Articles

American Put Call Symmetry

P. Carr, M. CHESNEY

Organization Studies

1996

Départements : Finance


Construction of a state space for interrelated securities with an application to temporary equilibrium theory

P. HENROTTE

Economic Theory

1996, vol. 8, n°3, pp.423-459

Départements : Finance


Cross-Border Alliances in the French Banking Sector: Alliances and Stability Conditions

B. MAROIS, T. Abdessemed

International Studies of Management and Organization

1996, vol. 26, n°2, pp.38-58

Départements : Finance


European Acquisition by French Banks, Strategies and the European Financial Structure

B. MAROIS, F. Lépineux

Advances in International Banking and fInance

1996, n°2, pp.31-61

Départements : Finance


Hedging Corporate Bond Portfolios across the Business Cycle

A. Marcus, E. ÖRS

Journal of Fixed Income

mars 1996, vol. 5, pp.56-60

Départements : Finance, GREGHEC (CNRS)


International Market Correlation and Volatility

B. SOLNIK, C. Boucrelle, Y. LE FUR

Financial Analysts Journal

septembre-octobre 1996, pp.17-34

Départements : Finance


International correlations for stocks and bonds fluctuate widely over time. As previous studies have found, volatility appears to be contagious across markets. In addition, international correlation increases in periods of high market volatility. Although the correlation of individual foreign stock markets with the US stock market has generally increased slightly over the past 37 years, it has not increased during the past 10 years. Similarly, the international correlation of bond markets increased in the early 1980s, but it has had not discernible trend in the past 10 years. The fairly low levels of international correlation among stocks or bonds suggests that national factors still strongly affect local asset prices. The link between correlation and market volatility is bad news for global money managers because when the domestic market is subject to a strong negative shock is when the benefits of international risk diversification are needed most

Les produits dérivés - la couverture des risques de taux et de change

M. CHESNEY, F. Quittard-Pinon

Risques

octobre-décembre 1996, n°28, pp.41-51

Départements : Finance


Noise trading in small markets

F. PALOMINO

The Journal of Finance

septembre 1996, vol. 51, n°4, pp.1537-1550

Départements : Finance


Options Listing and the Volatility of the Underlying Asset: A Study on the Derivative Market Function

W. Eid, M. CHESNEY

Revista de Administraçao de Empresas

janvier-février-mars 1996, vol. 36, n°1, pp.28-32

Départements : Finance


Predicting Premature Exercices of an American Put on Stocks: Theory and Empirical Evidence

J. Lefoll, M. CHESNEY

European Journal of Finance

juillet 1996, vol. 2, pp.21-39

Départements : Finance



JavaScriptSettings