FONTAINE Patrice

The goal of this paper is to determine the exchange rates consistent with an equilibrium in the international assets and goods markets. We present a wealth model of a two-country economy where financial assets and goods are traded. We consider the case where the agents are risk neutral, a very common assumption in finance in order to have explicit solutions for prices, and, in particular, in international finance for exchange rates using the non-null Pareto optima. We show that the Pareto optima in the international assets and goods markets are found to coincide with the net trade allocations. More notably, under a no-arbitrage condition in the assets markets, we can define an exchange rates system for which PPP holds. We provide conditions to have a non-null Pareto optimum to compute the exchange rates. We give an example with a non-null Pareto optimum associated with the determination of the exchange rate. © 2017 Elsevier B.V.

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The thesis focuses on the study of the impacts of the European Markets in Financial Instruments Directive (MiFID) and its revision (MiFID II and MiFIR) on the price discovery process. According to Schreiber and Schwartz (1986), price discovery is defined as the incorporation of new information into asset prices and the search for equilibrium by the market. The objective of this key directive is to increase competition and efficiency in European markets while ensuring the protection of investors, through an increase in transparency and a requirement for a best execution policy on the part of investment firms. More specifically, the study focuses on French CAC40 stocks, which can now be traded outside the regulated national market, Euronext Paris. Multilateral trading platforms, systematic internalisers and dark pools are alternatives that have been introduced by the directive. In the absence of consolidation of the European market as a whole and in the presence of spatial fragmentation of stock market orders, the risk is that some exchanges will receive more buy orders and others more sell orders. Some believe that technology should link spatially fragmented markets. However, if enough order flow is removed from the regulated and transparent market, the market may no longer provide price discovery because equilibrium prices and quantities would not have been discovered by the market as a whole. Moreover, even in the presence of a spatially consolidated market, a temporal fragmentation may remain. This fragmentation corresponds to the fracturing of the order flow over time, making it more difficult for buy and sell orders to meet. [...] The thesis first sheds light on the issues and implications of the directive on the efficiency of European markets. In the first chapter, we propose a framework for evaluating the directive. A selection of the main academic works in the field of market microstructure is carried out in order to identify the unresolved issues and the challenges for its current revision (MiFID II). Next, a review of the literature on the market price discovery process is conducted by highlighting the main theoretical, methodological and empirical works. The two main functions of a market are to provide liquidity and to allow price discovery. However, the price discovery function has often been a neglected regulatory objective compared to the objectives of transparency and competition. [...].

Compared to the literature on domestic M&As, the literature on cross-border Mergers & Acquisitions (CBM&A) is relatively recent. In particular, we still have very few studies on M&A between firms in developed and emerging countries. This thesis considers three questions that have been rarely addressed so far. 1) Can industrial diversification explain M&As between European and emerging market firms? 2) Does the market value industrial diversification actions more in these deals? 3) What are the preferred payment terms in such deals? At the same time, we compared these M&A transactions to those taking place in France and within the European Union. Based on 2,406 M&A deals in France, 7,628 in the European Union and 1,857 between European companies and emerging markets over the period 1992(1998)-2012, our results are the following. First, in line with what is observed in M&As between firms in developed countries but contrary to what the theoretical literature on investment in emerging markets suggests, M&As between European and emerging market firms are rather industrial specialization deals. We also find that the relationship between international diversification and industrial diversification is negative. Second, the announcement effects of CBM&A between EU countries and emerging markets result in an increase in the wealth of the shareholders of the acquiring European firms. However, compared to mergers and acquisitions made entirely within the European Union and in France, the announcement effects are much less positive. Third, financial markets undervalue European firms in mergers and acquisitions with firms from emerging countries. Our results show that acquiring firms pay less in cash in M&As with emerging market firms than with other European firms. In contrast, the premiums paid are not significantly different. Our results also suggest that managers of European firms do not play market timing when making payment decisions. This thesis has important implications for future acquirers of companies in emerging countries. Given the results over the end of our analysis period, it reveals that industry diversification in mergers and acquisitions of industrialized country firms with emerging market firms has increased in recent years, and that it has a positive impact. We believe that the results can be attributed either to the financial crisis or to a better integration of emerging markets into the global economy. It also highlights that there are clear conflicts of interest between investors and management in mergers and acquisitions between European and emerging market companies.

In this paper, we consider a two-period consumption model with many financial assets. In the spirit of Hart, consumers purchase financial assets in period 0 and consume in period 1. We differ from Hart by considering that each agent is a country. We provide conditions for the existence of an equilibrium in both international financial assets and goods markets. First, we introduce a weaker notion of Uncovered Interest (rate) Parity (UIP) called Weak Uncovered Interest (rate) Parity (WUIP), and we show its equivalence to the no-arbitrage condition in the international financial markets. Second, we introduce the concept of common no arbitrage and we show its equivalence to UIP. These results bridge concepts of no arbitrage in general equilibrium theory and financial microeconomics and of interest parity in international financial macroeconomics. In a multi-country model with many currencies and only one good, we introduce a country-specific conversion rate which transforms the returns on assets valued in local currency into units of physical good. We the define also the exchange rates between currencies of different countries. The UIP condition is required for the existence of an equilibrium in both international financial assets and goods markets and for the existence of the Law of One Price.

In this paper, we attempt to bridge the gap between two strands of the literature. First, we conduct an in-depth investigation of the relationship between liquidity and market decline in an emerging country (Brazil). In our research, we follow the methodology used by Hameed et al (2010) and Adrian et al (2011). In the first part of the study, using the liquidity measure estimation variable proposed by Corwin and Schultz (2012), we perform a time series analysis to estimate the effect of market returns on individual returns, and the impact of the crisis on liquidity. We further extend our analysis to funding liquidity, as measured by the spread of the remuneration between commercial papers and the central bank's base rate, to estimate the effect of the market decline when speculators face a funding constraint. In the second part of our research, we focus on liquidity factors. We estimate the effect of market liquidity on idiosyncratic liquidity, and examine whether this effect is amplified in the context of a significant market decline. In the third part of the thesis, we divide stocks into three equally weighted portfolios based on differential corporate governance practices. We perform the analysis mentioned above to estimate whether the liquidity of firms with different corporate governance practices react differently in the presence of significant market declines and liquidity spirals.

The main objective of this thesis is to contribute to the literature on board structure and effectiveness. It is structured around four chapters. The first chapter is a review of the literature, while the other three focus on separate research questions. The first study presented in the second chapter of this thesis aims to investigate the determinants of the size of the BoD, the independence of its members, and the duality of the functions of management and chair of the BoD. The main contributions of this study can be summarized as follows: first, our results are based on the analysis of one of the largest samples used in this field, with approximately 16,000 observations (firm-years) for nearly 2,300 U.S. firms observed from 1997 to 2010. Moreover, from a methodological point of view, a battery of statistical tests was carried out in order to verify the robustness of our results, in particular tests taking into account the heterogeneity and simultaneity biases. Finally, this study is probably the first to demonstrate that the passage of the SOX law has limited the ability of managers to influence the composition of the board. The second study focuses on analyzing the two main functions of the board, which are to advise the CEO and to monitor the CEO's activities. Thus, understanding the ability of the board of directors to fulfill these functions is a fundamental question that we propose to explore. This study adds to the emerging literature on the advisory function of the board of directors by providing new evidence on the importance of this function in the creation of corporate value. These results also shed light on the potential conflict between the two main functions of the AC. Finally, this study is in line with the current of thought that seeks to evaluate the impact of corporate characteristics on the effectiveness of corporate governance structures. The main objective of the third study presented in the last chapter of this thesis is to determine whether and how directors' stock-based compensation can affect future acquisition decisions. The results of this study shed new light on director compensation. This study highlights the importance of stock and option incentive compensation practices for board members. Although many studies have been conducted to analyze the relationship between director incentives and firm performance, our study is one of the first to explore the mechanisms through which these incentives can influence firm value.

The current paper examines the driving forces of debt maturity dynamics. This is the first attempt ever made to explain debt maturity dynamics from the perspectives of variations in conventional debt maturity determinants, firm's incentive to approach the target debt maturity and the influence of the existence of exxtreme of extreme debt maturity users.

This four-part empirical thesis focuses on the determinants of sovereign default risk. The first chapter summarizes the state of the art of sovereign default risk and three main approaches to the determinants of sovereign default risk: the structural model, the dynamic stochastic model and econometric models. The second chapter studies the probability of default for Argentina (2002) using a structural model proposed by Gray and Malone 2008. The third chapter proposes a stochastic model to calculate the daily sovereign credit spread. The last two econometric chapters determine two proxies of sovereign default risk: Sovereign CDS spread and Emerging Market Bond Index Plus (EMBI+). The fourth chapter tries to determine the long and short term sovereign CDS spread using three estimates: Pooled Mean Group, Mean Group and Dynamic Fixed Effect. In the last chapter, we apply an asymmetric non-linear Autoregressive staggered lag model to study the effect of long-term current account asymmetry on EMBI+ including explanatory variables such as external debt and international reserves for two emerging countries: Turkey and Brazil.

This thesis studies the effect of exchange rate changes on firm value, the determinants of hedging policy, and the role of agency conflicts. The results show that the non-significance of the currency exposure is explained by hedging asymmetry. The level of currency hedging depends on the firm's economies of scale, financial distress risk, and export level. Our results also reveal that executive compensation in shares and options reduces the residual currency risk of hedging.

This thesis consists of three separate chapters. In the first chapter, we examine whether the explanatory factors for debt maturity previously identified in the literature have impacts that vary with the level of debt maturity, focusing on the extreme cases. We find that the effects of the classical determinants vary significantly with the distribution of debt maturity. These effects are much weaker for the lowest and highest percentiles. This indicates that the refinancing risk is much more binding in the very short term and much less so in the very long term. On the other hand, the fact of having access to public financing or not accentuates this phenomenon of heterogeneity in the impact of the determinants according to the level of maturity of the debt. This last point can be explained by the fact that the refinancing risk is much greater for firms without access to public financing. In summary, our results confirm our intuition regarding the heterogeneous impacts of the determinants of debt maturity as a function of the level of debt maturity and in particular in extreme cases. In the second chapter, we examine firms' debt maturity choices from a dynamic perspective. First, our results highlight sheep-like effects. Both in terms of debt maturity levels and in terms of changes in debt maturity, firms replicate the behavior of firms in the same sector. This herding behavior explains much more of the variation in debt maturity than the firms' own characteristics. After removing the impact of changes in the term structure of interest rates, this herding behavior in response to changes in the debt maturity of firms in the same sector is even more consistent. Second, we find persistent levels of debt maturity over time, especially for firms with very low debt maturities. The third section analyzes the impact of market timing on debt maturity. We argue that large firms with strong fundamentals tend to issue long-term debt rather than short-term debt in the event of a temporary overvaluation of these firms' securities. In particular, for such companies, the effect of timing dominates that of herding behavior during periods of heavy refinancing. For small companies with weak fundamentals, the effect of market timing is small, while the effect of herding is large.

This paper investigates the research question of whether the previously identified factors affect debt maturity choices of the short maturity firms in the same way as the long maturity firms. We find great disparities in the effects of conventional factors across the debt maturity distribution, especially for firms present at the lower and the upper percentiles.

Our thesis deals with the themes of corporate social responsibility (CSR), its relationship with the economic and financial performance of the company, and socially responsible investment (SRI). These themes have recently gained in popularity, favored by a context of economic and environmental crisis. Our thesis consists of four main chapters. Our first chapter is a review of the academic literature on CSR and SRI. We propose an interdisciplinary review of the academic literature shared between economics and management sciences (ethics applied to companies, strategy and finance). Our second chapter is an empirical analysis of the relationship between CSR and corporate financial performance from the perspective of the cost of capital. We examine the impact of the publication of a CSR policy rating on the liquidity of a firm's shares and the size of its shareholder base. Our third and fourth chapters analyze the properties of SRI portfolios constructed using new allocation methods. Thus, we analyze how risk-based allocation strategies modify the performance of portfolios of financial assets issued by issuers with a CSR policy, and conversely how an investment universe composed only of issuers with a CSR policy modifies the properties of these alternative allocations.

This doctoral thesis is divided into three distinct chapters. In the first chapter, we study the sheep-like behavior of French individual investors. Our empirical analysis is based on a database of almost 8 million transactions made between 1999 and 2006 by 87,373 French individual investors. We show that sheep-like behavior persists over time and that past performance and level of sophistication influence this behavior. We also attempt to answer a question that has been little addressed in the literature: is adopting sheep-like behavior profitable for the individual investor? Our empirical analysis indicates that contrarian investors obtain more extreme returns (positive or negative) than sheepish investors. In the second chapter, we show that measuring the accuracy of a forecast of the future price of a stock is not sufficient to assess the quality of this forecast because the predictability of prices is likely to evolve over time and depends on the stock considered. We show that the persistence in individual differences in the accuracy of analysts' forecasts, highlighted in the literature, is not evidence of differences in skills between analysts. This persistence is, in fact, caused by a persistence in the volatility of stock returns. We introduce a measure of forecast quality that incorporates both forecast error and price predictability. Options theory provides us with the necessary elements to estimate this predictability. When this is taken into account, there are no longer differences in the skills of analysts. In the third chapter, we show that experienced and inexperienced analysts do not cover the same type of firms. Experienced analysts cover blue chip companies while inexperienced analysts cover small, young, and growing companies. These differences in coverage mean that inexperienced analysts issue price forecasts on companies whose returns are more volatile and therefore less predictable. As a result, forecast accuracy is not a good measure of whether experienced analysts are better or worse than inexperienced analysts. When these differences in hedging are taken into account, we find that experienced analysts nevertheless issue better forecasts. Although statistically significant, the economic impact of analyst experience is small.

The objective of this thesis is to study the daily and weekly options on the Dutch market index AEX recently introduced by NYSE Euronext. We consider them along three main lines: first, the impact of their introduction on the volumes of existing longer-dated options. Second, we analyze the different types of investors who trade these options by distinguishing between market members, their customers and market makers. Finally, given the level of information and sophistication of investors who trade short-dated options, we examine the impacts of their trading on the volatility of the underlying market, the volatility of the AEX market index. Our main results reveal a substitution effect of new options for existing monthly options. We find a negative impact of daily and weekly options on monthly option volumes and a negative impact of the introduction of daily options on weekly option volumes. As for investors, we find that daily and weekly options are mainly traded by the clients of market members who turn out to be uninformed and unsophisticated. Regarding the impact of the new options on the market volatility of the underlying assets, we conclude that the level of volatility of the AEX index has increased following the introduction of daily and weekly options due to the fact that these new options are mainly traded by clients, who are uninformed investors.

Mutual funds are now recognized as an opportunity to diversify equity investments and are currently an alternative (or complement) to direct equity investments. The mutual fund industry is now present in most countries and has grown dramatically in recent years. Despite its importance, little research has been done on this industry outside the United States. Our study aims to fill this gap. Using a recent database provided by Eurofidai, we analyze the attributes and performance of European mutual funds, basing our study on the case of French equity funds. This PhD thesis examines the problem of investor selection when faced with a large amount of information that can result in confusion when allocating assets. In order to gain a better understanding of mutual funds, we analyze some factors and characteristics that are likely to have an impact on their performance and therefore influence investors' decision making. Our empirical study uses monthly data between 1990 and 2009 on a set of mutual funds invested in French equities. The objectives of the research are threefold: to assess the performance of mutual funds, to identify the characteristics that impact this performance and to identify potential explanations for the structure of management fees. Our results reveal that French funds prefer small and book-to-market stocks. We find that fund size and longevity have a positive impact on performance. We also show that there are economies of scale within fund families. For example, funds containing small-cap stocks favor investors by charging lower management fees. This research provides researchers, analysts and investors with answers to help them make better investment decisions in the mutual fund industry.

With financial globalization, increased international competition, and the growing importance of financial markets, every year hundreds of managers list their companies on the stock exchange or transfer the market where their company's securities are listed. Managers change the place or market of listing of their company's securities for various reasons. Among others, we can cite the search for greater visibility, prestige, liquidity or an alternative source of financing... This operation of change of listing market/compartment, like other operations on securities (takeover bids, public exchange offers, capital increases, share splits...) is likely to influence the price of the securities and certain financial characteristics of the companies that make it. The change of listing compartment within a stock exchange is a subject that has been relatively little treated in the financial literature. Its motivations and consequences have not been sufficiently explored. The objective of this research work is to fill this gap by seeking, first, to identify the determining factors of the transfer of compartment of quotation and second, to analyze the effects of the transfer of compartment of quotation on the value of the migrating company. In addition, we also try to find explanations for the observed market reactions. This research work is very interesting because it deals with a problem that has not been sufficiently addressed by the financial literature until now. Moreover, the theme is at the crossroads of several research fields in Finance (microstructure, market finance, corporate finance and accounting). It aims to shed light on the transfer of market quotation at several levels. First, beyond the methodological aspects, this research could help managers to better understand the economic consequences of their decision to transfer their company's securities to a more demanding, more visible and better regulated market. It could provide stock exchanges with new arguments to justify the creation or existence of several compartments adapted to the needs of the various issuing companies. Finally, this work could be used by investors to develop strategies to take advantage of market transfer operations.

This thesis focuses on the study of the performance of hedge fund strategies and its implication in portfolio selection. The objective of this doctoral work is twofold. On the one hand, we have attempted to complete the studies dealing with the performance of hedge funds for long-term investment, a subject that has not been widely treated in the literature. On the other hand, we wanted to enrich the studies dealing with the diversification gains offered by hedge fund strategies. In the first chapter we presented the characteristics of alternative management and more specifically hedge funds as an alternative investment vehicle. We emphasized that hedge funds represent a family of alternative investment vehicles by studying their origins and history. In the second chapter, we highlight a literature review of the main studies on hedge funds, namely hedge fund performance evaluation, management styles and performance evaluation problems. Chapter 3 is an attempt to understand and answer one of the questions concerning the performance of hedge funds over the long term. Chapter 4 presents a study of the impact of adding hedge fund strategy indices to a portfolio of equity and real estate indices. Chapter 5 attempts to address criticisms of the Grauer and Hakansson (1985) method, which uses historical averaging. Thus, we have improved the estimators of the mean by using the shrinking mean estimators proposed by Jorion (1985, 1986, 1991). The results of our study confirm the contribution of hedge funds in portfolio diversification. We find that by eliminating the bias of the historical estimator of the mean, the composition of the optimal portfolio changes substantially and contributes to an improvement in portfolio performance.

One of the most striking changes in the international financial scene over the past three decades has been the rapid development and maturation of emerging markets around the world. For most finance researchers, the recent development of these markets could never have been achieved without the financial liberalization policies undertaken by the governments of emerging countries since the mid-1980s. However, a good number of authors have still blamed the de��stabilizing role of financial liberalization by demonstrating that the latter can induce financial instability, increased stock market volatility and consequently an eventual collapse of financial markets in countries newly opened to globalized finance. In this context, assessing the benefits and risks of financial liberalization in emerging countries becomes an indisputable necessity. Our PhD thesis attempts to provide a better understanding of emerging equity markets and to shed new light on the impact of financial liberalization on these markets. Although our empirical results show rather positive impacts of financial liberalization in the majority of the emerging markets studied, the success of a liberalization policy seems to be conditional since there are cases where the expected impact of financial liberalization cannot be confirmed.

The problem of this thesis is to study the information risk premium in financial markets, from a theoretical, empirical and practical point of view. Theoretically, this thesis introduces a new rational expectations equilibrium model for valuing financial assets in an asymmetric information environment. This model allows to study the information risk premium in a very general framework, taking into account several securities and several sources of correlation between them. The specification of the model allows us to formulate many theoretical conclusions, new in the literature, as well as empirically testable hypotheses. The model has multiple applications. For example, the model can be used to explain numerous "anomalies" in the markets as well as phenomena in international finance. The objective of the empirical study is to test the presence of an informational factor on the financial markets and to analyze the weight of this factor. The informational factor is approached by a new measure of informational asymmetry directly based on rational expectations models with informational asymmetry. We analyze the impact of the informational factor on the profitability of securities in order to highlight the existence of an information risk premium. A second study examines the performance of equity mutual funds and their degree of specialization, as a function of the degree of informational asymmetry of the stocks that compose them. The empirical results corroborate the implications of the theoretical model.

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Motivated by the prospect of greater gains than those expected on the domestic financial market and by the reduction of risk, international diversification constitutes one of the foundations of international financial theory. However, the observation of portfolio composition reveals a clear preference for domestic financial securities. The purpose of this paper is to propose a tangible explanation for this paradox. After presenting the explanations put forward by financial theory in the framework of international asset pricing models (Chap. 1) and highlighting their limitations (Chap. 2), we analyze the role of inflation. We propose two explanations: the heterogeneity of the population and the existence of information acquisition costs on the one hand, and the importance of non-traded goods, in particular human capital, on the other. For each of the proposals, we develop an international asset pricing model and draw conclusions about the optimal composition of portfolios (chapters 3 and 4). Faced with the limits of partial equilibrium, we recall the contributions of international general equilibrium models (chapter 5). We develop an international general equilibrium model where the population is heterogeneous, by proposing a model of information acquisition costs (chapter 5). In order to make deviations from the law of one price endogenous, we use another model and submit an international general equilibrium model with portfolio choice before presenting its conclusions regarding the general composition of portfolios (chapter 6).

The purpose of this research is to test the existence of rational bubbles in financial markets, and to develop a bubble testing procedure. The first four chapters examine the theory of bubbles, based on the notion of fundamental value, and retain only rational bubbles for the research framework. Chapters five to seven analyze possible econometric testing techniques to define a detection approach: volatility, cointegration, or regression tests. The previous tests are extended to a longer period on the US index, and their results are not questioned: bubbles are not rejected from the US market. Chapter 8 proposes to incorporate the fluctuation of discount rates in the tests: this element does not seem to explain the results on bubbles. In chapter 9, the proposed procedure is applied to the French market index over the same period, 1871 - 1997. The results are different: they do not detect a bubble in France.

This thesis is devoted to the theoretical and empirical analysis of the financial integration of capital markets. The first part reviews the literature on the phenomenon. The first chapter presents, defines and measures financial integration. By reference to the law of one price, two assets with the same characteristics, but belonging to two different countries, are integrated if they have the same expected return. This implies that the risk premiums associated with the international (common) factors are identical. The next two chapters present a review of the literature on financial integration within the framework of the two valuation models that constitute the paradigm of international finance theory: medaf and apt. This part also allows us to study the impact of barriers to international investment on portfolio choice and to examine the different forms of partial integration, namely segmentation by zone, by access cost and by agents. This review of the literature leads to the ambiguous conclusion that the degree of integration varies according to the markets, the periods and the approaches considered. The objective of the second part of this paper is therefore to empirically examine the financial integration hypothesis and its evolution over the period 1973-1995 using an international sample of 230 assets. In order to do so, it is necessary to verify that arbitrage operations lead to equal returns for assets with the same characteristics. These studies are conducted within the framework of two theoretical models: the medaf and the apt. The results obtained do not validate the hypothesis of integration of the six markets studied over the period 1973-1995, regardless of the model used. Finally, concerning the evolution of the degree of financial integration, the results do not validate the hypothesis that the markets are more integrated today.