Marchés financiers: working papers (RePEc, 07/12/2010)

Source : NEP (New Economics Papers) | RePEc

  • Co-movement of Stock Returns: Irrational or Driven by Fundamentals?
Date: 2010-07
By: Stefan Erdorf (Graduate School of Risk Management, University of Cologne)
Nicolas Heinrichs (Graduate School of Risk Management, University of Cologne)
URL: http://d.repec.org/n?u=RePEc:cgr:cgsser:01-01&r=fmk
Keywords: correlation, business cycle, fundamentals, revenues, earnings, co-movement of stock returns, crisis, bootstrap, permutation test, industry classification
JEL: C12
  • Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
Date: 2010-11-22
By: Cem Cakmakli (Erasmus University Rotterdam)
Dick van Dijk (Erasmus Universiteit Rotterdam)
URL: http://d.repec.org/n?u=RePEc:dgr:uvatin:20100115&r=fmk
Keywords: return predictability; model uncertainty; dynamic factor models; variable selection
JEL: C22
  • Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?
Date: 2010
By: Georges Prat
URL: http://d.repec.org/n?u=RePEc:drm:wpaper:2010-22&r=fmk
Keywords: equity risk premium, time horizon
JEL: D81
  • Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Date: 2010
By: Guglielmo Maria Caporale
Alessandro Girardi
Paolo Paesani
URL: http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1080&r=fmk
Keywords: Liquidity, trading activity, Treasury bond market, Europe, commonality
JEL: G1
  • Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility
Date: 2010-11
By: Ariane Szafarz
URL: http://d.repec.org/n?u=RePEc:sol:wpaper:2013/67769&r=fmk
Keywords: Efficient Markets; Speculators; Fundamentalists; Crises; Asset Pricing; Rational Expectations; Speculative Bubbles; Liquidity
JEL: G14
  • The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options
Date: 2010-11
By: Stefan Gerhold
URL: http://d.repec.org/n?u=RePEc:arx:papers:1011.4830&r=fmk
  • Government Intervention and the CDS Market: A Look at the Market’s Response to Policy Announcements During the 2007-2009 Financial Crisis
Date: 2010
By: Caitlin Ann Greatrex (Iona College, Department of Economics)
Erick W. Rengifo (Fordham University, Department of Economics)
URL: http://d.repec.org/n?u=RePEc:frd:wpaper:dp2010-12&r=fmk
JEL: G14
  • A Diamond-Dybvig Model Without Bank Run: the Power of Signaling
Date: 2010-11
By: Kiss, Hubert Janos (Departamento de Análisis Económico (Teoría e Historia Económica). Universidad Autónoma de Madrid.)
URL: http://d.repec.org/n?u=RePEc:uam:wpaper:201006&r=fmk
Keywords: bank run; sequential game; signaling; iterated deletion of strictly dominated strategies; coordination.
JEL: C72
  • Case Study of Three German Banks Stuck in the Subprime Crisis
Date: 2010
By: Peixin Zhang
URL: http://d.repec.org/n?u=RePEc:drm:wpaper:2010-20&r=fmk
Keywords: Systemic crisis, Leverage, Maturity mismatch, Banking regulation
JEL: G14
  • Does a banking relationship help a firm on the syndicated loans market in a time of financial crisis?
Date: 2010-09-15
By: Herve Alexandre (DRM – Dauphine Recherches en Management – CNRS : UMR7088 – Université Paris Dauphine – Paris IX)
Karima Bouaiss (CERMAT – Centre d’Etudes et de Recherche en MAnagement de Touraine – IAE de Tours)
Catherine Refait-Alexandre (CRESE – Centre de REcherches sur les Stratégies Economiques – Université de Franche-Comté : EA)
URL: http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-00538328_v1&r=fmk
Keywords: syndicated loans, banking relationship, credit rationing

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