Bankers, Markets & Investors n° 117 – Mars-Avril 2012

Bankers, Markets & Investors n° 117 – Mars-Avril 2012

SommaireArticlesIntroducing a New Form of Volatility Index: the Cross-Sectional Volatility Index The Link between Eurozone Sovereign Debt and CDS Prices Performance of Socially Responsible Investment Funds against an Effi cient SRI Index: The Impact of Benchmark Choice when Evaluating Active ManagersFocus OnShedding Light on...
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Bankers, Markets & Investors n° 119 – Juillet-Aout 2012

Bankers, Markets & Investors n° 119 – Juillet-Aout 2012

SommaireArticlesOption Pricing and Hedging in the Presence of Cross-Hedge Risk Optimal Economic Capital and Investment Decisions for a Non-Life Insurance Company Implied Distribution as a Function of the Volatility SmileFocus OnRegulatory Governance Mechanisms in Banks
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Bankers, Markets & Investors n° 116 – Janvier-Février 2012

Bankers, Markets & Investors n° 116 – Janvier-Février 2012

SommaireArticlesAn arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management The Influence of Variable Selection Methods on the Accuracy of Bankruptcy Prediction Models Extendible Options with Modifiable Underlying Assets The Perception of Dividends by Managers: Do French CFOs Differ from...
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Bankers, Markets & Investors n° 118 – Mai-Juin 2012

Bankers, Markets & Investors n° 118 – Mai-Juin 2012

SommaireArticlesThe Great Divergence: French Equity Premium is Lower and Riskier than the US since WWI Is the KIID Sufficient to Associate Portfolios to Investor Profiles? Momentum Investing over the Last Twenty Years in France, its Persistence and the Effects of the Financial Crisis On the Performance of Socially Responsible Investing: Further...
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Bankers, Markets & Investors n° 120 – Septembre-Octobre 2012

Bankers, Markets & Investors n° 120 – Septembre-Octobre 2012

SommaireArticlesRefi nancing and Shareholder Value: Covered Bond Issuances between 2007 and 2010 Evolution of the US Stock Market Risk Premium in Periods of Crisis Investors Expectations and Preferences during the Financial Crisis and the Bursting Internet Bubble: Evidence from the Options Markets Effi ciency in Islamic and Conventional Banks:...
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Bankers, Markets & Investors n° 121 – Novembre-Décembre 2012

Bankers, Markets & Investors n° 121 – Novembre-Décembre 2012

SommaireArticlesThe Performance of Islamic Investment: Evidence from the Dow Jones Islamic Indexes Volatility Strategies for Global and Country Specific European Investors Problem Loans in the MENA Countries: Bank Specifi c Determinants and the Role of the Business and the Institutional Environment Short Term Wealth Creation Sustainability of...
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The Influence of Variable Selection Methods on the Accuracy of Bankruptcy Prediction Models [extrait BMI 116]

The Influence of Variable Selection Methods on the Accuracy of Bankruptcy...

Version numérique PDFOver the last four decades, bankruptcy prediction has given rise to an extensive body of literature, the aim of which was to assess the conditions under which forecasting models perform effectively. Of all the parameters that may influence model accuracy, one has rarely been discussed: the influence of the variable selection method....
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Extendible Options with Modifiable Underlying Assets [extrait BMI 116]

Extendible Options with Modifiable Underlying Assets [extrait BMI 116]

Version numérique PDFAuteurs :Yu Wei Extrait de la revue BMI 116
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The Perception of Dividends by Managers: Do French CFOs Differ from their North-American Peers? [extrait BMI 116]

The Perception of Dividends by Managers: Do French CFOs Differ from their...

Version numérique PDFThe purpose of this research is to study the perception of dividends by the CFOs of firms listed on the Euronext- Paris Stock Exchange and members of SBF 250 index. Using a mail questionnaire we survey the CFOs of a sample of 76 firms about their views on dividends. This survey was conducted with the support of the AMF. Our major goal...
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Mobilizing Investor Networks behind Shareholder Activism in France [extrait BMI 116]

Mobilizing Investor Networks behind Shareholder Activism in France [extrait...

Version numérique PDFThis paper makes three contributions: first, it analyses and conceptualizes professional shareholder activists and their use of international investor networks to engage French companies. We explain the changes in French legislation and corporate governance that facilitated the professionalization of shareholder activism. We then...
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Introducing a New Form of Volatility Index: the Cross-Sectional Volatility Index [extrait BMI 117]

Introducing a New Form of Volatility Index: the Cross-Sectional Volatility...

Version numérique PDFWe introduce a new form of volatility index, the cross-sectional volatility index. Through formal central limit arguments, we show that the cross-sectional dispersion of stock returns can be regarded as an efficient estimator for the average idiosyncratic volatility of stocks within the universe under consideration. Amongst the key...
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The Link between Eurozone Sovereign Debt and CDS Prices [extrait BMI 117]

The Link between Eurozone Sovereign Debt and CDS Prices [extrait BMI 117]

Version numérique PDFWe perform a theoretical and empirical analysis of the relationship between the price of Eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the Eurozone debt crisis of 2009-2011. We first present a simple model which establishes the no-arbitrage relationship between CDS and bond yield...
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