» Testing Differences in Dynamics of Risk Measures: A Reference State based Approach »
Mercredi | 2020-02-19 12h30 – Salle B103 Robin SICKLES .
Année : 2020
» A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Green Investing and Sin Stock Exclusion »
Mardi | 2020-02-18 Salle des thèses 16h-17h20 Olivier David ZERBIB I show how sustainable investing affects asset returns through exclusionary screening and environmental, social, and governance (ESG) integration. I develop an asset pricing model with partial segmentation and disagreement. A taste premium clarifies the relationship between ESG and financial performance. Two exclusion premia, generalizing Merton’s […]
Skill and Value Creation in the Mutual Fund Industry
Mardi | 2020-01-28 B103 16h 17h20 Olivier SCAILLET We develop a simple, nonparametric approach for estimating the entire distributions of mutual fund skill and its economic value. Our approach avoids the challenge of specifying these distributions and accommodates the need to study jointly multiple skill measures. Our results show that the vast majority of the […]
MISSAR: a dynamic microsimulation model for Argentina’s social security system
Mardi | 2020-01-21 Salle B103 16h – 17h20 Leonardo Eric CALCAGNO Argentina’s National Social Security Administration (ANSES), the country’s main social security scheme, lacks official projections of its future expenses or income. This hinders the study of the system’s sustainability, and makes it impossible to evaluate ex ante the impact of social security reforms either […]
A quoi renvoit la stabilité monétaire à la BEAC? Estimation de la fonction de réaction de la BEAC
Mercredi | 2020-01-16 Salle B103 – 12h00 Leo Spencer KEUNGNE KOUOTANG Ce travail s’est intéressé à la définition opérationnelle du concept de stabilité monétaire à la Banque des Etats de l’Afrique Centrale (BEAC). Trois approches complémentaires d’analyse de la réaction du taux directeur de la BEAC ont été mobilisées à cet effet : (i) une […]
Female Labor, Status and Decision Power
Mardi | 2020-01-14 Salle des thèses 16h – 17h20 Catherine BROS-BOBIN – Véronique GILLE – François MANIQUET Policy debates have shown a tendency to take the empowering effect of female labour supply for granted. This assumption in grounded in theoretical models of intra-household bargaining, where a woman’s autonomy is correlated with her bargaining power that […]
Macroprudential and monetary policies: The need to dance the tango in harmony
Mardi | 2020-01-07 Salle des thèses 16h-17h20 Yannick LUCOTTE – Jose David GARCIA REVELO – Florian PRADINES-JOBET Considering a sample of 37 emerging and advanced economies from 2000Q1 to 2014Q4, we empirically assess how effective macroprudential policies are in curbing domestic credit growth, and whether their effectiveness is affected by monetary policy conditions. We obtain […]