HAMON Jacques

This thesis sheds light on various aspects of convertible bond financing in the Western European market between 1994 and 2016. The first study analyzes the market reaction to the announcement of convertible bonds during crisis periods. Our results show a significantly more negative reaction during crisis periods than during normal periods. The study of the determinants of this reaction indicates that investors recognize the potential of convertible bonds to reduce external financing costs. However, the negative market reaction is at least partly due to the suspicion of a possible overvaluation of the issuer and this suspicion is exacerbated in times of financial crisis. Furthermore, we show that part of the negative reaction to the convertible announcement is probably due to short selling by arbitrageurs. The second study of this thesis tests Mayers' (1998) theory of sequential financing, which predicts that the use of convertible bonds allows for the optimal financing of sequential investments. We assess the importance of the call issuer in the optimal implementation of sequential financing by comparing the financing and investment activities of firms that called their convertible bonds early to those of firms in the same industry that redeemed them normally at maturity. Our results indicate that the early call provision allows issuers to minimize issuance costs and signals a sequential financing strategy in its "strong" form. Furthermore, the double-difference model indicates that firms that call their convertibles early invest more than firms that redeem them normally on the call dates, controlling for time effects and other control variables. The last chapter of this thesis deals with the prepayment policy of convertible bonds. We show, as in previous studies, that firms delay the recall of their convertibles relative to the optimal recall point advocated by Ingersoll (1977). The analysis of the different theories justifying the late recall of convertible bonds leads to results consistent with the financial distress hypothesis but rejects those related to the existence of the notification period.

This thesis applies prospect theory and regret theory to the study of stock performance and to explain a market anomaly known as the momentum effect. This thesis proposes a theoretical model that links behavioral factors to stock performance and the momentum effect, and then conducts empirical tests to examine the theoretical model. In Chapter 2, the model is established on a concept of potential gains/losses, which indicate whether an investor is currently in a winning or losing situation. Then, the model shows that investors are very reluctant to sell their stocks in a big gain/loss situation. Chapters 3 and 4 perform empirical tests on the potential gain/loss model. The test sample includes all NYSE and AMEX stocks from the year 1982 to 2012. The tests are able to confirm the influence of potential gains/losses on stock returns. In addition, a zero-cost Extremity Minus Mean (EMM) strategy, based on the theoretical model, is documented to be profitable after controlled for risks. In Chapter 5, the potential gains/losses model is developed in a dynamic version. It suggests that the influence of potential gains/losses might persist over a long intermediate period, and generates an upward trend in performance for stocks with a large potential gain/loss. The empirical tests in this chapter focus on the time series evolution of returns. The tests show that stocks with a large potential gain/loss have a stronger upward trend. Chapter 6 applies the results of the previous chapter to explain the momentum effect. The upward trend corresponds to a positive autocorrelation of returns, which is one of the sources that contribute to the momentum profit. The empirical tests in this chapter look at the similarity between the momentum strategy and the potential gains/losses, and also examine the correlation between momentum profit and EMM strategy profit. The tests show that potential gains/losses could contribute to the momentum effect, but are not the only source. The momentum effect may be the result of a combination of several complex factors.

This thesis is devoted to the sensitivity of the company to the Local Economic Fabric. The preliminary chapter presents a path leading to three research questions targeting three aspects of this relationship, at the local, European and global levels. The first article asks the following question: what is the perception, by company managers, of the sensitivity of their company to the Local Economic Fabric (LEF), and of its impact on its performance? This study is based on 25 semi-structured interviews conducted with managers in the departments of the two Savoie (France). The results show a difficulty for managers to link sensitivity to the TEL and performance, and highlight the determinants of sensitivity. The second article addresses the following question: what is the impact of the company's sensitivity to the local economic fabric on its performance? The study sample is composed of 252 listed European companies rated by the extra financial rating agency VIGEO between 2004 and 2011. The results highlight a convex effect, first negative then positive, of the sensitivity to the TEL on the accounting performance. It is therefore necessary for companies to invest heavily in the local market to detect an improvement in their performance. Regarding the stock market performance at the three-year horizon, the low-sensitive firms outperform the high-sensitive firms and the market. Finally, the third paper answers the question: how has the geographic concentration of venture capital investments evolved and what are the determinants of this? The sample studied tracks investments within OECD countries and the BRICS over the period 1970 - 2013. The results highlight four trends for four groups of countries, as well as a positive effect of the quantity of investment on concentration, especially in the period preceding the internet crisis. Conversely, the level of financial development of countries reduces geographic concentration.

The 4th cover indicates: "The acceleration of international capital exchanges has revealed to the general public the determining role played by the functioning of financial markets. In this context, the stock market is a central player, a meeting place - real and virtual - between the supply and demand of capital. Primary and secondary markets, investors, securities, listed companies, portfolio management, financial analysts' jobs: this book reviews all the mechanisms at play in the stock market institution, and clarifies the questions that feed a growing part of our current affairs.

The acceleration of international capital exchanges has revealed to the general public the decisive role played by the functioning of financial markets. In this context, the stock market is a central player, a meeting place - real and virtual - between the supply and demand of capital. Primary and secondary markets, investors, securities, listed companies, portfolio management, financial analysts' jobs: this book reviews all the mechanisms at play in the stock market institution, and clarifies the questions that feed a growing part of our news.

The purpose of the thesis is to understand the behavior of companies listed on the Paris stock exchange that buy back their own shares and of liquidity contracts, by studying the impact of their operations on market liquidity and on the profitability of shares. More specifically, the thesis deals with three issues: (i) the motivations of companies to buy back their own shares, (ii) the effectiveness of liquidity contracts with respect to the objectives assigned to them, and (iii) the consideration of market liquidity and share profitability in the decision-making process (ex ante) and the impact of these decisions on liquidity and profitability (ex post). In the first two parts of the thesis, the asymmetric information and price support hypotheses are favored to explain the observed buyback behavior. In the third part, the behavior of liquidity contracts is examined from the perspective of the liquidity they provide to the market.

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This thesis investigates the profitability and risk of sin stocks (stocks of companies involved in tobacco, alcohol and gambling) and the impact of the consumption of these products on asset valuation. Vice stocks show abnormal returns, after taking into account market risk and traditional management styles. Through the study of different countries and the use of several valuation models, we are able to highlight new determinants of the performance of these stocks, depending on the environment of the companies. First, there are risk factors, specific to vice companies, that are valued in the European market: the risk of litigation and the risk of increased excise taxes. Second, vice companies in the U.S. achieve risk-adjusted returns only during recessions, thanks to their higher-than-average earnings growth. Finally, the religious environment of investors impacts the profitability of sin stocks, in the sense that Protestants are more "sin-averse" than Catholics and are therefore more likely to disregard these firms. All of these factors are related to the addictive nature of alcohol, tobacco, and gambling consumption, and we show that this addiction has an effect not only on the valuation of vice stocks but also on the valuation of assets in general. We can indeed explain the weak predictive power of the Medaf consumption as well as the risk premium paradox through the stability of addictive consumption.

For a long time, the concentration of exchanges was seen as a necessary condition for improving liquidity. However, the development of new trading systems (MTFs and ATSs) has shown that concentration does not meet investors' needs in terms of liquidity, transaction costs and speed of execution. Based on this observation, the new European regulations and the London equity market are working to better meet these needs by improving competition between the various markets. One of the consequences of these changes is the fragmentation of exchanges. This research aims to study the original case of the London Stock Exchange (LSE). Three objectives are specifically addressed. The first objective is to study the effects of the introduction of a passive order crossing system (the "Crossing Network" called POSIT) on the transaction costs as well as on the information asymmetry costs of the LSE. Does the introduction of CN have positive or negative effects on the central market? Does it improve competition in the central market? The second objective is to examine the assimilation of private information by prices. Is private information integrated in the same way in a price-driven market such as SEAQ as in an order-driven market such as SETS? Finally, the last objective is to identify the order size used by informed investors on SETS, SEAQ as well as for the FTSE 250 stocks traded in SETS.

The limitations of empirical applications of the CAPM have raised the issue of anomalies. The objective of the research conducted is to better understand equity returns by distinguishing risk factors from anomalies. The thesis focuses on the three-factor model of Fama and French (1993) and its application to the French market. Over the period from July 1976 to June 2001, the addition of the HML and SMB factors to the market portfolio provides a better explanation of French stock returns, both in time series and in cross-section. The explanatory power of the three-factor model (31.45%) is on average three times higher than that of the CAPM (9.72%). The study of the Daniel and Titman (1997) proposal, which refutes the hypothesis of risk factors, leads to contrasting results in the French case. Some methodological difficulties are mentioned. Another alternative hypothesis that has been tested is to circumvent the limitations of the CAPM by adding the third- and fourth-order co-moments to the three-factor model. An additional empirical investigation testing the market portfolio misspecification hypothesis of Ferguson and Shockley (2003) is conducted. The main conclusion of this study is that the true market portfolio is not a substitute for the SMB and HML portfolios in explaining returns in both time series and cross-section. Finally, a last result relating to the non-dependence of the explanatory capacity of the three-factor model on economic conditions is put forward. The three-factor model seems to incorporate information on economic activity.

This research proposes an original approach to liquidity, based on three themes. The first theme concerns the composition and measurement of liquidity. What are its main components? Among those known and already cited in the literature, can a choice be made that provides a better assessment of liquidity? The second theme deals with liquidity management. Is it possible to manage liquidity? Four management tools are described: share buybacks, market making, pricing and the implementation of a recovery plan. The latter strategy is illustrated by the example of the Euro Notional contract. The questions posed in the third part of this paper stem from a systematic view of liquidity. Are there common determinants of liquidity, i.e. events and variables that vary the liquidity of all securities simultaneously? And what are they?

Over the past decade, the number of order-driven markets has been growing steadily. This structure is characterized by low transaction costs, anonymity of transactions and more particularly by a direct confrontation between supply and demand of liquidity. An investor's order placement strategy becomes more difficult because a large number of parameters come into play. These different parameters are studied from a theoretical and empirical point of view using a multinomial Logit regression. By recreating the order book, the order execution characteristics are highlighted. They allow us to evaluate the different risks faced by investors. In addition, the behavior of large order givers is analyzed. They have to combine three elements that are antagonistic by nature: to carry out large transactions, at the best price conditions, in the shortest time.

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Most of the world's stock markets have adopted trading halts, which are regulatory measures designed to protect small holders, reduce volatility and prevent stock market crashes. On the Paris stock exchange, there are two main types of listing orders: suspensions pending the publication of information, and listing reservations triggered by a price variation above a predefined threshold. These procedures are frequently used, especially for reservations on the B continuum. The study of the impact of quote reservations on the microstructure of the market shows that they do not allow a rapid decrease in volatility. On the other hand, they seem to be at the origin of a transfer of the exchange and a persistence of volatility at high levels after the recovery. The results also show a possible anticipation of the interruption by the market, which is reflected in an increase in volatility, trading volume, information asymmetry and a decrease in liquidity for about two hours before the interruption. The absence of quotations during disruption periods creates a loss of information that can bias the results of empirical studies that use unadjusted data. By means of simulations, adjustment procedures are tested in several scenarios. The results show that, in the majority of cases studied, replacing the missing price with the crossed threshold significantly reduces the bias. The application of the extreme value theory to daily price variations allows us to associate a reservation probability to a set of theoretical reservation thresholds. The results obtained can constitute a basis for reflection on the optimization of the regulation of quotation reservations. In particular, they make it possible to assess the consequences of tightening or widening the current thresholds.

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Despite its greater complexity, the valuation of exotic options follows the same principle as that of traditional options, namely that a very broad class of approximations and process dissemination for the valuation of contingent assets is obtained from the same formalism. In continuous time, when the option is European, practitioners sometimes arrive at parametric and non-parametric formulas in analytical form with different starting assumptions, the common denominator of all these methods is that they assume the positivity of the density law of the distribution of the returns of the underlying assets, then thanks to the probability change theorems, the valuation is reduced to the calculations of density laws within a Gaussian random walk associated with a neutral risk diffusion. However, when the option is American, there is no analytical solution and practitioners often use interpolation techniques and approximation by options obtained by convolutions along the optimal exercise frontier. In discrete time, valuation methods with mesh (two or three support points) or without mesh (nearest neighbor method) are based on numerical simulations formulated in terms of stochastic partial differential equations or in variational integral form, requiring a nodal discretization of the domain and a generation of the point cloud covering the domain in the sense of a point density distribution, taking into account both the geometry of the domain and real information related to the nature of the diffusion equations. As a result, the discrete method seems more general and allows to value an important class of American options as well as many more complex exotic options on one or more underlying assets.

The competition between the various European financial markets has been growing since the 1980s and will be reinforced by the changeover to the euro. Each financial center seeks to increase its competitiveness by defining both an optimal system of organization of quotations and an adapted stock exchange regulation. While advocates of insider trading argue that it has a positive impact on efficiency, opponents denounce its negative influence on liquidity. In order to determine the optimal regulation of insider trading, it seems important to study the consequences on the functioning of markets. The regulation of insider trading and the means put in place to avoid it are studied. Despite a change in legislation resulting in a tightening of insider trading regulations, holders of privileged information continue to benefit from their informational advantage. The impact of insider trading on informational efficiency is studied theoretically and empirically. Microstructure models show that the revelation of inside information, held by highly informed investors, is largely limited by noise induced by liquidity shocks and by the strategic behavior adopted by insiders to limit the diffusion of their information. Moreover, the presence of insiders leads to a slowdown in the incorporation of public information into prices. Empirical studies show that only a fraction of the privileged information held by insiders is incorporated into prices. The intervention of insiders leads to an increase in the degree of information asymmetry, a widening of the price range and a decrease in liquidity. An empirical study, carried out on the French equity market, highlights this negative impact of insiders.

For a long time, the principle of the centralized order-driven market was the only reference for the organization of transactions. However, the success of alternative trading systems (price-driven markets and private trading systems) since the 1970s has shown the inadequacy of traditional structures for the new requirements arising from the institutionalization of markets. Too rigid, too transparent, insufficiently liquid, these structures seem to be synonymous with high transaction costs for investors who have to make large trades. Based on this observation, structures such as the NYSE or the Paris Stock Exchange have set up a block market in order to offer institutional investors trading conditions that are better adapted to their needs. Thus, block markets are supposed to provide additional liquidity to the centralized structures that they complement. The purpose of the work presented here is to study the reality of this contribution in the case of the non-CAC block market on the Paris stock exchange. The study shows that this compartment captures only a small share, about 10 to 15%, of transactions reaching the normal block size, the rest being the responsibility of the CAC. Several phenomena can explain this result. If transaction costs on the CAC system (price range, temporary and permanent effects of orders on prices) are an increasing function of the number of securities traded because of the private information contained in the orders, investors, by trading strategically, can at the same time minimize the impact of their transactions on prices. The anonymity and speed of execution provided by the CAC system also seem to be factors appreciated by investors. Finally, the non-CAC market would only be of interest to agents who can credibly report the uninformed nature of their demand.

In addition to the practical and institutional interest, there are theoretical issues in conducting research on financial structure. Indeed, the diversity of models has led to a multiplicity of determinants. This has not allowed the enigma of capital structure to be resolved. Introduced by Donaldson [1961] and developed by Myers and Majluf [1984], hierarchical financing, or pecking order theory, provides new explanations and fills in some of the shortcomings of optimum models. It then appears as a general theory of financing. Subsequently, the use of game theory reveals that this was not the case when the beliefs and strategies of investors or company managers were taken into account. The work carried out in this thesis emphasizes the limitations of the hierarchical model, which is only partially valid in static terms. Moreover, its operation in dynamics is conditioned by the anticipation of a low information asymmetry and of future projects whose expected return is greater than that of current projects. Moreover, the existence of interdependent choices and of determinants that are not directly observable has led to a system of structural equations with latent variables. The objective of this approach is to translate economic concepts and to simultaneously capture the different debt rates. Empirical analyses conducted on 390 French industrial and commercial groups over the period 1987-1994 led to several results. First, a causal link appears from the short-term financial structure to the long-term ratio. Second, an adjustment behavior seems to emerge from short-term choices, but the results remain mixed at this level. Third, an atypical hierarchy is detected in the absence of information asymmetry. In the end, supplier credit functions as a substitute for bank debt.

This work focuses on the impact of foreign listing on the cost of capital of the issuing company. We first seek to identify the motivations of issuing companies to apply for a multiple listing of their securities based on a literature review. The results of this study, combined with the theories developed in the literature, allow us to construct a set of consequences that can be expected from multiple listing on the profitability demanded by shareholders. The second part of this paper focuses on the effectiveness of multiple listing as a means of market integration. The first chapter reports several tests of the segmentation between the different world stock markets. The second chapter determines, from numerical simulations, the ability of multiple listing to improve market integration under various segmentation assumptions. Finally, the third chapter is devoted to empirical tests of the consequences of the issuance of an ADR program in the United States on the profitability required by shareholders and on systematic risk. The third part of this paper focuses on the impact of order flow fragmentation on transaction costs and, in particular, on the liquidity of securities, using the example of French securities trading on the SEAQI.

Market liquidity seems to have a cost, hidden in the shareholder structure, in terms of firm performance. Based on Bhide (1993), we test the links between liquidity and ownership structure on the one hand, and between the latter and firm performance on the other. The empirical studies focus on two samples of French companies, the first consisting of 35 companies belonging to the CAC 40 for the years 1988, 1989 and 1990, the second consisting of 217 companies belonging to the SBF 250 for the year 1995. The results indicate that liquidity seems to increase the instability and dispersion of the shareholder base, the latter leading to a decrease in the firm's performance. Thus, the liquidity of a stock would lead to a change in the shareholder structure, which would become more unstable, leading to a passive shareholder base in its function of controlling management, and more dispersed, reducing the probability that a reference shareholder would be likely to exercise control over the management. This reduction in management control would ultimately lead to a decline in the company's performance.

The balance sheet of life insurance companies can be assimilated to a portfolio of financial products whose value depends on the evolution of economic and financial variables. First, it is shown that the evolution of the values of economic variables (GDP, industrial production, . . . ) and financial variables (stocks and interest rates) are linked by a long term equilibrium relationship. In a second step, the risks induced by the evolution of financial variables are analyzed. In particular, the impact of the evolution of the value of financial variables on the behavior of insurers is highlighted. Indeed, the early surrender behavior depends not only on the maturity of the contract and the evolution of taxation but also on the evolution of some interest rates. The cost and strategy of hedging this risk are modeled. Finally, the financial risk analysis methods used in insurance companies are presented. After a description of single period models, the balance sheet of a life insurance company is modeled as a whole in a multiperiod context and by integrating the correlations between financial assets. At the same time, the sensitivity of the value of a company to changes in the values of financial variables is calculated from stock prices.

With the multiple listing of many financial securities on several exchanges, but also with the coexistence of several trading systems within the same exchange, we observe a fragmentation of order flows on the markets. With fragmentation, two types of competition are juxtaposed: competition between investors seeking to trade at the best prices, and competition between markets, each seeking to attract the largest number of investors possible. By considering two performance criteria, liquidity and informational efficiency, this thesis seeks to determine whether fragmentation and competition between markets contribute to economic efficiency, and whether one trading organization is more efficient than another. The research suggests that if an order-driven market is competing with market makers in an asymmetric information environment, the detour of some orders to these market makers does not undermine market efficiency. Fragmentation harms the liquidity of the auction market as well as the general liquidity of the traded security, by increasing the anti-selection costs. This result should be modulated according to the ability of uninformed agents to be recognized as such by the dealers. Finally, the result according to which the listing of a security on a new market deteriorates its liquidity is not necessarily verified if it drains a new demand for liquidity on the security. Through field observations and empirical comparisons of French stocks traded in Paris and London, the relative liquidity of the three competing trading structures, the fixing, the continuous auction and the counterparty, is assessed. Contrary to previous studies on the subject, it is shown that the Paris market, driven by orders, is dominant, not only in the execution of transaction volumes, but also in the price discovery process. According to the tests and observations made, the dual listing of French stocks is not exactly a case of fragmentation but rather a case of segmentation of the exchanges.

The emergence of the notion of mimicry has not been easy in management. This is due to the fact that classical economic theory is based on the individual, one and rational. As Dupuy (1983) notes: "economics presents itself as the negation of the crowd". It is precisely by rejecting the ignorance of the crowd that the economic agent gains access to rationality. In the Valrasian theory, exchanges take place at equilibrium and this equilibrium is the result of individual and independent confrontations. Under these conditions, it is easy to understand the difficulty of understanding the notion of group in a managerial context. If Keynes is one of the first theorists to have described imitation as economically rational behavior, Orlean (1986) offers a demonstration of this assertion and identifies two important concepts in Keynesian thought. The first notion is universal in scope. It describes the case of a system in which not all participants have the same information. If an agent is in a state of total uncertainty, resorting to imitation can only improve his performance, since he is plagiarizing the decision of an actor who is necessarily better informed than he is. The second notion describes the case of a system where no actor is informed. In this situation, imitation remains rational. In this case, agents seek to reduce their risk in the face of competition. Imitating one's neighbor is tantamount to making a decision that is in the common direction. This attitude is perfectly applicable to markets, which penalize being wrong against everyone much more than they improve the fact of being the only one to be right. The study of mimetic phenomena is of definite interest, insofar as they offer answers to certain anomalies detected in the markets. The most classical questions, such as the violation of the principle of the random walk of prices, or the creation of bubbles, take on a new impetus with the notion of mimetism. Here, our objective is certainly not that of a global modeling of the notion of mimicry. The knowledge on human behavior remains today too partial to hope for such a result. We have four main goals. First, we hope to provide a synthesis of existing theoretical work.

The purpose of the thesis is to study the efficiency of the International Monetary Market currency futures market from 1982 to 1992 (6 currencies). The day of the week and month of the year anomalies are unfounded in contrast to the year change effect. The futures market gives a biased forecast of the future spot price. The magnitude of the bias seems to increase with the maturity of the contract and the introduction of an additional variable (spot price) does not improve the forecasting ability. Deferral and postponement are non-randomly distributed. The hypothesis of an influence of the risk premium (constant) cannot be retained. The market is either influenced by a variable risk premium or is inefficient for long maturities. While the martingale model based on unit roots provides the best explanation, for almost a third of the contracts alternative models are superior. The period remaining until the maturity of the contracts has a marginal influence on the discount. The thesis demonstrates the principle of equivalence of futures and forward markets for currency contracts, in contradiction with the Cox-Ingersoll-Ross hypothesis.