Pricing the CBOT T-Bonds Futures

Mardi | 2009-05-19 Ramzi BEN-ABDALLAH – Hatem BEN-AMEUR – libre The aim of this paper is to investigate the pricing of the Chicago Board ofTrade Treasury-Bond futures. The difficulty to price it arises from its multipleinter-dependent embedded delivery options, which can be exercised at varioustimes and dates during the delivery month. We consider a general Markov diffusionprocess model for stochastic interest rates and propose a pricing algorithmthat can handle all the delivery rules embedded in the CBOT T-bond futures.Our procedure […]

Effectiveness of Corporate Governance Mechanisms in us Firms Bankrupted Following the Burst of the Financial Speculative Bubble in Mid-2007

Mardi | 2009-05-12 Xavier BREDARD – libre The aim of this paper is to analyse the effectiveness of corporate governance mechanisms onthe performance and the indebtedness of firms that have been bankrupted.Our sample is made of 81 U.S. firms that have filled for chapters 7 or 11 of the bankruptcyprotection law after the burst of the financial speculative bubble in mid-2007 for which wecollected characteristics for year 2006. In order to obtain a broader view of the researchproblem, we decided […]

A Robust Conditional Realized Extended 4-CAPM

Mardi | 2009-05-05 Patrick KOUONTCHOU – Bertrand MAILLET – Sessi TOKPAVI In this paper we present and extend the approach of Bollerslev and Zhang (2003)for “realized” measures and co-measures of risk in some classical asset pricingmodels, such as the Capital Asset Pricing Model (CAPM) of Sharpe (1964) andthe Arbitrage Pricing Theory (APT) model by Ross (1976). These extensionsinclude higher-moments asset pricing models (see Jurczenko and Maillet, 2006),conditional asset pricing models (see Bollerslev et al., 1988, and Jondeau andRockinger, 2004). Estimations […]

Unexpected Media Coverage and Stock Market Outcomes: Evidence from Chemical Disaster

Mardi | 2009-04-14 B103 Marie-Aude LAGUNA – Audrey LAUDE Using the event-study methodology and multivariate regressions, this paper examinesthe intensity of media coverage, its determinants and its marginal effect on stock returnsfollowing chemical disasters. To do this, we build an original dataset of chemical explosionsthat occurred worldwide from 1990-2005. First, our results show that news coverage increaseswith the social and environmental consequences of the accident. Second, to deal with the factthat news coverage is determined simultaneously with stock returns, we […]