SSRN Universite Paris-Dauphine Research Papers Series

1.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Forthcoming

Number of pages: 44 Posted: 14 Feb 2014 Last Revised: 24 Aug 2016

Accepted Paper Series

Xi Fu, Yakup Eser Arısoy, Mark B. Shackleton and Mehmet Umutlu

University of Liverpool, Université Paris Dauphine - DRM Finance, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance

Downloads 1,818

2.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 29 Jul 2016

Accepted Paper Series

Vikas Agarwal, Yakup Eser Arısoy and Narayan Y. Naik

Georgia State University, Université Paris Dauphine - DRM Finance and London Business School - Institute of Finance and Accounting

Downloads 1,724

3.

Improving VWAP Strategies: A Dynamical Volume Approach

Number of pages: 61 Posted: 28 Sep 2006

Working Paper Series

Jedrzej Pawel Bialkowski, Serge Darolles and Gaëlle Le Fol

University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris - Dauphine, PSL Research University

Downloads 1,338

4.

International Market Volatility Indexes: A Study on VX1, VDAX and VIX

Number of pages: 26 Posted: 23 May 2003

Working Paper Series

Sofiane Aboura and Christophe Villa

Université Paris XIII Nord - Department of Economics and Management and Audencia Nantes School of Management

Downloads 1,115

5.

Is Volatility Risk Priced in the Securities Market? Evidence from S&P 500 Index Options

Journal of Futures Markets, Vol. 27, No. 7, 617–642, 2007,

Number of pages: 45 Posted: 14 Jun 2006 Last Revised: 07 Apr 2016

Accepted Paper Series

Yakup Eser Arısoy, Aslihan Altay Salih and Levent Akdeniz

Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration

Downloads 1,112

6.

Ownership Structure and Open Market Stock Repurchases in France

EFMA 2002 London Meetings

Number of pages: 25 Posted: 22 Mar 2002

Working Paper Series

Edith Ginglinger and Jean-Francois L'Her

Université Paris-Dauphine, DRM and Canada Pension Plan Investment Board

There are 2 versions of this paper

Downloads 1,043

7.

Volatility Risk and the Value Premium: Evidence from the French Stock Market

Journal of Banking and Finance, Vol. 34, No. 5, 975–983, 2010,

Number of pages: 34 Posted: 26 Dec 2010 Last Revised: 14 Apr 2016

Accepted Paper Series

Yakup Eser Arısoy

Université Paris Dauphine - DRM Finance

Downloads 860

8.

Optimal Multi-Period Consumption and Investment With Short-Sale Constraints

Finance Research Letters, Vol. 11, No. 1, 16–24, 2014,

Number of pages: 9 Posted: 11 Jan 2009 Last Revised: 14 Apr 2016

Accepted Paper Series

Yakup Eser Arısoy, Aslihan Altay Salih and Mustafa Pinar

Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Department of Industrial Engineering

Downloads 848

9.

Do Stock Markets Price Expected Stock Skewness? New Evidence from Quantile Regression Skewness Forecasts

Number of pages: 48 Posted: 11 Sep 2014 Last Revised: 17 Dec 2016

Working Paper Series

Kevin Aretz and Yakup Eser Arısoy

Manchester Business School and Université Paris Dauphine - DRM Finance

Downloads 807

10.

Does Aggregate Uncertainty Explain Size and Value Anomalies?

Applied Economics, Forthcoming

Number of pages: 29 Posted: 13 Sep 2014 Last Revised: 03 Nov 2016

Accepted Paper Series

Sofiane Aboura and Yakup Eser Arısoy

Université Paris XIII Nord - Department of Economics and Management and Université Paris Dauphine - DRM Finance

Downloads 777

11.

International Transmission of Volatility: A Study on the Volatility Indexes VX1, VDAX and VIX

Number of pages: 39 Posted: 07 Mar 2004

Working Paper Series

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Downloads 747

12.

Multi-Factor Models and Signal Processing Techniques: Survey and Examples

IEEE Signal Processing Magazine - Special Issue on Financial Applications, Forthcoming

Number of pages: 12 Posted: 18 May 2011

Accepted Paper Series

Emmanuelle Jay, Patrick Duvaut, Serge Darolles and Arnaud Chrétien

QAMLAB, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and Aequam Capital

Downloads 746

13.

Cash Holdings, Corporate Governance and Financial Constraints

Number of pages: 33 Posted: 31 Jul 2008

Working Paper Series

Edith Ginglinger and Khaoula Saddour

Université Paris-Dauphine, DRM and Université Paris Dauphine - DRM-CEREG

There are 2 versions of this paper

Downloads 701

14.

Aggregate Volatility Expectations and Threshold CAPM

North American Journal of Economics and Finance, Vol. 34, 231–253, 2015 ,

Number of pages: 49 Posted: 28 May 2011 Last Revised: 07 Apr 2016

Accepted Paper Series

Yakup Eser Arısoy, Aslihan Altay Salih and Levent Akdeniz

Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration

Downloads 698

15.

Hedge Fund Returns and Factor Models: A Cross-Sectional Approach

Bankers, Markets & Investors, June 2011

Number of pages: 42 Posted: 19 Feb 2009 Last Revised: 06 Jul 2016

Accepted Paper Series

Serge Darolles and Gulten Mero

Université Paris Dauphine - DRM-CEREG and University of Cergy-Pontoise - THEMA

Downloads 684

16.

Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia

Journal of Futures Markets, Vol. 34, No. 1, 34–55, 2014,

Number of pages: 22 Posted: 26 Dec 2010 Last Revised: 14 Apr 2016

Accepted Paper Series

Yakup Eser Arısoy

Université Paris Dauphine - DRM Finance

Downloads 663

17.

Towards an Understanding of the Phases of Goodwill Accounting in Four Western Capitalist Countries: From Stakeholder Model to Shareholder Model

Number of pages: 70 Posted: 16 Jul 2007

Working Paper Series

Jacques Richard, Yuan Ding and Hervé Stolowy

Université Paris Dauphine, China Europe International Business School (CEIBS) and HEC Paris - Accounting and Management Control Department

Downloads 644

18.

An Empirical Test of the Hull-White Option Pricing Model: A Correction

Number of pages: 5 Posted: 04 Nov 2003

Working Paper Series

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Downloads 616

19.

Takeover Bids, Price Offer and Investors Protection

CREFIB Working Paper No. 00-06

Number of pages: 63 Posted: 22 May 2001

Working Paper Series

Hubert de La Bruslerie and Catherine Deffains-Crapsky

Université Paris Dauphine and Université Paris I Panthéon-Sorbonne - CREFIB - UFR Gestion

Downloads 599

20.

Active Bond Strategies: What Link between Forecasting Ability, Excess Return and Performance?

Journal of Asset Management, vol5, n°2, 2004, EFMA 2003 Helsinki Meetings,

Number of pages: 29 Posted: 03 Jun 2003 Last Revised: 19 Jun 2015

Accepted Paper Series

Hubert de La Bruslerie

Université Paris Dauphine

Downloads 596

21.

Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices

Number of pages: 43 Posted: 25 Feb 2009 Last Revised: 21 Jun 2015

Working Paper Series

Sofiane Aboura and Niklas Wagner

Université Paris XIII Nord - Department of Economics and Management and Passau University

There are 2 versions of this paper

Downloads 573

22.

French IPO Returns and Subsequent Security Offerings: Signaling Hypothesis Versus Market Feedback Hypothesis

Number of pages: 37 Posted: 15 Jan 2004

Working Paper Series

Anne Marie Faugeron-Crouzet, Edith Ginglinger and Vasumathi Vijayraghavan

University Aix-Marseille III, Université Paris-Dauphine, DRM and Dickinson College - Department of International Business and Management

Downloads 571

23.

Seasoned Equity Issues in a Closely Held Market: Evidence from France

European Finance Review, Vol. 6, No. 3, 2002

Number of pages: 49 Posted: 11 May 1999 Last Revised: 17 Jun 2015

Accepted Paper Series

Jean-Francois Gajewski and Edith Ginglinger

University Savoie Mont-Blanc, IREGE and Université Paris-Dauphine, DRM

There are 2 versions of this paper

Downloads 561

24.

Intangibles Mismeasurement, Synergy, and Accounting Numbers: A Note

Number of pages: 13 Posted: 05 Apr 2006

Working Paper Series

Jean-Francois Casta and Olivier J. Ramond

University Paris-Dauphine - DRM Finance and Université Paris Dauphine - CEREG Research Centre

Downloads 553

25.

Do Funds of Hedge Funds Really Add Value? A 'Post' Crisis Analysis

Number of pages: 21 Posted: 03 Sep 2010 Last Revised: 15 Jun 2015

Working Paper Series

Serge Darolles and Mathieu Vaissié

Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center

Downloads 549

26.

Ownership, Control and Market Liquidity

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper

Number of pages: 45 Posted: 13 Dec 2007 Last Revised: 17 Jun 2015

Working Paper Series

Edith Ginglinger and Jacques Hamon

Université Paris-Dauphine, DRM and Université Paris Dauphine - CEREG

There are 2 versions of this paper

Downloads 548

27.

Ownership Structure and Debt Leverage: Empirical Test on French

Paris December 2007 Finance International Meeting AFFI - EUROFIDAI Paper

Number of pages: 39 Posted: 01 Mar 2007 Last Revised: 19 Jun 2015

Working Paper Series

Hubert de La Bruslerie and Imen Latrous

Université Paris Dauphine and Université du Québec à Chicoutimi (UQAC)

Downloads 535

28.

Robust Portfolio Allocation with Systematic Risk Contribution Restrictions

Number of pages: 48 Posted: 22 Dec 2012

Working Paper Series

Serge Darolles, Christian Gourieroux and Emmanuelle Jay

Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and QAMLAB

Downloads 524

29.

Portfolio Allocation of Hedge Funds

Number of pages: 38 Posted: 10 Apr 2011

Working Paper Series

Benjamin Bruder, Serge Darolles, Abdul K. Koudiraty and Thierry Roncalli

Lyxor Asset Management, Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and Amundi Asset Management

Downloads 519

30.

Health Expenditures, Longevity and Growth

Number of pages: 98 Posted: 08 May 2008 Last Revised: 07 Jun 2015

Working Paper Series

Brigitte Dormont, Joaquim Oliveira Martins, Florian Pelgrin and Marc Suhrcke

Université Paris Dauphine, Organization for Economic Co-Operation and Development (OECD) - Statistics Directorate (STD), EDHEC Business School and World Health Organization - European Office for Investment & Development

Downloads 513

31.

What Drives the Herding Behavior of Individual Investors?

Number of pages: 41 Posted: 25 Jul 2011 Last Revised: 20 Oct 2015

Working Paper Series

Maxime Merli and Tristan Roger

Strasbourg University, LaRGE Research Center, EM Strasbourg Business School and Université Paris-Dauphine, PSL Research University

There are 2 versions of this paper

Downloads 496

32.

Economic Properties of Intangibles Recognized Under Domestic Accounting Standards: Evidence from Pre-Ifrs Major European Markets

Number of pages: 44 Posted: 05 Apr 2006 Last Revised: 15 Jun 2015

Working Paper Series

Jean-Francois Casta, Olivier J. Ramond and Lionel Escaffre

University Paris-Dauphine - DRM Finance, Université Paris Dauphine - CEREG Research Centre and University of Angers - Laboratoire Angevin de Recherche en Gestion des Organisations (LARGO)

Downloads 494

33.

GARCH Option Pricing Under Skew

Number of pages: 13 Posted: 23 Oct 2003

Working Paper Series

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Downloads 464

34.

The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects

Number of pages: 44 Posted: 22 Oct 2011 Last Revised: 15 Jun 2015

Working Paper Series

Serge Darolles and Mathieu Vaissié

Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center

Downloads 444

35.

Smart Settlement

EFA 2017 Mannheim Meetings Paper, Rotman School of Management Working Paper No. 2881331, Society for Financial Studies (SFS) Cavalcade, 2017, Swedish House of Finance Research Paper No. 17-4

Number of pages: 56 Posted: 08 Dec 2016 Last Revised: 15 Jun 2017

Working Paper Series

Mariana Khapko and Marius Zoican

University of Toronto - Finance Area and Université Paris Dauphine - PSL Research University

Downloads 440

36.

Hedging Pressure and Speculation in Commodity Markets

Number of pages: 39 Posted: 10 Sep 2013 Last Revised: 22 Feb 2017

Working Paper Series

Ivar Ekeland, Delphine Lautier and Bertrand Villeneuve

University of British Columbia (UBC) - Faculty of Education, University Paris Dauphine and Université Paris Dauphine

Downloads 430

37.

Strategic Beliefs

Number of pages: 38 Posted: 10 Dec 2006

Working Paper Series

Elyes Jouini and Clotilde Napp

Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine

Downloads 428

38.

Employee Ownership, Board Representation, and Corporate Financial Policies

21st Australasian Finance and Banking Conference 2008 Paper

Number of pages: 43 Posted: 27 Aug 2008 Last Revised: 17 Jun 2015

Working Paper Series

William L. Megginson, Edith Ginglinger and Timothée Waxin

University of Oklahoma, Université Paris-Dauphine, DRM and Fédération Bancaire Française

There are 2 versions of this paper

Downloads 413

39.

Systematic Credit Risk: CDX Index Correlation and Extreme Dependence

Number of pages: 23 Posted: 18 Sep 2007

Working Paper Series

Sofiane Aboura and Niklas Wagner

Université Paris XIII Nord - Department of Economics and Management and Passau University

Downloads 397

40.

The Effect of Asymmetric Information and Transaction Costs on Asset Pricing: Theory and Test

EFMA 2003 Helsinki Meetings

Number of pages: 33 Posted: 21 Apr 2003

Working Paper Series

Makram Bellalah and Sofiane Aboura

Conservatoire des Arts et Metiers (CNAM) and Université Paris XIII Nord - Department of Economics and Management

Downloads 377

41.

A Survey on Implied Theories : The Volatility Models

Number of pages: 36 Posted: 15 Jul 2004 Last Revised: 21 Jun 2015

Working Paper Series

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Downloads 372

42.

Actual Share Repurchases, Timing and Corporate Liquidity

Journal of Banking and Finance, Vol. 31, No. 3, 2007

Number of pages: 39 Posted: 17 Mar 2005 Last Revised: 17 Jun 2015

Working Paper Series

Edith Ginglinger and Jacques Hamon

Université Paris-Dauphine, DRM and Université Paris Dauphine - CEREG

Downloads 372

43.

Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs

Number of pages: 42 Posted: 15 Jul 2006 Last Revised: 24 Jun 2015

Working Paper Series

Elyes Jouini and Clotilde Napp

Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine

Downloads 369

44.

The Behavior of the International Implied Volatility Indexes

Number of pages: 5 Posted: 03 Oct 2006

Working Paper Series

Sofiane Aboura

Université Paris XIII Nord - Department of Economics and Management

Downloads 369

45.

Nonparametric Instrumental Regression

Number of pages: 52 Posted: 07 Feb 2009 Last Revised: 15 Jun 2015

Working Paper Series

Serge Darolles, Yanqin Fan, Jean-Pierre Florens and Eric Renault

Université Paris Dauphine - DRM-CEREG, University of Washington - Department of Economics, University of Toulouse and University of North Carolina (UNC) at Chapel Hill - Department of Economics

Downloads 365

46.

Measuring the Law: Legal Certainty as a Watermark (In French)

International Journal of Disclosure and Governance, Vol. 8, 4, pp. 360–379, 2011, Georgetown Law and Economics Research Paper No. 10-12 ,

Number of pages: 37 Posted: 30 Jul 2010 Last Revised: 23 Oct 2011

Accepted Paper Series

Anne-Julie Kerhuel and Arnaud Raynouard

Harvard University and Université Paris Dauphine

Downloads 362

47.

Acquisition Bid Price: Is There an Optimal Cash-Equity Payment Mix?

International Review of Law and Economics, Vol. 32, 2012

Number of pages: 49 Posted: 07 Jun 2007 Last Revised: 19 Jun 2015

Working Paper Series

Hubert de La Bruslerie

Université Paris Dauphine

Downloads 360

48.

Voluntary Disclosure vs. Mandatory Disclosure: The Case of IFRS Introduction on European Firms

Number of pages: 48 Posted: 27 Feb 2012

Working Paper Series

Hubert de La Bruslerie and Heger Gabteni

Université Paris Dauphine and ESG Management School

Downloads 359

49.

When Behavioral Portfolio Theory Meets Markowitz Theory

Economic Modelling, Forthcoming

Number of pages: 48 Posted: 05 Oct 2013 Last Revised: 21 Oct 2015

Accepted Paper Series

Marie Pfiffelmann, Tristan Roger and Olga Bourachnikova

EM Strasbourg.University of Strasbourg. LARGE, Université Paris-Dauphine, PSL Research University and University of Strasbourg - LaRGE Research Center (Laboratoire de Recherche en Gestion et Economie)

Downloads 358

50.

Financial Markets Equilibrium with Heterogeneous Agents

Number of pages: 53 Posted: 13 Mar 2010

Working Paper Series

Jaksa Cvitanic, Elyes Jouini, Semyon Malamud and Clotilde Napp

California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine

There are 2 versions of this paper

Downloads 356

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