Patrice Poncet

ESSEC Business School

Professor

Avenue Bernard Hirsch

BP 105 Cergy Cedex, 95021

France

Universite Paris I Pantheon Sorbonne

Finance Department, UFR 06

17 rue de la Sorbonne

75005 Paris

France

  • ESSEC Business School

    • Email
    • Tel: 33 1 3443 3000
    • Fax: 33 1 3443 3001

  • Universite Paris I Pantheon Sorbonne

    • Email
    • Tel: 33 1 40 46 2783
    • Fax: 33 1 40 46 33 66
SCHOLARLY PAPERS

23

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“  I'm currently working on Housing CCAPMs, Socially Responsible Firms, Asset Return predictability, Political Risk and financial Markets, Monetary policy and financial markets  ”

  • ESSEC Business School

    • Email
    • Tel: 33 1 3443 3000
    • Fax: 33 1 3443 3001

  • Universite Paris I Pantheon Sorbonne

    • Email
    • Tel: 33 1 40 46 2783
    • Fax: 33 1 40 46 33 66

Scholarly Papers (23)

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1.

Corporate Social Responsibility and the Cross Section of Stock Returns

Number of pages: 40 Posted: 11 Feb 2016 Last Revised: 01 Dec 2018
Abraham Lioui, Patrice Poncet and Michelle Sisto
EDHEC Business School, ESSEC Business School and EDHEC Business School
Downloads 227 (132,908)

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Corporate Social Responsibility, multi-factor model

2.

Understanding Dynamic Mean Variance Asset Allocation

Number of pages: 53 Posted: 11 Feb 2016
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School
Downloads 194 (153,579)

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Mean Variance, Dynamic Asset Allocation, Time

3.

Misunderstanding Risk and Return?

Number of pages: 45 Posted: 13 Dec 2011
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School
Downloads 154 (188,018)

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Intertemporal asset pricing, value premium, size premium, Fama-French factors

4.

A Political Capital Asset Pricing Model

Number of pages: 74 Posted: 18 Mar 2019 Last Revised: 25 Mar 2019
Giovanni Pagliardi, Patrice Poncet and Stavros A. Zenios
BI Norwegian Business School, ESSEC Business School and University of Cyprus
Downloads 118 (232,014)

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asset pricing, political uncertainty, economic policy uncertainty, international stock markets, emerging markets, frontier markets

5.

Long Horizon Predictability: An Asset Allocation Perspective.

Number of pages: 43 Posted: 07 May 2014 Last Revised: 06 May 2018
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School
Downloads 106 (250,495)

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dynamic portfolio decision, predictive regression, long horizon predictability, GMM estimation, inter-temporal hedging, continuous time

6.

Asset Pricing with Housing Booms and Disasters

Number of pages: 81 Posted: 02 Feb 2017 Last Revised: 05 Dec 2017
Messaoud Chibane, Abraham Lioui and Patrice Poncet
NEOMA BUSINESS SCHOOL, EDHEC Business School and ESSEC Business School
Downloads 98 (264,198)

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Housing CCAPM, Rare Disaster Events, Cumulant Generating Function, Power Law Distribution, Yield Curve

7.

Optimal Capital and Debt Structures with Loss-Absorbing Debts

Number of pages: 47 Posted: 24 Oct 2013
Sami Attaoui and Patrice Poncet
NEOMA Business School and ESSEC Business School
Downloads 88 (283,012)

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Capital structure, Debt structure, Contingent convertible bonds, Write-down debt, Credit event, Liquidity risk, Solvency risk

8.

International Stock Market Co-Movements and Politics-Related Risks

Number of pages: 72 Posted: 25 Mar 2019
Giovanni Pagliardi and Patrice Poncet
BI Norwegian Business School and ESSEC Business School
Downloads 52 (378,257)

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international stock markets, political risk, economic policy risk, pairs trading, predictive regressions, CDS spreads, abnormal returns

9.

Information Differential and Compensation of Active Fund Managers

Number of pages: 28 Posted: 27 Aug 2012
Chekib Ezzili and Patrice Poncet
ESSEC Business School and ESSEC Business School
Downloads 43 (405,946)

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portfolio delegation, filtration enlargement, information differential

10.

Superior Information and Compensation Fees of Active Mutual Funds

Journal of Financial Perspectives, Vol. 1, No. 3, 2013
Number of pages: 17 Posted: 29 Nov 2017
Chekib Ezzili and Patrice Poncet
NATIXIS Asset Management and ESSEC Business School
Downloads 6 (595,839)

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11.

Capital Structure and Debt Priority

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Posted: 13 Oct 2011 Last Revised: 14 May 2012
Sami Attaoui and Patrice Poncet
NEOMA Business School and ESSEC Business School

Abstract:

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Capital structure, Debt priority structure, Liquidation, Default probability, Credit spread

12.

Optimal Benchmarking for Active Portfolio Managers

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Optimal Benchmarking for Active Portfolio Managers

Posted: 17 Jul 2006
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

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Optimal Benchmarking for Active Portfolio Managers

European Journal of Operational Research, Vol. 226, No. 2, pp. 268-276, 2013
Posted: 08 May 2014
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

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Benchmarking; Incentive Fees; Mutual Funds; Continuous Time Trading; Martingale Approach; Principal-Agent model; First-best contracts

13.

General Equilibrium Pricing of Cpi's Derivatives

Journal of Banking and Finance, Forthcoming
Posted: 15 Apr 2004
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

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Endogenous Price Level, Inflation Risk Premium, Money Non Neutrality, Options

14.

General Equilibrium Real and Nominal Interest Rates

Journal of Banking and Finance, Forthcoming
Posted: 23 Oct 2003
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

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15.

General Equilibrium Pricing of Non Redundant Forward Contracts

Journal of Futures Markets, Forthcoming
Posted: 09 May 2003
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

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16.

International Asset Allocation: A New Perspective

Journal of Banking and Finance, Forthcoming
Posted: 14 Jun 2002
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

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International Portfolio Theory; Interest rate risk; Currency risk premium; Market prices of risk; Asset return predictability

17.

The Pricing of Insurance-Linked Securities Under Interest Rate Uncertainty

The Journal of Risk Finance, Vol. 3, No. 3, Spring 2002
Posted: 01 Apr 2002
Patrice Poncet and Victor Vaugirard
ESSEC Business School and TEAM-CNRS, University of Paris at Sorbonne

Abstract:

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18.

Dynamic Asset Pricing with Non-Redundant Forwards

Journal of Economic Dynamics and Control, Forthcoming
Posted: 28 Jan 2002
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

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forward contracts, mean variance efficiency, equilibrium risk premium

19.

The Valuation of Nature-Linked Bonds with Exchange Rate Risk

Journal of Economics and Finance, Vol. 25, No. 3, Fall 2001
Posted: 14 Nov 2001
Patrice Poncet and Victor Vaugirard
ESSEC Business School and TEAM-CNRS, University of Paris at Sorbonne

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Insurance bonds, digital options, outside barrier calls, change of numeraire, currency risk

20.

On Optimal Portfolio Choice Under Stochastic Interest Rates

Journal of Economic Dynamics and Control
Posted: 06 Mar 2001
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

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Hedging, predictability, market price of risk

21.

Mean Variance Efficiency of the Market Portfolio and Futures Trading

Journal of Futures Markets
Posted: 06 Sep 2000
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

Abstract:

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22.

The Minimum Variance Hedge Ratio Under Stochastic Interest Rates

Management Science, Vol. 46, Issue 5, pp. 658-668
Posted: 19 Apr 2000
Abraham Lioui and Patrice Poncet
EDHEC Business School and ESSEC Business School

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23.

Optimal Dynamic Hedging in Incomplete Futures Markets

THE GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 21 No. 1, June 1996
Posted: 23 Dec 1999
Abraham Lioui, Pascal Nguyen Duc Trong and Patrice Poncet
EDHEC Business School, ESSEC Business School and ESSEC Business School

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