Bankers, Markets & Investors

2014 - 2016

From ESKA Publishing
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2016, issue 145

Short-term Impacts of the 2004 Indian Ocean Tsunami on Stock Markets: A DCC-GARCH Analysis pp. 4-12

Erwan le Saout and Sébastien Ganneval

Equity Option Listing and Underlying Market Quality: Evidence from a Price Duration Model pp. 14-25

Kaouther Jouaber-Snoussi and Rim Tekaya

Does the Catering Theory of Dividend Apply to the French Listed Firms? pp. 27-38

Nicolas Aubert

2016, issue 144

Violating United Nations Global Compact Principles: An Event Study pp. 4-19

Anastasia Borisova and Michael Rockinger

Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed pp. 20-30

KiHoon Jimmy Hong and Stephen Satchell

Intergenerational Risk Trading and the Innovative Role of Equity- Wage Swaps pp. 31-42

Jiajia Cui and Eduard Ponds

Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market pp. 44-58

Anthony Miloudi, Mondher Bouattour and Ramzi Benkraiem

2016, issue 143

Is Macroeconomic Announcement News Priced? pp. 4-17

Peter De Goeij and Jiehui Hu

Active Portfolio Management with Conditional Tracking Error pp. 18-25

Winfried G. Hallerback and Igor Pouchkarev

Bank Acquisitiveness and Financial Crisis Vulnerability pp. 26-44

Saqib Aziz, Michael Dowling and Jean-Jacques Lilti

Basel III and Bank Liquidity Creation pp. 46-54

Franck Bancel and Laurent Salé

2016, issue 142

Purchasing an Annuity: Now or Later? The Role of Interest Rates pp. 4-17

Thijs Markwat, Roderick Molenaar and Juan Carlos Rodriguez

Does Corporate Social Performance Really Improve Corporate Financial Performance? pp. 18-27

Olivier Meier, Jean-Yves Saulquin, Guillaume Schier and Richard Soparnot

Does the Market Value the Social Dimension? International Evidence pp. 28-40

Sylvain Marsat and Benjamin Williams

When Financial Derivatives can be Applied to the Real Economy – The Case of Exotic Options in Corporate Finance pp. 42-53

Jian Wu

2016, issue 141

Book Review: Risk-Based and Factor Investing pp. 3

Eric Jondeau

Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis pp. 6-18

Vivien Brunel, Stéphane Crépey and Monique Jeanblanc

Analyst Earnings Forecasts, Individual Investors’Expectations and Trading Volume: An Experimental Approach pp. 20-34

Thanh Huong Dinh, Jean-François Gajewski and Duc Khuong Nguyen

Changing Dynamic Relationships between Stock and Bond Markets in Crises: Evidence of a Flight to Quality pp. 36-56

Wafa Kammoun Masmoudi

Do Regulatory and Supervisory Reforms Affect European Bank Stability: Further Evidence from Panel Data pp. 58-70

Hachmi Ben Ameur, Faten Ben Bouheni, Abdoulkarim Idi Chefou and Fredj Jawadi

2016, issue 140

How Risky are Low-Risk Hedge Funds? pp. 5-18

Olga Kolokolova and Achim Mattes

Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach pp. 20-32

Spyridon Vrontos

New Insight on the Performance of Equity Long/short Investment Styles pp. 34-45

Boris Fays, Georges Hübner and Marie Lambert

Multi-Asset Seasonality and Trend-Following Strategies pp. 47-62

Nick Baltas

2015, issue 139

Ownership Concentration, Board Structure and Credit Risk:The Case of MENA Banks pp. 5-18

Rim Boussaada and Daniel Labaronne

Market Efficiency and Crises:Don’t Throw the Baby out with the Bathwater pp. 20-26

Ariane Szafarz

Mass Customization in Life-Cycle Investing Strategies with Income Risk pp. 28-44

Romain Deguest, Lionel Martellini and Vincent Milhau

Currency Turmoil in an Unbalanced World Economy pp. 46-57

Michel Aglietta and Virginie Coudert

2015, issue 138

Could French and Eurozone Savers Invest More in Risky Assets? pp. 4-16

Luc Arrondel and André Masson

Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation pp. 18-28

Thierry Roncalli

Robust Portfolio Protection: A Scenarios-based Approach pp. 30-44

Selim Mankaï and Khaled Guesmi

Financial Regulations and Procyclicality pp. 45-54

Stéphane Auray and Christian Gourieroux

2015, issue 136-137

Double Issue "2013 Paris Financial Management COnference (PFMC)" pp. 3

Sabri Boubaker

Does Corportae Social Responsibility Have an Impact on Financing Decisions? pp. 5-19

Guillaume Pijourlet

New Insights on Corporate SocialResponsibility and Country-level Institutions in Western Europe pp. 20-40

Karim Ben Khediri and Souad Lajili Jarjir

Consequences of Voluntary Stock Exchange Section Switching on Stock Prices, Liquidity and Volatility pp. 42-62

Abdoul K. Cissé and Patrice Fontaine

International CAPM and Oil Price: Evidence from Selected OPEC Countries pp. 64-78

Anna Creti and Khaled Guesmi

On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach pp. 80-93

Heni Boubaker and Nadia Sghaier

2015, issue 135

French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing pp. 4-18

Philippe Bertrand and Jean-Luc Prigent

Conflict of Interest between Investors and Financial Advisers pp. 20-35

Sebastien Lemeunier

Reforming the Structures of the EU Banking Sector: Risks and Challenges pp. 37-48

Régis Breton and Laurent Clerc

Managerial Myopia: Do Managers Privilege Short-term Decisions or Value Creation? pp. 50-58

Franck Bancel and Alexandre Garel

2015, issue 134

Edito pp. 3

Marie Brière and Patrice Poncet

Economic-financial Literacy and (Sustainable) Pension Reforms: Why the Former is a Key Ingredient for the Latter pp. 6-16

Elsa Fornero

Cyclical and Term Structure of Value-at-Risk within a Threshold Autoregression Setup pp. 18-32

Frédérique Bec and Christian Gollier

Can Large Long-Term Investors Capture Illiquidity Premiums? pp. 34-60

Frank de Jong and Joost Driessen

Long-term Portfolio Allocation Based on Long-term Macro forecasts pp. 62-69

Eric Jondeau and Michael Rockinger

Projecting Pension Outcomes at Retirement - Towards an Industry Reporting Standard pp. 71-86

Kees De Vaan and Daniele Fano

2014, issue 133

Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis pp. 4-10

Matthieu Duvinage and Paolo Mazza

Evaluating UCITS Compliant Hedge Fund Performance pp. 11-22

Serge Darolles

Do Cooperative Banks Have Greater Market Power? pp. 24-33

Damien Egarius and Laurent Weill

In which Media are Analysts’ Recommendations most Followed? pp. 34-46

Nadine Galy, Laurent Germain, Denis Hilton and Rainer Mathes

2014, issue 132

Is Rating Associated with Better Retail Funds’ Performance in Changing Market Conditions? pp. 4-24

Richard Louth, Stephen Satchell and Warapong Wongwachara

Estimation Risk versus Optimality Risk: AN EX-ANTE EFFICIENCY ANALYSIS OF ALTERNATIVE EQUITY PORTFOLIO DIVERSIFICATION STRATEGIES pp. 26-42

Lionel Martellini, Vincent Milhau and Andrea Tarelli

The Trading Performance of Individual Investors pp. 43-52

Camille Magron

Cash Holdings, Working Capital and Firm Value: Evidence from France pp. 53-62

Ruta Autukaite and Eric Molay

2014, issue 131

Introducing to Risk Parity and Budgeting pp. 3

Emmanuel Jurczenko

What Maximum Fees Should Investors Pay to Active Fund Managers? pp. 5-16

Chekib Ezzili and Patrice Poncet

How does the Market Price of the Corporate Sponsor React to Socially Responsible Fund Introductions? pp. 17-29

Jonathan Peillex and Loredana Ureche-Rangau

Pricing, Hedging and Assessing Risk in a General Lévy Context pp. 30-42

Abdou Kélani and François Quittard-Pinon

The Performance Implications of Business Group Affiliation for Small Businesses pp. 43-50

Anaïs Hamelin

2014, issue 130

Market microstructure in practice pp. 3

Mathieu Rosenbaum

The Paulson Plan: Who Are the Winners? pp. 5-22

Eric de Bodt, Frédéric Lobez and Junyao Zhang

A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities pp. 24-40

Vincent Lacoste and Pierre Six

Raising Companies’ Profile with Corporate Social Performance pp. 41-54

Philippe Bertrand, Alexis Guyot and Vincent Lapointe

Does Employee Ownership Really Boost Performance? pp. 55-68

Amel Belanès and Malek Saihi

Islamic Equity Indices: Insight and Comparison with Conventional Counterparts pp. 69-80

Abdelbari El Khamlichi, Aurélie Sannajust and Humaylin Kabir Sarkar

2014, issue 129

Edito pp. 3

Serge Darolles

Alpha or not Alpha: The Case of the Hedge Fund Industry pp. 4-16

Hugues Pirotte Speder and Nils S. Tuchschmid

What Happens “Before the Birth” and “After the Death” of a Hedge Fund? pp. 18-26

Vikas Agarwal, Vyacheslav Fos and Wei Jiang

Hedge Fund Managers: Luck and Dynamic Assessment pp. 28-38

Gilles Criton and Olivier Scaillet

A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation pp. 40-58

Monica Billio, Lorenzon Frattarolo and Loriana Pelizzon

Detecting Early Warnings for Hedge Fund Contagion pp. 60-73

Roberto Savona

2014, issue 128

Editor's letter pp. 3

Marie Brière

HFT and Market Quality pp. 5-19

Bruno Biais and Thierry Foucault

Asset Class Liquidity Risk pp. 20-30

Ronnie Sadka

On the Financial Performance of Socially Responsible Investments pp. 31-35

Sébastien Pouget

Pension Reform in The Netherlands: Attractive Options for other Countries? pp. 36-45

Theo Nijman

French Pensions Framework in an International Perspective pp. 46-48

Jean-François Boulier

Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice pp. 49-54

Zvi Bodie and Marie Brière