Articles scientifiques

Bank Interest Rate Risk Management


Management Science

A paraître

Départements : Finance, GREGHEC (CNRS)

Mots clés : Interest rate risk; Derivatives; Bank capital structure; Hedging

Empirically, bank equity value is decreasing in the interest rate. Yet (i) manybanks do not hedge interest rate risk and (ii) above 50% of hedging banks usederivatives to increase exposure. I model a bank’s capital structure, and showthat these facts are consistent with optimal hedging under financial frictions.Novel predictions on the characteristics of banks taking long or short interest ratederivative positions are tested, and supported by the data. Therefore, banks’derivatives exposures are not necessarily evidence of excessive risk-taking, andcan be explained by hedging in the presence of frictions. More broadly, theresults challenge the view that “hedging” and “speculative” positions can beidentified using the comovement between derivatives payoffs and equity value

Banking Deregulation and The Rise in House Price Comovement


Journal of Financial Economics

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Départements : Finance, GREGHEC (CNRS)

Mots clés : Financial Integration, Comovement, House Prices

The correlation across US states in house price growth increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first theoretically derive an appropriate measure of banking integration across state pairs and document that house price growth correlation is strongly related to this measure of financial integration. Our IV estimates suggest that banking integration can explain up to one fourth of the rise in house price correlation over this period

Can Innovation Help U.S. Manufacturing Firms Escape Import Competition from China?


The Journal of Finance

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Départements : Finance, GREGHEC (CNRS)

We study whether R&D-intensive firms are more resilient to trade shocks. Wecorrect for the endogeneity of R&D using tax-induced changes to R&D cost. While rising imports from China lead to slower sales growth and lower profitability, these effects are significantly smaller for firms with a larger stock of R&D (by about half when moving from the bottom quartile to the top quartile of R&D). We provide evidence that this effect is explained R&D allowing firms to increase product differentiation. As a result, while firms in import-competing industries cut capital expenditures and employment, R&D-intensive firms downsize considerably less

Corporate Strategy, Conformism, and the Stock Market


Review of Financial Studies

A paraître

Départements : Finance, GREGHEC (CNRS)

Data abundance and asset price informativeness


Journal of Financial Economics

A paraître

Départements : Finance, GREGHEC (CNRS)

Mots clés : Asset Price Informativeness, Big Data, FinTech, Information Processing, Markets for Information, Contrarian and momentum trading

Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff of an asset. As the cost of low precision signals declines, prices are more likely to reflect these signals before more precise signals become available. This effect can ultimately reduce price informativeness because it reduces the demand for more precise signals (e.g., fundamental analysis). We make additional predictions for trade and price patterns


Département Finance 

Campus HEC Paris
1, rue de la Libération
78351 Jouy-en-Josas cedex


François DERRIEN

Finance (GREGHEC)

Voir le CV

4th Annual HEC Paris Workshop Preliminary Program “Banking, Finance, Macroeconomics and the Real Economy”