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Universite Paris-Dauphine Research Papers Series

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Viewing: 1 - 50 of 319 papers

1.

A Policy Iteration Algorithm for Nonzero-Sum Stochastic Impulse Games

ESAIM: ProcS: 27-45, 2019, Université Paris-Dauphine Research Paper No. 3530120,
Number of pages: 23 Posted: 27 Feb 2020
Accepted Paper Series
Université Paris-Dauphine, affiliation not provided to SSRN, Ecole Nationale d'Ingénieurs de Tunis (ENIT), London School of Economics & Political Science (LSE) and affiliation not provided to SSRN
Downloads 3
2.

Futures Market Liquidity and the Trading Cost of Trend Following Strategies

Université Paris-Dauphine Research Paper No. 3523005,
Posted: 14 Feb 2020
Working Paper Series
KeyQuant and Université Paris Dauphine - DRM-CEREG
3.

Diversifying Trends

Université Paris-Dauphine Research Paper No. 3523001,
Number of pages: 41 Posted: 14 Feb 2020
Working Paper Series
KeyQuant and Université Paris Dauphine - DRM-CEREG
Downloads 104
4.

Gender Pay Gap, Labor Unions and Firm Performance

Université Paris-Dauphine Research Paper No. 3519647,
Number of pages: 45 Posted: 03 Feb 2020
Working Paper Series
Université Paris-Dauphine, PSL Research University and Université Paris-Dauphine, PSL Research University
Downloads 61
5.

Mixture of Distribution Hypothesis: Analyzing Daily Liquidity Frictions and Information Flows

Journal of Econometrics, Vol. 201, 2017, Université Paris-Dauphine Research Paper No. 3515235,
Posted: 30 Jan 2020
Accepted Paper Series
Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
6.

Untangling Systemic Risk in Financialized Commodity Markets

Université Paris-Dauphine Research Paper No. 3508275,
Number of pages: 54 Posted: 14 Jan 2020
Working Paper Series
Paris Dauphine University, Department of Finance
Downloads 42
7.

Labor Market Concentration and Stayers' Wages: Evidence from France

LEDa-LEGOS Working Paper 6/2019, Université Paris-Dauphine Research Paper No. 3506243,
Number of pages: 20 Posted: 23 Dec 2019
Working Paper Series
Organization for Economic Co-Operation and Development (OECD), Paris School of Economics (PSE) and Université Paris-Dauphine, PSL Research University
Downloads 18
8.

Gradual College Admission

Université Paris-Dauphine Research Paper No. 3488038, Baruch College Zicklin School of Business Research Paper No. 2019-11-03,
Number of pages: 37 Posted: 01 Dec 2019 Last Revised: 16 Dec 2019
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Université Paris Dauphine - CEREMADE
Downloads 5
9.

Encouraging Long-Term Shareholders: The Effects of Loyalty Shares with Double Voting Rights

Université Paris-Dauphine Research Paper No. 3475429, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC,
Number of pages: 43 Posted: 29 Oct 2019
Working Paper Series
Université de Cergy-Pontoise, Université Paris-Dauphine, PSL Research University and University of Texas at Austin - Department of Finance
Downloads 138
10.

Does Debt Curb Controlling Shareholders’ Private Benefits? Modelling in a Contingent Claim Framework

Université Paris-Dauphine Research Paper No. 3447201,
Number of pages: 55 Posted: 07 Sep 2019
Working Paper Series
Université Paris Dauphine
Downloads 14
11.

Build or Buy? Human Capital and Corporate Diversification

Fisher College of Business Working Paper No. 2019-03-018, Charles A. Dice Center Working Paper No. 2019-18, Université Paris-Dauphine Research Paper No. 3444992,
Number of pages: 76 Posted: 30 Aug 2019
Working Paper Series
Paris Dauphine University, University of Toronto - Rotman School of Management and Ohio State University (OSU)

Multiple version iconThere are 2 versions of this paper

Downloads 286
12.

Granular Borrowers

Université Paris-Dauphine Research Paper No. 3391768,
Number of pages: 54 Posted: 07 Jun 2019
Working Paper Series
Paris Dauphine University, Banque de France and University of Orleans
Downloads 32
13.

NGO-GM: Natural Gradient Optimization for Graphical Models

Université Paris-Dauphine Research Paper No. 3387874,
Number of pages: 18 Posted: 03 Jun 2019
Working Paper Series
A.I. Square Connect, Université Paris Dauphine, Université Paris-Dauphine, PSL Research University and A.I. Square Connect
Downloads 9
14.

Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies

Université Paris-Dauphine Research Paper No. 3380239,
Number of pages: 37 Posted: 28 May 2019 Last Revised: 14 Jan 2020
Working Paper Series
Amundi Asset Management, Capital Fund Management, Université Paris Dauphine - PSL and Euronext Paris
Downloads 193
15.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Vol. 24, No.1, 58-78, 2016, https://doi.org/10.3905/jod.2016.24.1.058
Posted: 20 May 2019 Last Revised: 09 Aug 2019
Accepted Paper Series
University of Liverpool, NEOMA Business School, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
16.

Are Global Value Chains Receding? The Jury Is Still Out. Key Findings from the Analysis of Deflated World Trade in Parts and Components

Banque de France Working Paper March 2019, WP #715 , Université Paris-Dauphine Research Paper No. 3359558,
Number of pages: 41 Posted: 25 Mar 2019
Working Paper Series
Banque de France, Université Paris-Dauphine, PSL Research University and Centre d'Etudes Prospectives et d'Info. Internationales (CEPII)
Downloads 29
17.

Gender Pay Gap in French Public Administration: An Application of a Novel Three-Step Approach of Blinder-Oaxaca Decomposition with Fixed Effect Model

Université Paris-Dauphine Research Paper No. 3337866,
Number of pages: 26 Posted: 12 Mar 2019
Working Paper Series
Ecole des Ponts ParisTech and KU Leuven
Downloads 20
18.

Multiproduct Retailing and Consumer Shopping Behavior: The Role of Shopping Costs

Université Paris-Dauphine Research Paper No. 3327387, International Journal of Industrial Organization, Vol. 68, January 2020, 102560.,
Number of pages: 60 Posted: 12 Feb 2019 Last Revised: 15 Jan 2020
Accepted Paper Series
Universidad del Rosario and Université Paris-Dauphine
Downloads 22
19.

Climate Risk and Capital Structure

Université Paris-Dauphine Research Paper No. 3327185,
Number of pages: 44 Posted: 12 Feb 2019
Working Paper Series
Université Paris-Dauphine, PSL Research University and Université Paris-Dauphine, PSL Research University
Downloads 613
20.

Tick Size, Trading Strategies and Market Quality

Fisher College of Business Working Paper No. 2019-03-03, Charles A. Dice Center Working Paper No. 2019-3, Université Paris-Dauphine Research Paper No. 3330807,
Number of pages: 54 Posted: 08 Feb 2019
Working Paper Series
The Ohio State University - Fisher College of Business, The University of Western Australia - Department of Accounting and Finance, Bocconi University and IGIER and Baffi Carefin and Université Paris Dauphine - Department of Finance
Downloads 624
21.

Is Bigger Always Better? the Unit Effect in Carbon Emissions Information

International Journal of Research in Marketing (Replication Corner), 2016, 33(1), Université Paris-Dauphine Research Paper No. 3309209,
Number of pages: 11 Posted: 16 Jan 2019
Working Paper Series
Boston University - Questrom School of Business, University Paris-Est Créteil (UPEC) and Paris-Dauphine University
Downloads 5
22.

Smart Systemic-Risk Scores

Number of pages: 49 Posted: 06 Nov 2018 Last Revised: 17 Dec 2018
Working Paper Series
Université Paris Dauphine - LEDa-SDFi
Downloads 99
23.

Tying Allocation to Selection in the Core-Satellite Framework

Number of pages: 22 Posted: 27 Aug 2018 Last Revised: 10 Sep 2018
Working Paper Series
University of Paris 9 Dauphine, DRM-Finance
Downloads 33
24.

Building a Customer Base Under Liquidity Constraints

Number of pages: 79 Posted: 25 Aug 2018 Last Revised: 21 Jan 2020
Working Paper Series
Paris Dauphine University and National Institute of Statistics and Economic Studies (INSEE), Center for Research in Economics and Statistics (CREST), Students
Downloads 36
25.

Trends Everywhere? The Case of Hedge Fund Styles

Number of pages: 45 Posted: 20 Aug 2018 Last Revised: 05 Nov 2019
Working Paper Series
KeyQuant and Université Paris Dauphine - DRM-CEREG

Multiple version iconThere are 2 versions of this paper

Downloads 127
26.

Bivariate INAR Processes with Application to Mutual Fund Share Purchase/Redemption Counts

Number of pages: 47 Posted: 14 Aug 2018
Working Paper Series
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, University of Paris 13 and Université Paris-Dauphine, PSL Research University
Downloads 32
27.

The Role of Financial Investors in Determining the Commodity Futures Risk Premium

Journal of Futures Markets (forthcoming)
Number of pages: 25 Posted: 14 Aug 2018 Last Revised: 20 Apr 2020
Accepted Paper Series
Paris Dauphine University, PSL Research University
Downloads 49
28.

Implementing the Median

UNSW Business School Research Paper No. 2018-11
Number of pages: 15 Posted: 12 Jul 2018
Working Paper Series
Université Paris Dauphine, University of New South Wales (UNSW) and University of Cyprus
Downloads 35
29.

Pricing Without Martingale Measure

Number of pages: 33 Posted: 30 Jun 2018
Working Paper Series
Université Paris Dauphine - PSL Research University, Université Paris VII Denis Diderot and Université Paris-Dauphine - CEREMADE, CNRS
Downloads 32
30.

Is Destiny Worth the Distance? On Private Equity in Emerging Markets

Number of pages: 52 Posted: 05 Jun 2018
Working Paper Series
Université Paris Dauphine - Department of Finance, Paris Dauphine University and Glion Institute of Higher Education

Multiple version iconThere are 2 versions of this paper

Downloads 39
31.

Build or Buy? Human Capital and Corporate Diversification

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 41 Posted: 05 Jun 2018 Last Revised: 01 Oct 2019
Working Paper Series
Paris Dauphine University, University of Toronto - Rotman School of Management and Ohio State University (OSU)

Multiple version iconThere are 2 versions of this paper

Downloads 42
32.

Do Institutional Investors Play Hide-and-Sell in the IPO Aftermarket?

Journal of Corporate Finance, Forthcoming
Number of pages: 67 Posted: 04 Jun 2018 Last Revised: 10 Apr 2020
Accepted Paper Series
Université Paris Dauphine - PSL and Vienna University of Economics and Business
Downloads 73
33.

Are Investors Aware of Ownership Connections?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 48 Posted: 29 May 2018
Working Paper Series
Université Paris-Dauphine, PSL Research University, University of Toronto - Rotman School of Management and Tilburg University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 83
35.

Stereotypes, Underconfidence and Decision-Making with an Application to Gender and Math

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 28 Posted: 21 Feb 2018
Accepted Paper Series
Univ. Paris Dauphine - CEREMADE, ESCP Europe - Department of Finance and CNRS and Université Paris-Dauphine
Downloads 71
36.

Intrinsic Liquidity in Conditional Volatility Models

Annals of Economics and Statistics, Vol. 123/124, Dec. 2016, 225-246
Number of pages: 28 Posted: 20 Nov 2017
Accepted Paper Series
Université Paris Dauphine - DRM-CEREG, University of Lille III, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and CREST
Downloads 32
37.

Gauging Liquidity Risk in Emerging Market Bond Index Funds

Annals of Economics ans Statistics, Vol 123/124, Dec. 2016, 247-269
Posted: 20 Nov 2017
Accepted Paper Series
Université Paris Dauphine - DRM-CEREG, National Institute of Statistics and Economic Studies (INSEE) - Laboratory of Finance and Insurance and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
38.

Would a Euro's Depreciation Improve the French Economy?

IZA Discussion Paper No. 11094
Number of pages: 58 Posted: 23 Oct 2017
Working Paper Series
Université Paris XIII Nord, University of Verona, Université Paris Dauphine and University of the Balearic Islands - Facultat de Ciències Econòmiques i Empresarials
Downloads 8
39.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Working Paper Series
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 2,248
40.

Connected Firms and Investor Myopia

CentER Discussion Paper Series No. 2017-037
Number of pages: 51 Posted: 22 Sep 2017
Working Paper Series
Université Paris-Dauphine, PSL Research University, University of Toronto - Rotman School of Management and Tilburg University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 74
41.

A Joint Model for Electricity Spot Prices and Wind Penetration with Dependence in the Extremes

Number of pages: 19 Posted: 05 Sep 2017
Working Paper Series
Université Paris Dauphine and Imperial College London
Downloads 79
42.

Non-Additivity in Accounting Valuation: Theory and Applications

Forthcoming, Abacus, HEC Paris Research Paper No. ACC-2017-1227
Number of pages: 43 Posted: 31 Aug 2017 Last Revised: 28 Nov 2017
Accepted Paper Series
HEC Paris, Accounting and Management Control Department, University Paris-Dauphine - DRM Finance and HEC Paris - Accounting and Management Control Department

Multiple version iconThere are 2 versions of this paper

Downloads 99
43.

Equilibrium Returns with Transaction Costs

Number of pages: 27 Posted: 29 Jul 2017 Last Revised: 13 Mar 2018
Working Paper Series
Université Paris Dauphine - CEREMADE, Osaka University, University of Warwick - Department of Statistics and Imperial College London - Department of Mathematics
Downloads 179
44.

Closing the Gap: Gender Quotas and Corporate Board Composition

ECGI - Finance Working Paper No. 520/2017
Number of pages: 70 Posted: 26 Jun 2017 Last Revised: 17 Feb 2020
Accepted Paper Series
London School of Economics - Department of Finance, Université Paris-Dauphine, PSL Research University, Université Paris Dauphine - DRM-CEREG and Université Paris Dauphine

Multiple version iconThere are 2 versions of this paper

Downloads 413
45.

On the Performance of Listed Private Equity

Number of pages: 41 Posted: 06 Jun 2017 Last Revised: 05 Jun 2018
Working Paper Series
Paris Dauphine University and Université Paris Dauphine - DRM-CEREG
Downloads 179
46.

Organizational Configurations for Sustainability and Employee Productivity: A Qualitative Comparative Analysis Approach

Business & Society, Forthcoming
Number of pages: 21 Posted: 17 Apr 2017
Accepted Paper Series
University of California, Los Angeles (UCLA) and Université Paris - Dauphine
Downloads 65
47.

Du Tunindex au Tunindex-i: Structure et Performance (From Tunindex to Tunindex-i: Structure and Performance)

Number of pages: 11 Posted: 24 Mar 2017 Last Revised: 24 Mar 2017
Working Paper Series
UIR, RBS College of Management, BEAR Lab, Conservatoire des Arts et Metiers (CNAM) and ESTIM Université
Downloads 76
48.

Mission Drift in Microcredit and Microfinance Institution Incentives

CESifo Working Paper Series No. 6332
Number of pages: 28 Posted: 02 Mar 2017
Working Paper Series
University of Cergy-Pontoise - THEMA, CNRS, National Center for Scientific Research, France - CERAS and Université Paris Dauphine
Downloads 66
49.

Financial Sustainability and Public Debt Management in Central Government

M. P. R. Bolívar ed. “Financial Sustainability in Public Administrations,” Basingstoke (UK): Palgrave Macmillan Pub. Forthcoming, DOI: 10.1007/978-3-319-57962-7_7, 83rd International Atlantic Economic Conference (IAES), Berlin, 22-25 March 2017, EGPA Permanent Study Group XII “Public Sector Financial Management” Spring Workshop, Malta, 4-5 May 2017, 16th Biennial CIGAR Conference, Porto, Portugal, 7-9 June 2017,
Number of pages: 21 Posted: 11 Feb 2017 Last Revised: 22 Jul 2017
Accepted Paper Series
French National Center for Scientific Research (CNRS) and Université Paris Dauphine
Downloads 208
50.

How Chinese Commercial Banks Innovate: Process and Practice

6th International Engaged Management Scholarship Conference
Number of pages: 30 Posted: 25 Jan 2017
Working Paper Series
Université Paris Dauphine
Downloads 98