Bernard Dumas

INSEAD

The Rothschild Chaired Professor of Finance / Professor of Finance

Boulevard de Constance

F-77305 Fontainebleau Cedex

France

http://www.insead.fr/~dumas/

National Bureau of Economic Research (NBER)

Research Associate

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research (CEPR)

Research Fellow

London

United Kingdom

SCHOLARLY PAPERS

32

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742

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Scholarly Papers (32)

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Swiss Finance Institute Research Paper No. 06-19, AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 10 Mar 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 601 (42,374)

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Dynamic portfolio choice, excess volatility, general equilibrium

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Swiss Finance Institute Research Paper No. 07-37
Number of pages: 54 Posted: 11 Dec 2007
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 364 (79,100)

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Bayesian behavior, financial-market equilibrium, excess volatility, risk premia

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

NBER Working Paper No. w11803
Number of pages: 47 Posted: 22 Jan 2006 Last Revised: 06 Mar 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 42 (417,662)

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Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

NBER Working Paper No. w13401
Number of pages: 51 Posted: 14 Sep 2007 Last Revised: 15 Aug 2010
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 31 (465,902)

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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

CEPR Discussion Paper No. 5367
Number of pages: 49 Posted: 13 Feb 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 29 (476,175)
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Behavioural equilibrium theory, non-Bayesian behaviour, portfolio choice

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

CEPR Discussion Paper No. DP6455
Number of pages: 53 Posted: 30 May 2008
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 3 (645,195)
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Bayesian behaviour, excess volatility, financial-market equilibrium, risk premia

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

INSEAD Working Paper No. 2016/29/FIN
Number of pages: 49 Posted: 25 Jan 2016 Last Revised: 05 May 2016
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
INSEAD - Finance, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 361 (79,874)

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

SAFE Working Paper No. 124
Number of pages: 59 Posted: 17 Nov 2016
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
INSEAD - Finance, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 126 (221,687)

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

Differences of Opinion and International Equity Markets

Review of Financial Studies 30(3): 750–800, 2017, AFA 2011 Denver Meetings Paper
Number of pages: 70 Posted: 13 Mar 2010 Last Revised: 17 Apr 2017
Bernard Dumas, Karen K. Lewis and Emilio Osambela
INSEAD, University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 366 (78,604)

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Heterogeneous beliefs, capital flows, home-equity preference, cross-listing, international CAPM, international finance

Differences of Opinion and International Equity Markets

INSEAD Working Paper No. 2016/24/FIN
Number of pages: 70 Posted: 01 Jul 2011 Last Revised: 12 Apr 2016
Bernard Dumas, Karen K. Lewis and Emilio Osambela
INSEAD, University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 93 (275,334)

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Differences of Opinion and International Equity Markets

NBER Working Paper No. w16726
Number of pages: 71 Posted: 01 Feb 2011
Bernard Dumas, Karen K. Lewis and Emilio Osambela
INSEAD, University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 22 (517,156)

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4.

Implied Volatility Functions: Empirical Tests

NBER Working Paper No. w5500
Number of pages: 36 Posted: 01 Jul 1998 Last Revised: 28 Nov 2012
Bernard Dumas, Jeff Fleming and Robert E. Whaley
INSEAD, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance
Downloads 302 (98,675)

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Incomplete-Market Equilibria Solved Recursively on an Event Tree

Swiss Finance Institute Research Paper No. 08-49
Number of pages: 43 Posted: 13 Jan 2009
Bernard Dumas and Andrew Lyasoff
INSEAD and Boston University - Questrom School of Business
Downloads 155 (187,246)

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incomplete market, financial-market equilibrium, computation, recursive methods

Incomplete-Market Equilibria Solved Recursively on an Event Tree

INSEAD Working Paper No. 2011/76/FIN
Number of pages: 79 Posted: 01 Jul 2011 Last Revised: 24 Apr 2012
Bernard Dumas and Andrew Lyasoff
INSEAD and Boston University - Questrom School of Business
Downloads 101 (260,642)

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Incomplete-Market Equilibria Solved Recursively on an Event Tree

NBER Working Paper No. w14629
Number of pages: 41 Posted: 15 Jan 2009 Last Revised: 02 Feb 2009
Bernard Dumas and Andrew Lyasoff
INSEAD and Boston University - Questrom School of Business
Downloads 18 (542,500)

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Incomplete-Market Equilibria Solved Recursively on an Event Tree

CEPR Discussion Paper No. DP7138
Number of pages: 42 Posted: 18 Feb 2009
Bernard Dumas and Andrew Lyasoff
INSEAD and Boston University - Questrom School of Business
Downloads 1 (670,599)
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computation, financial-market equilibrium, incomplete market, recursive methods

6.

A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium

AFA 2003 Washington, DC Meetings
Number of pages: 36 Posted: 21 Dec 2002
Bernard Dumas and Pascal J. Maenhout
INSEAD and INSEAD - Finance
Downloads 261 (114,860)

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7.

Let Us Trade Pension Claims

Number of pages: 22 Posted: 27 Oct 2005
Bernard Dumas and Juerg M. Syz
INSEAD and Diener Syz Real Estate
Downloads 205 (145,774)

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Defined Benefit Plans, Underfunding, Collateralized Pension Claim Obligation, Diversification, Benchmark

8.

Cross-Border Valuation: The International Cost of Equity Capital

NBER Working Paper No. w10115
Number of pages: 53 Posted: 05 Dec 2003 Last Revised: 23 Aug 2010
Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS), INSEAD and University of Pennsylvania - Finance Department
Downloads 205 (145,774)

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9.

Rothschild Bank AG

Teaching Note, 2005, INSEAD Case Study No. 06/2005-5265
Number of pages: 2 Posted: 21 Dec 2011 Last Revised: 11 Jan 2012
Bernard Dumas and Robert Kosowski
INSEAD and Imperial College Business School
Downloads 166 (176,409)

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Private banking, Asset management; Behavioural finance and asset allocation, Mutual and hedge funds allocation, Family offices, Trust services, Offshore banking, Switzerland, Private banking, CHF10 billion assets under management

10.

Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?

Number of pages: 44 Posted: 28 Apr 2005
Bernard Dumas, Campbell R. Harvey and Pierre Ruiz
INSEAD, Duke University - Fuqua School of Business and affiliation not provided to SSRN
Downloads 159 (183,005)

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Industry correlations, market integration, market segmentation, stock correlation, output correlation

11.
Downloads 129 (216,952)

The World Price of Foreign Exchange Risk

NBER Working Paper No. w4459
Number of pages: 54 Posted: 10 Jun 2001 Last Revised: 13 Sep 2010
Bernard Dumas and Bruno Solnik
INSEAD and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 129 (217,725)

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The World Price of Foreign Exchange Risk

JOURNAL OF FINANCE, Vol 50 No 2, June 1995
Posted: 03 May 2000
Bernard Dumas and Bruno Solnik
INSEAD and Hong Kong University of Science & Technology (HKUST) - Department of Finance

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The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

Journal of Finance, Forthcoming
Number of pages: 68 Posted: 16 Mar 2011 Last Revised: 30 Dec 2017
Adrian Buss and Bernard Dumas
INSEAD - Finance and INSEAD
Downloads 102 (258,863)

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trading fees, slow-moving capital, general equilibrium, endogenous illiquidity

The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

NBER Working Paper No. w21421
Number of pages: 61 Posted: 03 Aug 2015
Adrian Buss and Bernard Dumas
INSEAD - Finance and INSEAD
Downloads 5 (629,113)

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13.

A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables

NBER Working Paper No. w4657
Number of pages: 43 Posted: 28 Dec 2000
Bernard Dumas
INSEAD
Downloads 82 (295,513)

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14.

Partial- vs. General-Equilibrium Models of the International Capital Market

NBER Working Paper No. w4446
Number of pages: 59 Posted: 10 Jul 2007 Last Revised: 27 Aug 2010
Bernard Dumas
INSEAD
Downloads 74 (313,888)

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15.

Hysteresis Bands, Holding Period and Transaction Costs

Number of pages: 54 Posted: 30 Jun 2012
INSEAD, University of Naples Federico II - Department of Economic and Statistical Sciences and UBS AG - Warburg
Downloads 56 (362,468)

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16.

Efficient Intertemporal Allocations with Recursive Utility

NBER Working Paper No. t0231
Number of pages: 33 Posted: 26 Aug 2000 Last Revised: 21 Aug 2010
Bernard Dumas, Tan Wang and Raman Uppal
INSEAD, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 47 (391,728)

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17.

Super Contact and Related Optimality Conditions: A Supplement to Avinashdixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian

NBER Working Paper No. t0077
Number of pages: 22 Posted: 04 Jul 2004 Last Revised: 19 Sep 2010
Bernard Dumas
INSEAD
Downloads 44 (402,216)

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18.

Currency Option Pricing in Credible Target Zones

NBER Working Paper No. w4522
Number of pages: 19 Posted: 22 Nov 2001 Last Revised: 07 Apr 2010
INSEAD, Stockholm School of Economics and Stockholm School of Economics - Department of Finance
Downloads 35 (437,073)

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19.

Two-Person Dynamic Equilibrium: Trading in the Capital Market

NBER Working Paper No. w2016
Number of pages: 24 Posted: 14 Aug 2007 Last Revised: 11 Jul 2010
Bernard Dumas
INSEAD
Downloads 29 (463,781)

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20.

Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods

NBER Working Paper No. w6994
Number of pages: 34 Posted: 07 Apr 1999 Last Revised: 12 Oct 2010
Bernard Dumas and Raman Uppal
INSEAD and EDHEC Business School
Downloads 24 (489,812)

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21.

How Long Do Unilateral Target Zones Last?

NBER Working Paper No. w3931
Number of pages: 17 Posted: 15 Jan 2007
Bernard Dumas and Lars E. O. Svensson
INSEAD and Stockholm School of Economics
Downloads 22 (500,960)

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22.

Pricing Physical Assets Internationally

NBER Working Paper No. w2569
Number of pages: 55 Posted: 10 Jul 2007 Last Revised: 12 Jul 2010
Bernard Dumas
INSEAD
Downloads 19 (518,089)

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The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

NBER Working Paper No. w19155
Number of pages: 61 Posted: 21 Jun 2013 Last Revised: 08 Jul 2013
Adrian Buss and Bernard Dumas
INSEAD - Finance and INSEAD
Downloads 15 (561,809)

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Financial-Market Equilibrium with Friction

CEPR Discussion Paper No. DP9524
Number of pages: 58 Posted: 02 Jul 2013
Adrian Buss and Bernard Dumas
INSEAD - Finance and INSEAD
Downloads 1 (670,599)
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24.

Target Zones Big and Small

NBER Working Paper No. w3601
Number of pages: 39 Posted: 04 Jul 2004
Francisco A. Delgado and Bernard Dumas
University of Colorado at Boulder - Leeds School of Business and INSEAD
Downloads 15 (541,145)

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25.

Perishable Investment and Hysteresis in Capital Formation

NBER Working Paper No. w2930
Number of pages: 48 Posted: 13 Jul 2010
Bernard Dumas
INSEAD
Downloads 11 (564,899)

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26.

Realignment Risk and Currency Option Pricing in Target Zones

NBER Working Paper No. w4458
Number of pages: 43 Posted: 11 Jul 2007 Last Revised: 08 Sep 2015
INSEAD, Stockholm School of Economics and Stockholm School of Economics - Department of Finance
Downloads 11 (564,899)

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27.

Monetary Contracting between Central Banks and the Design of Sustainableexchange-Rate Zones

NBER Working Paper No. w3440
Number of pages: 32 Posted: 27 Jun 2007
Bernard Dumas
INSEAD
Downloads 10 (570,995)

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28.

Perspectives: Why Not Trade Pension Claims?

Financial Analysts Journal, Vol. 63, No. 1, pp. 46-54, January/February 2007
Posted: 02 Feb 2007
Bernard Dumas and Juerg M. Syz
INSEAD and Diener Syz Real Estate

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Financial Markets, Market Structure and Organizations, Investment Industry, Future Directions, Sources of Change, Portfolio Management, Asset/Liability Management

29.

Pass-Through and Exposure

Journal of Finance, Vol. 57, pp. 199-231, 2002
Posted: 18 Nov 2002
Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS), INSEAD and University of Pennsylvania - Finance Department

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30.

Short- and Long-Term Hedging for the Corporation

CEPR Discussion Paper No. 1083
Posted: 14 Sep 1999
Bernard Dumas
INSEAD

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31.

How Far Apart Can Two Riskless Interest Rates Be? (One Moves, the Other One Does Not)

Working Paper No. 18-94
Posted: 20 Dec 1998
Francisco A. Delgado and Bernard Dumas
University of Colorado at Boulder - Leeds School of Business and INSEAD

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32.

Implied Volatility Smiles: Empirical Tests

Posted: 10 Oct 1998
Bernard Dumas, Jeff Fleming and Robert E. Whaley
INSEAD, Rice University - Jesse H. Jones Graduate School of Business and Vanderbilt University - Finance

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