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 (1987) premium on neglected stocks, drive the exclusion effect. By using green fund holdings to proxy sustainable investors’ tastes, I estimate the model applied to […]

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 funds are skilled, which allows them to earn large economic profits. We also show that investment and trading skills vary substantially across funds and are […]

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 on social security accounts or on its beneficiaries. This paper presents the dynamic Microsimulation model for Social Security in Argentina (MISSAR): its general architecture, input […]

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 analyse descriptive des corrélations linéaires entre le taux directeur de la BEAC et des indicateurs représentatifs de l’ensemble d’informations décisionnelles de politique monétaire, (ii) 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 in turn depends on either her outside option or threat point. However, using Indian panel data we show that an increase in the number of […]

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 three important results. First our findings suggest in line with previous research that an overall tightening in macroprudential policies is associated with a reduction in […]