PENASSE Julien

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Topics of productions
Affiliations
  • 2013 - 2014
    Théorie économique, modélisation et applications
  • 2013 - 2014
    Ecole doctorale economie management mathematiques et physique de cergy
  • 2013 - 2014
    Ecole Supérieure des Sciences Economiques et Commerciales de Cergy
  • 2013 - 2014
    Université de Cergy Pontoise
  • 2014
    Asset prices and assets without prices.
    Asset Prices and Priceless Assets.
    Sentiment and art prices.

  • Asset prices and assets without prices.

    Julien PENASSE, Luc RENNEBOOG, Joost DRIESSEN, Gabriel DESGRANGES, Frank DE JONG, Guillaume CHEVILLON, Olivier SCAILLET, Pierre COLLIN DUFRESNE, Edouard CHALLE
    2014
    This thesis studies several aspects of the dynamics of asset returns. The first three chapters focus on price formation in the art market. The first chapter establishes that prices can temporarily, and partially predictably, deviate from fundamental value. This article was published in Economics Letters (Volume 122, Issue 3, pp. 432-434) and was written with Christophe Spaenjers and Luc Renneboog. Chapter 2 studies the speed of information transmission in aggregate art market prices. Chapter 3 analyzes the correlation between price and volume and supports evidence consistent with a bubble hypothesis. It was written with Luc Renneboog. Chapter 4 focuses on empirical modeling of the predictability of stock market indices in fifteen industrialized countries. It proposes to combine the information given by each country in order to improve the predictive power.
    More informations See the publication
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