infonet-economy

While the comparative statics of asset demand have been studied extensively, surprisingly little work has been done on the behavior of equilibrium asset prices and returns in response to changes in the supplies of securities. This is despite considerable interest in the equity premium and interest rate puzzles. In this paper, we seek to fill this void for the classic case of a...

We develop a new goodness-of-fit test for validating the performance of probability forecasts. Our test statistic is particularly powerful under sparseness and dependence in the observed data. To build our test statistic, we start from a formal definition of calibrated forecasts, which we operationalize by introducing two components. The first component tests the level of the...

This book presents a selection of ten papers on three specific fields of financial market research. As a help for readers, the table below shows the field to which each paper belongs, and lists the title, author(s) and place or state of publication. Most of these articles went through a
peer-review process1 and have already appeared in scholarly journals or books.
While...

Abstract:
In the modern world of finance, understanding the drivers of
asset value is crucial. This thesis is divided into three research articles that covers various aspects of this issue.
The first paper estimates the pricing kernel from equity data. The pricing kernel is an essential tool to price a given random stream of payment, for example, a stock. While...

Actes de la Journée de Droit de la Propriété Intellectuelle du 15 février 2011, regroupant des contributions d'Ilanah Simon Fhima, Jacques Azéma, Philippe Gilliéron, Yuanshi Bu et Anne Marie E. Verschuur.

Ce bref article discute de manière critique les propositions figurant dans le "Rapport FINMA Distribution des produits financiers 2010" relativement à l'information des investisseurs privés et formule quelques propositions.