Année : 2011

Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets (preliminary draft)

Mardi | 2011-01-18 B103 Patrick GAGLIARDINI – Elisa OSSOLA – Olivier SCAILLET AbstractWe develop an econometric methodology to infer the path of risk premia from large unbalancedpanel of individual stock returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models through simple two-pass cross-sectional regressions, and show consistency andasymptotic normality under increasing […]

Co-movement of business cycles in the Maghreb : does the trade matter?

Mercredi | 2011-01-12 B103 Aram BELHADJ – Comlanvi Jude EGGOH Over the past two decades, the Maghreb Countries have initiated a liberalization process characterized by increasing trade flows and they have strengthened economic and financial linkages between their economies.In this paper, we demonstrate how co-movements of outputs would respond to this integration process. The nature […]