Articles scientifiques

Bottom-Up Corporate Governance

A. LANDIER, J. Sauvagnat, D. Sraer, D. THESMAR

Review of Finance

janvier 2013, vol. 17, n°1, pp.161-201

Départements : Finance

This article empirically relates the internal organization of a firm with decision making quality and corporate performance. We call “independent from the CEO” a top executive who joined the firm before the current CEO was appointed. In a very robust way, firms with a smaller fraction of independent executives exhibit (1) a lower level of profitability and (2) lower shareholder returns following large acquisitions. These results are unaffected when we control for traditional governance measures such as board independence or other well-studied shareholder friendly provisions. One interpretation is that “independently minded” top ranking executives act as a counter-power imposing strong discipline on their CEO, even though they are formally under his authority

Buying Beauty: On Prices and Returns in the Art Market

L. Renneboog, C. SPAENJERS

Management Science

janvier 2013, vol. 59, n°1, pp.36-53

Départements : Finance, GREGHEC (CNRS)

Mots clés : Art, Auctions, Hedonic regressions, Investments, Repeat-sales regressions, Sentiment

This paper investigates the price determinants and investment performance of art. We apply a hedonic regression analysis to a new data set of more than one million auction transactions of paintings and works on paper. Based on the resulting price index, we conclude that art has appreciated in value by a moderate 3.97% per year, in real U.S. dollar terms, between 1957 and 2007. This is a performance similar to that of corporate bonds'at much higher risk. A repeat-sales regression on a subset of the data demonstrates the robustness of our index. Next, quantile regressions document larger average price appreciations (and higher volatilities) in more expensive price brackets. We also find variation in historical returns across mediums and movements. Finally, we show that measures of high-income consumer confidence and art market sentiment predict art price trends

Competing mechanisms in a common value environment: A corrigendum



janvier 2013, vol. 81, n°1, pp.393-406

Départements : Finance

Credit Rating Industry: A Helicopter Tour of Stylized Facts and Recent Theories

D. Jeon, S. LOVO

International Journal of Industrial Organization

septembre 2013, vol. 31, n°5, pp.643-651

Départements : Finance, GREGHEC (CNRS)

Mots clés : Credit rating agencies, Reputation, Financial regulations, Conflicts of interest, Certification

The recent subprime crisis and the ongoing Euro zone crisis have generated an enormous interest in the credit rating industry not only among economists but also among average citizens. As a consequence, we have seen an explosion of the economic literature on the industry. The objective of this survey is to introduce readers to the key stylized facts of the credit rating industry and to the recent theoretical economic literature on this industry

Derivatives Clearing, Default Risk, and Insurance


Journal of Risk and Insurance

juin 2013, vol. 80, n°2, pp.373-400

Départements : Finance, GREGHEC (CNRS)

Using daily data on margins and variation margins for all clearing members of the Chicago Mercantile Exchange, we analyze the clearing house exposure to the risk of default by clearing members. We find that the major source of default risk for a clearing member is proprietary trading rather than trading by customers. Additionally, we show that extreme losses suffered by important clearing firms tend to cluster, which raises systemic risk concerns. Finally, we discuss how private insurance could be used to cover the loss from defaults by clearing members