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
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
1,850
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
Georgia State University, Université Paris Dauphine - DRM Finance and London Business School - Institute of Finance and Accounting
Downloads
1,748
3.
Improving VWAP. Strategies: A Dynamical Volume Approach
Journal of Banking and Finance, Vol. 32, 2008
Number of pages: 61
Posted: 28 Sep 2006
Last Revised: 23 Feb 2018
Accepted Paper Series
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
Downloads
1,404
4.
International Market Volatility Indexes: A Study on Vx1, Vdax and VIX
Number of pages: 26
Posted: 23 May 2003
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management and Audencia Nantes School of Management
Downloads
1,140
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
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
Université Paris Dauphine and Canada Pension Plan Investment Board
There are 2 versions of this paper
Ownership Structure and Open Market Stock Repurchases in France
EFMA 2002 London Meetings
Number of pages: 25
Posted: 22 Mar 2002
Downloads
1,068
Ownership Structure and Open Market Stock Repurchases in France
European Journal of Finance, Vol. 12, No. 1, pp. 77-94, 2006
Posted: 05 Nov 2006
Downloads
1,068
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
Université Paris Dauphine - DRM Finance
Downloads
862
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
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Department of Industrial Engineering
Downloads
849
9.
Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?
Number of pages: 53
Posted: 11 Sep 2014
Last Revised: 02 Nov 2017
Working Paper Series
Alliance Manchester Business School and Université Paris Dauphine - DRM Finance
Downloads
821
10.
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
QUANTED, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and Aequam Capital
Downloads
815
11.
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
Université Paris XIII Nord - Department of Economics and Management and Université Paris Dauphine - DRM Finance
Downloads
782
12.
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
Université Paris XIII Nord - Department of Economics and Management
Downloads
777
13.
Cash Holdings, Corporate Governance and Financial Constraints
Number of pages: 33
Posted: 31 Jul 2008
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine - DRM-CEREG
There are 2 versions of this paper
Cash Holdings, Corporate Governance and Financial Constraints
Number of pages: 33
Posted: 31 Jul 2008
Downloads
745
Cash Holdings, Corporate Governance and Financial Constraints
Number of pages: 32
Posted: 30 Sep 2012
Downloads
269
Downloads
745
14.
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
Université Paris Dauphine - DRM-CEREG and University of Cergy-Pontoise - THEMA
Downloads
724
15.
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
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads
699
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
Université Paris Dauphine - DRM Finance
Downloads
667
17.
An Empirical Test of the Hull-White Option Pricing Model: A Correction
Number of pages: 5
Posted: 04 Nov 2003
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management
Downloads
625
18.
Takeover Bids, Price Offer and Investors Protection
CREFIB Working Paper No. 00-06
Number of pages: 63
Posted: 22 May 2001
Working Paper Series
Université Paris Dauphine and Université Paris I Panthéon-Sorbonne - CREFIB - UFR Gestion
Downloads
602
19.
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
Université Paris Dauphine
Downloads
600
20.
Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices
Number of pages: 43
Posted: 25 Feb 2009
Last Revised: 21 Jun 2015
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management and Passau University
There are 2 versions of this paper
Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices
Number of pages: 43
Posted: 25 Feb 2009
Last Revised: 21 Jun 2015
Downloads
600
Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices
Posted: 06 Feb 2010
Last Revised: 21 Jun 2015
Downloads
600
21.
French IPO Returns and Subsequent Security Offerings: Signaling Hypothesis Versus Market Feedback Hypothesis
Number of pages: 37
Posted: 15 Jan 2004
Working Paper Series
University Aix-Marseille III, Université Paris Dauphine and Dickinson College - Department of International Business and Management
Downloads
587
22.
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
University Savoie Mont-Blanc, IREGE and Université Paris Dauphine
There are 2 versions of this paper
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
Downloads
583
Seasoned Equity Issues in a Closely Held Market: Evidence from France
European Finance Review, Vol. 6, No. 3, 2002
Posted: 23 Sep 2002
Downloads
583
23.
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
Université Paris Dauphine and Université Paris Dauphine - CEREG
There are 2 versions of this paper
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
Downloads
571
Ownership, Control and Market Liquidity
Finance, 2012, 33, 2, pp. 61-99
Number of pages: 50
Posted: 03 Jul 2012
Last Revised: 16 Jun 2015
Downloads
164
Downloads
571
24.
Portfolio Allocation of Hedge Funds
Number of pages: 38
Posted: 10 Apr 2011
Working Paper Series
Lyxor Asset Management, Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and Amundi Asset Management
Downloads
566
25.
What Drives the Herding Behavior of Individual Investors?
Finance, 34(3), 2013
Number of pages: 41
Posted: 25 Jul 2011
Last Revised: 20 Oct 2017
Accepted Paper Series
Strasbourg University, LaRGE Research Center, EM Strasbourg Business School and Université Paris-Dauphine, PSL Research University
Downloads
561
26.
Intangibles Mismeasurement, Synergy, and Accounting Numbers: A Note
Number of pages: 13
Posted: 05 Apr 2006
Working Paper Series
University Paris-Dauphine - DRM Finance and Université Paris Dauphine - CEREG Research Centre
Downloads
557
27.
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
Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads
556
28.
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
Number of pages: 48
Posted: 22 Dec 2012
Working Paper Series
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and QUANTED
Downloads
552
29.
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
Université Paris Dauphine and Université du Québec à Chicoutimi (UQAC)
Downloads
544
30.
Health Expenditures, Longevity and Growth
Number of pages: 98
Posted: 08 May 2008
Last Revised: 07 Jun 2015
Working Paper Series
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
536
31.
Hedging Pressure and Speculation in Commodity Markets
Economic Theory, Forthcoming
Number of pages: 41
Posted: 10 Sep 2013
Last Revised: 30 Apr 2018
Accepted Paper Series
University of British Columbia (UBC) - Faculty of Education, University Paris Dauphine and Université Paris Dauphine
Downloads
502
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
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
499
33.
GARCH Option Pricing Under Skew
Number of pages: 13
Posted: 23 Oct 2003
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management
Downloads
471
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
Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads
455
35.
Strategic Beliefs
Number of pages: 38
Posted: 10 Dec 2006
Working Paper Series
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads
435
36.
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
University of Oklahoma, Université Paris Dauphine and Fédération Bancaire Française
There are 2 versions of this paper
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
Downloads
421
Employee Ownership, Board Representation, and Corporate Financial Policies
Journal of Corporate Finance, 2011, 17, 868-887
Number of pages: 44
Posted: 02 Apr 2009
Last Revised: 17 Jun 2015
Downloads
276
Downloads
421
37.
Systematic Credit Risk: CDX Index Correlation and Extreme Dependence
Number of pages: 23
Posted: 18 Sep 2007
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management and Passau University
Downloads
406
38.
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
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
397
39.
Voluntary Disclosure vs. Mandatory Disclosure: The Case of IFRS Introduction on European Firms
Number of pages: 48
Posted: 27 Feb 2012
Working Paper Series
Université Paris Dauphine and ESG Management School
Downloads
395
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
Conservatoire des Arts et Metiers (CNAM) and Université Paris XIII Nord - Department of Economics and Management
Downloads
383
41.
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
Université Paris Dauphine and Université Paris Dauphine - CEREG
Downloads
380
42.
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
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads
378
43.
Freedom of Choice between Unitary and Two-Tier Boards: An Empirical Analysis
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 58
Posted: 03 Feb 2014
Accepted Paper Series
Université de Cergy-Pontoise, Université Paris Dauphine, HEC Paris and Arizona State University
Downloads
375
44.
A Survey on Implied Theories : The Volatility Models
Number of pages: 36
Posted: 15 Jul 2004
Last Revised: 21 Jun 2015
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management
Downloads
374
45.
Nonparametric Instrumental Regression
Number of pages: 52
Posted: 07 Feb 2009
Last Revised: 15 Jun 2015
Working Paper Series
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
371
46.
The Behavior of the International Implied Volatility Indexes
Number of pages: 5
Posted: 03 Oct 2006
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management
Downloads
371
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
Université Paris Dauphine
Downloads
369
48.
Financial Markets Equilibrium with Heterogeneous Agents
Number of pages: 53
Posted: 13 Mar 2010
Working Paper Series
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
Financial Markets Equilibrium with Heterogeneous Agents
Number of pages: 53
Posted: 13 Mar 2010
Downloads
367
Financial Markets Equilibrium with Heterogeneous Agents
Swiss Finance Institute Research Paper No. 09-45
Number of pages: 56
Posted: 10 Dec 2009
Downloads
291
Downloads
367
49.
Stock Options and Incentive Equilibrium between Managers and Shareholders: The French Case
Universite Paris I Sorbonne, UFR Gestion, CREFIB Working Paper No. 99-05
Number of pages: 60
Posted: 21 Mar 2001
Working Paper Series
Université Paris Dauphine and Université Paris I Panthéon-Sorbonne - CREFIB - UFR Gestion
Downloads
356
50.
Share Repurchase Regulations: Do Firms Play by the Rules?
International Review of Law and Economics, 2009, 29, 81-96
Number of pages: 40
Posted: 01 Aug 2008
Last Revised: 17 Jun 2015
Accepted Paper Series
Université Paris Dauphine and Université Paris Dauphine - CEREG
Downloads
351
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