Année : 2015

Mercredi | 2015-01-14 salle B103, 12h-14h Ismaël ISSIFOU Empirical evidence suggests that economic downturn is a key driver of the improvement in governance quality. This paper uses the commodity exports price growth rate, the net barter terms of trade and the exports growth rate to identify the effect of economic upturnon various aspects of governance. We find that positive economic shocks induce better governance. Moreover, our results suggest that governance quality depends on the type of shocks that prevail in […]

Mardi | 2015-01-13 Sully 5, 16h-17h20 Patrick GAGLIARDINI – Elisa OSSOLA – Olivier SCAILLET We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether the error terms are weakly cross-sectionally correlated or share at least one unobservable common factor. It only requires computing the largest eigenvalue of the empirical cross-sectional covariance matrix of the residuals of a large unbalanced panel. The panel […]