Contagion effects of successive bond rating downgrades

The object of this paper is to study the impact of successive changes in ratings of a leading firm on competitors of the same sector. Two courses of research are being mobilized regarding, on the one hand, the incidence of downgrading of ratings on the value of the firms and on the other hand, the contagion effects associated with the report of bad news. The analysis of the successive downgrading of the ratings of Alcatel, world leader in the telecommunications infrastructure allows us to point out the contagion effects among the main French and European competitors.Ratings, Contagion effects, Event studies, Telecommunications.

A Behavioural Approach To Financial Puzzles

Many financial puzzles have been solved, at least partially, by the introduction of alternative assumptions on the behaviour of investors. Cumulative prospect theory and mental accounting are two such approaches which are used in this paper to analyze some of the most important financial puzzles. We first focus our attention on anomalies (or considered as such in the standard expected utility model) at the individual level, for example the disposition effect or the low diversification puzzle. We then address two aggregate puzzles, namely the equity premium puzzle and the return predictability puzzle. We show how recent behavioral models allow to explain these anomalies in a very natural way.

Sur une mesure d'efficience relative dans la théorie du portefeuille de Markowitz

Dans cet article, nous proposons un indice d'effcience relative des porte- feuilles de titres permettant le classement d'un ensemble de portefeuilles en considérant que l'univers d'investissement est réduit à l'ensemble des titres à classer. Cet indice est basé sur l'équation de la frontière effciente des oppor- tunités d'investissement retenues ; il ne nécessite pas de référence à un taux sans risque ou à un benchmark extérieur. En conséquence, des portefeuilles de nature différente peuvent être classés ; la principale limite de cet indice est toutefois l'impossibilité de classer les portefeuilles situés dans la partie in- férieure de la frontière, c'est-à-dire ceux qui sont dominés par le portefeuille de variance minimum.

Notations et écarts de rentabilité : le marché français avant l'euro.

L'objectif de cet article est de confronter deux mesures classiques du risque de défaillance de l'émetteur, la notation et l'écart de rentabilité. La première est attribuée par des agences spécialisées dans cette activité (Standard and Poor's et Moody's) alors que la seconde résulte du prix de l'obligation sur le marché financier. Cet article illustre et étudie ce lien sur une période de deux ans pour une quarantaine d'obligations émises en francs. Deux types de mesures de l'écart de rentabilité sont retenus et les résultats obtenus sur la grille de notation complète puis sur une grille de notation réduite montrent la prise en compte très partielle de cette information par les investisseurs sur le marché français.The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.default risk; rating; spread; bonds; risque de défaut.; notation; spread de taux; obligations;

What drives the herding behavior of individual investors?

This article intends to provide answers concerning what drives individual investor herding behavior. Our empirical study uses transaction records of 87,373 French individual investors for the period 1999-2006. In a ?first part, we show - using both the traditional Lakonishok et al. (1992) and the more recent Frey et al. (2007) measures - that herding is prevalent and strong among French individual investors. We then show that herding is persistent: stocks on which investors concentrate their trades at time t are more likely to be the stocks on which investors herd at time t+1. In a second part, we focus on the motivations of individual herding behavior. We introduce an investor specific measure of herding which allows us to track the persistence in herding of individual investors. Our results highlight that this behavior is influenced by investor-specifi?c characteristics. We also reveal the fact that individual herding behavior is strongly and negatively linked with investors own past performance.

Trading activity and Overconfidence: First Evidence from a large European Database

We investigate the presence of overconfidence for 43 958 individual investors using a large brokerage account database between 1999 and 2006. We employ three methodologies to gauge overconfidence and our main results show that independently of the methodology considered, individual investors are subject to overconfidence and consequently trade too frequently. Securities investors are buying are systematically underperforming those they are selling on follow-up periods; investors are clearly not making profitable trades.

What drives the herding behavior of individual investors?

This article intends to provide answers concerning what drives individual investor herding behavior. Our empirical study uses transaction records of 87,373 French individual investors for the period 1999-2006. In a Örst part, we show - using both the traditional Lakonishok et al. (1992) and the more recent Frey et al. (2007) measures - that herding is prevalent and strong among French individual investors. We then show that herding is persistent: stocks on which investors concentrate their trades at time t are more likely to be the stocks on which investors herd at time t+1. In a second part, we focus on the motivations of individual herding behavior. We introduce an investor speciÖc measure of herding which allows us to track the persistence in herding of individual investors. Our results highlight that this behavior is ináuenced by investor-speciÖc characteristics. We also reveal the fact that individual herding behavior is strongly and negatively linked with investorsíown past performance.Herding behavior; investor

Portfolio advice before modern portfolio theory : the belle epoque for french analyst Alfred Neymarck

In this article, we propose an original analysis of advice given by financial analysts prior to WW1. Our article focuses on the writings of A. Neymarck, one of the most popular French analysts in the early 20th Century. The creation of portfolios from a new database composed of the monthly returns of all the security types listed on the official Paris Stock Exchange from 1903 to 1912 has provided results demonstrating that Neymarck correctly identified the risk in a number of sectors. The performances of these portfolios, which were built according to Neymarck’s guidelines, confirm Neymarck’s ranking in terms of both risk and return: the richer the investor, the riskier and the more profitable his portfolio was seen to be. Finally, the Modern Portfolio Theory enables us to pinpoint the few imperfections in Neymarck’s advice, which globally appears to be driven by reliable financial analysis

Proceedings from the 2018 Canadian Association for the Study of the Liver Single Topic Conference—Decompensated Cirrhosis : from clinic to transplant

Actes publiés dans le Canadian Liver Journal; vol. 2, no. 4, Fall 2019, p. 137-170

Les droits disciplinaires des fonctions publiques : « unification », « harmonisation » ou « distanciation ». A propos de la loi du 26 avril 2016 relative à la déontologie et aux droits et obligations des fonctionnaires

The production of tt‾ , W+bb‾ and W+cc‾ is studied in the forward region of proton–proton collisions collected at a centre-of-mass energy of 8 TeV by the LHCb experiment, corresponding to an integrated luminosity of 1.98±0.02 fb−1 . The W bosons are reconstructed in the decays W→ℓν , where ℓ denotes muon or electron, while the b and c quarks are reconstructed as jets. All measured cross-sections are in agreement with next-to-leading-order Standard Model predictions.The production of $t\overline{t}$, $W+b\overline{b}$ and $W+c\overline{c}$ is studied in the forward region of proton-proton collisions collected at a centre-of-mass energy of 8 TeV by the LHCb experiment, corresponding to an integrated luminosity of 1.98 $\pm$ 0.02 \mbox{fb}^{-1}. The $W$ bosons are reconstructed in the decays $W\rightarrow\ell\nu$, where $\ell$ denotes muon or electron, while the $b$ and $c$ quarks are reconstructed as jets. All measured cross-sections are in agreement with next-to-leading-order Standard Model predictions