibit both the exponential nature of French .rms. lifetimes as well as strong convex and fast decreasing time varying failure rates. Such a feature has some non- negligible impact insofar as it characterizes corresponding credit spreads’ Term structure.

35 p.

From the CAC40 French stock index, we induce the implied market factor’s level through the inversion of a closed form pricing formula for European calls on the CAC40. For this purpose, we assume that the CAC40 index is a disturbed observation of the actual market factor, the market factor’s diffusion following a geometric Brownian motion. All the assumptions prevailing in a Black & Scholes (1973) world are assumed to hold. Based on daily data, the results show that the level of the implied market factor and its instantaneous return’s volatility are leptokurtic distributed. Having a proxy for the systematic risk, we also study the impact of the implied market factor on a basket of French assets. First, we compute correlations of assets’ returns with the return of the implied market factor, and realize as well a VAR study and a Granger causality test. Second, we estimate regressions of French assets’ returns on the return of the implied market factor. Then, we characterize the prevailing relationship between the weekly rolling volatility of the return of the implied market factor and weekly rolling volatilities of the French assets returns. These two studies lead to mitigated results.

International audience; The development of electronic means of payment concerns the monetary authorities since these new forms of payment could challenge their ability to implement monetary policy efficiently. This would be the case if electronic money or e-money were a private form of money. In other words, if both banks and non-banks were able to issue it without relying on base money. Based on a free banking framework, the paper shows that only pre-paid cards are similar to private notes such as those issued by free banks in the past. As a consequence, the control of the central bank over the quantity of money is not seriously undermined. Moreover to prevent this risk materializing, the European central bank now decrees that any new kind of e-money be issued only by commercial banks holding reserve requirements.

In this article, we present a new type of executive stock option, dubbed the indexed stock option with a ratchet mechanism and average prices. We also derive its pricing model and investigate its incentive implications. Like an indexed option, the proposed option links its strike price to a benchmark, so as to eliminate common risks beyond the reach of the executive's control and reinforce the option's incentive effect. With the ratchet mechanism, the proposed option enables its holder to enjoy a series of compensations spread over a period of time, thereby developing the executive's loyalty towards the firm. Furthermore, in order to minimize impacts of a rough market movement and those of a possible price manipulation, average prices are taken into account in the payoff of the proposed option., Nous proposons dans cet article un nouveau type de stock-option non traditionnel : les stock-options indexées à cliquets sur moyenne. Comme les stock-options indexées, les options proposées éliminent les facteurs exogènes conséquents à l'évolution globale du marché financier, ce qui permet de renforcer le caractère incitatif du plan. Grâce au mécanisme à cliquets, les cadres bénéficiaires ont la possibilité d'accumuler périodiquement les surperformances boursières réalisées par la société, ce qui permet d'accroître l'effet de fidétisation auprès des salariés. Afin d'éviter une éventuelle manipulation du marché boursier, la moyenne géométrique du cours de l'action et celle de l'indice sont prises en compte dans le calcul de la rémunération.

21 p.