Articles scientifiques

Art and Money

W. Goetzmann, L. Renneboog, C. SPAENJERS

American Economic Review

mai 2011, vol. 101, n°3, pp.222-226

Départements : Finance, GREGHEC (CNRS)

This paper investigates the impact of equity markets and top incomes on art prices. Using a newly constructed art market index, we demonstrate that equity market returns have had a significant impact on the price level in the art market over the last two centuries. We also find evidence that an increase in income inequality may lead to higher prices for art. Finally, the results of Johansen's cointegration tests strongly suggest the existence of a long-run relation between top incomes and art prices

Belief-free equilibria in games with incomplete information: characterization and existence

J. Hörner, S. LOVO, T. TOMALA

Journal of Economic Theory

septembre 2011, vol. 146, n°5, pp.1770-1795

Départements : Finance, GREGHEC (CNRS), Economie et Sciences de la décision

Mots clés : Repeated game with incomplete information, Harsanyi doctrine, Belief-free equilibria

We generalize the results of Hörner and Lovo (2009) [15] to N-player games with arbitrary information structure. First, we characterize the set of belief-free equilibrium payoffs under low discounting as the set of feasible payoffs that are individually rational, jointly rational, and incentive compatible. Second, we provide necessary and sufficient conditions on the information structure for this set to be non-empty

Can Securitization Work? Economic, Structural, and Policy Considerations


Journal of Portfolio Management

2011, n°Special Issue: SI

Départements : Finance


Structured asset securitization is capable of generating a number of economic benefits including liquidity provision, an increased ability to manage risk, and value enhancement through the pooling and partitioning of cash flows. But the recent financial crisis has exposed numerous structural flaws, which has led many observers to question whether asset- and mortgage-backed securities should be classified as financial weapons of mass destruction" that require strict containment and possibly even elimination. In this article, Riddiough considers the fundamental economic trade-offs associated with securitization with an eye toward policy development, concluding that asset securitization can work. Whether it actually will work depends on how policymakers respond to the significant challenges of reregulating the financial system.

Clearing House, Margin Requirements, and Systemic Risk

J. Harris, J. Cruz Lopez, C. PERIGNON

Review of Futures Markets

2011, vol. 19, pp.39-54

Départements : Finance, GREGHEC (CNRS)

Mots clés : Derivatives, Tail risk, Default risk, Extreme dependence, Copulas

Margins are the major safeguards against default risk on a derivatives exchange. When the clearing house sets margin requirements, it does so by only focusing on individual clearing firm positions (e.g., the SPAN system). We depart from this traditional approach and present an alternative method that accounts for interdependencies among clearing members when setting margins. Our method generalizes the SPAN system by allowing individual margins to increase when clearing firms are more likely to be in financial distress simultaneously

Contrasting Trends in Firm Volatility

D. THESMAR, M. Thoenig

American Economic Journal: Macroeconomics

octobre 2011, vol. 3, n°4, pp.143-180

Départements : Finance

Over the past decades, the real and financial volatility of listed firms has increased, while the volatility of private firms has decreased. We first provide panel data evidence that, at the firm level, sales and employment volatility are impacted by changes in the degree of ownership concentration. We then construct a model with private and listed firms where risk-taking is a choice variable at the firm-level. Due to general equilibrium feedback, we find that both an increase in stock market participation and integration in international capital markets generate opposite trends in volatility for private and listed firms