From "Outside" the World to "Inside" and Back: Ursula K. Le Guin's (Re)Construction of a Primal Utopia in Always Coming Home



2001, vol. 19, pp.161-172

Départements : Langues et Cultures

Global pricing of equity

J. Diermeier, B. SOLNIK

Financial Analysts Journal

juillet-août 2001, vol. 57, n°4, pp.37-47

Départements : Finance

Global equity management has historically been structured around country asset allocation. This approach was supported by the observations that the country factor is the major source of influence on stock-price behavior and that the correlation between equity and currency is close to zero and unstable. If a corporation is regarded as a portfolio of international activities, however, its stock price should be influenced by international factors in relation to the geographical breakdown of its activities rather than where its headquarters is located or its stock is traded. We examined a large cross-section of security prices and found that regional factors and currency factors have a strong influence on asset returns beyond that of domestic factors. Moreover, the sensitivity of individual company returns to nondomestic factors is closely related to the extent of their international activities, as proxied by the relative importance of foreign sales to total sales. We review the implications of these findings for the asset management profession

Gram-Charlier Densities

M. ROCKINGER, E. Jondeau

Journal of Economic Dynamics and Control

octobre 2001, vol. 25, n°10, pp.1457-1483

Départements : Finance

Mots clés : Hermite expansion, Semi-nonparametric estimation, Risk-neutral density, GARCH model

The Gram–Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal density. We show how positivity constraints can be numerically implemented, thereby guaranteeing that the expansion defines a density. The constrained expansion can be referred to as a Gram–Charlier density. First, we apply our method to the estimation of risk neutral densities. Then, we assess the statistical properties of maximum-likelihood estimates of Gram–Charlier densities. Lastly, we apply the framework to the estimation of a GARCH model where the conditional density is a Gram–Charlier density

How French Law Treats Fraudulent Bankruptcy


Journal of Business Law

janvier 2001, pp.62-73

Départements : Droit et fiscalité, GREGHEC (CNRS)

Impact des technologies de l'information sur l'offre de service : enjeux et difficultés de mise en oeuvre


Economies et Sociétés

juin 2001, n°3, pp.995-1014

Départements : Informations Systems and Operations Management

Improved O.R. Education Through the Use of Spreadsheet Models


European Journal of Operational Research

16 décembre 2001, vol. 135, n°3, pp.461-477

Départements : Informations Systems and Operations Management

Incitations et contraintes à la gestion du résultat


Comptabilité - Contrôle - Audit

mars 2001, vol. 2, n°7, pp.62-76

Départements : Comptabilité et Contrôle de Gestion

Incomplete markets and volatility


Journal of Economic Theory

juin 2001, vol. 98, n°2, pp.295-338

Départements : Finance, GREGHEC (CNRS)

This paper shows that the precautionary motive, combined with asset incompleteness, is a major source of volatility and indeterminacy in financial markets. Price fluctuations originate from agents' efforts to insure themselves through time by borrowing and lending instead of shifting income across states or nature by trading risky assets. A high interest rate at a future date reduces the potential for future consumption smoothing via borrowing. which leads to a strong precautionary motive and a low interest rate in the current period. The negative feedback between future and current rates generates fluctuations. This logic is developed in SPEC. a CARA-normal exchange economy with many periods and endogenous interest rates. When there is an intermediate level of market incompleteness and sufficient investor impatience. fluctuations in the real interest rate can be large. even though the aggregate endowment is constant. SPEC has a unique equilibrium under a finite horizon. on the other hand. with a finite number of infinitely lived agents. there exists a robust continuum of equilibria that are neither bubbles nor sunspots.

Informal and Formal Credit Markets and Credit Rationing in Cote d'Ivoire


Oxford Review of Economic Policy

décembre 2001, vol. 17, n°4, pp.520-534

Départements : Finance

This paper endeavours to shed light on the respective roles of the formal and the informal credit markets in developing countries. We use survey data for manufacturing firms in Côte d'Ivoire, documenting their access to informal credit markets, their investments, and their financing. We confront these data with a simple moral‐hazard model of credit rationing. Because of socio‐cultural effects, the magnitude of moral‐hazard problems and the cost of credit can be different in the informal credit market. We offer a structural econometric estimation of this model. Our empirical results point at severe moral‐hazard problems for all firms, and reduced cost of credit in the informal market. Our point estimate suggests that moral‐hazard problems can be alleviated in the informal credit market. Policy implications of our results are sketched

Informational efficiency: ranking markets


Economic Theory

2001, vol. 18, n°3, pp.683-700

Départements : Finance

The paper studies informational properties of three types of imperfectly competitive markets: a one-signal speculative market (OSS market) in which agents have only private information about the fundamental value (v) of the risky asset traded, a two-signal speculative market (TSS market) in which agents have private information about both v and the asset supply, and a market in which agents are endowed with both information about v and shares of the risky asset traded. In this last market (JA market), agents have joint activities: they trade for both speculative and hedging purposes. It is shown that (i) the JA market and the OSS market are the most and the least efficient, respectively, and (ii) the levels of informational efficiency in the three markets are inversely correlated with the intensities with which traders use their private information about the fundamental value of the asset.